Mean Field Simulation for Monte Carlo Integration(English, Paperback, Moral Pierre Del)

Product Description

Language: English

Binding: Paperback

Publisher: Taylor & Francis Ltd

Genre: Mathematics

ISBN: 9781138198739, 1138198730

Pages: 626

In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful
tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer
sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced
particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo
methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and
interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle
filters. Mean Field Simulation for Monte Carlo Integration presents the first comprehensive and modern mathematical
treatment of mean field particle simulation models and interdisciplinary research topics, including interacting jumps
and McKean-Vlasov processes, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based
algorithms, and quantum and diffusion Monte Carlo methods. Along with covering refined convergence analysis on nonlinear
Markov chain models, the author discusses applications related to parameter estimation in hidden Markov chain models,
stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and
uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and
quasi-invariant measures arising in computational physics and population biology. This book shows how mean field
particle simulation has revolutionized the field of Monte Carlo integration and stochastic algorithms. It will help
theoretical probability researchers, applied statisticians, biologists, statistical physicists, and computer scientists
work better across their own disciplinary boundaries.
Language: English
Binding: Paperback
Publisher: Taylor & Francis Ltd
Genre: Mathematics
ISBN: 9781138198739, 1138198730
Pages: 626
Imprint: CRC Press
Height: 235 mm
Length: 156 mm
Weight: 885 gr