Random number generation and Monte Carlo methods
This is a textbook on random number generation and basic Monte Carlo methods. It contains the description of basic random number generators, transformation of uniform deviates (general and specific for more common 20 distributions), generation of random samples and permutations, basic Monte Carlo methods, testing of random number generation, software for random numbers, and Monte Carlo methods in statistics. The book contains an excessive bibliography (almost 40 pages) including WWW links and journals. Each chapter contains excercises. The book presents mainly the principles of random number generation algorithms. It requires no deeper knowledge of mathematical statistics. It is paid by the lack of a deeper explanation of some more subtle problems. The book is a quite good introduction into the problems of random number generation and Monte Carlo methods for software oriented people. The author of such a book must always omit some topics. It is a matter of taste which ones. Nevertheless it seems that some more space should have been devoted to the testing of the generators [missing tests based on Monte Carlo simulation, only one test set is presented, missing metatest from e.g. \textit{D. A. Dahl, C. L. Atwood} and \textit{R. A. LaVioletta}, Appl. Math. Modelling 24, No. 10, 771-778 (2000; Zbl 0972.65002) or \textit{J. Král}, Inf. Process. Lett. 1, 164-167 (1972; Zbl 0236.65007)]. It is known from both the above mentioned papers that the random shuffling technique can be generalized with very good results even for additive generators working with very short arithmetics. This fact is not mentioned. It would be good to give more hints what existing generators are according to practical experience reliable.
- A new measure of irregularity of distribution and quasi-Monte Carlo methods for global optimization
- A covariate nonrandomized response model for multicategorical sensitive variables
- Efficiency test of pseudorandom number generators using random walks
- Quasi-random initial population for genetic algorithms
- A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
- Non-uniform random variate generation by the vertical strip method
- Portable random number generators.
- Stochastic finite element analysis of shells
- An automatic code generator for nonuniform random variate generation
- Discrete-time approximations of stochastic delay equations: the Milstein scheme.
- On the accuracy of statistical procedures in Microsoft Excel 97.
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation
- Using prior information in privacy-protecting survey designs for categorical sensitive variables
- The equivalence between ordinal optimization in deterministic complex problems and in stochastic simulation problems
- Polynomial pseudo-random number generator via cyclic phase
- On interval estimation of the coefficient of variation for the three-parameter Weibull, lognormal and gamma distribution: a simulation-based approach
- Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
- A class of random number generators based on Weyl sequence
- Parameter estimation and random number generation to stable distributions
- Proportional Hazards Model for Multivariate Failure Time Data
- An efficient and versatile approach to trust and reputation using hierarchical Bayesian modelling
- scientific article; zbMATH DE number 3949568 (Why is no real title available?)
- Studying the effect of using low-discrepancy sequences to initialize population-based optimization algorithms
- Comparative analysis of Monte Carlo methods via the example of calculating the complex dynamics of a lattice model for a chemical reaction
- The Monte Carlo Algorithm with a Pseudorandom Generator
- The Monty Python method for generating random variables
- scientific article; zbMATH DE number 1942835 (Why is no real title available?)
- Random number generators. Principles and practices. A guide for engineers and programmers
- A new privacy-protecting survey design for multichotomous sensitive variables
- Random numbers and computers
- Large eddy simulation of a turbulent flame using tabulated chemistry with a novel multivariate PDF
- Transmuted Gumbel univariate exponential distribution
- Estimation of reliability in a multicomponent stress-strength model based on generalized linear failure rate distribution
- On the effect of inducted negative correlation rate for beta acceptance-rejection algorithms
- Monte Carlo method, random number, and pseudorandom number
- On a combination method of VDR and patchwork for generating uniform random points on a unit sphere
- Discussion on: ``Why is resorting to fate wise? A critical look at randomized algorithms in systems and control
- Solving stochastic heat transfer problems
- New concepts and construction of quantum random number generators
- A hybrid simulation-optimization algorithm for the Hamiltonian cycle problem
- Antithetic variates revisited again
- Non-parametric estimation of lifetime distribution of competing risk models when censoring times are missing
- Some simple algorithms for structural comparison
- On a proper way to select population failure distribution and a stochastic optimization method in parameter estimation
- Comparison of randomization techniques for low-discrepancy sequences in finance
- A formal mathematical framework for modeling probabilistic hybrid systems
- On initial populations of a genetic algorithm for continuous optimization problems
- A study of regularized Gaussian classifier in high-dimension small sample set case based on MDL principle with application to spectrum recognition
- An efficient algorithm for generating two-way contingency tables with fixed marginal totals and arbitrary mean proportions, with applications to permutation tests
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