By Pierre Del Moral

In the final 3 many years, there was a dramatic raise within the use of interacting particle tools as a robust instrument in real-world purposes of Monte Carlo simulation in computational physics, inhabitants biology, desktop sciences, and statistical laptop studying. very best to parallel and disbursed computation, those complex particle algorithms contain nonlinear interacting leap diffusions; quantum, diffusion, and resampled Monte Carlo equipment; Feynman-Kac particle versions; genetic and evolutionary algorithms; sequential Monte Carlo tools; adaptive and interacting Markov chain Monte Carlo types; bootstrapping tools; ensemble Kalman filters; and interacting particle filters.

Mean box Simulation for Monte Carlo Integration provides the 1st entire and sleek mathematical therapy of suggest box particle simulation versions and interdisciplinary learn subject matters, together with interacting jumps and McKean-Vlasov techniques, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo tools.

Along with masking sophisticated convergence research on nonlinear Markov chain versions, the writer discusses functions regarding parameter estimation in hidden Markov chain versions, stochastic optimization, nonlinear filtering and a number of objective monitoring, stochastic optimization, calibration and uncertainty propagations in numerical codes, infrequent occasion simulation, monetary arithmetic, and loose power and quasi-invariant measures bobbing up in computational physics and inhabitants biology.

This e-book exhibits how suggest box particle simulation has revolutionized the sector of Monte Carlo integration and stochastic algorithms. it is going to support theoretical chance researchers, utilized statisticians, biologists, statistical physicists, and desktop scientists paintings larger throughout their very own disciplinary boundaries.

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Mean Field Simulation for Monte Carlo Integration (Chapman & Hall/CRC Monographs on Statistics & Applied Probability) by Pierre Del Moral

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