Numerical Methods for Stochastic Computations - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Methods for Stochastic Computations write by Dongbin Xiu. This book was released on 2010-07-01. Numerical Methods for Stochastic Computations available in PDF, EPUB and Kindle. The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation. Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations. The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations Ideal introduction for graduate courses or self-study Fast, efficient, and accurate numerical methods Polynomial approximation theory and probability theory included Basic gPC methods illustrated through examples
Numerical Methods for Stochastic Control Problems in Continuous Time
Numerical Methods for Stochastic Control Problems in Continuous Time - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Methods for Stochastic Control Problems in Continuous Time write by Harold Kushner. This book was released on 2013-11-27. Numerical Methods for Stochastic Control Problems in Continuous Time available in PDF, EPUB and Kindle. Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
Stochastic Numerics for the Boltzmann Equation
Stochastic Numerics for the Boltzmann Equation - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Numerics for the Boltzmann Equation write by Sergej Rjasanow. This book was released on 2005-11-04. Stochastic Numerics for the Boltzmann Equation available in PDF, EPUB and Kindle. Stochastic numerical methods play an important role in large scale computations in the applied sciences. The first goal of this book is to give a mathematical description of classical direct simulation Monte Carlo (DSMC) procedures for rarefied gases, using the theory of Markov processes as a unifying framework. The second goal is a systematic treatment of an extension of DSMC, called stochastic weighted particle method. This method includes several new features, which are introduced for the purpose of variance reduction (rare event simulation). Rigorous convergence results as well as detailed numerical studies are presented.
An Introduction to Computational Stochastic PDEs
An Introduction to Computational Stochastic PDEs - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook An Introduction to Computational Stochastic PDEs write by Gabriel J. Lord. This book was released on 2014-08-11. An Introduction to Computational Stochastic PDEs available in PDF, EPUB and Kindle. This book offers a practical presentation of stochastic partial differential equations arising in physical applications and their numerical approximation.
Stochastic Numerical Methods
Stochastic Numerical Methods - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Stochastic Numerical Methods write by Raúl Toral. This book was released on 2014-06-26. Stochastic Numerical Methods available in PDF, EPUB and Kindle. Stochastic Numerical Methods introduces at Master level the numerical methods that use probability or stochastic concepts to analyze random processes. The book aims at being rather general and is addressed at students of natural sciences (Physics, Chemistry, Mathematics, Biology, etc.) and Engineering, but also social sciences (Economy, Sociology, etc.) where some of the techniques have been used recently to numerically simulate different agent-based models. Examples included in the book range from phase-transitions and critical phenomena, including details of data analysis (extraction of critical exponents, finite-size effects, etc.), to population dynamics, interfacial growth, chemical reactions, etc. Program listings are integrated in the discussion of numerical algorithms to facilitate their understanding. From the contents: Review of Probability Concepts Monte Carlo Integration Generation of Uniform and Non-uniform Random Numbers: Non-correlated Values Dynamical Methods Applications to Statistical Mechanics Introduction to Stochastic Processes Numerical Simulation of Ordinary and Partial Stochastic Differential Equations Introduction to Master Equations Numerical Simulations of Master Equations Hybrid Monte Carlo Generation of n-Dimensional Correlated Gaussian Variables Collective Algorithms for Spin Systems Histogram Extrapolation Multicanonical Simulations
