Reuven Y. Rubinstein, Dirk P. Kroese.

SIMULATION AND THE MONTE CARLO METHOD

John Wiley and Sons Inc., 2007
(Series, Probability and Statistics)

The book is based on an undergraduate course on Monte Carlo methods given at the Israel Institute of Technology (Technion) and the University of Queensland for the last five years. It is aimed at a broad audience of students in engineering, physical and life sciences, statistics, computer science, mathematics, and simply anyone interested in using Monte Carlo simulation in their study or work. Our aim is to provide an accessible introduction to modern Monte Carlo methods, focusing on the main concepts, while providing a sound foundation for problem solving. For this reason most ideas are introduced and explained via concrete examples, algorithms and experiments.