Computational Probability and Simulation
Addison-Wesley Publishing Company, Advanced Book Program, 1977 - Digital computer simulation - 240 pages
Random processes and Random number generators; Simulation of probability experiments; Gaming, Random Walks, and linear equations; Gambler's ruin with extensions to inventory control; Limiting processes for Random Walks and time series simulation; Monte Carlo integration and solution of differential equations.
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RANDOM PROCESSES AND RANDOM
A The Definition of
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Algorithm 2.l Applications Approximation Error 20 Box-Muller Brownian motion BSEPOB casino central limit theorem Chapter coin toss control variate converge covariance function defined denote difference equation differential equations digits discussion distribution function estimate expected experiment exponential Feller finite fortune function f(x GAHPOB gambler gambler's ruin gambler's ruin problem gambling gamma Gaussian time series GOTO Halton hit or miss inventory Knuth large numbers law of large Lindgren linear congruential linear equation Markov chain Marsaglia Mathematical matrix middle-square MONTE CARLO INTEGRATION Monte Carlo method multivariate integration multivariate normal normal variate observations obtained play polynomial probabilistic probability theory Program quadrature quasi-Monte Carlo random numbers random variable random walk random-number RANF reader sample mean Section solution standard deviation standard normal variable statistical stochastic processes strategy Table techniques tests tion UJ UJ UJ uniformly distributed unit interval variable with parameter variance variate Monte Carlo Yakowitz