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Mean Field Simulation for Monte Carlo Integration

About Mean Field Simulation for Monte Carlo Integration

This book presents the first comprehensive and modern mathematical treatment of these mean field particle models, including refined convergence analysis on nonlinear Markov chain models. It also covers applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.

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  • Language:
  • English
  • ISBN:
  • 9781138198739
  • Binding:
  • Paperback
  • Pages:
  • 626
  • Published:
  • October 25, 2016
  • Dimensions:
  • 235x158x42 mm.
  • Weight:
  • 914 g.
Delivery: 1-2 weeks
Expected delivery: November 20, 2024

Description of Mean Field Simulation for Monte Carlo Integration

This book presents the first comprehensive and modern mathematical treatment of these mean field particle models, including refined convergence analysis on nonlinear Markov chain models. It also covers applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology.

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