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Modèles et algorithmes markoviens / Bernard Ycart

Auteur principal : Ycart, Bernard, 1958-, AuteurType de document : MonographieCollection : Mathématiques et applications, 39Langue : français.Pays : France.Éditeur : Paris : Springer, 2002Description : 1 vol. (XII-270 p.) : ill. ; 24 cmISBN : 3540436960.ISSN : 1154-483X.Bibliographie : Bibliogr. p. [259]-266. Index.Sujet MSC : 65C40, Probabilistic methods, stochastic differential equations, Numerical analysis or methods applied to Markov chains
65Y20, Numerical analysis, Complexity and performance of numerical algorithms
82C31, Statistical mechanics, structure of matter, Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
90C15, Mathematical programming, Stochastic programming
65C05, Numerical analysis - Probabilistic methods, stochastic differential equations, Monte Carlo methods
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This book is devoted to all those, mathematicians or not, who want to acquire a practical probabilistic tool for their current applications. Elaboration and validation of a probabilistic model can not avoid the process of writing efficient simulation programs, analyzing their computational efficiency and numerical performance; this is one of the most important goals of the present book. Another practical purpose followed by this volume is to provide a deeper understanding of the considered Markov (chain) algorithms, their running, the simulation of the algorithms with statistical verification, all these based on the powerful (and freeware) computational environment called Scilab (Scientific Laboratory). (Zentralblatt)

Bibliogr. p. [259]-266. Index

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