Monte Carlo Optimization, Simulation and Sensitivity of Queueing Networks

Monte Carlo Optimization, Simulation and Sensitivity of Queueing Networks

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Description

A theoretical treatment of Monte Carlo optimization - simulation using perturbation analysis, adaptive methods, and variance reduction techniques. The book emphasizes concepts rather than mathematical completeness, and shows how to use simulation and Monte Carlo methods efficiently for estimating performance measures, sensitivities and optimization of stochastic systems.
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Product details

  • Hardback | 288 pages
  • 36 x 58mm | 510g
  • John Wiley & Sons Inc
  • New York, United States
  • English
  • illustrations, bibliography, index
  • 0471819298
  • 9780471819295

Table of contents

Antithetic and Common Random Variables in Simulation of Complex Stochastic Systems. Multidimensional Control Variates in Monte Carlo Simulation. Stochastic Optimization Via Stochastic Approximation. Perturbation Analysis for Sensitivity and Optimization of Complex Queueing Networks. Monte Carlo Optimization. Appendixes. References. Index.
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