MPS-LN 1999-2
March 1999
The present notes are based upon a Concentated Advanced Course given
at MaPhySto, Aarhus, in February 1999. An earlier and incomplete
version was written up in connection with a PhD course given at the
Department of Mathematical Statistics, University of Lund, in the spring
of 1996. The aim has been to present some main aspects of simulation
methodology at a reasonably advanced mathematical level. Some topics
like random variate generation, Markov chains Monte Carlo metods and
stochastic optimization are left out or treated briefly, since they form
areas in themselves and extensive treatm ents are available elsewhere.
However, in a later version of the notes I expect to complement the
treatment in these areas; sections or chapters marked with a * indicate
that more will be filled in later.
[Excerpt from Preface]
Availability:
The notes have undergone several revisions since 1999 and are currently (fall 2003) being reworked to book form (Peter Glynn, Stanford, is co-author). Accordingly the original version has been taken off the web.