Title

Monte carlo simulation

Publication Name

Springer Series in Reliability Engineering

Abstract

This chapter discusses the basic concept and techniques for Monte Carlo simulation. The simulation methods for a single random variable as well as those for a random vector (consisting of multiple variables) are discussed, followed by the simulation of some special stochastic processes, including Poisson process, renewal process, Gamma process and Markov process. Some advanced simulation techniques, such as the importance sampling, Latin hypercube sampling, and subset simulation, are also addressed in this chapter.

Open Access Status

This publication is not available as open access

First Page

105

Last Page

163

Share

COinS
 

Link to publisher version (DOI)

http://dx.doi.org/10.1007/978-3-030-62505-4_3