Random Number Generation and Monte Carlo Methods

First Edition. See Second Edition

by James E. Gentle

Springer-Verlag , 1998.

This book covers the basics of random number generation and of applications of Monte Carlo methods.

I have used various parts of this material in several different courses I teach in the computational sciences (including computational statistics). The material is part of a larger work-in-progress, Computational Statistics, that covers many more topics in statistical computing and computational statistics.

The outline is

  • Preface
  • Table of Contents
  • Chapter 1. Simulating Random Numbers from a Uniform Distribution
  • Chapter 2. Transformations of Uniform Deviates
  • Chapter 3. Simulating Random Numbers from Nonuniform Distributions
  • Chapter 4. Generation of Random Samples and Permutations
  • Chapter 5. Monte Carlo Methods
  • Chapter 6. Quality of Random Number Generators and Quasirandom Numbers
  • Chapter 7. Software for Random Number Generation
  • Chapter 8. Monte Carlo Studies in Statistics
  • Bibliography
  • Author Index
  • Subject Index

    Files I intend to maintain for some time are

  • Errata for first printing (corrected in second printing)
  • Errata for second printing
    The items listed at the errata site will be incorporated in the next printing if the emendations allow the original pagination to be preserved. More extensive revisions will be incorporated in the next revision of the book (no date is set for this yet!).

    I would appreciate any feedback from readers -- corrections, suggestions, or general comments.

    James Gentle, jgentle@gmu.edu