Stochastic Simulation

Preface

This book is intended for statisticians, operations researchers. and all those who use simulation in their work and need a comprehensive guide to the current state of knowledge about simulation methods. Stochastic simulation has developed rapidly in the last decade, and much of the folklore about the subject is outdated or fallacious. This is indeed a subject in which “a little knowledge is a dangerous thing!” Although this is a comprehensive guide, most of the chapters contain explicit recommendations of methods and algorithms. (To encourage their use, Appendix B contains a selection of computer programs.) Thus, this book can also serve as an introduction. and no prior knowledge of the subject is assumed.

Simulation is one of the easiest things one can do with a stochastic model, which may help to explain its popularity. Although easy to perform. some of the “tricks” used are subtle, and the analysis of what has been done can be much more complicated than is apparent at first sight. Simulation is best regarded as mathematical experimentation, and needs all the care and planning that are regarded as a normal part of training in experimental sciences. The general mathematical level of this book is elementary, involving no more than a first course in probability and statistics. A notable exception is those parts of Chapter 2 that deal with the theoretical behavior of random-number generators, which contain a number of applications of number theory. All the necessary mathematics ...