Handbook of Monte Carlo Methods
This homepage accompanies the book:
D.P. Kroese, T. Taimre, Z.I. Botev (2011). Handbook of Monte Carlo
Wiley Series in Probability and Statistics, John Wiley and Sons, New York.
Table of Contents:
Lecture notes for a graduate
course on Monte Carlo methods given at the 2011 Summer School of the Australian
Mathematical Sciences Institute (AMSI).
The notes (176 pages) present a highly condensed version of the
Handbook (772 pages).
This code is free to use. However, when you use the code in your
research, please cite the Handbook.
This code was tested under Matlab 7.6.0 (R2008a). We have made an effort to
make the programs compatible with earlier (and later) versions of
Matlab, but cannot give a guarantee that they will work with other versions.
Our aim was to provide simple code that is in direct correspondence
with the algorithms and theory in the Handbook, rather than provide the fastest
possible implementation. We have deliberatly used a mix of
programming styles, to showcase the different approaches that can be
used to implement Monte Carlo algorithms.
- It is recommended to clear the workspace before running the
programs (issue a "clear all").
Please report any errors to firstname.lastname@example.org.
Here is a list of errata for the handbook.
All Matlab programs are contained in the following zip file (138KB):
AllMatlaPrograms.zip . Thank
Chandrasekhar R. (Reddy) Gukhal from Columbia University for
Back to Dirk Kroese's homepage