Numerical Methods for Stochastic Computations

A Spectral Method Approach

Nonfiction, Science & Nature, Mathematics, Applied, Computers, Advanced Computing, Computer Science, General Computing
Cover of the book Numerical Methods for Stochastic Computations by Dongbin Xiu, Princeton University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Dongbin Xiu ISBN: 9781400835348
Publisher: Princeton University Press Publication: July 1, 2010
Imprint: Princeton University Press Language: English
Author: Dongbin Xiu
ISBN: 9781400835348
Publisher: Princeton University Press
Publication: July 1, 2010
Imprint: Princeton University Press
Language: English

The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering.

The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation.

Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations.

  • The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations
  • Ideal introduction for graduate courses or self-study
  • Fast, efficient, and accurate numerical methods
  • Polynomial approximation theory and probability theory included
  • Basic gPC methods illustrated through examples
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering.

The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation.

Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations.

More books from Princeton University Press

Cover of the book Faith in Schools? by Dongbin Xiu
Cover of the book The Second Great Contraction by Dongbin Xiu
Cover of the book Spin Glasses and Complexity by Dongbin Xiu
Cover of the book A Wealth of Numbers by Dongbin Xiu
Cover of the book On War and Democracy by Dongbin Xiu
Cover of the book The Best Writing on Mathematics 2014 by Dongbin Xiu
Cover of the book Being German, Becoming Muslim by Dongbin Xiu
Cover of the book Searching for the Oldest Stars by Dongbin Xiu
Cover of the book The State of Speech by Dongbin Xiu
Cover of the book A Place on the Team by Dongbin Xiu
Cover of the book Dilemmas of Inclusion by Dongbin Xiu
Cover of the book Becoming Yellow by Dongbin Xiu
Cover of the book The Dark Sides of Virtue by Dongbin Xiu
Cover of the book From Subsistence to Exchange and Other Essays by Dongbin Xiu
Cover of the book The Social Origins of Language by Dongbin Xiu
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy