Books on simulation and random number generation

Last update: Tue Apr 18 11:49:30 EDT 2017


Luc's library has now opened its web doors to all McGill University students. The library is in fact my office (room 300N, McConnell Engineering Building), and the books are a subset of my private collection. Any McGill student may borrow any book at any time!



L. Alonso
R. Schott

Random Generation of Trees [Google]
Kluwer Academic Publishers, 1995.

B.C. Arnold
E. Castillo
J.-M. Sarabia

Conditionally Specified Distributions [Google]
Springer-Verlag, 1992.

B.C. Arnold
E. Castillo
J.M. Sarabia

Conditional Specification of Statistical Models [Google]
Springer-Verlag, New York, 1999.

Søren Asmussen
Peter Glynn

Stochastic Simulation: Algorithms and Analysis [Google]
Springer, New York, 2007.

F. Baccelli
G. Cohen
G.J. Olsder
J.-P. Quadrat

Synchronization and Linearity: An Algebra for Discrete Event Systems [Google]
John Wiley, Chichester, 1992.

N. Balakrishnan
V.B. Melas
S.M. Ermakov (eds)

Stochastic Simulation Methods [Google]
Birkhäuser, Boston, 2000.

J. Banks
J.S. Carson

Discrete Event Simulation [Google]
Prentice-Hall, Englewood Cliffs, NJ, 1984.

L. Barabesi

Random Variate Generation by Using the Ratio-of-Uniforms Method [Google]
Università degli Studi di Siena Dipartimento di Metodi Quantitativi Collana di Pubblicazioni, Siena, 1993.

K. Binder
D.W. Heermann

Monte Carlo Simulation in Statistical Physics [Google]
Springer-Verlag, Berlin, 1988.

N. Bouleau

Probabilités de l'Ingénieur, Variables Aléatoires et Simulation [Google]
Hermann, Paris, 1986.

N. Bouleau
D. Lépingle

Numerical Methods for Stochastic Processes [Google]
John Wiley, New York, 1994.

P. Bratley
B.L. Fox
L.E. Schrage

A Guide to Simulation, 2nd Ed. [Google]
Springer-Verlag, New York, 1987.

P. Brémaud

Markov Chains Gibbs Fields, Monte Carlo Simulation, and Queues [Google]
Springer-Verlag, New York, 1999.

J.A. Bucklew

Large Deviation Techniques in Decision, Simulation and Estimation [Google]
John Wiley, New York, 1990.

James Antonio Bucklew

Introduction to Rare Event Simulation [Google]
Springer-Verlag, New York, 2004.

Peter Busswald

Effiziente Zufallszahlenerzeugung aus der Zetaverteilung und der Verallgemeinerten Poissonverteilung [Google]
Technische Universität Graz, Graz, Austria, 1993.

M.-H. Chen
J.G. Ibrahim
Q.-M. Shao

Monte Carlo Methods in Bayesian Computation [Google]
New York, 2000.

Prem C. Consul
Felix Famoye

Lagrangian Probability Distributions [Google]
Birkhäuser, Boston, MA, 2006.

J.S. Dagpunar

Principles of Random Variate Generation [Google]
Clarendon Press, Oxford, 1988.

I. Deák

Random Number Generation and Simulation [Google]
Akadémiai Kiadó, Budapest, 1990.

L. Devroye

Non-Uniform Random Variate Generation [Google]
Springer-Verlag, New York, 1986.

Arnaud Doucet
Nando de Freitas
Neil Gordon (eds)

Sequential Monte Carlo in Practice [Google]
Springer, New York, 2001.

E.J. Dudewicz
Z.A. Karian (eds)

Modern Design and Analysis of Discrete-Event Computer Simulations [Google]
IEEE Computer Society Press, Washington, DC, 1985.

Hector Zenil (ed.)

Randomness Through Computation: Some Answers, More Questions [Google]
World Scientific, Hackensack, NJ, 2011.

Michael Evans
Tim Swartz

Approximating Integrals Via Monte Carlo and Deterministic Methods [Google]
Oxford University Press, Oxford, UK, 2000.

G.S. Fishman

Principles of Discrete Event Simulation [Google]
John Wiley, New York, 1978.

G.S. Fishman

Monte Carlo: Concepts, Algorithms and Applications [Google]
Springer-Verlag, New York, 1996.

Bennett L. Fox

Strategies for Quasi-Monte Carlo [Google]
Kluwer Academic Publishers, Boston, 1999.

Bennett L. Fox

Strategies for Quasi-Monte Carlo [Google]
Kluwer Academic Publishers, Boston, 1999.

J.E. Gentle

Random Number Generation and Monte Carlo Methods [Google]
Springer-Verlag, New York, 1998.

W.R. Gilks
S. Richardson
D.J. Spiegelhalter (eds)

Markov Chain Monte Carlo in Practice [Google]
Chapman and Hall/CRC, Boca Raton, 1996.

P. Glasserman

Gradient Estimation via Perturbation Analysis [Google]
Kluwer Academic Publishers, Dordrecht, The Netherlands, 1991.

P. Glasserman

Gradient Estimation via Perturbation Analysis [Google]
Kluwer Academic Publishers, Dordrecht, The Netherlands, 1991.

P. Glasserman
D.D. Yao

Monotone Structure in Discrete-Event Systems [Google]
John Wiley, New York, 1994.

F. Glover
M. Laguna

Tabu Search [Google]
Kluwer Academic Publishers, Boston, 1997.

B.S. Gottfried

Elements of Stochastic Process Simulation [Google]
Prentice-Hall, Englewood Cliffs, NJ, 1984.

Todd C. Headrick

Statistical Simulation: Power Method Polynomials and Other Transformations [Google]
Chapman & Hall, 2009.

S.G. Henderson
B.L. Nelson (eds)

Handbooks in Operations Research and Management Science Volume 13 Simulation [Google]
North-Holland, Amsterdam, 2006.

E. Hlawka

The Theory of Uniform Distribution [Google]
A B Academic Publishers (Eastern Press), Reading, 1984.

Wolfgang Hörmann
Josef Leydold
Gerhard Derflinger

Automatic Nonuniform Random Variate Generation [Google]
Springer-Verlag, Berlin, 2004.

Y.C. Ho
X.-R. Cao

Perturbation Analysis and Discrete Event Dynamic Systems [Google]
Kluwer Academic Publishers, Boston, MA, 1991.

Thurner Johann

Die Erzeugung von Zufallszahlen aus der Poisson- und Binomialverteilung (Diplomarbeit) [Google]
Technische Universität Graz, Graz, Austria, 1990.

M.E. Johnson

Multivariate Statistical Simulation [Google]
John Wiley, New York, 1987.

Voratas Kachitvichyanukul

Computer generation of Poisson, binomial, and hypergeometric random variates (Ph.D. dissertation) [Google]
Purdue University, Lafayette, IN, 1982.

W.D. Kelton
R.P. Sadowski
D.A. Sadowski

Simulation with ARENA [Google]
McGraw Hill, Boston, 1998.

W.J. Kennedy
J.E. Gentle

Statistical Computing [Google]
Marcel Dekker, New York, 1980.

S. Kotz
T.J. Kozubowski
K. Podgórski

The Laplace Distribution and Generalizations [Google]
Birkhäuser, Boston, 2001.

Samuel Kotz
Saralees Nadarajah

Extreme Value Distributions: Theory and Applications [Google]
Imperial College Press, 2000.

Samuel Kotz
Johan René van Dorp

Beyond Beta [Google]
World Scientific, Singapore, 2004.

Samuel Kotz
Saralees Nadarajah

Multivariate t Distributions and their Applications [Google]
Cambridge University Press, Cambridge, 2004.

Dirk P. Kroese
Thomas Taimre
Zdravko I. Botev

Handbook of Monte Carlo Methods [Google]
John Wiley, Hoboken, NJ, 2011.

L. Kuipers
H. Niederreiter

Uniform Distribution of Sequences [Google]
Dover, Mineola, N.Y., 2006.

D.P. Landau
K. Binder

A Guide to Monte Carlo Simulations in Statistical Physics [Google]
Cambridge University Press, Cambridge, UK, 2000.

Louis Laurencelle

Hasard Nombreas Aléatoires et Méthode Monte Carlo [Google]
Presses de l'Université du Québec, Sainte-Foy, Québec, 2001.

A.M. Law
W.D. Kelton

Simulation Modeling and Analysis [Google]
McGraw-Hill, New York, 1982.

Yves Lechevallier
Gilbert Saporta

COMPSTAT 2010 [Google]
Physica-Verlag, Berlin, 2010.

Kurt Lehner

Erzeugung von Zufallszahlen für zwei exotische stetige Verteilungen (Diplomarbeit) [Google]
Technische Universität Graz, Graz, Austria, 1989.

Faming Liang
Chuanhai Liu
Raymond J. Carroll

Advanced Markov Chain Monte Carlo Methods: Learning from Past Samples [Google]
John Wiley, Padstow, UK, 2010.

Jun S. Liu

Monte Carlo Strategies in Scientific Computing [Google]
Springer-Verlag, New York, 2001.

Jun S. Liu

Monte Carlo Strategies in Scientific Computing [Google]
Springer-Verlag, New York, 2001.

Jun S. Liu

Monte Carlo Strategies in Scientific Computing [Google]
Springer-Verlag, New York, 2001.

E.J. McGrath

Techniques for Efficient Monte Carlo Simulation, Volume 1 [Google]
National Technical Information Service, Springfield, VA, 1973.

G.A. Mikhailov

Optimization of Weighted Monte Carlo Methods [Google]
Springer-Verlag, New York, 1992.

B.J.T. Morgan

Elements of Simulation [Google]
Chapman and Hall, London, 1984.

H. Niederreiter

Random Number Generation and Quasi-Monte Carlo Methods [Google]
SIAM, Philadelphia, 1992.

H. Niederreiter

Random Number Generation and Quasi-Monte Carlo Methods [Google]
SIAM, Philadelphia, 1992.

H. Niederreiter
P. Hellekalek
G. Larcher
P. Zinterhof (eds)

Monte Carlo and Quasi-Monte Carlo Methods 1996 [Google]
Springer-Verlag, Berlin, 1998.

N. Nisan

Using Hard Problems to Create Pseudorandom Generators [Google]
MIT Press, Cambridge, MA, 1992.

J.A. Payne

Introduction to Simulation. Programming Techniques and Methods of Analysis [Google]
McGraw-Hill, New York, 1982.

M. Piok

Zufallszahlen aus klassischen diskreten Verteilungen mit Hilfe der Quotientenmethode (Ph.D. dissertation) [Google]
Technische Universität Graz, Graz, Austria, 1996.

Manfred Piok

Zufallszahlen aus klassischen diskreten Verteilungen mit Hilfe der Quotientenmethode (Diplomarbeit) [Google]
Technische Universität Graz, Graz, Austria, 1996.

B.D. Ripley

Stochastic Simulation [Google]
John Wiley, New York, 1987.

Christian P. Robert

Discretization and MCMC Convergence Assessment [Google]
Springer-Verlag, Berlin, 1998.

Christian P. Robert
George Casella

Monte Carlo Statistical Methods [Google]
Springer-Verlag, New York, 1999.

Christian Robert

Méthodes de Monte Carlo par Cha\^ines de Markov [Google]
Economica, Paris, 1996.

R.Y. Rubinstein

Simulation and the Monte Carlo Method [Google]
John Wiley, New York, 1981.

R.Y. Rubinstein

Monte Carlo Optimization: Simulation and Sensitivity of Queueing Networks [Google]
John Wiley, New York, 1986.

R.Y. Rubinstein
A. Shapiro

Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method [Google]
Wiley & Sons, Chichester, 1993.

R.Y. Rubinstein
B. Melamed

Modern Simulation and Modeling [Google]
John Wiley, New York, 1998.

G.S. Shedler

Regenerative Stochastic Simulation [Google]
Academic Press, Boston, 1993.

A. Shwartz
A. Weiss

Large deviations for performance analysis [Google]
Chapman and Hall, London, 1995.

A. Shwartz
A. Weiss

Large deviations for performance analysis [Google]
Chapman and Hall, London, 1995.

I.M. Sobol'

A Primer for the Monte Carlo Method [Google]
CRC Press, Boca Raton, 1994.

James C. Spall

Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control [Google]
John Wiley, Hoboken, NJ, 2003.

Ernst Stadlober

Sampling from Poisson, Binomial and Hypergeometric Distributions: Ratio of Uniforms as a Simple and Fast Alternative (Habilitationsschrift) [Google]
Technische Universität Graz, Graz, Austria, 1988.

S. Tezuka

Uniform Random Numbers: Theory and Practice [Google]
Kluwer Academic Publishers, Boston, 1995.

A. Tornambè

Discrete Event System Theory [Google]
World Scientific, Singapore, 1995.

M.D. Troutt
W.-K. Pang
S.-H. Hou

Vertical Density Representation and its Applications [Google]
World Scientific, Singapore, 2004.

N.G. Vargemidis

A simulation approach to the problem of moments (M.Sc. thesis) [Google]
Athens University of Economics and Business, Athens, Greece, 1998.

G. Winkler

Image Analysis, Random Fields and Dynamic Monte Carlo Methods [Google]
Springer-Verlag, New York, 1996.

Sidney Yakowitz
Ferenc Szidarovsky

An Introduction to Numerical Computation Second Edition [Google]
Macmillan, New York, 1989.

S.J. Yakowitz

Computational Probability and Simulation [Google]
Addison-Wesley, Reading, MA, 1977.

Heinz Zechner

Efficient Sampling from Continuous and Discrete Unimodal Distributions (Ph.D. dissertation) [Google]
Technische Universität Graz, Graz, Austria, 1994.



Contact

Luc Devroye
School of Computer Science
McGill University
Montreal, Canada H3A 2K6
lucdevroye@gmail.com
http://cg.scs.carleton.ca/~luc