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3. Stochastics

                           
John von Neumann, randomly playing Randomness, controlled


- Statistics turned upside down
- Production of Random Numbers and Random Sequences with desired properties
- Random paths through real space (diffusion) or phase space (Monte Carlo Simulation)
- Application of MC to optimization and minimization problems

Equidistributed Random Variates:
- Linear Congruential Generators
- Shift Register Generators


Other Distributions:
- Transformation Method
- Box-Muller Method for the Normal Distribution
- Rejection Method
- Multivariate Gaussian Distribution
- Equidistribution in Orientation Space


Random Sequences:
- Markov Chains and the Monte Carlo method
- Stochastic Optimization
- Simulated Annealing
- Genetic Algorithms

Subsections

Franz J. Vesely Oct 2005
See also:
"Computational Physics - An Introduction," Kluwer-Plenum 2001