Approximating Integrals via Monte Carlo and Deterministic Methods

Evaluating integrals that are not known in closed form is a mathematical problem that occurs with some regularity. Although many techniques exist in the statistical and mathematical literature, a single, clearly written source of information about integral approximation has not been available. For example, there are many volumes devoted to Monte Carlo methods, but these books do not cover deterministic methods. There are numerous examples and exercises in the book, making it a self-contained resource for anyone with a solid background in advanced calculus. This volume should be required reading for graduate students in mathematical statistics and is a recommended reference for scientists whose research requires the evaluation of unknown integrals. -- Richard Chechile, Journal of Mathematical Psychology, 45, 2001

This (hardback) text is ... 'designed to introduce graduate students and researchers to the primary methods used for approximating integrals.' Topics covered include methods for sampling from standard distributions, asymptotic approximations, quadrature methods, importance sampling and Markov chain Monte Carlo (MCMC) methods. The text builds upon an earlier review paper ... and makes a valuable contribution to the area by bringing together this broad range of methods, establishing a common notation and comparing and contrasting the different approaches. ... The prose is light and very readable and the mathematics is well motivated and described, with general results presented as theorems. Thus the book is an ideal accompaniment to a relevant course as well as being an excellent reference book for those more familiar with the ideas contained therein. All in all, I would consider this book an essential addition to any library concerned with numerical integration techniques.--Biometrics

There are few general reference books on multivariate integration, and this one helps to fill such a need. ... The book includes a number of useful examples to illustrate the theory presented.--Mathematical Reviews