I have started to realize that Monte Carlo methods of various kinds keep coming up in my work. Despite significant application of Monte Carlo in my grad school research, I think I only know enough to be dangerous. I’d like to get a better grasp on Monte Carlo methods (especially MCMC and simulation).
I asked on Twitter if anyone had a recommended reference that was readable and practical. Despite my love of measure theory, what I want is Monte Carlo Methods for the Very Applied Mathematician, not a theoretical text.
I got several recommendations. I’m not sure that any are exactly what I’m looking for, but I am certainly going to look deeper into them. Interestingly, they are all Springer books.
Several people recommended Glasserman’s Monte Carlo Methods in Financial Engineering. I don’t work in the financial sector, so it’s hard for me to evaluate the table of contents to tell how well it generalizes.
Finally, I got a recommendation for Introducing Monte Carlo Methods with R. This might be closest to what I’m looking for. It appears to cover a breadth of topics, and it includes lots of code.