Introduction to Rare Event Simulation
This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling from the point of view of the probabilistic theory of large deviations. This perspective allows us to view a vast assortment of simulation problems from a unified single per...
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| Format: | eBook |
| Language: | English |
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New York, NY
Springer New York
2004, 2004
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| Edition: | 1st ed. 2004 |
| Series: | Springer Series in Statistics
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| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 1. Random Number Generation
- 2. Stochastic Models
- 3. Large Deviation Theory
- 4. Importance Sampling
- 5. The Large Deviation Theory of Importance Sampling Estimators
- 6. Variance Rate Theory of Conditional Importance Sampling Estimators
- 7. The Large Deviations of Bias Point Selection
- 8. Chernoff’s Bound and Asymptotic Expansions
- 9. Gaussian Systems
- 10. Universal Simulation Distributions
- 11. Rare Event Simulation for Level Crossing and Queueing Models
- 12. Blind Simulation
- 13. The (Over-Under) Biasing Problem in Importance Sampling
- 14. Tools and Techniques for Importance Sampling
- A. Convex Functions and Analysis
- B. A Covering Lemma
- C. Pseudo-Random Number Generator Programs
- References