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This book is an attempt to present a unified theory of rare event simulation and the variance reduction technique known as importance sampling from the point of ...
This article gives an introduction to methods that can be used to substantially reduce the variance associated with simulating rare events.
This chapter provides a relatively low-level introduction to the problem of rare event simulation with Monte Carlo methods and to a class of methods known as ...
1. Introduction. Rare-event simulation involves estimating extremely small but important probabilities. Such probabilities are of importance in various ...
Introduction to Rare Event Simulation
Book by James A. Bucklew
This book is an attempt to present 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. ... Google Books
Originally published: March 11, 2004
Author: James A. Bucklew
The standard Monte Carlo simulation method (MCS) is one of the most robust and straightforward ways to simulate rare events and estimate their probabilities.
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Description. This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling.
This monograph deals with the analysis by simulation of 'rare situations' in systems of quite different types, that is, situations that happen very ...
The simplest way to estimate a probability of the form P is to generate an i.i.d. sequence of samples. X1. 0 ,X1. 1 ,... , X2. 0 ,X2. 1 ,... , ..., XN.
What is a rare event? Why simulation? A rare event is an event which occurence is rare, of probability less than 10−3.
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Book overview. 1. Random Number Generation.- 2. Stochastic Models.- 3. Large Deviation Theory.- 4. Importance Sampling.- 5. The Large Deviation Theory of ...
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