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Introduction to Rare Event Simulation
Paperback
Series: Springer Statistics
Business GeneralGeneral ComputersProbability & Statistics
ISBN13: 9781441918932
Publisher: Springer
Published: Nov 29 2010
Pages: 268
Weight: 0.86
Height: 0.58 Width: 6.14 Depth: 9.21
Language: English
This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling. Until now, this area has had a reputation among simulation practitioners as requiring a great deal of technical and probabilistic expertise. This text keeps the mathematical preliminaries to a minimum with the only prerequisite being a single large deviation theory result that is given and proved in the text. The book contains over 50 figures and detailed simulation case studies covering a wide variety of application areas including statistics, telecommunications, and queueing systems.
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