E-Book, Englisch, 268 Seiten, eBook
Bucklew Introduction to Rare Event Simulation
2004
ISBN: 978-1-4757-4078-3
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 268 Seiten, eBook
Reihe: Springer Series in Statistics
ISBN: 978-1-4757-4078-3
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark
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. It allows us to view a vast assortment of simulation problems from a unified single perspective.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
