Introduction to Rare Event Simulation

James A. Bucklew - Collection Springer Series In Statistics

260 pages, parution le 21/04/2004

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Résumé

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 perspective. It gives a great deal of insight into the fundamental nature of rare event simulation. Until now, this area has a reputation among simulation practitioners of 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. Large deviation theory is a burgeoning area of probability theory and many of the results in it can be applied to simulation problems. Rather than try to be as complete as possible in the exposition of all possible aspects of the available theory, the book concentrates on demonstrating the methodology and the principal ideas in a fairly simple setting. The book contains over 50 figures and detailed simulation case studies covering a wide variety of application areas including statistics, telecommunications, and queueing systems. James A. Bucklew holds the rank of Professor with appointments in the Department of Electrical and Computer Engineering and in the Department of Mathematics at the University of Wisconsin-Madison. He is the author of "Large Deviation Techniques in Decision, Simulation, and Estimation".

Written for: Researchers, graduate students

Sommaire

Random Number Generation
Stochastic Models
Large Deviation Theory
Importance Sampling
The Large Deviation Theory of Importance Sampling Estimators
The Large Deviation Theory of Conditional Importance Sampling Estimators
The Large Deviations of Bias Point Selection
Chernoff's Bound and Asymptotic Expansions
Gaussian Systems
Universal Simulation Distributions
Rare Event Simulation for Level Crossing and Queueing Models
Blind Simulation
The (Ove
Under) Biasing Problem in Importance Sampling
Tools and Techniques for Importance Sampling

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	James A. Bucklew
Collection	Springer Series In Statistics
Parution	21/04/2004
Nb. de pages	260
Format	16 x 24
Couverture	Relié
Poids	505g
Intérieur	Noir et Blanc
EAN13	9780387200781
ISBN13	978-0-387-20078-1