James Bucklew
eBook, PDF

Introduction to Rare Event Simulation (eBook, PDF)

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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 th...

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