Introduction to Rare Event Simulation by James Bucklew.

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 per...

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Bibliographic Details
Main Author:	Bucklew, James (Author)
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	New York, NY : Springer New York : Imprint: Springer, 2004.
Edition:	1st ed. 2004.
Series:	Springer Series in Statistics, Springer eBook Collection.
Subjects:	Statistics . Computer simulation. Probabilities. Computer communication systems. Operations research. Management science. Applied mathematics. Engineering mathematics. Electronic resources (E-books)
Online Access:	Click to view e-book
Holy Cross Note:	Loaded electronically. Electronic access restricted to members of the Holy Cross Community.

Table of Contents:

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.

Introduction to Rare Event Simulation by James Bucklew.

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