Overview
- 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
- Allows us to view a vast assortment of simulation problems from a unified single perspective
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Series in Statistics (SSS)
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Table of contents (14 chapters)
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Front Matter
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Back Matter
Keywords
About this book
Reviews
From the reviews:
"On the whole, Introduction to Rare Event Simulation succeeds at its stated goal, providing a good overview of importance sampling from the perspective of large deviations." Journal of the American Statistical Association, September 2005
"The main purpose of this book is to present a unified theory of rare event simulation and the variance reduction technique known as importance sampling method devised from the point of view of probabilistic theory of large deviations. … The methodology of importance sampling estimation based on large deviation theory is exposed in a clear setting, concentrating on the main ideas and outlining the variety of applications, from telecommunications to queueing systems." (Silvia Curteanu, Zentralblatt MATH, Vol. 1057(8), 2005)
"This book deals with a special topic in simulation, the estimation of small probabilities via importance sampling using large deviations theory to design and/or analyze the change of measure. … serve as a bridge to the quite technical research literature and a help to get started with more challenging examples." (S. Asmussen, Short Book Reviews, Vol. 24(2), 2004)
"The principal method described in this book used to attack the rare event simulation problem is importance sampling, which is a variance reduction technique. … This Introduction to Rare Event Simulation is in the first place not a book on the theory of rare events as developed in extreme value theory via point processes … . Instead, it focuses on the mathematics of importance sampling estimators. As such it is mathematically rigorous and very enjoyable." (Michael Falk, Metrika, 2006)
"The central theme of the book is to compute the probability of a so-called rare event. … Overall the book is pleasant to read. … The book seems to be well suited to use as a text for a course. … My general impression of the book is … predominantly positive and I woulddefinitely recommend this book to be used as course material or as an easily accessible introduction to rare event simulation for anyone with a general knowledge of probability theory." (Henrik Hult, Extremes, Vol. 7, 2004)
"This is a very interesting monograph that attempts to present a unified theory of rare events simulation. Two basic tools used are importance sampling and the theory of large deviations. … I recommend the book to everybody who is interested in rare events and/or Monte Carlo simulation." (EMS Newsletter, December 2006)
Authors and Affiliations
Bibliographic Information
Book Title: Introduction to Rare Event Simulation
Authors: James Antonio Bucklew
Series Title: Springer Series in Statistics
DOI: https://doi.org/10.1007/978-1-4757-4078-3
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 2004
Hardcover ISBN: 978-0-387-20078-1Published: 11 March 2004
Softcover ISBN: 978-1-4419-1893-2Published: 29 November 2010
eBook ISBN: 978-1-4757-4078-3Published: 09 March 2013
Series ISSN: 0172-7397
Series E-ISSN: 2197-568X
Edition Number: 1
Number of Pages: XII, 268
Topics: Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences, Simulation and Modeling, Probability Theory and Stochastic Processes, Computer Communication Networks, Operations Research, Management Science, Mathematical and Computational Engineering