Introduction to Rare Event Simulation

Authors:

ISBN: 978-1-4419-1893-2 (Print) 978-1-4757-4078-3 (Online)

Table of contents (14 chapters)

  1. Front Matter

    Pages I-XI

  2. No Access

    Book Chapter

    Pages 1-16

    Random Number Generation

  3. No Access

    Book Chapter

    Pages 17-25

    Stochastic Models

  4. No Access

    Book Chapter

    Pages 27-55

    Large Deviation Theory

  5. No Access

    Book Chapter

    Pages 57-73

    Importance Sampling

  6. No Access

    Book Chapter

    Pages 75-122

    The Large Deviation Theory of Importance Sampling Estimators

  7. No Access

    Book Chapter

    Pages 123-139

    Variance Rate Theory of Conditional Importance Sampling Estimators

  8. No Access

    Book Chapter

    Pages 141-149

    The Large Deviations of Bias Point Selection

  9. No Access

    Book Chapter

    Pages 151-166

    Chernoff’s Bound and Asymptotic Expansions

  10. No Access

    Book Chapter

    Pages 167-182

    Gaussian Systems

  11. No Access

    Book Chapter

    Pages 183-193

    Universal Simulation Distributions

  12. No Access

    Book Chapter

    Pages 195-206

    Rare Event Simulation for Level Crossing and Queueing Models

  13. No Access

    Book Chapter

    Pages 207-215

    Blind Simulation

  14. No Access

    Book Chapter

    Pages 217-219

    The (Over-Under) Biasing Problem in Importance Sampling

  15. No Access

    Book Chapter

    Pages 221-243

    Tools and Techniques for Importance Sampling

  16. Back Matter

    Pages 245-262