Introduction to Rare Event Simulation

  • James Antonio Bucklew

Part of the Springer Series in Statistics book series (SSS)

Table of contents

  1. Front Matter
    Pages I-XI
  2. James Antonio Bucklew
    Pages 1-16
  3. James Antonio Bucklew
    Pages 17-25
  4. James Antonio Bucklew
    Pages 27-55
  5. James Antonio Bucklew
    Pages 57-73
  6. James Antonio Bucklew
    Pages 141-149
  7. James Antonio Bucklew
    Pages 151-166
  8. James Antonio Bucklew
    Pages 167-182
  9. James Antonio Bucklew
    Pages 183-193
  10. James Antonio Bucklew
    Pages 207-215
  11. James Antonio Bucklew
    Pages 217-219
  12. James Antonio Bucklew
    Pages 221-243
  13. Back Matter
    Pages 245-262

About this book

Introduction

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 a Fellow of the Institute of Electrical and Electronics Engineers and the author of Large Deviation Techniques in Decision, Simulation, and Estimation.

Keywords

Estimator Probability theory Simulation Variance calculus communication statistics

Authors and affiliations

  • James Antonio Bucklew
    • 1
  1. 1.Department of Electrical and Computer EngineeringUniversity of Wisconsin-MadisonMadisonUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4757-4078-3
  • Copyright Information Springer-Verlag New York 2004
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-1893-2
  • Online ISBN 978-1-4757-4078-3
  • Series Print ISSN 0172-7397
  • About this book