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. Until now, this area has had a reputation among simulation practitioners as 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. The book contains over 50 figures and detailed simulation case studies covering a wide variety of application areas including statistics, telecommunications, and queueing systems.

• Format: Paperback
• Language: English
• ISBN: 1441918930
• ISBN13: 9781441918932
• Release Date: November 2010
• Publisher: Springer
• Length: 268 Pages
• Weight: 0.86 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"