Buch, Englisch, 268 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 429 g
Buch, Englisch, 268 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 429 g
Reihe: Springer Series in Statistics
ISBN: 978-1-4419-1893-2
Verlag: Springer
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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
- Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computersimulation & Modelle, 3-D Graphik
- Mathematik | Informatik EDV | Informatik Professionelle Anwendung Computer-Aided Design (CAD)
- Mathematik | Informatik EDV | Informatik Programmierung | Softwareentwicklung Grafikprogrammierung
- Mathematik | Informatik Mathematik Operations Research Spieltheorie
- Technische Wissenschaften Technik Allgemein Computeranwendungen in der Technik
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Datenanalyse, Datenverarbeitung
- Mathematik | Informatik EDV | Informatik Angewandte Informatik Computeranwendungen in Wissenschaft & Technologie
- Mathematik | Informatik EDV | Informatik Technische Informatik Externe Speicher & Peripheriegeräte
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Technische Wissenschaften Elektronik | Nachrichtentechnik Nachrichten- und Kommunikationstechnik Funktechnik
Weitere Infos & Material
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.
