论文信息 - Introduction to Rare-Event Simulation

Introduction to Rare-Event Simulation

Without special techniques, simulation of rare events can be prohibitive due to the large amount of computer time needed. This article gives an introduction to methods that can be used to substantially reduce the variance associated with simulating rare events. Two broad classes of methods are discussed—importance sampling and splitting. Keywords: rare events; importance sampling; change of measure; splitting

Pierre L'Ecuyer | John F. Shortle

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