Introduction to Rare Event Simulation (Springer Series in Statistics) - Image 1

Price loading...

Springer Introduction to Rare Event Simulation (Springer Series in Statistics)

Name: Introduction to Rare Event Simulation (Springer Series in Statistics)
Brand: Springer

A-105-810

E-Commerce

Price History & Forecast

No Price Data Available

Price history will appear here once data is collected from Amazon.

Price Distribution

No price data available for histogram

Description

This book is an attempt to present 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 framework allows us to view a vast assortment of simulation problems from a single unified perspective. It gives a great deal of insight into the fundamental nature of rare event simulation. Unfortunately, this area has a reputation among simulation practitioners of requiring a great deal of technical and probabilistic expertise. In this text, I have tried to keep the mathematical preliminaries to a minimum; the only prerequisite is a single large deviation theorem dealing with sequences of Rd valued random variables. (This theorem and a proof are given 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, I have tried to concentrate on demonstrating the methodology and the principal ideas in a fairly simple setting. Madison, Wisconsin 2003 James Antonio Bucklew Contents 1. Random Number Generation . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . 1.1 Uniform Generators. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Nonuniform Generation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 1.2.1 The Inversion Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 1.2.2 The Acceptance---Rejection Method . . . . . . . . . . . . 10 . . . . . 1.3 Discrete Distributions . . . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . . . . . . 1.3.1 Inversion by Truncation of a ContinuousAnalog. . . . . . 14 1.3.2 Acceptance---Rejection . . . . . . . . . . . . . . . . . . . . 15 . . . . . . . . .

Product Specifications

Brand: Springer
Model: A-105-810
Format: hardcover
ASIN: 0387200789
Category: Books > Subjects > Business, Finance & Law > E-Commerce
Domain: Amazon UK
Release Date: 11 March 2004
Listed Since: 29 January 2007

Barcode

No barcode data available

Springer Introduction to Rare Event Simulation (Springer Series in Statistics)

Price History & Forecast

No Price Data Available

Price Distribution

Description

Product Specifications

Barcode

Similar Products You Might Like

Analysis and Approximation of Rare Events: Representations and Weak Convergence Methods: 94 (Probability Theory and Stochastic Modelling)

Independent Random Sampling Methods (Statistics and Computing)

An Introduction to Actuarial Mathematics: 14 (Mathematical Modelling: Theory and Applications, 14)

/uploads/images/products/2/B0D9H66CH7/de02f99d-bad7-4d89-b10c-cc7c8f380e2a.webp

Multiphase Flow Dynamics 3: Turbulence, Gas Absorption and Release, Diesel Fuel Properties

Partial Covers, Reducts and Decision Rules in Rough Sets: Theory and Applications: 145 (Studies in Computational Intelligence, 145)

Moduli in Modern Mapping Theory (Springer Monographs in Mathematics)

Probability and Statistics for Computer Science

Modeling Biological Systems:: Principles and Applications

Springer Essentials of Monte Carlo Simulation Textbook

Maximum Entropy and Bayesian Methods: Proceedings of the Fifteenth International Workshop, Santa Fe, New Mexico, USA, 1995: v. 79 (Fundamental Theories of Physics)

University Research and Regional Innovation: A Spatial Econometric Analysis of Academic Technology Transfers: 13 (Economics of Science, Technology and Innovation, 13)

Statistics - A Biomedical Introduction P: 85 (Wiley Classics Library)

Interdisciplinary Knowledge Organization

A Course on Large Deviations with an Introduction to Gibbs Measures (Graduate Studies in Mathematics)

Systematik für die rechnergestützte Ähnlichteilsuche und Standardisierung: 108 (iwb Forschungsberichte, 108)

Monte Carlo Statistical Methods (Springer Texts in Statistics)

University Research and Regional Innovation: A Spatial Econometric Analysis of Academic Technology Transfers: 13 (Economics of Science, Technology and Innovation, 13)

Energy and Environmental Policy Modeling: 18 (International Series in Operations Research & Management Science, 18)

Thermodynamic Data, Models, and Phase Diagrams in Multicomponent Oxide Systems: An Assessment for Materials and Planetary Scientists Based on ... Data (Data and Knowledge in a Changing World)

Fundamentals of Probability

Piecewise Linear Control Systems: A Computational Approach: 284 (Lecture Notes in Control and Information Sciences, 284)

Probabilistic Inequalities: 7 (Series on Concrete & Applicable Mathematics)

Simulation and the Monte Carlo Method, 3rd Edition: 10 (Wiley Series in Probability and Statistics)