Introduction to rare event simulation. (Q1883268): Difference between revisions

The main purpose of this book is to present a unified theory of rare event simulation and the variance reduction technique known as importance sampling method devised from the point of view of probabilistic theory of large deviations. This framework provides a large typology of simulation problems, including especially the fundamental nature of rare event simulation, from a unified perspective. Since simulation techniques in this area require a great deal of technical and probabilistic expertise, the proposed approach tries to keep mathematical apparatus to the mild level, with a focus however on large deviation theorem (and theory) dealing with sequences of \(\mathbb{R}^d\)-valued random variables. The methodology of importance sampling estimation based on large deviation theory is exposed in a clear setting, concentrating on the main ideas and outlining the variety of applications, from telecommunications to queueing systems. For coming closer to the examined topics within the book, here there are the titles of the comprised 14 chapters and 3 appendixes: Chapter 1: Random number generation; Chapter 2: Stochastic models; Chapter 3: Large deviation theory; Chapter 4: Importance sampling; Chapter 5: The large deviation theory of Importance sampling estimators; Chapter 6: Variance rate theory of conditional importance sampling estimators; Chapter 7: The large deviation of bias point selection; Chapter 8: Chernof's bound and asymptotic expansions; Chapter 9: Gaussian systems; Chapter 10: Universal simulation distributions; Chapter 11: Rare event simulation for level crossing and queueing models; Chapter 12: Blind simulation; Chapter 13: The (over-under) biasing problem in importance sampling; Chapter 14: Tools and techniques for importance sampling; Appendix A: Convex functionals and analysis; Appendix B: A covering lemma; Appendix C: Pseudo-random number generator programs.