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Introduction to Rare Event Simulation

Introduction to Rare Event Simulation PDF Author: James Bucklew
Publisher: Springer Science & Business Media
ISBN: 1475740786
Category : Mathematics
Languages : en
Pages : 262

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Book Description
This book presents 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. It allows us to view a vast assortment of simulation problems from a unified single perspective.