2003, ISBN: 9780387200781
ID: 486593439
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 Continuous Analog. . . . . . 14 1.3.2 Acceptance---Rejection . . . . . . . . . . . . . . . . . . . . 15 . . . . . . . . . Introduction to Rare Event Simulation Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, Springer
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ISBN: 9780387200781
ID: 1171133
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. This perspective allows us to view a vast assortment of simulation problems from a unified single perspective. It gives a great deal of insight into the fundamental nature of rare event simulation. Until now, this area has a reputation among simulation practitioners of 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. 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, the book concentrates on demonstrating the methodology and the principal ideas in a fairly simple setting. The book contains over 50 figures and detailed simulation case studies covering a wide variety of application areas including statistics, telecommunications, and queueing systems. James A. Bucklew holds the rank of Professor with appointments in the Department of Electrical and Computer Engineering and in the Department of Mathematics at the University of Wisconsin-Madison. He is the author of "Large Deviation Techniques in Decision, Simulation, and Estimation." Introduction to Rare Event Simulation Bucklew, James Antonio, Springer
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ISBN: 9780387200781
ID: 9780387200781
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. Introduction to Rare Event Simulation: 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. Ingenieur Mathematik / Statistik Statistik, Springer-Verlag Gmbh
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ISBN: 9780387200781
[ED: Buch], [PU: Springer-Verlag GmbH], Neuware - 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., [SC: 0.00], Neuware, gewerbliches Angebot, 236x155x15 mm, [GW: 499g]
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2004, ISBN: 0387200789
ID: A3404006
Gebundene Ausgabe Ingenieur, Mathematik / Statistik, Statistik, mit Schutzumschlag neu, [PU:Springer-Verlag GmbH]
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Title: | Introduction to Rare Event Simulation |
ISBN: | 9780387200781 |
Details of the book - Introduction to Rare Event Simulation
EAN (ISBN-13): 9780387200781
ISBN (ISBN-10): 0387200789
Hardcover
Publishing year: 2004
Publisher: Springer-Verlag GmbH
260 Pages
Weight: 0,499 kg
Language: eng/Englisch
Book in our database since 13.06.2007 10:02:14
Book found last time on 17.11.2016 14:03:52
ISBN/EAN: 9780387200781
ISBN - alternate spelling:
0-387-20078-9, 978-0-387-20078-1
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