Importance Sampling - the Simulation Theory of Rare Events and its Applications .

  • Rajan Srinivasan Centre for Air Borne Systems, Bangalore.
Keywords: Mathematical rigour, Monte Carlo simulation

Abstract

Importance sampling has had its origin in Monte Carlo simulation and in the last 15 years or so, it has emerged as a powerful means of analysis and design with applications in several areas of engineering and science. The principle of importance sampling is described in this paper and attention is focussed on some of the subtleties involved in its implementation. To reach a broad audience of practising engineers and scientists, mathematical rigour has been maintained at a comfortable level.

Author Biography

Rajan Srinivasan, Centre for Air Borne Systems, Bangalore.
Centre for Air Borne Systems, Bangalore.

References

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Published
2013-01-01
How to Cite
SrinivasanR. (2013). Importance Sampling - the Simulation Theory of Rare Events and its Applications . Defence Science Journal, 49(1), 9-17. https://doi.org/10.14429/dsj.49.3780
Section
Aeronautical Systems