Importance Sampling - the Simulation Theory of Rare Events and its Applications .
AbstractImportance 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.
Chen, J.; Lu, D.; Sadowsky, J. S. & Yao, K. On sampling in digital communication-Part I: Fundamentals. IEEE. J. Sel. Areas Commun 1993,11,289 - 99.
Mitchell, R. L. Importance sampling applied to simulation of false alarm statistics. IEEE Trans. Aerosp. Electron. Syst., 1981 , 17 , 15-24.
Heidelberger, P. Fast simulation of rare events in theory can be used to solve very difficult problems queuing and reliability models. ACM Trans. Modelling Comp. Simu., 1995, 5. 43-85.
Remondo, D.; Srinivasan, R.; Nicola, N.; van Etten, W.; & Tattije, H. Impact of crosstalk on the performance of an optical cross-connect
considering finite extinction ratio. Proceedings of the International Conference on Applications of Photonic Technology 98, July 1998, Ottawa Canada.
Devetsikiotis, M. & - Townsend, J. K. An algorithmic approach ta the optimisation of importance sampling parameters in digital communication system simulation. IEEE Trans. Commun., 1993, 41, 1464-73.
Srinivasan, R. Some results in import sampling and an application to detection. Signal Processing, 1998,65 (I), 73-88.
Srinivasan, R. Estimation and approximation of densities of iid sums via importance sampling. Signal Processing, 1998,71(3).
Where otherwise noted, the Articles on this site are licensed under Creative Commons License: CC Attribution-Noncommercial-No Derivative Works 2.5 India