Introduction to importance sampling in rare-event simulations
Introduction to importance sampling in rare-event simulations
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DOI：
10.1088/0143-0807/22/4/315
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发表时间：
2001-07
影响因子：
0.7
通讯作者：
Mark Denny-
中科院分区：
文献类型：
--
作者：
Mark Denny-
蒙特卡罗模拟是现代研究许多物理系统的重要工具。在模拟不太可能发生的事件时，重要性抽样技术可以大大减轻处理负担，而不会影响统计学意义。在这里，重要性抽样和标准蒙特卡罗模拟的比较。重点是方差减少，并在重要性抽样的模拟增益，这是明确计算一个简单的例子。
Monte Carlo simulations are an important tool in modern-day studies of many physical systems. Where unlikely events are to be simulated, the importance sampling technique can considerably ease the processing burdon, without compromising statistical significance. Here a comparison of importance sampling and standard Monte Carlo simulations is given. Emphasis is on variance reduction, and on the simulation gain of importance sampling, which is calculated explicitly for a simple example.