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| Author: | Glynn, P. W. Iglehart, D. L. |
| Title: | Importance sampling for stochastic simulations. |
| Journal: | Management Science
1989 : NOV, VOL. 35:11, p. 1367-1392 |
| Index terms: | SAMPLING SIMULATION STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | Importance sampling is one of the classical variance reduction techniques for increasing the efficiency of Monte Carlo algorithms for estimating integrals. The basic idea is to replace the original random mechanism in the simulation by a new one and at the same time modify the function being integrated. The idea is extended to problems arising in the simulation of stochastic systems. Discrete-time Markovs chains, continuous-time Markov chains, and generalized semi-Markov processes are covered. |
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