Introduction to Rare Event Simulation

This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling. Until now, this area has had a reputation among simulation practitioners as 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. The book contains over 50 figures and detailed simulation case studies covering a wide variety of application areas including statistics, telecommunications, and queueing systems.