Title :
The importance of importance sampling
Author :
Beichl, Isabel ; Sullivan, Francis
Author_Institution :
Nat. Inst. of Stand. & Technol., Gaithersburg, MD, USA
Abstract :
Importance sampling is an underappreciated Monte Carlo technique. The authors have used it with great success. They share their insights. Importance sampling is designed to reduce the variance of the estimators for a given-size sample
Keywords :
importance sampling; probability; Monte Carlo technique; estimator variance reduction; importance sampling; probability; Functional programming; Monte Carlo methods; NIST; Probability distribution; Reactive power; Sampling methods;
Journal_Title :
Computing in Science & Engineering
DOI :
10.1109/5992.753049
