Encyclopedia of Operations Research and Management Science

2013 Edition
| Editors: Saul I. Gass, Michael C. Fu

Importance Sampling

Reference work entry
DOI: https://doi.org/10.1007/978-1-4419-1153-7_200310

In stochastic or Monte Carlo simulation, a variance reduction technique whereby the underlying probability distribution is altered to increase the probability of (1) simulating events of highest interest, such as rare events, or (2) sampling from regions that have a larger effect on the quantity being estimated, such as a high-dimensional integral.


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© Springer Science+Business Media New York 2013