Abstract: As an effective fast simulation technique in Monte Carlo simulation,Importance Sampling algorithm aims to reduce the variance of a given simulation estimator,so as to reduce the number of simulation samples and the simulation time.In this paper,a short overview of Importance Sampling research is presented,the purpose of research on Importance Sampling and the corresponding basic theory are introduced briefly.Then the Importance Density function is summarized,and some typical application results of Importance Sampling are given.Finally,some crucial issues are proposed for future study.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: review
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