Importance Sampling in Monte Carlo Analyses
- 1 October 1961
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Operations Research
- Vol. 9 (5) , 603-620
- https://doi.org/10.1287/opre.9.5.603
Abstract
Some Monte Carlo analyses require hundreds of hours of high speed computer time. Many problems of current interest can not be handled because the computer time required would be too great. Statistical sampling procedures have been developed that greatly reduce the required computer time. Importance sampling is one of these. This paper is an elementary description of importance sampling as used in Monte Carlo analyses.Keywords
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