Importance Sampling in Monte Carlo Analyses

Charles E. Clark
Additional contact information
Charles E. Clark: System Development Corporation, Santa Monica, California

Operations Research, 1961, vol. 9, issue 5, 603-620

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.

Date: 1961
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://dx.doi.org/10.1287/opre.9.5.603 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:9:y:1961:i:5:p:603-620

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().