信息与电子工程2011，Vol.9Issue(5)：604-609,6.
重要性采样研究进展
A review of Importance Sampling research
摘要
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.关键词
重要性采样/降方差/蒙特卡罗仿真/快速仿真Key words
Importance Sampling(IS)/variance reduction/Monte Carlo simulation/fast simulation分类
电子信息工程引用本文复制引用
郭瑛,艾渤,钟章队..重要性采样研究进展[J].信息与电子工程,2011,9(5):604-609,6.基金项目
教育部新世纪优秀人才支持计划(NCET-09-0206) （NCET-09-0206）
国家重点实验室重点项目(RCS2008ZZ006) （RCS2008ZZ006）
北京市科技新星支持计划(2009A16) （2009A16）
国家自然科学基金重点项目(60830001) （60830001）
教育部长江学者与创新团队计划(IRT0949) （IRT0949）
