Importance Sampling - the Simulation Theory of Rare Events and its Applications .

Importance sampling has had its origin in Monte Carlo simulation and in the last 15 years or so, it has emerged as a powerful means of analysis and design with applications in several areas of engineering and science. The principle of importance sampling is described in this paper and attention is focussed on some of the subtleties involved in its implementation. To reach a broad audience of practising engineers and scientists, mathematical rigour has been maintained at a comfortable level