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An attempt to trace the birth of importance sampling

Andral, Charly (2022), An attempt to trace the birth of importance sampling. https://basepub.dauphine.psl.eu/handle/123456789/23111

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Type
Document de travail / Working paper
Date
2022
Series title
Cahier de recherche CEREMADE, Université Paris Dauphine-PSL
Published in
Paris
Pages
3
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Author(s)
Andral, Charly
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
In this note, we try to trace the birth of importance sampling (IS) back to 1949. We found the classical formulation of IS in a paper from Kahn in June 1949. As for the appearance of the expression importance sampling itself, it may have appeared a few months later, maybe in 1949 during conferences, but there is no published article with the name before 1950.
Subjects / Keywords
Importance sampling; Monte Carlo Methods