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I'm trying to find a year of publication of the importance sampling technique. Does anyone has a reference on this?

I'm tempted to say 1970 (Hastings paper), but I would like to know if anyone knew this before.

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Edit: Looks like sk1ll3r is correct that Kahn introduced the method a year earlier than this answer suggests. I haven't checked if the term "importance sampling" appears in the earlier references, though.


Original answer: It looks like the term was first proposed in

Kahn, H. and Harris, T. E. (1951). Estimation of particle transmission by random sampling. National Bureau of Standards applied mathematics series, 12:27–30.

https://dornsifecms.usc.edu/assets/sites/520/docs/kahnharris.pdf

Here's the relevant section (from the first column of the first page):

enter image description here

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I also found an article "Use of different Monte Carlo sampling techniques" from Herman Kahn, which is dated 30 November 1955 and which enumerates variance reduction techniques; Importance sampling is one of them. (https://www.rand.org/content/dam/rand/pubs/papers/2008/P766.pdf)

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    $\begingroup$ That is an amazing finding! $\endgroup$ – Jorge Leitao Jul 15 '16 at 9:40
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One earlier reference is the Hammersley & Handscomb (1964) monograph on Monte Carlo methods (http://www.worldcat.org/title/monte-carlo-methods/oclc/312077), which details the technique on page 57 and following, naming it "importance sampling". This reference was used in a 1976 article by Siegmund (http://www.jstor.org/stable/2958179).

Unfortunately Hammersley & Handscomb do not give any reference for the method, so another earlier precedent, possibly a paper, might exist. You can find a PDF of this monograph quite easily, as it has been uploaded to several educational sites.

EDIT: Following Adela's answer, I found another reference: A Kahn and Marshall paper from 1953: http://www.jstor.org/stable/166789 ("Importance sampling" is explained from page 269 onwards). Again, the way its described suggests there is some earlier precedent.

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Art Owen attributes importance sampling to Kahn's papers from 1950 [1, 2] in Chapter 9's end notes of his Monte Carlo book [3].

[1] Herman Kahn. Random sampling (Monte Carlo) techniques in neutron attenuation problems, I. Nucleonics, 6(5):27–37, 1950a.

[2] Herman Kahn. Random sampling (Monte Carlo) techniques in neutron attenuation problems, II. Nucleonics, 6(6):60–65, 1950b.

[3] Art B. Owen. Monte Carlo theory, methods and examples. 2013.

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