An attempt to trace the birth of importance sampling

Charly Andral (1)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

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.

Mots clés: Importance sampling; Monte Carlo Methods

Domaines: Calcul [stat.CO]; Histoire et perspectives sur les mathématiques [math.HO]; Histoire de la Physique [physics.hist-ph]

Charly Andral. An attempt to trace the birth of importance sampling. 2022. ⟨hal-03696061⟩