Rare event simulation using Monte Carlo methods /
Rare event simulation using Monte Carlo methods /
edited by Gerardo Rubino and Bruno Tuffin.
- 1 online resource (viii, 268 pages) : illustrations
Includes bibliographical references and index.
Introduction to rare event simulation / Gerardo Rubino and Bruno Tuffin -- Importance sampling in rare event simulation / Pierre L'Ecuyer, Michel Mandjes and Bruno Tuffin -- Splitting techniques / Pierre L'Ecuyer [and others] -- Robustness properties and confidence interval reliability issues / Peter W. Glynn, Gerardo Rubino and Bruno Tuffin -- Rare event simulation for queues / José Blanchet and Michel Mandjes -- Markovian models for dependability analysis / Gerardo Rubino and Bruno Tuffin -- Rare event analysis by Monte Carlo techniques in static models / Héctor Cancela, Mohamed El Khadiri and Gerardo Rubino -- Rare event simulation and counting problems / José Blanchet and Daniel Rudoy -- Rare event estimation for a large-scale stochastic hybrid system with air traffic application / Henk A.P. Blom, G.J. (Bert) Bakker and Jaroslav Krystul -- Particle transport applications / Thomas Booth -- Rare event simulation methodologies in systems biology / Werner Sandmann.
In a probabilistic model, a rare event is an event with a very small probability of occurrence. The forecasting of rare events is a formidable task but is important in many areas. For instance a catastrophic failure in a transport system or in a nuclear power plant, the failure of an information processing system in a bank, or in the communication network of a group of banks, leading to financial losses. Being able to evaluate the probability of rare events is therefore a critical issue. Monte Carlo Methods, the simulation of corresponding models, are used to analyze rare events. This book sets out to present the mathematical tools available for the efficient simulation of rare events. Importance sampling and splitting are presented along with an exposition of how to apply these tools to a variety of fields ranging from performance and dependability evaluation of complex systems, typically in computer science or in telecommunications, to chemical reaction analysis in biology or particle transport in physics. Graduate students, researchers and practitioners who wish to learn and apply rare event simulation techniques will find this book beneficial.
9780470745410 047074541X
10.1002/9780470745403 doi
Limit theorems (Probability theory)
Monte Carlo method.
System analysis--Data processing.
Digital computer simulation.
Digital computer simulation.
Monte Carlo method.
System analysis.
Limit theorems (Probability theory)
MATHEMATICS--Probability & Statistics--General.
Digital computer simulation.
Limit theorems (Probability theory)
Monte Carlo method.
System analysis--Data processing.
Große Abweichung
Simulation
Seltenes Ereignis
Electronic books.
Electronic books.
QA273.67 / .R37 2009eb
519.2
Includes bibliographical references and index.
Introduction to rare event simulation / Gerardo Rubino and Bruno Tuffin -- Importance sampling in rare event simulation / Pierre L'Ecuyer, Michel Mandjes and Bruno Tuffin -- Splitting techniques / Pierre L'Ecuyer [and others] -- Robustness properties and confidence interval reliability issues / Peter W. Glynn, Gerardo Rubino and Bruno Tuffin -- Rare event simulation for queues / José Blanchet and Michel Mandjes -- Markovian models for dependability analysis / Gerardo Rubino and Bruno Tuffin -- Rare event analysis by Monte Carlo techniques in static models / Héctor Cancela, Mohamed El Khadiri and Gerardo Rubino -- Rare event simulation and counting problems / José Blanchet and Daniel Rudoy -- Rare event estimation for a large-scale stochastic hybrid system with air traffic application / Henk A.P. Blom, G.J. (Bert) Bakker and Jaroslav Krystul -- Particle transport applications / Thomas Booth -- Rare event simulation methodologies in systems biology / Werner Sandmann.
In a probabilistic model, a rare event is an event with a very small probability of occurrence. The forecasting of rare events is a formidable task but is important in many areas. For instance a catastrophic failure in a transport system or in a nuclear power plant, the failure of an information processing system in a bank, or in the communication network of a group of banks, leading to financial losses. Being able to evaluate the probability of rare events is therefore a critical issue. Monte Carlo Methods, the simulation of corresponding models, are used to analyze rare events. This book sets out to present the mathematical tools available for the efficient simulation of rare events. Importance sampling and splitting are presented along with an exposition of how to apply these tools to a variety of fields ranging from performance and dependability evaluation of complex systems, typically in computer science or in telecommunications, to chemical reaction analysis in biology or particle transport in physics. Graduate students, researchers and practitioners who wish to learn and apply rare event simulation techniques will find this book beneficial.
9780470745410 047074541X
10.1002/9780470745403 doi
Limit theorems (Probability theory)
Monte Carlo method.
System analysis--Data processing.
Digital computer simulation.
Digital computer simulation.
Monte Carlo method.
System analysis.
Limit theorems (Probability theory)
MATHEMATICS--Probability & Statistics--General.
Digital computer simulation.
Limit theorems (Probability theory)
Monte Carlo method.
System analysis--Data processing.
Große Abweichung
Simulation
Seltenes Ereignis
Electronic books.
Electronic books.
QA273.67 / .R37 2009eb
519.2