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Rare event simulation using Monte Carlo methods /

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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 pro...

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Bibliographic Details
Other Authors: Rubino, Gerardo, 1955-, Tuffin, Bruno
Format: eBook
Language:English
Language Notes:English.
Published: Chichester, U.K. : Wiley, 2009.
Subjects:
Limit theorems (Probability theory)
Monte Carlo method.
System analysis > Data processing.
Digital computer simulation.
Computer simulation.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • 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.