Rare event simulation using Monte Carlo methods / edited by Gerardo Rubino and Bruno Tuffin.

Format:

Book

Contributor:

Rubino, Gerardo, 1955-

Tuffin, Bruno.

Language:

English

Subjects (All):

Limit theorems (Probability theory).

Monte Carlo method.

System analysis--Data processing.

System analysis.

Digital computer simulation.

Physical Description:

1 online resource (280 p.)

Edition:

1st ed.

Place of Publication:

Chichester, U.K. : Wiley, 2009.

Language Note:

English

Summary:

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 s

Contents:

Rare Event Simulation using Monte Carlo Methods; Contents; Contributors; Preface; 1 Introduction to Rare Event Simulation; PART I THEORY; 2 Importance Sampling in Rare Event Simulation; 3 Splitting Techniques; 4 Robustness Properties and Con.dence Interval Reliability Issues; PART II APPLICATIONS; 5 Rare Event Simulation for Queues; 6 Markovian Models for Dependability Analysis; 7 Rare Event Analysis by Monte Carlo Techniques in Static Models; 8 Rare Event Simulation and Counting Problems; 9 Rare Event Estimation for a Large-Scale Stochastic Hybrid System with Air Traffic Application

10 Particle Transport Applications11 Rare Event Simulation Methodologies in Systems Biology; Index

Notes:

Includes index.

ISBN:

9786612123641

9781282123649

1282123645

9780470745403

0470745401

9780470745410

047074541X

OCLC:

476271785