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

• Record Nr.: UNINA9910817556003321
• Pubbl/distr/stampa: Chichester, U.K., : Wiley, 2009
• ISBN: 1-282-12364-5; 9786612123641; 0-470-74540-1; 0-470-74541-X
• Edizione: [1st ed.]
• Descrizione fisica: 1 online resource (280 p.)
• Altri autori (Persone): RubinoGerardo <1955->; TuffinBruno
• Disciplina: 519.2
• Soggetti: Limit theorems (Probability theory); Monte Carlo method; System analysis - Data processing; Digital computer simulation
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Includes index.
• Nota di contenuto: 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
• Sommario/riassunto: 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