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Rare Event Simulation using Monte Carlo Methods

Gerardo Rubino (Editor), Bruno Tuffin (Co-Editor)
ISBN: 978-0-470-77269-0
Hardcover
280 pages
April 2009
List Price: US $157.00
Government Price: US $90.20
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Rare Event Simulation using Monte Carlo Methods (0470772697) cover image

Contributors.

Preface.

1 Introduction to Rare Event Simulation (Gerardo Rubino and Bruno Tuffin).

PART I THEORY.

2 Importance Sampling in Rare Event Simulation (Pierre L’Ecuyer, Michel Mandjes and Bruno Tuffin).

3 Splitting Techniques (Pierre L’Ecuyer, François Le Gland, Pascal Lezaud and Bruno Tuffin).

4 Robustness Properties and Confidence Interval Reliability Issues (Peter W. Glynn, Gerardo Rubino and Bruno Tuffin).

PART II APPLICATIONS.

5 Rare Event Simulation for Queues (José Blanchet and Michel Mandjes).

6 Markovian Models for Dependability Analysis (Gerardo Rubino and Bruno Tuffin).

7 Rare Event Analysis by Monte Carlo Techniques in Static Models (Héctor Cancela, Mohamed El Khadiri and Gerardo Rubino).

8 Rare Event Simulation and Counting Problems (José Blanchet and Daniel Rudoy).

9 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).

10 Particle Transport Applications (Thomas Booth).

11 Rare Event Simulation Methodologies in Systems Biology (Werner Sandmann).

Index.

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