Rare Event Simulation using Monte Carlo MethodsISBN: 978-0-470-77269-0
Hardcover
280 pages
April 2009
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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 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.