Accéder directement au contenu Accéder directement à la navigation
Chapitre d'ouvrage

Splitting Techniques

François Le Gland 1 Pierre L'Écuyer 2 Pascal Lezaud 3 Bruno Tuffin 4 
1 ASPI - Applications of interacting particle systems to statistics
UR1 - Université de Rennes 1, Inria Rennes – Bretagne Atlantique , CNRS - Centre National de la Recherche Scientifique : UMR6074
4 DIONYSOS - Dependability Interoperability and perfOrmance aNalYsiS Of networkS
Abstract : 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.
Type de document :
Chapitre d'ouvrage
Liste complète des métadonnées
Contributeur : Céline Smith Connectez-vous pour contacter le contributeur
Soumis le : mardi 1 avril 2014 - 14:24:44
Dernière modification le : jeudi 20 janvier 2022 - 16:20:03



François Le Gland, Pierre L'Écuyer, Pascal Lezaud, Bruno Tuffin. Splitting Techniques. Rare Event Simulation using Monte Carlo Methods, Wiley, pp xxxx, 2009, Print ISBN : 9780470772690 ; Online ISBN : 9780470745403. ⟨10.1002/9780470745403.ch3⟩. ⟨hal-00968708⟩



Consultations de la notice