Rare-Event Simulation for Tandem Queues: A Simple and Efficient Importance Sampling Scheme
NET-COOP '09 Proceedings of the 3rd Euro-NF Conference on Network Control and Optimization
MCDB-R: risk analysis in the database
Proceedings of the VLDB Endowment
Interfaces
Importance sampling simulations of phase-type queues
Winter Simulation Conference
RESTART simulation of networks of queues with Erlang service times
Winter Simulation Conference
Risk modeling and simulation of airport passenger departures process
Winter Simulation Conference
The rare event simulation method RESTART: efficiency analysis and guidelines for its application
Network performance engineering
Performance evaluation of a single node with general arrivals and service
ASMTA'11 Proceedings of the 18th international conference on Analytical and stochastic modeling techniques and applications
Efficient calculation of rare event probabilities in Markovian queueing networks
Proceedings of the 5th International ICST Conference on Performance Evaluation Methodologies and Tools
Rare-event verification for stochastic hybrid systems
Proceedings of the 15th ACM international conference on Hybrid Systems: Computation and Control
Coupling and importance sampling for statistical model checking
TACAS'12 Proceedings of the 18th international conference on Tools and Algorithms for the Construction and Analysis of Systems
Cross-entropy optimisation of importance sampling parameters for statistical model checking
CAV'12 Proceedings of the 24th international conference on Computer Aided Verification
Optimal Monte Carlo integration with fixed relative precision
Journal of Complexity
WABI'12 Proceedings of the 12th international conference on Algorithms in Bioinformatics
Probabilistic bounded relative error for rare event simulation learning techniques
Proceedings of the Winter Simulation Conference
Markov chain importance sampling with applications to rare event probability estimation
Statistics and Computing
Fitting mixture importance sampling distributions via improved cross-entropy
Proceedings of the Winter Simulation Conference
Graph reductions to speed up importance sampling-based static reliability estimation
Proceedings of the Winter Simulation Conference
Proceedings of the Winter Simulation Conference
Accelerated rare event simulation with Markov chain modelling in wireless communication networks
International Journal of Mobile Network Design and Innovation
Splitting for rare event simulation in biochemical systems
Proceedings of the 6th International ICST Conference on Simulation Tools and Techniques
International Journal of Metaheuristics
Computers and Operations Research
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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.