Rare Event Simulation using Monte Carlo Methods / Edition 1

Hardcover (Print)
Used and New from Other Sellers
Used and New from Other Sellers
from $112.40
Usually ships in 1-2 business days
(Save 20%)
Other sellers (Hardcover)
  • All (6) from $112.40   
  • New (5) from $112.40   
  • Used (1) from $151.74   

Overview

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.

Read More Show Less

Product Details

  • ISBN-13: 9780470772690
  • Publisher: Wiley
  • Publication date: 5/26/2009
  • Edition number: 1
  • Pages: 278
  • Product dimensions: 6.20 (w) x 9.00 (h) x 0.90 (d)

Table of Contents

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.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)