Introduction to Rare Event Simulation PDF Download

Author: James Bucklew
Publisher: Springer Science & Business Media
ISBN: 1475740786
Category : Mathematics
Languages : en
Pages : 262

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Book Description
This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling from the point of view of the probabilistic theory of large deviations. It allows us to view a vast assortment of simulation problems from a unified single perspective.

Author: Shane G. Henderson
Publisher: Elsevier
ISBN: 0080464769
Category : Business & Economics
Languages : en
Pages : 693

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Book Description
This Handbook is a collection of chapters on key issues in the design and analysis of computer simulation experiments on models of stochastic systems. The chapters are tightly focused and written by experts in each area. For the purpose of this volume "simulation refers to the analysis of stochastic processes through the generation of sample paths (realization) of the processes. Attention focuses on design and analysis issues and the goal of this volume is to survey the concepts, principles, tools and techniques that underlie the theory and practice of stochastic simulation design and analysis. Emphasis is placed on the ideas and methods that are likely to remain an intrinsic part of the foundation of the field for the foreseeable future. The chapters provide up-to-date references for both the simulation researcher and the advanced simulation user, but they do not constitute an introductory level 'how to' guide. Computer scientists, financial analysts, industrial engineers, management scientists, operations researchers and many other professionals use stochastic simulation to design, understand and improve communications, financial, manufacturing, logistics, and service systems. A theme that runs throughout these diverse applications is the need to evaluate system performance in the face of uncertainty, including uncertainty in user load, interest rates, demand for product, availability of goods, cost of transportation and equipment failures.* Tightly focused chapters written by experts* Surveys concepts, principles, tools, and techniques that underlie the theory and practice of stochastic simulation design and analysis* Provides an up-to-date reference for both simulation researchers and advanced simulation users

Author:
Publisher:
ISBN:
Category : Mathematical models
Languages : en
Pages : 512

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Book Description

Author: Alan Weiss
Publisher: Routledge
ISBN: 042984686X
Category : Computers
Languages : en
Pages : 512

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Book Description
Originally published in 1995, Large Deviations for Performance Analysis consists of two synergistic parts. The first half develops the theory of large deviations from the beginning, through recent results on the theory for processes with boundaries, keeping to a very narrow path: continuous-time, discrete-state processes. By developing only what is needed for the applications, the theory is kept to a manageable level, both in terms of length and in terms of difficulty. Within its scope, the treatment is detailed, comprehensive and self-contained. As the book shows, there are sufficiently many interesting applications of jump Markov processes to warrant a special treatment. The second half is a collection of applications developed at Bell Laboratories. The applications cover large areas of the theory of communication networks: circuit switched transmission, packet transmission, multiple access channels, and the M/M/1 queue. Aspects of parallel computation are covered as well including, basics of job allocation, rollback-based parallel simulation, assorted priority queueing models that might be used in performance models of various computer architectures, and asymptotic coupling of processors. These applications are thoroughly analysed using the tools developed in the first half of the book.

Author: Shunji Osaki
Publisher: Springer Science & Business Media
ISBN: 9783540431336
Category : Business & Economics
Languages : en
Pages : 362

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Book Description
This book contains 12 contributions on stochastic models in reliability and maintenance. Written by the leading researchers on each topic, each contribution surveys the current status on stochastic models emphasizing mathematical formulation and optimization applications. Each contribution is self-contained and has a thorough bibliography. The topics include renewal processes, semi-Markov processes, Markovian deterioration models, maintenance and replacement models, software reliability models and Monte-Carlo simulation. This book provides researchers, reliability engineers and graduate students with the current status of the field and future developments of the subject.

Author: Dmitrii Silvestrov
Publisher: Springer
ISBN: 3319066536
Category : Business & Economics
Languages : en
Pages : 388

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Book Description
This book is a compilation of 21 papers presented at the International Cramér Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013. The book comprises selected contributions from several large research communities in modern insurance mathematics and its applications. The main topics represented in the book are modern risk theory and its applications, stochastic modelling of insurance business, new mathematical problems in life and non-life insurance and related topics in applied and financial mathematics. The book is an original and useful source of inspiration and essential reference for a broad spectrum of theoretical and applied researchers, research students and experts from the insurance business. In this way, Modern Problems in Insurance Mathematics will contribute to the development of research and academy–industry co-operation in the area of insurance mathematics and its applications.

Author: S?ren Asmussen
Publisher: World Scientific
ISBN: 9814282529
Category : Mathematics
Languages : en
Pages : 621

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Book Description
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cram‚r?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.

Author: Søren Asmussen
Publisher: Springer Science & Business Media
ISBN: 0387690336
Category : Mathematics
Languages : en
Pages : 490

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Book Description
Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first half of the book focuses on general methods; the second half discusses model-specific algorithms. Exercises and illustrations are included.

Author: Gerardo Rubino
Publisher: John Wiley & Sons
ISBN: 9780470745410
Category : Mathematics
Languages : en
Pages : 278

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Book Description
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.

Author: Lorenzo Donatiello
Publisher: Springer Science & Business Media
ISBN: 9783540572978
Category : Computers
Languages : en
Pages : 692

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Book Description
This volume contains the complete set of tutorial papers presented at the 16th IFIP (International Federation for Information Processing) Working Group 7.3 International Symposium on Computer Performance Modelling, Measurement and Evaluation, and a number of tutorial papers presented at the 1993 ACM (Association for Computing Machinery) Special Interest Group METRICS Conference on Measurement and Modeling of Computer Systems. The principal goal of the volume is to present an overview of recent results in the field of modeling and performance evaluation of computer and communication systems. The wide diversity of applications and methodologies included in the tutorials attests to the breadth and richness of current research in the area of performance modeling. The tutorials may serve to introduce a reader to an unfamiliar research area, to unify material already known, or simply to illustrate the diversity of research in the field. The extensive bibliographies guide readers to additional sources for further reading.