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Author: Jesse Collingwood Publisher: ISBN: Category : Limit theorems (Probability theory) Languages : en Pages :
Book Description
Simulation of rare events can be costly with respect to time and computational resources. For certain processes it may be more efficient to begin at the rare event and simulate a kind of reversal of the process. This approach is particularly well suited to reversible Markov processes, but holds much more generally. This more general result is formulated precisely in the language of stationary point processes, proven, and applied to some examples. An interesting question is whether this technique can be applied to Markov processes which are substochastic, i.e. processes which may die if a graveyard state is ever reached. First, some of the theory of substochastic processes is developed; in particular a slightly surprising result about the rate of convergence of the distribution pi(n) at time n of the process conditioned to stay alive to the quasi-stationary distribution, or Yaglom limit, is proved. This result is then verified with some illustrative examples. Next, it is demonstrated with an explicit example that on infinite state spaces the reversal approach to analyzing both the rate of convergence to the Yaglom limit and the likely path of rare events can fail due to transience.
Author: Jesse Collingwood Publisher: ISBN: Category : Limit theorems (Probability theory) Languages : en Pages :
Book Description
Simulation of rare events can be costly with respect to time and computational resources. For certain processes it may be more efficient to begin at the rare event and simulate a kind of reversal of the process. This approach is particularly well suited to reversible Markov processes, but holds much more generally. This more general result is formulated precisely in the language of stationary point processes, proven, and applied to some examples. An interesting question is whether this technique can be applied to Markov processes which are substochastic, i.e. processes which may die if a graveyard state is ever reached. First, some of the theory of substochastic processes is developed; in particular a slightly surprising result about the rate of convergence of the distribution pi(n) at time n of the process conditioned to stay alive to the quasi-stationary distribution, or Yaglom limit, is proved. This result is then verified with some illustrative examples. Next, it is demonstrated with an explicit example that on infinite state spaces the reversal approach to analyzing both the rate of convergence to the Yaglom limit and the likely path of rare events can fail due to transience.
Author: Baron Peters Publisher: Elsevier ISBN: 0444594701 Category : Technology & Engineering Languages : en Pages : 636
Book Description
Reaction Rate Theory and Rare Events bridges the historical gap between these subjects because the increasingly multidisciplinary nature of scientific research often requires an understanding of both reaction rate theory and the theory of other rare events. The book discusses collision theory, transition state theory, RRKM theory, catalysis, diffusion limited kinetics, mean first passage times, Kramers theory, Grote-Hynes theory, transition path theory, non-adiabatic reactions, electron transfer, and topics from reaction network analysis. It is an essential reference for students, professors and scientists who use reaction rate theory or the theory of rare events. In addition, the book discusses transition state search algorithms, tunneling corrections, transmission coefficients, microkinetic models, kinetic Monte Carlo, transition path sampling, and importance sampling methods. The unified treatment in this book explains why chemical reactions and other rare events, while having many common theoretical foundations, often require very different computational modeling strategies. Offers an integrated approach to all simulation theories and reaction network analysis, a unique approach not found elsewhere Gives algorithms in pseudocode for using molecular simulation and computational chemistry methods in studies of rare events Uses graphics and explicit examples to explain concepts Includes problem sets developed and tested in a course range from pen-and-paper theoretical problems, to computational exercises
Author: Gerardo Rubino Publisher: John Wiley & Sons ISBN: 9780470745410 Category : Mathematics Languages : en Pages : 278
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: James Bucklew Publisher: Springer Science & Business Media ISBN: 1475740786 Category : Mathematics Languages : en Pages : 262
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: David Aldous Publisher: Springer Science & Business Media ISBN: 1475762836 Category : Mathematics Languages : en Pages : 285
Book Description
If you place a large number of points randomly in the unit square, what is the distribution of the radius of the largest circle containing no points? Of the smallest circle containing 4 points? Why do Brownian sample paths have local maxima but not points of increase, and how nearly do they have points of increase? Given two long strings of letters drawn i. i. d. from a finite alphabet, how long is the longest consecutive (resp. non-consecutive) substring appearing in both strings? If an imaginary particle performs a simple random walk on the vertices of a high-dimensional cube, how long does it take to visit every vertex? If a particle moves under the influence of a potential field and random perturbations of velocity, how long does it take to escape from a deep potential well? If cars on a freeway move with constant speed (random from car to car), what is the longest stretch of empty road you will see during a long journey? If you take a large i. i. d. sample from a 2-dimensional rotationally-invariant distribution, what is the maximum over all half-spaces of the deviation between the empirical and true distributions? These questions cover a wide cross-section of theoretical and applied probability. The common theme is that they all deal with maxima or min ima, in some sense.
Author: Klaus Havelund Publisher: Springer ISBN: 3319955829 Category : Computers Languages : en Pages : 702
Book Description
This book constitutes the refereed proceedings of the 22nd International Symposium on Formal Methods, FM 2018, held in Oxford, UK, in July 2018. The 44 full papers presented together with 2 invited papers were carefully reviewed and selected from 110 submissions. They present formal methods for developing and evaluating systems. Examples include autonomous systems, robots, and cyber-physical systems in general. The papers cover a broad range of topics in the following areas: interdisciplinary formal methods; formal methods in practice; tools for formal methods; role of formal methods in software systems engineering; and theoretical foundations.
Author: Ali Hirsa Publisher: Academic Press ISBN: 0123846838 Category : Business & Economics Languages : en Pages : 456
Book Description
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because it emphasizes intuition and common sense, An Introduction to the Mathematics of Financial Derivatives remains the only "introductory" text that can appeal to people outside the mathematics and physics communities as it explains the hows and whys of practical finance problems. Facilitates readers' understanding of underlying mathematical and theoretical models by presenting a mixture of theory and applications with hands-on learning Presented intuitively, breaking up complex mathematics concepts into easily understood notions Encourages use of discrete chapters as complementary readings on different topics, offering flexibility in learning and teaching
Author: Miranda Louwerse Publisher: Springer Nature ISBN: 303140534X Category : Science Languages : en Pages : 123
Book Description
This thesis addresses deep questions that cut to the physical and informational essence of central chemical quantities such as transition paths and reaction mechanisms and proposes fundamental new connections between transition-path theory, linear-response theory, nonequilibrium thermodynamics, and information theory. The author investigates slow, energetically efficient driving protocols that drive a system between conformations corresponding to endpoints of a reaction, aiming to find connections between principles of efficient driving and the spontaneous transition mechanism in the absence of driving. First, an alternative perspective of transition-path theory is developed that unifies it with stochastic thermodynamics to describe flows of entropy, energy, and information during the reaction. This also provides an optimization criterion for selecting collective variables. Next, protocols are designed which invert the magnetization of a 3×3 Ising model with minimal energetic cost, and it is determined that using multiple control parameters allows the system to be driven along a fast-relaxing pathway between reaction endpoints. Finally, the author compares these protocols with the spontaneous transition mechanism for magnetization inversion in the same Ising model, finding that designed protocols capture general features of the spontaneous mechanism and energetics given the constraints on the control parameters. This work represents a major step forward in our understanding of rare events and provides a basis for investigating the connection between efficient protocols and spontaneous transition mechanisms which can be further probed in a wider variety of systems.
Author: Georgiana Caltais Publisher: Springer Nature ISBN: 303132157X Category : Technology & Engineering Languages : en Pages : 202
Book Description
This book constitutes the refereed proceedings of the 29th International Symposium on Model Checking Software, SPIN 2023, held in Paris, France, during April 26–27, 2023. The 9 full papers and 2 short papers included in this book were carefully reviewed and selected from 21 submissions. They were organized in topical sections as follows: binary decision diagrams, concurrency, testing, synthesis, explicit-state model checking.
Author: Salih N. Neftci Publisher: Academic Press ISBN: 0125153929 Category : Business & Economics Languages : en Pages : 550
Book Description
A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
Author: Jesse Collingwood
Author: Jesse Collingwood
Author: Baron Peters
Author: Gerardo Rubino
Author: James Bucklew
Author: David Aldous
Author: Klaus Havelund
Author: Ali Hirsa
Author: Miranda Louwerse
Author: Georgiana Caltais
Author: Salih N. Neftci