Introduction to rare event simulation.
importance sampling estimationslarge deviation theoryqueueing systemsrandom number generationrare event simulationsequence of \(R\)-valued random variablestextbookvariance reduction technique
Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25) Sampling theory, sample surveys (62D05) Analysis of variance and covariance (ANOVA) (62J10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Random number generation in numerical analysis (65C10)
The main purpose of this book is to present a unified theory of rare event simulation and the variance reduction technique known as importance sampling method devised from the point of view of probabilistic theory of large deviations. This framework provides a large typology of simulation problems, including especially the fundamental nature of rare event simulation, from a unified perspective. Since simulation techniques in this area require a great deal of technical and probabilistic expertise, the proposed approach tries to keep mathematical apparatus to the mild level, with a focus however on large deviation theorem (and theory) dealing with sequences of \(\mathbb{R}^d\)-valued random variables. The methodology of importance sampling estimation based on large deviation theory is exposed in a clear setting, concentrating on the main ideas and outlining the variety of applications, from telecommunications to queueing systems. For coming closer to the examined topics within the book, here there are the titles of the comprised 14 chapters and 3 appendixes: Chapter 1: Random number generation; Chapter 2: Stochastic models; Chapter 3: Large deviation theory; Chapter 4: Importance sampling; Chapter 5: The large deviation theory of Importance sampling estimators; Chapter 6: Variance rate theory of conditional importance sampling estimators; Chapter 7: The large deviation of bias point selection; Chapter 8: Chernof's bound and asymptotic expansions; Chapter 9: Gaussian systems; Chapter 10: Universal simulation distributions; Chapter 11: Rare event simulation for level crossing and queueing models; Chapter 12: Blind simulation; Chapter 13: The (over-under) biasing problem in importance sampling; Chapter 14: Tools and techniques for importance sampling; Appendix A: Convex functionals and analysis; Appendix B: A covering lemma; Appendix C: Pseudo-random number generator programs.
- Rare event simulation for T-cell activation
- Importance sampling algorithms for first passage time probabilities in the infinite server queue
- On the generalization of the hazard rate twisting-based simulation approach
- Exact and efficient sampling of conditioned walks
- Optimisation of interacting particle systems for rare event estimation
- Bayesian inference through encompassing priors and importance sampling for a class of marginal models for categorical data
- Adaptive sampling of large deviations
- Large deviations for the empirical measure of the zig-zag process
- Rare event simulation for electronic circuit design
- Importance sampling for maxima on trees
- Recursive estimation of a failure probability for a Lipschitz function
- Introduction to dynamical large deviations of Markov processes
- Efficient large deviation estimation based on importance sampling
- Explicit formula for asymptotic higher moments of the Nadaraya-Watson estimator
- Some large deviations results for Latin hypercube sampling
- Sharp asymptotic and finite-sample rates of convergence of empirical measures in Wasserstein distance
- Importance sampling and its optimality for stochastic simulation models
- A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
- A population balance-Monte Carlo method for particle coagulation in spatially inhomogeneous systems
- Correlations in nonequilibrium steady states of random halves models
- Efficient importance sampling for binary contingency tables
- Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
- Editorial: rare-event simulation for queues
- Determination of sample size in a rare event simulation method
- Polynomial chaos based uncertainty quantification in Hamiltonian, multi-time scale, and chaotic systems
- Interacting particle system based estimation of reach probability of general stochastic hybrid systems
- Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters
- Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities
- Incorporating radiation in noise-induced phase evolution of optical solitons
- Statistical analysis of a dynamic model for dietary contaminant exposure
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Importance sampling for determining SRAM yield and optimization with statistical constraint
- Chance-constrained problems and rare events: an importance sampling approach
- Improved diffusion Monte Carlo
- An iterative stochastic method for simulating large deviations and rare events
- Large Deviation Results for Wave Governed Random Motions Driven by Semi-Markov Processes
- Probabilistic safety analysis of the collision between a space debris and a satellite with an island particle algorithm
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation
- Variational and optimal control representations of conditioned and driven processes
- Computation of credit portfolio loss distribution by a cross entropy method
- Data construction method for the analysis of the spatial distribution of disastrous earthquakes in Taiwan
- Rare Event Simulation Using Reversible Shaking Transformations
- Some recent results in rare event estimation
- Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
- Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
- State-dependent importance sampling for regularly varying random walks
- Rare Event Simulation using Monte Carlo Methods
- Importance sampling in rare event simulation
- Rare event simulation and counting problems
- An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
- An efficient surrogate-based method for computing rare failure probability
- Efficient Monte Carlo for high excursions of Gaussian random fields
- scientific article; zbMATH DE number 1790422 (Why is no real title available?)
- On an automatic and optimal importance sampling approach with applications in finance
- Systemic risk and default clustering for large financial systems
- Editor's introduction: Special issue honoring Perwez Shahabuddin
- Some Numerical Methods for Rare Events Simulation and Analysis
- Multicanonical MCMC for sampling rare events: an illustrative review
- Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing
- On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting
- Quantitative differentiation: a general formulation
- Rare event simulation of small noise diffusions
- scientific article; zbMATH DE number 219442 (Why is no real title available?)
- Long runs under a conditional limit distribution
- scientific article; zbMATH DE number 1829855 (Why is no real title available?)
- scientific article; zbMATH DE number 2104318 (Why is no real title available?)
- Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions
- Nonequilibrium Markov processes conditioned on large deviations
- Computing return times or return periods with rare event algorithms
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
- Ensemble approximate control variate estimators: applications to multifidelity importance sampling
- Optimization under rare chance constraints
- Estimating failure probabilities
- Analysis and simulation of extremes and rare events in complex systems
- Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
- An \(hp\)-adaptive minimum action method based on a posteriori error estimate
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- Variational representations and neural network estimation of Rényi divergences
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Numerical computation of rare events via large deviation theory
- Rare-event simulation for many-server queues
- A cross-entropy scheme for mixtures
- RARE EVENT SIMULATION
- Importance sampling estimation of joint default probability under structural-form models with stochastic correlation
- Analysis and approximation of rare events. Representations and weak convergence methods
- Adaptive multilevel splitting: historical perspective and recent results
- Veridical data science
- Large Deviations for Additive Functionals of Reflected Jump-Diffusions
- Entropy of sharp restart
- Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
- Rethinking the Effective Sample Size
- Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
- Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems
- Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
- A large deviation principle for the empirical measures of Metropolis-Hastings chains
- Generative methods for sampling transition paths in molecular dynamics
- Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process
- The cross-entropy method with patching for rare-event simulation of large Markov chains
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