Rare events are of critical importance in many areas. For instance, catastrophic failures in transporting systems or in nuclear power plants leading to human losses are represented by rare events, as are money losses through a banks processing / communication system. There are currently journals that include some sections of this subject, but until now no books just one that focuses on just one single methodology (Bucklew). This book will fill that gap in the market, providing a theoretical and implementational guide to various readers; from postgraduates through to engineers, economists, mathematicians, researchersand indeed any person involved or interested in design and simulation. An introductory chapter presents the concept of rare events with areas of application, and then goes on to explain why and when simulation is needed and why standard simulation fails, before describing Monte Carlo and quasi-Monte Carlo simulation. There follows a basic description of the content of the book. After this, the book guides the reader through the Theory section, starting with a chapter investigating the theoretical properties that estimators should verify asrarity increases (asymptotic efficiency, bounded relative error). We then move on to a chapter on Importance Sampling (General description for the estimation of an integral and of a Markov chain. Some connection with large deviation theory. Zero-variance estimator. Implementation description.) The Theory section of the book is finished with a chapter on Splitting this being a general description of the technique, plus asymptotic results and implementation. The Application section is made up of seven chapters, ranging from Markovian Models for Dependability Analysis, through to Air Traffic Applications and Applications in Biology all seven chapters are written by experts in their fields, something the reviewers have expressed much praise for.
- ISBN: 978-0-470-77269-0
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 278
- Fecha Publicación: 20/03/2009
- Nº Volúmenes: 1
- Idioma: Inglés