Rare Event Simulation using Monte Carlo Methods (eBook)

Gerardo Rubino, Research Director, the Institute of Computer Science and Random Systems Research (INRIA) INRIA Rennes - Bretagne Atlantique Research Centre Campus universitaire de Beaulieu. Bruno Tuffin, Research Associate, the INRIA IRISA/INRIA.

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.