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Author : Andrea Martinelli
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Large Deviations and Importance Sampling for Markov Additive Processes written by Andrea Martinelli and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey F. Collamore
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.:/5 (89 download)
Download or read book Large Deviation Techniques for the Study of the Hitting Probabilities of Rare Sets written by Jeffrey F. Collamore and published by . This book was released on 1996 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Dupuis
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (546 download)
Download or read book Adaptive Importance Sampling for Uniformly Recurrent Markov Chains written by Paul Dupuis and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Grant Izmirlian
Publisher :
ISBN 13 :
Total Pages : 194 pages
Book Rating : 4.:/5 (89 download)
Download or read book Large Deviations for Additive Functionals of Markov Exhangeable Sequences written by Grant Izmirlian and published by . This book was released on 1993 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alejandro D. de Acosta
Publisher : American Mathematical Soc.
ISBN 13 : 0821890891
Total Pages : 120 pages
Book Rating : 4.8/5 (218 download)
Download or read book Large Deviations for Additive Functionals of Markov Chains written by Alejandro D. de Acosta and published by American Mathematical Soc.. This book was released on 2014-03-05 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierre Nyquist
Publisher :
ISBN 13 : 9789175016443
Total Pages : pages
Book Rating : 4.0/5 (164 download)
Download or read book Large Deviations for Weighted Empirical Measures and Processes Arising in Importance Sampling written by Pierre Nyquist and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Bucklew
Publisher : Springer Science & Business Media
ISBN 13 : 1475740786
Total Pages : 262 pages
Book Rating : 4.4/5 (757 download)
Download or read book Introduction to Rare Event Simulation written by James Bucklew and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : I. Iscoe
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (577 download)
Download or read book Large Deviations of Uniformly Recurrent Markov Additive Processes written by I. Iscoe and published by . This book was released on 1984 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shane G. Henderson
Publisher : Elsevier
ISBN 13 : 0080464769
Total Pages : 693 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbooks in Operations Research and Management Science: Simulation written by Shane G. Henderson and published by Elsevier. This book was released on 2006-09-02 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Alan Weiss
Publisher : Routledge
ISBN 13 : 042984686X
Total Pages : 295 pages
Book Rating : 4.4/5 (298 download)
Download or read book Large Deviations For Performance Analysis written by Alan Weiss and published by Routledge. This book was released on 2019-03-07 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 :
Publisher :
ISBN 13 :
Total Pages : 512 pages
Book Rating : 4.3/5 (91 download)
Download or read book Journal of Applied Probability written by and published by . This book was released on 2001 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. R. S. Varadhan
Publisher : SIAM
ISBN 13 : 0898711894
Total Pages : 74 pages
Book Rating : 4.8/5 (987 download)
Download or read book Large Deviations and Applications written by S. R. S. Varadhan and published by SIAM. This book was released on 1984-01-31 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many situations exist in which solutions to problems are represented as function space integrals. Such representations can be used to study the qualitative properties of the solutions and to evaluate them numerically using Monte Carlo methods. The emphasis in this book is on the behavior of solutions in special situations when certain parameters get large or small.
Author : S. R. S. Varadhan
Publisher : American Mathematical Soc.
ISBN 13 : 082184086X
Total Pages : 114 pages
Book Rating : 4.8/5 (218 download)
Download or read book Large Deviations written by S. R. S. Varadhan and published by American Mathematical Soc.. This book was released on 2016-12-08 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of large deviations deals with rates at which probabilities of certain events decay as a natural parameter in the problem varies. This book, which is based on a graduate course on large deviations at the Courant Institute, focuses on three concrete sets of examples: (i) diffusions with small noise and the exit problem, (ii) large time behavior of Markov processes and their connection to the Feynman-Kac formula and the related large deviation behavior of the number of distinct sites visited by a random walk, and (iii) interacting particle systems, their scaling limits, and large deviations from their expected limits. For the most part the examples are worked out in detail, and in the process the subject of large deviations is developed. The book will give the reader a flavor of how large deviation theory can help in problems that are not posed directly in terms of large deviations. The reader is assumed to have some familiarity with probability, Markov processes, and interacting particle systems.
Author : Alejandro D. de Acosta
Publisher :
ISBN 13 : 1009063359
Total Pages : 264 pages
Book Rating : 4.0/5 (9 download)
Download or read book Large Deviations for Markov Chains written by Alejandro D. de Acosta and published by . This book was released on 2022-10-12 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies the large deviations for empirical measures and vector-valued additive functionals of Markov chains with general state space. Under suitable recurrence conditions, the ergodic theorem for additive functionals of a Markov chain asserts the almost sure convergence of the averages of a real or vector-valued function of the chain to the mean of the function with respect to the invariant distribution. In the case of empirical measures, the ergodic theorem states the almost sure convergence in a suitable sense to the invariant distribution. The large deviation theorems provide precise asymptotic estimates at logarithmic level of the probabilities of deviating from the preponderant behavior asserted by the ergodic theorems.
Author : Shunji Osaki
Publisher : Springer Science & Business Media
ISBN 13 : 9783540431336
Total Pages : 362 pages
Book Rating : 4.4/5 (313 download)
Download or read book Stochastic Models in Reliability and Maintenance written by Shunji Osaki and published by Springer Science & Business Media. This book was released on 2002-04 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Gerardo Rubino
Publisher : John Wiley & Sons
ISBN 13 : 9780470745410
Total Pages : 278 pages
Book Rating : 4.7/5 (454 download)
Download or read book Rare Event Simulation using Monte Carlo Methods written by Gerardo Rubino and published by John Wiley & Sons. This book was released on 2009-03-18 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Dmitrii Silvestrov
Publisher : Springer
ISBN 13 : 3319066536
Total Pages : 388 pages
Book Rating : 4.3/5 (19 download)
Download or read book Modern Problems in Insurance Mathematics written by Dmitrii Silvestrov and published by Springer. This book was released on 2014-06-06 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
