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Rare Event Simulation
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Book Synopsis Rare Event Simulation using Monte Carlo Methods by : Gerardo Rubino
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.
Book Synopsis Introduction to Rare Event Simulation by : James Bucklew
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.
Book Synopsis Estimation of Rare Event Probabilities in Complex Aerospace and Other Systems by : Jerome Morio
Download or read book Estimation of Rare Event Probabilities in Complex Aerospace and Other Systems written by Jerome Morio and published by Woodhead Publishing. This book was released on 2015-11-16 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rare event probability (10-4 and less) estimation has become a large area of research in the reliability engineering and system safety domains. A significant number of methods have been proposed to reduce the computation burden for the estimation of rare events from advanced sampling approaches to extreme value theory. However, it is often difficult in practice to determine which algorithm is the most adapted to a given problem.Estimation of Rare Event Probabilities in Complex Aerospace and Other Systems: A Practical Approach provides a broad up-to-date view of the current available techniques to estimate rare event probabilities described with a unified notation, a mathematical pseudocode to ease their potential implementation and finally a large spectrum of simulation results on academic and realistic use cases. Provides a broad overview of the practical approach of rare event methods. Includes algorithms that are applied to aerospace benchmark test cases Offers insight into practical tuning issues
Book Synopsis Reaction Rate Theory and Rare Events by : Baron Peters
Download or read book Reaction Rate Theory and Rare Events written by Baron Peters and published by Elsevier. This book was released on 2017-03-22 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Handbook of Monte Carlo Methods by : Dirk P. Kroese
Download or read book Handbook of Monte Carlo Methods written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2013-06-06 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Book Synopsis Advances in Chemical Physics by : Ilya Prigogine
Download or read book Advances in Chemical Physics written by Ilya Prigogine and published by John Wiley & Sons. This book was released on 2003-04-14 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest edition of the leading forum in chemical physics Edited by Nobel Prize winner Ilya Prigogine and renowned authority Stuart A. Rice. The Advances in Chemical Physics series provides a forum for critical, authoritative evaluations in every area of the discipline. In a format that encourages the expression of individual points of view, experts in the field present comprehensive analyses of subjects of interest. This stand-alone, special topics volume reports recent advances in electron-transfer research, with significant, up-to-date chapters by internationally recognized researchers. Volume 123 collects innovative papers on "Transition Path Sampling," "Dynamics of Chemical Reactions and Chaos," "The Role of Self Similarity in Renormalization Group Theory," and several other related topics. Advances in Chemical Physics remains the premier venue for presentations of new findings in its field.
Book Synopsis Mean Field Simulation for Monte Carlo Integration by : Pierre Del Moral
Download or read book Mean Field Simulation for Monte Carlo Integration written by Pierre Del Moral and published by CRC Press. This book was released on 2013-05-20 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last three decades, there has been a dramatic increase in the use of interacting particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle filters. Mean Field Simulation for Monte Carlo Integration presents the first comprehensive and modern mathematical treatment of mean field particle simulation models and interdisciplinary research topics, including interacting jumps and McKean-Vlasov processes, sequential Monte Carlo methodologies, genetic particle algorithms, genealogical tree-based algorithms, and quantum and diffusion Monte Carlo methods. Along with covering refined convergence analysis on nonlinear Markov chain models, the author discusses applications related to parameter estimation in hidden Markov chain models, stochastic optimization, nonlinear filtering and multiple target tracking, stochastic optimization, calibration and uncertainty propagations in numerical codes, rare event simulation, financial mathematics, and free energy and quasi-invariant measures arising in computational physics and population biology. This book shows how mean field particle simulation has revolutionized the field of Monte Carlo integration and stochastic algorithms. It will help theoretical probability researchers, applied statisticians, biologists, statistical physicists, and computer scientists work better across their own disciplinary boundaries.
Book Synopsis The Cross-Entropy Method by : Reuven Y. Rubinstein
Download or read book The Cross-Entropy Method written by Reuven Y. Rubinstein and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rubinstein is the pioneer of the well-known score function and cross-entropy methods. Accessible to a broad audience of engineers, computer scientists, mathematicians, statisticians and in general anyone, theorist and practitioner, who is interested in smart simulation, fast optimization, learning algorithms, and image processing.
Book Synopsis Stochastic Simulation Optimization by : Chun-hung Chen
Download or read book Stochastic Simulation Optimization written by Chun-hung Chen and published by World Scientific. This book was released on 2011 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the advance of new computing technology, simulation is becoming very popular for designing large, complex and stochastic engineering systems, since closed-form analytical solutions generally do not exist for such problems. However, the added flexibility of simulation often creates models that are computationally intractable. Moreover, to obtain a sound statistical estimate at a specified level of confidence, a large number of simulation runs (or replications) is usually required for each design alternative. If the number of design alternatives is large, the total simulation cost can be very expensive. Stochastic Simulation Optimization addresses the pertinent efficiency issue via smart allocation of computing resource in the simulation experiments for optimization, and aims to provide academic researchers and industrial practitioners with a comprehensive coverage of OCBA approach for stochastic simulation optimization. Starting with an intuitive explanation of computing budget allocation and a discussion of its impact on optimization performance, a series of OCBA approaches developed for various problems are then presented, from the selection of the best design to optimization with multiple objectives. Finally, this book discusses the potential extension of OCBA notion to different applications such as data envelopment analysis, experiments of design and rare-event simulation.
Book Synopsis Special Issue on Rare Event Simulation by :
Download or read book Special Issue on Rare Event Simulation written by and published by . This book was released on 1998 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Simulation and the Monte Carlo Method by : Reuven Y. Rubinstein
Download or read book Simulation and the Monte Carlo Method written by Reuven Y. Rubinstein and published by John Wiley & Sons. This book was released on 2016-10-21 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible new edition explores the major topics in Monte Carlo simulation that have arisen over the past 30 years and presents a sound foundation for problem solving Simulation and the Monte Carlo Method, Third Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the state-of-the-art theory, methods and applications that have emerged in Monte Carlo simulation since the publication of the classic First Edition over more than a quarter of a century ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information that facilitates a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences. The book begins with a modernized introduction that addresses the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss the dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of many modern topics including: Markov Chain Monte Carlo, variance reduction techniques such as importance (re-)sampling, and the transform likelihood ratio method, the score function method for sensitivity analysis, the stochastic approximation method and the stochastic counter-part method for Monte Carlo optimization, the cross-entropy method for rare events estimation and combinatorial optimization, and application of Monte Carlo techniques for counting problems. An extensive range of exercises is provided at the end of each chapter, as well as a generous sampling of applied examples. The Third Edition features a new chapter on the highly versatile splitting method, with applications to rare-event estimation, counting, sampling, and optimization. A second new chapter introduces the stochastic enumeration method, which is a new fast sequential Monte Carlo method for tree search. In addition, the Third Edition features new material on: • Random number generation, including multiple-recursive generators and the Mersenne Twister • Simulation of Gaussian processes, Brownian motion, and diffusion processes • Multilevel Monte Carlo method • New enhancements of the cross-entropy (CE) method, including the “improved” CE method, which uses sampling from the zero-variance distribution to find the optimal importance sampling parameters • Over 100 algorithms in modern pseudo code with flow control • Over 25 new exercises Simulation and the Monte Carlo Method, Third Edition is an excellent text for upper-undergraduate and beginning graduate courses in stochastic simulation and Monte Carlo techniques. The book also serves as a valuable reference for professionals who would like to achieve a more formal understanding of the Monte Carlo method. Reuven Y. Rubinstein, DSc, was Professor Emeritus in the Faculty of Industrial Engineering and Management at Technion-Israel Institute of Technology. He served as a consultant at numerous large-scale organizations, such as IBM, Motorola, and NEC. The author of over 100 articles and six books, Dr. Rubinstein was also the inventor of the popular score-function method in simulation analysis and generic cross-entropy methods for combinatorial optimization and counting. Dirk P. Kroese, PhD, is a Professor of Mathematics and Statistics in the School of Mathematics and Physics of The University of Queensland, Australia. He has published over 100 articles and four books in a wide range of areas in applied probability and statistics, including Monte Carlo methods, cross-entropy, randomized algorithms, tele-traffic c theory, reliability, computational statistics, applied probability, and stochastic modeling.
Book Synopsis Fast Simulation of Rare Events in Markov Level/phase Processes by :
Download or read book Fast Simulation of Rare Events in Markov Level/phase Processes written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Methods of efficient Monte-Carlo simulation when rare events are involved have been studied for several decades. Rare events are very important in the context of evaluating high quality computer/communication systems. Meanwhile, the efficient simulation of systems involving rare events poses great challenges. A simulation method is said to be efficient if the number of replicas required to get accurate estimates grows slowly, compared to the rate at which the probability of the rare event approaches zero. Despite the great success of the two mainstream methods, importance sampling (IS) and importance splitting, either of them can become inefficient under certain conditions, as reported in some recent studies. The purpose of this study is to look for possible enhancement of fast simulation methods. I focus on the ``level/phase process', a Markov process in which the level and the phase are two state variables. Furthermore, changes of level and phase are induced by events, which have rates that are independent of the level except at a boundary. For such a system, the event of reaching a high level occurs rarely, provided the system typically stays at lower levels. The states at those high levels constitute the rare event set. Though simple, this models a variety of applications involving rare events. In this setting, I have studied two efficient simulation methods, the rate tilting method and the adaptive splitting method, concerning their efficiencies. I have compared the efficiency of rate tilting with several previously used similar methods. The experiments are done by using queues in tandem, an often used test bench for the rare event simulation. The schema of adaptive splitting has not been described in literature. For this method, I have analyzed its efficiency to show its superiority over the (conventional) splitting method. The way that a system approaches a designated rare event set is called the system's large deviation behavior. Toward the end of gaining in.
Book Synopsis Discrete-Event Simulation by : George S. Fishman
Download or read book Discrete-Event Simulation written by George S. Fishman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is an excellent and well-written text on discrete event simulation with a focus on applications in Operations Research. There is substantial attention to programming, output analysis, pseudo-random number generation and modelling and these sections are quite thorough. Methods are provided for generating pseudo-random numbers (including combining such streams) and for generating random numbers from most standard statistical distributions." --ISI Short Book Reviews, 22:2, August 2002
Book Synopsis Importance Sampling by : Rajan Srinivasan
Download or read book Importance Sampling written by Rajan Srinivasan and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research monograph deals with fast stochastic simulation based on im portance sampling (IS) principles and some of its applications. It is in large part devoted to an adaptive form of IS that has proved to be effective in appli cations that involve the estimation of probabilities of rare events. Rare events are often encountered in scientific and engineering processes. Their charac terization is especially important as their occurrence can have catastrophic consequences of varying proportions. Examples range from fracture due to material fatigue in engineering structures to exceedance of dangerous levels during river water floods to false target declarations in radar systems. Fast simulation using IS is essentially a forced Monte Carlo procedure designed to hasten the occurrence of rare events. Development of this simu lation method of analysis of scientific phenomena is usually attributed to the mathematician von Neumann, and others. Since its inception, MC simula tion has found a wide range of employment, from statistical thermodynamics in disordered systems to the analysis and design of engineering structures characterized by high complexity. Indeed, whenever an engineering problem is analytically intractable (which is often the case) and a solution by nu merical techniques prohibitively expensive computationally, a last resort to determine the input-output characteristics of, or states within, a system is to carry out a simulation.
Book Synopsis Modeling and Simulation of Discrete Event Systems by : Byoung Kyu Choi
Download or read book Modeling and Simulation of Discrete Event Systems written by Byoung Kyu Choi and published by John Wiley & Sons. This book was released on 2013-08-07 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer modeling and simulation (M&S) allows engineers to study and analyze complex systems. Discrete-event system (DES)-M&S is used in modern management, industrial engineering, computer science, and the military. As computer speeds and memory capacity increase, so DES-M&S tools become more powerful and more widely used in solving real-life problems. Based on over 20 years of evolution within a classroom environment, as well as on decades-long experience in developing simulation-based solutions for high-tech industries, Modeling and Simulation of Discrete-Event Systems is the only book on DES-M&S in which all the major DES modeling formalisms – activity-based, process-oriented, state-based, and event-based – are covered in a unified manner: A well-defined procedure for building a formal model in the form of event graph, ACD, or state graph Diverse types of modeling templates and examples that can be used as building blocks for a complex, real-life model A systematic, easy-to-follow procedure combined with sample C# codes for developing simulators in various modeling formalisms Simple tutorials as well as sample model files for using popular off-the-shelf simulators such as SIGMA®, ACE®, and Arena® Up-to-date research results as well as research issues and directions in DES-M&S Modeling and Simulation of Discrete-Event Systems is an ideal textbook for undergraduate and graduate students of simulation/industrial engineering and computer science, as well as for simulation practitioners and researchers.
Book Synopsis Handbook of Materials Modeling by : Sidney Yip
Download or read book Handbook of Materials Modeling written by Sidney Yip and published by Springer Science & Business Media. This book was released on 2007-11-17 with total page 2903 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first reference of its kind in the rapidly emerging field of computational approachs to materials research, this is a compendium of perspective-providing and topical articles written to inform students and non-specialists of the current status and capabilities of modelling and simulation. From the standpoint of methodology, the development follows a multiscale approach with emphasis on electronic-structure, atomistic, and mesoscale methods, as well as mathematical analysis and rate processes. Basic models are treated across traditional disciplines, not only in the discussion of methods but also in chapters on crystal defects, microstructure, fluids, polymers and soft matter. Written by authors who are actively participating in the current development, this collection of 150 articles has the breadth and depth to be a major contributor toward defining the field of computational materials. In addition, there are 40 commentaries by highly respected researchers, presenting various views that should interest the future generations of the community. Subject Editors: Martin Bazant, MIT; Bruce Boghosian, Tufts University; Richard Catlow, Royal Institution; Long-Qing Chen, Pennsylvania State University; William Curtin, Brown University; Tomas Diaz de la Rubia, Lawrence Livermore National Laboratory; Nicolas Hadjiconstantinou, MIT; Mark F. Horstemeyer, Mississippi State University; Efthimios Kaxiras, Harvard University; L. Mahadevan, Harvard University; Dimitrios Maroudas, University of Massachusetts; Nicola Marzari, MIT; Horia Metiu, University of California Santa Barbara; Gregory C. Rutledge, MIT; David J. Srolovitz, Princeton University; Bernhardt L. Trout, MIT; Dieter Wolf, Argonne National Laboratory.
Book Synopsis Simulation Modeling and Analysis with ARENA by : Tayfur Altiok
Download or read book Simulation Modeling and Analysis with ARENA written by Tayfur Altiok and published by Elsevier. This book was released on 2010-07-26 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simulation Modeling and Analysis with Arena is a highly readable textbook which treats the essentials of the Monte Carlo discrete-event simulation methodology, and does so in the context of a popular Arena simulation environment. It treats simulation modeling as an in-vitro laboratory that facilitates the understanding of complex systems and experimentation with what-if scenarios in order to estimate their performance metrics. The book contains chapters on the simulation modeling methodology and the underpinnings of discrete-event systems, as well as the relevant underlying probability, statistics, stochastic processes, input analysis, model validation and output analysis. All simulation-related concepts are illustrated in numerous Arena examples, encompassing production lines, manufacturing and inventory systems, transportation systems, and computer information systems in networked settings. Introduces the concept of discrete event Monte Carlo simulation, the most commonly used methodology for modeling and analysis of complex systems Covers essential workings of the popular animated simulation language, ARENA, including set-up, design parameters, input data, and output analysis, along with a wide variety of sample model applications from production lines to transportation systems Reviews elements of statistics, probability, and stochastic processes relevant to simulation modeling
