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Semiparametric Cross Entropy For Rare Event Simulation
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Book Synopsis Semiparametric Cross Entropy for Rare-Event Simulation by : Zdravko Botev
Download or read book Semiparametric Cross Entropy for Rare-Event Simulation written by Zdravko Botev and published by . This book was released on 2013 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider semiparametric class of distributions. We show that this semiparametric version of the Cross Entropy method frequently yields efficient estimators. We illustrate the excellent practical performance of the method with numerical experiments and show that for the problems we consider it typically outperforms alternative schemes by orders of magnitude.
Book Synopsis The Cross-entropy Method with Patching for Rare-event Simulation of Large Markov Chains by : Bahar Kaynar
Download or read book The Cross-entropy Method with Patching for Rare-event Simulation of Large Markov Chains written by Bahar Kaynar and published by . This book was released on 2009 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Power Systems Resilience by : Naser Mahdavi Tabatabaei
Download or read book Power Systems Resilience written by Naser Mahdavi Tabatabaei and published by Springer. This book was released on 2018-08-16 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents intuitive explanations of the principles and applications of power system resiliency, as well as a number of straightforward and practical methods for the impact analysis of risk events on power system operations. It also describes the challenges of modelling, distribution networks, optimal scheduling, multi-stage planning, deliberate attacks, cyber-physical systems and SCADA-based smart grids, and how to overcome these challenges. Further, it highlights the resiliency issues using various methods, including strengthening the system against high impact events with low frequency and the fast recovery of the system properties. A large number of specialists have collaborated to provide innovative solutions and research in power systems resiliency. They discuss the fundamentals and contemporary materials of power systems resiliency, theoretical and practical issues, as well as current issues and methods for controlling the risk attacks and other threats to AC power systems. The book includes theoretical research, significant results, case studies, and practical implementation processes to offer insights into electric power and engineering and energy systems. Showing how systems should respond in case of malicious attacks, and helping readers to decide on the best approaches, this book is essential reading for electrical engineers, researchers and specialists. The book is also useful as a reference for undergraduate and graduate students studying the resiliency and reliability of power systems.
Book Synopsis The Cross-entropy Method with Patching for Rare-event Simulation of Large Markov Chains by : Bahar Kaynar
Download or read book The Cross-entropy Method with Patching for Rare-event Simulation of Large Markov Chains written by Bahar Kaynar and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extensions of the Cross-entropy Method with Applications to Diffusion Processes and Portfolio Losses by : Alexandre Scott
Download or read book Extensions of the Cross-entropy Method with Applications to Diffusion Processes and Portfolio Losses written by Alexandre Scott and published by . This book was released on 2015 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rare event simulation is a crucial part of simulations. In nancial mathematics, the study of rare events appear naturally when we consider risk measures such as the conditional value at risk. This thesis is composed of three related papers treating the rare event simulations subject: the rst paper addresses rare event simulations for di usion processes, the second paper addresses rare event simulations for the normal and the Student t-copula model while the last paper addresses rare event simulations for a portfolio model where there is a correlation structure between the loss-given- default and the probability of default.
Book Synopsis Mechanical Engineering in Uncertainties From Classical Approaches to Some Recent Developments by :
Download or read book Mechanical Engineering in Uncertainties From Classical Approaches to Some Recent Developments written by and published by John Wiley & Sons. This book was released on 2021-04-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considering the uncertainties in mechanical engineering in order to improve the performance of future products or systems is becoming a competitive advantage, sometimes even a necessity, when seeking to guarantee an increasingly high safety requirement. Mechanical Engineering in Uncertainties deals with modeling, quantification and propagation of uncertainties. It also examines how to take into account uncertainties through reliability analyses and optimization under uncertainty. The spectrum of the methods presented ranges from classical approaches to more recent developments and advanced methods. The methodologies are illustrated by concrete examples in various fields of mechanics (civil engineering, mechanical engineering and fluid mechanics). This book is intended for both (young) researchers and engineers interested in the treatment of uncertainties in mechanical engineering.
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 . This book was released on 2014-01-15 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cross-entropy Application for Combinatorial Optimization Counting and Rare Events Estimation by : Dmitry Lifshitz
Download or read book Cross-entropy Application for Combinatorial Optimization Counting and Rare Events Estimation written by Dmitry Lifshitz and published by . This book was released on 2007 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Special Issue on Rare Event Simulation Methodologies and Applications by :
Download or read book Special Issue on Rare Event Simulation Methodologies and Applications written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Splitting for Rare Event Simulation: A Large Deviations Approach to Design and Analysis by :
Download or read book Splitting for Rare Event Simulation: A Large Deviations Approach to Design and Analysis written by and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Particle splitting methods are considered for the estimation of rare events. The probability of interest is that a Markov process first enters a set B before another set A, and it is assumed that this probability satisfies a large deviation scaling. A notion of subsolution is defined for the related calculus of variations problem, and two main results are proved under mild conditions. The first is that the number of particles generated by the algorithm grows subexponentially if and only if a certain scalar multiple of the importance function is a subsolution. The second is that, under the same condition, the variance of the algorithm is characterized "asymptotically" in terms of the subsolution. The design of asymptotically optimal schemes is discussed, and numerical examples are presented.
Book Synopsis The Splitting Method in Rare Event Simulation by : Marnix Joseph Johann Garvels
Download or read book The Splitting Method in Rare Event Simulation written by Marnix Joseph Johann Garvels and published by . This book was released on 2000 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rare-event Simulation for Multidimensional Stochastic Models by : Ewan Jacov Cahen
Download or read book Rare-event Simulation for Multidimensional Stochastic Models written by Ewan Jacov Cahen and published by . This book was released on 2018 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rare-event Simulation with Markov Chain Monte Carlo by :
Download or read book Rare-event Simulation with Markov Chain Monte Carlo written by and published by . This book was released on 2015 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Empirical Processes and Semiparametric Inference by : Michael R. Kosorok
Download or read book Introduction to Empirical Processes and Semiparametric Inference written by Michael R. Kosorok and published by Springer Science & Business Media. This book was released on 2007-12-29 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Ecological Inference written by Gary King and published by Cambridge University Press. This book was released on 2004-09-13 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing upon the recent explosion of research in the field, a diverse group of scholars surveys the latest strategies for solving ecological inference problems, the process of trying to infer individual behavior from aggregate data. The uncertainties and information lost in aggregation make ecological inference one of the most difficult areas of statistical inference, but these inferences are required in many academic fields, as well as by legislatures and the Courts in redistricting, marketing research by business, and policy analysis by governments. This wide-ranging collection of essays offers many fresh and important contributions to the study of ecological inference.
