Introduction to rare event simulation:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY [u.a.]
Springer
2004
|
| Series: | Springer series in statistics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 255 - 258 |
| Physical Description: | XI, 260 S. graph. Darst. 24 cm |
| ISBN: | 0387200789 |
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| 100 | 1 | |a Bucklew, James Antonio |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Introduction to rare event simulation |c James Antonio Bucklew |
| 264 | 1 | |a New York, NY [u.a.] |b Springer |c 2004 | |
| 300 | |a XI, 260 S. |b graph. Darst. |c 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Springer series in statistics | |
| 500 | |a Literaturverz. S. 255 - 258 | ||
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| 650 | 7 | |a Grandes desvios |2 larpcal | |
| 650 | 4 | |a Grandes déviations | |
| 650 | 7 | |a Informatietheorie |2 gtt | |
| 650 | 7 | |a Méthode de simulation |2 rasuqam | |
| 650 | 7 | |a Processos estocásticos |2 larpcal | |
| 650 | 7 | |a Schattingstheorie |2 gtt | |
| 650 | 7 | |a Simulatie |2 gtt | |
| 650 | 7 | |a Tests |2 gtt | |
| 650 | 4 | |a Large deviations | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
1.
Random Number Generation
............................. 1
1.1
Uniform Generators
..................................... 1
1.2
Nonuniform
Generation
................................. 8
1.2.1
The Inversion Method
............................ 8
1.2.2
The Acceptance-Rejection Method
................. 10
1.3
Discrete Distributions
................................... 13
1.3.1
Inversion by Truncation of a Continuous Analog
...... 14
1.3.2
Acceptance-Rejection
............................. 15
2.
Stochastic Models
........................................ 17
2.1
Gaussian Processes
..................................... 17
2.2
Markov Processes
...................................... 21
2.3
Markov Chain Monte Carlo
.............................. 21
2.3.1
Simulation of Markov Random Fields
............... 24
3.
Large Deviation Theory
.................................. 27
3.1
Cramer s Theorem
...................................... 27
3.2 Gärtner-Ellis
Theorem
.................................. 34
3.3
Level Crossing Times
................................... 47
3.4
Functional of Finite State Space Markov Processes
......... 50
3.5
Contraction Principle
................................... 53
3.6
Notes and Comments
................................... 54
4.
Importance Sampling
..................................... 57
4.1
The Basic Problem of Rare Event Simulation
.............. 57
4.2
Importance Sampling
................................... 58
4.3
The Fundamental Theorem of System Simulation
........... 63
4.4
Conditional Importance Sampling
........................ 69
4.5
Simulation Diagnostics
.................................. 70
4.6
Notes and Comments
................................... 73
5.
The Large Deviation Theory of Importance Sampling Esti¬
mators
.................................................... 75
5.1
The Variance Rate of Importance Sampling Estimators
...... 75
X
Contents
5.2
Efficient Importance
Sampling Estimators
................. 81
5.2.1
The Dominating Point Case
....................... 84
5.2.2
Sets Coverable with Finitely Many HyperPlanes
...... 112
5.2.3
Sets Not Coverable with Finitely Many Hyper-Planes
. 118
5.3
Notes and Comments
................................... 119
6.
Variance Rate Theory of Conditional Importance Sampling
Estimators
................................................123
6.1
The Variance Rate of Conditional Importance Sampling Es¬
timators
...............................................123
6.2
Efficient Conditional Importance Sampling Estimators
......129
6.2.1
Conditioning Estimators for I.
I.D.
Sums
.............131
6.3
Notes and Comments
...................................138
7.
The Large Deviations of Bias Point Selection
.............141
7.1
The Variance Rate of Input and Output Estimators
.........141
7.2
Notes and Comments
...................................147
8.
Chernoff s Bound and Asymptotic Expansions
............151
8.1
li-
Valued Random Variables
.............................151
8.1.1
The NonLattice Case
.............................153
8.1.2
The Lattice Case
.................................154
8.2
Examples for the
R-valued Case
..........................157
8.3
nd-Valued Random Variables
............................159
8.4
Variance Expansion of Importance Sampling Estimators
.....164
8.5
Notes and Comments
...................................165
9.
Gaussian Systems
.........................................167
9.1
Systems in Gaussian Noise
...............................167
9.1.1
Efficient Estimators for Gaussian Disturbed Systems
. . 170
10.
Universal Simulation Distributions
.......................183
10.1
Universal Distributions
.................................. 183
10.2
The input formulation is not efficient
..................... 186
10.3
An Adaptive Strategy to Increase Hit Rate
................ 187
10.4
Notes and Comments
................................... 193
11.
Rare Event Simulation for Level Crossing and Queueing
Models
...................................................195
11.1
Simulation of Level Crossing Probabilities
.................195
11.2
Single-Server Queue
....................................198
11.3
Notes and Comments
...................................206
Contents
XI
12. Blind Simulation .........................................207
12.1
Introduction
...........................................207
12.2 Development...........................................209
12.2.1 LID.
Sum Case..................................
209
12.2.2
Direct-Twist Markov Chain Method
................214
13.
The (Over-Under) Biasing Problem in Importance Sam¬
pling
......................................................217
14.
Tools and Techniques for Importance Sampling
...........221
14.1
Adaptive Importance Sampling
...........................221
14.1.1
Empirical Variance Minimization
................... 222
14.1.2
Exponential Shifts and the Dominating Point Shift
Property
........................................ 225
14.2
Hit Rate Considerations
................................. 227
14.2.1
Hit Rates for a Single Exponential Shift
.............228
14.2.2
Hit Rates for the Universal Distributions
............229
14.3
Efficient Biasing of Functions of Independent Random Se¬
quences
...............................................233
14.3.1
Sums of Independent Sequences
....................235
14.4
The Method of Conditioning
.............................237
14.5
Simulating Ergodic Systems with Memory
.................238
14.5.1
Simulation Diagnostics
............................242
A. Convex Functions and Analysis
...........................245
B. A Covering Lemma
.......................................249
C. Pseudo-Random Number Generator Programs
...........251
References
....................................................255
Index
.........................................................259
|
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| author_facet | Bucklew, James Antonio |
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| author_sort | Bucklew, James Antonio |
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| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5/34 |
| dewey-search | 519.5/34 |
| dewey-sort | 3519.5 234 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| spelling | Bucklew, James Antonio Verfasser aut Introduction to rare event simulation James Antonio Bucklew New York, NY [u.a.] Springer 2004 XI, 260 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Springer series in statistics Literaturverz. S. 255 - 258 Grande déviation rasuqam Grandes desvios larpcal Grandes déviations Informatietheorie gtt Méthode de simulation rasuqam Processos estocásticos larpcal Schattingstheorie gtt Simulatie gtt Tests gtt Large deviations Simulation (DE-588)4055072-2 gnd rswk-swf Seltenes Ereignis (DE-588)4425827-6 gnd rswk-swf Große Abweichung (DE-588)4330658-5 gnd rswk-swf Seltenes Ereignis (DE-588)4425827-6 s Simulation (DE-588)4055072-2 s DE-604 Große Abweichung (DE-588)4330658-5 s Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013095661&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bucklew, James Antonio Introduction to rare event simulation Grande déviation rasuqam Grandes desvios larpcal Grandes déviations Informatietheorie gtt Méthode de simulation rasuqam Processos estocásticos larpcal Schattingstheorie gtt Simulatie gtt Tests gtt Large deviations Simulation (DE-588)4055072-2 gnd Seltenes Ereignis (DE-588)4425827-6 gnd Große Abweichung (DE-588)4330658-5 gnd |
| subject_GND | (DE-588)4055072-2 (DE-588)4425827-6 (DE-588)4330658-5 |
| title | Introduction to rare event simulation |
| title_auth | Introduction to rare event simulation |
| title_exact_search | Introduction to rare event simulation |
| title_full | Introduction to rare event simulation James Antonio Bucklew |
| title_fullStr | Introduction to rare event simulation James Antonio Bucklew |
| title_full_unstemmed | Introduction to rare event simulation James Antonio Bucklew |
| title_short | Introduction to rare event simulation |
| title_sort | introduction to rare event simulation |
| topic | Grande déviation rasuqam Grandes desvios larpcal Grandes déviations Informatietheorie gtt Méthode de simulation rasuqam Processos estocásticos larpcal Schattingstheorie gtt Simulatie gtt Tests gtt Large deviations Simulation (DE-588)4055072-2 gnd Seltenes Ereignis (DE-588)4425827-6 gnd Große Abweichung (DE-588)4330658-5 gnd |
| topic_facet | Grande déviation Grandes desvios Grandes déviations Informatietheorie Méthode de simulation Processos estocásticos Schattingstheorie Simulatie Tests Large deviations Simulation Seltenes Ereignis Große Abweichung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013095661&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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