Introduction to Rare‐Event Simulation

John Shortle · Pierre L’Ecuyer

33 citations0/0 files storedWiley Encyclopedia of Operations Research and Management Science

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Simulation Techniques and Applications Probability and Risk Models Markov Chains and Monte Carlo Methods

Abstract

Abstract Without special techniques, simulation of rare events can be prohibitive due to the large amount of computer time needed. This article gives an introduction to methods that can be used to substantially reduce the variance associated with simulating rare events. Two broad classes of methods are discussed—importance sampling and splitting.

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References

2008Fundamentals of Queueing Theory 1995Fast simulation of rare events in queueing and reliability models 2004Introduction to Rare Event Simulation 2009Rare Event Simulation using Monte Carlo Methods 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances 2010Asymptotic robustness of estimators in rare-event simulation 2007Rare events, splitting, and quasi-Monte Carlo 2008Stochastic Simulation

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