Geodesic
Some Recent Results in Rare Event Estimation
Virgile Caron1 ; Arnaud Guyader2 ; Miguel Munoz Zuniga3 ; Bruno Tuffin4
1 LSTA, UPMC-Paris VI, France;
2 Université Rennes 2, IRMAR, Inria Rennes, Campus de Villejean, 35043 Rennes Cedex, France;
3 Institut de Radioprotection et de Sreté Nucléaire, Fontenay-aux-roses, France;
4 Inria Rennes, Campus Universitaire de Beaulieu, 35042 Rennes Cedex, France;
ESAIM. Proceedings, Tome 44 (2014), pp. 239-259.

Voir la notice de l'article provenant de la source EDP Sciences

This article presents several state-of-the-art Monte Carlo methods for simulating and estimating rare events. A rare event occurs with a very small probability, but its occurrence is important enough to justify an accurate study. Rare event simulation calls for specific techniques to speed up standard Monte Carlo sampling, which requires unacceptably large sample sizes to observe the event a sufficient number of times. Among these variance reduction methods, the most prominent ones are Importance Sampling (IS) and Multilevel Splitting, also known as Subset Simulation. This paper offers some recent results on both aspects, motivated by theoretical issues as well as by applied problems.
DOI : 10.1051/proc/201444015

Virgile Caron 1 ; Arnaud Guyader 2 ; Miguel Munoz Zuniga 3 ; Bruno Tuffin 4

1 LSTA, UPMC-Paris VI, France;
2 Université Rennes 2, IRMAR, Inria Rennes, Campus de Villejean, 35043 Rennes Cedex, France;
3 Institut de Radioprotection et de Sreté Nucléaire, Fontenay-aux-roses, France;
4 Inria Rennes, Campus Universitaire de Beaulieu, 35042 Rennes Cedex, France; 
@article{EP_2014_44_a15,
     author = {Virgile Caron and Arnaud Guyader and Miguel Munoz Zuniga and Bruno Tuffin},
     title = {Some {Recent} {Results} in {Rare} {Event} {Estimation}},
     journal = {ESAIM. Proceedings},
     pages = {239--259},
     publisher = {mathdoc},
     volume = {44},
     year = {2014},
     doi = {10.1051/proc/201444015},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/proc/201444015/}
}
TY  - JOUR
AU  - Virgile Caron
AU  - Arnaud Guyader
AU  - Miguel Munoz Zuniga
AU  - Bruno Tuffin
TI  - Some Recent Results in Rare Event Estimation
JO  - ESAIM. Proceedings
PY  - 2014
SP  - 239
EP  - 259
VL  - 44
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.1051/proc/201444015/
DO  - 10.1051/proc/201444015
LA  - en
ID  - EP_2014_44_a15
ER  - 
%0 Journal Article
%A Virgile Caron
%A Arnaud Guyader
%A Miguel Munoz Zuniga
%A Bruno Tuffin
%T Some Recent Results in Rare Event Estimation
%J ESAIM. Proceedings
%D 2014
%P 239-259
%V 44
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.1051/proc/201444015/
%R 10.1051/proc/201444015
%G en
%F EP_2014_44_a15
Virgile Caron; Arnaud Guyader; Miguel Munoz Zuniga; Bruno Tuffin. Some Recent Results in Rare Event Estimation. ESAIM. Proceedings, Tome 44 (2014), pp. 239-259. doi : 10.1051/proc/201444015. http://geodesic.mathdoc.fr/articles/10.1051/proc/201444015/

Cité par Sources :