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Analysis and Approximation of Rare Events

Analysis and Approximation of Rare Events
Author: Amarjit Budhiraja
Publisher: Springer
Total Pages: 574
Release: 2019-08-10
Genre: Mathematics
ISBN: 1493995790

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This book presents broadly applicable methods for the large deviation and moderate deviation analysis of discrete and continuous time stochastic systems. A feature of the book is the systematic use of variational representations for quantities of interest such as normalized logarithms of probabilities and expected values. By characterizing a large deviation principle in terms of Laplace asymptotics, one converts the proof of large deviation limits into the convergence of variational representations. These features are illustrated though their application to a broad range of discrete and continuous time models, including stochastic partial differential equations, processes with discontinuous statistics, occupancy models, and many others. The tools used in the large deviation analysis also turn out to be useful in understanding Monte Carlo schemes for the numerical approximation of the same probabilities and expected values. This connection is illustrated through the design and analysis of importance sampling and splitting schemes for rare event estimation. The book assumes a solid background in weak convergence of probability measures and stochastic analysis, and is suitable for advanced graduate students, postdocs and researchers.


Rare Event Simulation using Monte Carlo Methods

Rare Event Simulation using Monte Carlo Methods
Author: Gerardo Rubino
Publisher: John Wiley & Sons
Total Pages: 278
Release: 2009-03-18
Genre: Mathematics
ISBN: 9780470745410

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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.


Laws of Small Numbers: Extremes and Rare Events

Laws of Small Numbers: Extremes and Rare Events
Author: Michael Falk
Publisher: Birkhäuser
Total Pages: 381
Release: 2013-11-11
Genre: Mathematics
ISBN: 3034877919

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Since the publication of the first edition of this seminar book, the theory and applications of extremes and rare events have seen increasing interest. Laws of Small Numbers gives a mathematically oriented development of the theory of rare events underlying various applications. The new edition incorporates numerous new results on about 130 additional pages. Part II, added in the second edition, discusses recent developments in multivariate extreme value theory.


Switching Processes in Queueing Models

Switching Processes in Queueing Models
Author: Vladimir Anisimov
Publisher: John Wiley & Sons
Total Pages: 268
Release: 2013-03-01
Genre: Mathematics
ISBN: 1118623487

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Switching processes, invented by the author in 1977, is the main tool used in the investigation of traffic problems from automotive to telecommunications. The title provides a new approach to low traffic problems based on the analysis of flows of rare events and queuing models. In the case of fast switching, averaging principle and diffusion approximation results are proved and applied to the investigation of transient phenomena for wide classes of overloading queuing networks. The book is devoted to developing the asymptotic theory for the class of switching queuing models which covers models in a Markov or semi-Markov environment, models under the influence of flows of external or internal perturbations, unreliable and hierarchic networks, etc.


Reaction Rate Theory and Rare Events

Reaction Rate Theory and Rare Events
Author: Baron Peters
Publisher: Elsevier
Total Pages: 634
Release: 2017-03-22
Genre: Technology & Engineering
ISBN: 0444594701

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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


Nonlinear Dynamics in Geosciences

Nonlinear Dynamics in Geosciences
Author: Anastasios A. Tsonis
Publisher: Springer Science & Business Media
Total Pages: 603
Release: 2007-09-25
Genre: Language Arts & Disciplines
ISBN: 0387349170

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This work comprises the proceedings of a conference held last year in Rhodes, Greece, to assess developments during the last 20 years in the field of nonlinear dynamics in geosciences. The volume has its own authority as part of the Aegean Conferences cycle, but it also brings together the most up-to-date research from the atmospheric sciences, hydrology, geology, and other areas of geosciences, and discusses the advances made and the future directions of nonlinear dynamics.


A Weak Convergence Approach to the Theory of Large Deviations

A Weak Convergence Approach to the Theory of Large Deviations
Author: Paul Dupuis
Publisher: John Wiley & Sons
Total Pages: 506
Release: 2011-09-09
Genre: Mathematics
ISBN: 1118165896

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Applies the well-developed tools of the theory of weak convergenceof probability measures to large deviation analysis--a consistentnew approach The theory of large deviations, one of the most dynamic topics inprobability today, studies rare events in stochastic systems. Thenonlinear nature of the theory contributes both to its richness anddifficulty. This innovative text demonstrates how to employ thewell-established linear techniques of weak convergence theory toprove large deviation results. Beginning with a step-by-stepdevelopment of the approach, the book skillfully guides readersthrough models of increasing complexity covering a wide variety ofrandom variable-level and process-level problems. Representationformulas for large deviation-type expectations are a key tool andare developed systematically for discrete-time problems. Accessible to anyone who has a knowledge of measure theory andmeasure-theoretic probability, A Weak Convergence Approach to theTheory of Large Deviations is important reading for both studentsand researchers.


Introduction to Rare Event Simulation

Introduction to Rare Event Simulation
Author: James Bucklew
Publisher: Springer Science & Business Media
Total Pages: 262
Release: 2013-03-09
Genre: Mathematics
ISBN: 1475740786

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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.


Guidelines for Chemical Process Quantitative Risk Analysis

Guidelines for Chemical Process Quantitative Risk Analysis
Author: CCPS (Center for Chemical Process Safety)
Publisher: John Wiley & Sons
Total Pages: 784
Release: 2010-08-27
Genre: Technology & Engineering
ISBN: 0470935413

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Chemical process quantitative risk analysis (CPQRA) as applied to the CPI was first fully described in the first edition of this CCPS Guidelines book. This second edition is packed with information reflecting advances in this evolving methodology, and includes worked examples on a CD-ROM. CPQRA is used to identify incident scenarios and evaluate their risk by defining the probability of failure, the various consequences and the potential impact of those consequences. It is an invaluable methodology to evaluate these when qualitative analysis cannot provide adequate understanding and when more information is needed for risk management. This technique provides a means to evaluate acute hazards and alternative risk reduction strategies, and identify areas for cost-effective risk reduction. There are no simple answers when complex issues are concerned, but CPQRA2 offers a cogent, well-illustrated guide to applying these risk-analysis techniques, particularly to risk control studies. Special Details: Includes CD-ROM with example problems worked using Excel and Quattro Pro. For use with Windows 95, 98, and NT.


Recent Advances in Reliability Theory

Recent Advances in Reliability Theory
Author: N. Limnios
Publisher: Springer Science & Business Media
Total Pages: 515
Release: 2012-12-06
Genre: Technology & Engineering
ISBN: 1461213843

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This book presents thirty-one extensive and carefully edited chapters providing an up-to-date survey of new models and methods for reliability analysis and applications in science, engineering, and technology. The chapters contain broad coverage of the latest developments and innovative techniques in a wide range of theoretical and numerical issues in the field of statistical and probabilistic methods in reliability.