Rare Event Simulation using Monte Carlo Methods

In a probabilistic model, a rare event is an event with a verysmall probability of occurrence. The forecasting of rare events isa formidable task but is important in many areas. For instance acatastrophic failure in a transport system or in a nuclear powerplant, the failure of an information processing system in a bank,or in the communication network of a group of banks, leading tofinancial losses. Being able to evaluate the probability of rareevents is therefore a critical issue. Monte Carlo Methods, the simulation of corresponding models, areused to analyze rare events. This book sets out to present themathematical tools available for the efficient simulation of rareevents. Importance sampling and splitting are presented along withan exposition of how to apply these tools to a variety of fieldsranging from performance and dependability evaluation of complexsystems, typically in computer science or in telecommunications, tochemical reaction analysis in biology or particle transport inphysics. Graduate students, researchers and practitioners who wish tolearn and apply rare event simulation techniques will find thisbook beneficial.