Welcome to the new version of CaltechAUTHORS. Login is currently restricted to library staff. If you notice any issues, please email coda@library.caltech.edu
Published June 17, 2017 | public
Book Section - Chapter

Rare-Event Simulation

Abstract

Rare events are events that are expected to occur infrequently or, more technically, those that have low probabilities (say, order of 10⁻³ or less) of occurring according to a probability model. In the context of uncertainty quantification, the rare events often correspond to failure of systems designed for high reliability, meaning that the system performance fails to meet some design or operation specifications. As reviewed in this section, computation of such rare-event probabilities is challenging. Analytical solutions are usually not available for nontrivial problems, and standard Monte Carlo simulation is computationally inefficient. Therefore, much research effort has focused on developing advanced stochastic simulation methods that are more efficient. In this section, we address the problem of estimating rare-event probabilities by Monte Carlo simulation, importance sampling, and subset simulation for highly reliable dynamic systems.

Additional Information

© 2017 Springer International Publishing Switzerland.

Additional details

Created:
August 21, 2023
Modified:
October 26, 2023