Techniques for rare event analysis and applications

Gerardo Rubino 1
1 DIONYSOS - Dependability Interoperability and perfOrmance aNalYsiS Of networkS
Inria Rennes – Bretagne Atlantique , IRISA-D2 - RÉSEAUX, TÉLÉCOMMUNICATION ET SERVICES
Abstract : When systems are complex and critical, and when we are interested in their dependability properties (reliability, availability in its many forms, etc.), only simulation can be used for their analysis: if the system is complex, analytical and numerical procedures are in general useless. In this situation, the main difficulty relies in the rare event problem: if the system is critical, catastrophic failures have small probabilities to occur (but huge consequences, making their study critical as well). In this talk we briefly describe the two main families of Monte Carlo techniques that are used today in the area: Importance Sampling and the specific Zero-Variance approach, and Splitting procedures. Some examples will illustrate the presentation.
Type de document :
Communication dans un congrès
UQAW - Advances in Uncertainty Quantification Methods, Algorithms and Applications, Jan 2014, Tuwal, Saudi Arabia. 2014
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https://hal.inria.fr/hal-00938345
Contributeur : Gerardo Rubino <>
Soumis le : mercredi 29 janvier 2014 - 12:20:59
Dernière modification le : mercredi 11 avril 2018 - 02:01:22

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  • HAL Id : hal-00938345, version 1

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Gerardo Rubino. Techniques for rare event analysis and applications. UQAW - Advances in Uncertainty Quantification Methods, Algorithms and Applications, Jan 2014, Tuwal, Saudi Arabia. 2014. 〈hal-00938345〉

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