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Rare Event Simulation using Monte Carlo Methods
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.
280 pages; ISBN 9780470745410
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