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Rare events in stochastic systems: M...

Shi, Yixi.

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Rare events in stochastic systems: Modeling, simulation design and algorithm analysis.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Rare events in stochastic systems: Modeling, simulation design and algorithm analysis./
Author:	Shi, Yixi.
Description:	228 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-06(E), Section: B.
Contained By:	Dissertation Abstracts International74-06B(E).
Subject:	Engineering, System Science. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3553698
ISBN:	9781267933485

Rare events in stochastic systems: Modeling, simulation design and algorithm analysis.
Shi, Yixi.

Rare events in stochastic systems: Modeling, simulation design and algorithm analysis. - 228 p.

Source: Dissertation Abstracts International, Volume: 74-06(E), Section: B.

Thesis (Ph.D.)--Columbia University, 2013.

This dissertation explores a few topics in the study of rare events in stochastic systems, with a particular emphasis on the simulation aspect. This line of research has been receiving a substantial amount of interest in recent years, mainly motivated by scientic and industrial applications in which system performance is frequently measured in terms of events with very small probabilities.

ISBN: 9781267933485Subjects--Topical Terms:

1018128
Engineering, System Science.

Rare events in stochastic systems: Modeling, simulation design and algorithm analysis.
LDR:01879nam a2200289 4500 001 1960741
005 20140624205959.5
008 150210s2013 ||||||||||||||||| ||eng d
020 $a 9781267933485
035 $a (MiAaPQ)AAI3553698
035 $a AAI3553698
040 $a MiAaPQ $c MiAaPQ
100 1 $a Shi, Yixi. $3 2096451
245 1 0 $a Rare events in stochastic systems: Modeling, simulation design and algorithm analysis.
300 $a 228 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-06(E), Section: B.
500 $a Adviser: Jose H. Blanchet.
502 $a Thesis (Ph.D.)--Columbia University, 2013.
520 $a This dissertation explores a few topics in the study of rare events in stochastic systems, with a particular emphasis on the simulation aspect. This line of research has been receiving a substantial amount of interest in recent years, mainly motivated by scientic and industrial applications in which system performance is frequently measured in terms of events with very small probabilities.
520 $a The topics mainly break down into the following themes: - Algorithm Analysis: Chapters 2, 3, 4 and 5. - Simulation Design: Chapters 3, 4 and 5. - Modeling: Chapter 5. The titles of the main chapters are detailed as follows: Chapter 2: Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks Chapter 3: Splitting for Heavy-tailed Systems: An Exploration with Two Algorithms Chapter 4: State Dependent Importance Sampling with Cross Entropy for Heavy-tailed Systems Chapter 5: Stochastic Insurance-Reinsurance Networks: Modeling, Analysis and Efficient Monte Carlo.
590 $a School code: 0054.
650 4 $a Engineering, System Science. $3 1018128
650 4 $a Mathematics. $3 515831
690 $a 0790
690 $a 0405
710 2 $a Columbia University. $b Operations Research. $3 2096452
773 0 $t Dissertation Abstracts International $g 74-06B(E).
790 $a 0054
791 $a Ph.D.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3553698