Probabilistic Bounded Relative Error Property for Learning Rare Event Simulation Techniques

Bounded Relative Error Importance Sampling and Rare Event Simulation

We consider estimating tail events using exponential families of importance sampling distributions and show that under mild conditions on the exponential family we can achieve bounded relative error. Keywords: rare event simulation, relative error, g&h distribution, Monte Carlo methods, Importance sampling, Cross-entropy, Rényi Divergence. 1 Introduction Suppose X is a random variable with cumu...

Rare Event Provoking Simulation Techniques

Importance sampling is the rare event provoking technique that is most frequently used for speed-up simulation of dependability and traffic models. Due to its sensitivity to the parameter settings, it is not yet ready for practical use. There exists a number of approaches for finding optimal, or at least good, parameters. The applicability of these and necessary extensions are discussed with re...

Rare event simulation for probabilistic models of T-cell activation

Using Symbolic Simulation for Bounded Property Checking

Assuring correctness of digital designs is one of the major tasks in the system design flow. Formal methods have been proposed to accompany commonly used simulation approaches. In this paper we describe a new technique of property checking using symbolic simulation which can be applied to larger designs. This technique seamlessly integrate formal verification and standard simulation. The propos...

Rare-event Simulation Techniques: An Introduction and Recent Advances

In this chapter we review some of the recent developments for efficient estimation of rareevents, most of which involve application of importance sampling techniques to achieve variance reduction. The zero-variance importance sampling measure is well known and in many cases has a simple representation. Though not implementable, it proves useful in selecting good and implementable importance sam...