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Conference Papers Year : 2014

Techniques for rare event analysis and applications


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.
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Dates and versions

hal-00938345 , version 1 (29-01-2014)


  • HAL Id : hal-00938345 , version 1


Gerardo Rubino. Techniques for rare event analysis and applications. UQAW - Advances in Uncertainty Quantification Methods, Algorithms and Applications, KAUST - King Abdullah University of Science and Technology, Jan 2014, Tuwal, Saudi Arabia. ⟨hal-00938345⟩
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