A Review of Rare Event Simulation

Authors

Liping Wang, Department of Automation, Tsinghua University, Beijing 100084, China;
Wenhui Fan, Department of Automation, Tsinghua University, Beijing 100084, China;

Abstract

Abstract: Rare-event has a great significance for its lower probability of occurrence and greater harmfulness, the traditional Monte Carlo method is difficult to analyze it effectively. Rare-event simulation technique which is developed quickly and applied in many areas can sample the rare-event effectively with variance reduction methods and can estimate the occurrence probability of rare-event. The research status of rare-event simulation technique is summarized firstly; the principles, problems and progress of the main methods are analyzed and concluded secondly; after that the application fields of the technique are elaborated and summarized; the future development tendency of rare event simulation technique is discussed finally.

Recommended Citation

Wang, Liping and Fan, Wenhui (2019) "A Review of Rare Event Simulation," Journal of System Simulation: Vol. 30: Iss. 9, Article 3.
DOI: 10.16182/j.issn1004731x.joss.201809003
Available at: https://dc-china-simulation.researchcommons.org/journal/vol30/iss9/3

First Page

3249

DOI Link

https://doi.org/10.16182/j.issn1004731x.joss.201809003

Last Page

3254

CLC

TP391.9

Recommended Citation

Wang Liping, Fan Wenhui. A Review of Rare Event Simulation[J]. Journal of System Simulation, 2018, 30(9): 3249-3254.

DOI

10.16182/j.issn1004731x.joss.201809003