Related papers: Rare-Event Simulation for Many-Server Queues
Machine learning models have prevalent applications in many real-world problems, which increases the importance of correctness in the behaviour of these trained models. Finding a good test case that can reveal the potential failure in these…
The efficient calculation of rare-event kinetics in complex dynamical systems, such as the rate and pathways of ligand dissociation from a protein, is a generally unsolved problem. Markov state models can systematically integrate ensembles…
We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed…
It's a situation everyone dreads. A road is down to one lane for repairs. Traffic is let through one way until the backlog clears and then traffic is let through the other way to clear that backlog and so on. When stuck in a very long queue…
The goal of this paper is to develop provably efficient importance sampling Monte Carlo methods for the estimation of rare events within the class of linear stochastic partial differential equations (SPDEs). We find that if a spectral gap…
We consider a linear stochastic fluid network under Markov modulation, with a focus on the probability that the joint storage level attains a value in a rare set at a given point in time. The main objective is to develop efficient…
Particle splitting methods are considered for the estimation of rare events. The probability of interest is that a Markov process first enters a set $B$ before another set $A$, and it is assumed that this probability satisfies a large…
The probability of rare and extreme events is an important quantity for design purposes. However, computing the probability of rare events can be expensive because only a few events, if any, can be observed. To this end, it is necessary to…
We propose a simple recurrent model for detecting rare sound events, when the time boundaries of events are available for training. Our model optimizes the combination of an utterance-level loss, which classifies whether an event occurs in…
In this paper we address the problem of rare-event simulation for heavy-tailed L\'evy processes with infinite activities. We propose a strongly efficient importance sampling algorithm that builds upon the sample path large deviations for…
In this work, we introduce a new acquisition function for sequential sampling to efficiently quantify rare-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. Our…
Understanding rare events is critical across domains ranging from signal processing to reliability and structural safety, extreme-weather forecasting, and insurance. The analysis of rare events is a computationally challenging problem,…
The importance of state estimation in fluid mechanics is well-established; it is required for accomplishing several tasks including design/optimization, active control, and future state prediction. A common tactic in this regards is to rely…
Many turbulent flows undergo drastic and abrupt configuration changes with huge impacts. As a paradigmatic example we study the multistability of jet dynamics in a barotropic beta plane model of atmosphere dynamics. It is considered as the…
Evaluating the reliability of intelligent physical systems against rare safety-critical events poses a huge testing burden for real-world applications. Simulation provides a useful platform to evaluate the extremal risks of these systems…
We study many-server queues with abandonment in which customers have general service and patience time distributions. The dynamics of the system are modeled using measure- valued processes, to keep track of the residual service and patience…
Given a marked renewal point process (assuming that the marks are i.i.d.) we say that an unbounded region is stable if it contains finitely many points of the point process with probability one. In this paper we provide algorithms that…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
Computing the return times of extreme events and assessing the impact of climate change on such return times is fundamental to extreme event attribution studies. However, the rarity of such events in the observational record makes this task…
Article describes the results of the development and using of Rare-Event Monte-Carlo Simulation Algorithms for Dynamic Fault Trees Estimation. For Fault Trees estimation usually analytical methods are used (Minimal Cut sets, Markov Chains,…