Related papers: Rare Events in Random Geometric Graphs
In this paper, we study rare events in spherical and Gaussian random geometric graphs in high dimensions. In these models, the vertices correspond to points sampled uniformly at random on the $d$ dimensional unit sphere or correspond to $d$…
Random geometric graphs defined on Euclidean subspaces, also called Gilbert graphs, are widely used to model spatially embedded networks across various domains. In such graphs, nodes are located at random in Euclidean space, and any two…
We develop a biased Monte Carlo algorithm to measure probabilities of rare events in cluster-cluster aggregation for arbitrary collision kernels. Given a trajectory with a fixed number of collisions, the algorithm modifies both the waiting…
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…
Given a Poisson process on a bounded interval, its random geometric graph is the graph whose vertices are the points of the Poisson process and edges exist between two points if and only if their distance is less than a fixed given…
In this paper, we propose a novel robust stochastic optimization approach with a distinctive consideration for rare events, in which divergence measures are used to bound the event-wise ambiguity sets. This is done by using the Poisson…
We consider systems of stochastic differential equations with multiple scales and small noise and assume that the coefficients of the equations are ergodic and stationary random fields. Our goal is to construct provably-efficient importance…
Computation of the probability that a random graph is connected is a challenging problem, so it is natural to turn to approximations such as Monte Carlo methods. We describe sequential importance resampling and splitting algorithms for the…
Rare events are events that are expected to occur infrequently, or more technically, those that have low probabilities (say, order of $10^{-3}$ or less) of occurring according to a probability model. In the context of uncertainty…
Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator within a parametric family, we…
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit state function, which depends on the solution of a partial…
A method based on multicanonical Monte Carlo is applied to the calculation of large deviations in the largest eigenvalue of random matrices. The method is successfully tested with the Gaussian orthogonal ensemble (GOE), sparse random…
Consider a stationary Poisson point process in $\mathbb{R}^d$ and connect any two points whenever their distance is less than or equal to a prescribed distance parameter. This construction gives rise to the well known random geometric…
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…
Rare weather and climate events, such as heat waves and floods, can bring tremendous social costs. Climate data is often limited in duration and spatial coverage, and climate forecasting has often turned to simulations of climate models to…
Solving decision problems in complex, stochastic environments is often achieved by estimating the expected outcome of decisions via Monte Carlo sampling. However, sampling may overlook rare, but important events, which can severely impact…
We study the number of isolated nodes in a soft random geometric graph whose vertices constitute a Poisson process on the torus of length L (the line segment [0,L] with periodic boundary conditions), and where an edge is present between two…
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution in a general large deviations regime. Our estimator is based…
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,…
For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance of numerical approximations of the Markov process. Recent work in the exact and…