Related papers: Rare event simulation for electronic circuit desig…
We present an analytical technique to compute the probability of rare events in which the largest eigenvalue of a random matrix is atypically large (i.e.\ the right tail of its large deviations). The results also transfer to the left tail…
Rare events can potentially occur in many applications. When manifested as opportunities to be exploited, risks to be ameliorated, or certain features to be extracted, such events become of paramount significance. Due to their sporadic…
Rare events are ubiquitous in many different fields, yet they are notoriously difficult to simulate because few, if any, events are observed in a conventiona l simulation run. Over the past several decades, specialised simulation methods…
Rare events are processes that occur upon the emergence of unlikely fluctuations. Unlike what their name suggests, rare events are fairly ubiquitous in nature, as the occurrence of many structural transformations in biology and material…
We study rare events in systems of diffusive fields driven out of equilibrium by the boundaries. We present a numerical technique and use it to calculate the probabilities of rare events in one and two dimensions. Using this technique, we…
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 propose a new method for estimating rare event probabilities when independent samples are available. It is assumed that the underlying probability measures satisfy a large deviations principle with a scaling parameter $\varepsilon$ that…
We are interested in bounding probabilities of rare events in the context of computer experiments. These rare events depend on the output of a physical model with random input variables. Since the model is only known through an expensive…
While recent developments in autonomous vehicle (AV) technology highlight substantial progress, we lack tools for rigorous and scalable testing. Real-world testing, the $\textit{de facto}$ evaluation environment, places the public in…
The paper presents a new efficient and robust method for rare event probability estimation for computational models of an engineering product or a process returning categorical information only, for example, either success or failure. For…
Studying extreme events and how they evolve in a changing climate is one of the most important current scientific challenges. Starting from complex climate models, a key difficulty is to be able to run long enough simulations in order to…
Estimating the probability of rare failure events is an essential step in the reliability assessment of engineering systems. Computing this failure probability for complex non-linear systems is challenging, and has recently spurred the…
Randomized protocols are procedures that incorporate probabilistic choices during their execution and they play a central role in quantum algorithms, spanning Hamiltonian simulation, noise mitigation, and measurement tasks. In practical…
Approximate circuits trading the power consumption for the quality of results play a key role in the development of energy-aware systems. Designing complex approximate circuits is, however, a very difficult and computationally demanding…
The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an…
We consider importance sampling to estimate the probability $\mu$ of a union of $J$ rare events $H_j$ defined by a random variable $\boldsymbol{x}$. The sampler we study has been used in spatial statistics, genomics and combinatorics going…
Assessing the risk of low-probability high-impact transient instability (TI) events is crucial for ensuring robust and stable power system operation under high uncertainty. However, direct Monte Carlo (DMC) simulation for rare TI event…
For statistics of rare events in systems obeying a large-deviation principle, the rate function is a key quantity. When numerically estimating the rate function one is always restricted to finite system sizes. Thus, if the interest is in…
We study the extreme events taking place on complex networks. The transport on networks is modelled using random walks and we compute the probability for the occurance and recurrence of extreme events on the network. We show that the nodes…
This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default under multi-factor models. Due to the amount of the portfolio, the heterogeneous effect of…