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Handbook of Uncertainty Quantification pp 1075–1100Cite as

Rare-Event Simulation

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Abstract

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 quantification, the rare events often correspond to failure of systems designed for high reliability, meaning that the system performance fails to meet some design or operation specifications. As reviewed in this section, computation of such rare-event probabilities is challenging. Analytical solutions are usually not available for nontrivial problems, and standard Monte Carlo simulation is computationally inefficient. Therefore, much research effort has focused on developing advanced stochastic simulation methods that are more efficient. In this section, we address the problem of estimating rare-event probabilities by Monte Carlo simulation, importance sampling, and subset simulation for highly reliable dynamic systems.

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Author information

Authors and Affiliations

  1. Department of Computing and Mathematical Sciences, California Institute of Technology, Pasadena, CA, 91125, USA

    James L. Beck & Konstantin M. Zuev

Authors
  1. James L. Beck
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  2. Konstantin M. Zuev
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Correspondence to James L. Beck .

Editor information

Editors and Affiliations

  1. Department of Civil and Environmental Engineering, University of Southern California, Los Angeles, California, USA

    Roger Ghanem

  2. Social and Decision Analytics Laboratory, Virginia Bioinformatics Institute, Virginia Tech University, Arlington, Virginia, USA

    David Higdon

  3. Computing and Mathematical Sciences, California Institute of Technology, Pasadena, California, USA

    Houman Owhadi

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Beck, J.L., Zuev, K.M. (2017). Rare-Event Simulation. In: Ghanem, R., Higdon, D., Owhadi, H. (eds) Handbook of Uncertainty Quantification. Springer, Cham. https://doi.org/10.1007/978-3-319-12385-1_24

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