Open Collections

Rare event simulation : a point process interpretation with application in probability and quantile estimation

International Conference on Applications of Statistics and Probability (12th : 2015 : Vancouver, B.C.)

This paper addresses the issue of estimating extreme probability and quantile on the output of complex computer codes. We introduce a new approach to solve this problem in term of a random walk in the output space, leading to two main results: (1) the number of samples required to get a realisation of a random variable in a given domain of probability measure p is drastically reduced, following a Poisson law with parameter log1/p; and (2) we get parallel algorithms for estimating probabilities and quantiles and especially the optimal parallel Multilevel Splitting algorithm where there is indeed no subset to define anymore.

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This collection contains the proceedings of ICASP12, the 12th International Conference on Applications of Statistics and Probability in Civil Engineering held in Vancouver, Canada on July 12-15, 2015. Abstracts were peer-reviewed and authors of accepted abstracts were invited to submit full papers. Also full papers were peer reviewed. The editor for this collection is Professor Terje Haukaas, Department of Civil Engineering, UBC Vancouver.

Vancouver : University of British Columbia Library

10.14288/1.0076243

Non UBC

Unreviewed

http://creativecommons.org/licenses/by-nc-nd/2.5/ca/