In a probabilistic model, a rare event is an event with a very small probability of occurrence. The forecasting of rare events is a formidable task but is impor

This book presents a unified theory of rare event simulation and the variance reduction technique known as importance sampling from the point of view of the pro

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical

Rare event probability (10-4 and less) estimation has become a large area of research in the reliability engineering and system safety domains. A significant nu

This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique