Measuring the improbable: optimal Monte Carlo methods for rare event simulation of maxima of dependent random variables

测量不可能的事情：用于依赖随机变量最大值的罕见事件模拟的最优蒙特卡罗方法

• 批准号: DE130100819
• 负责人: Dr Leonardo Rojas-Nandayapa
• 金额: $ 20.73万
• 依托单位: The University of Queensland
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Early Career Researcher Award
• 财政年份: 2013
• 资助国家: 澳大利亚
• 起止时间: 2013-02-22 至 2016-02-23
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DE130100819
• 关键词: Measuring; improbable; optimal; Monte; Carlo

Some events occurring with low frequency can have dramatic consequences: natural catastrophes, economic crises, system malfunctions. Estimating their probabilities is a very difficult problem. This project will develop new simulation methods capable of delivering the most precise and efficient estimators for the probabilities of such events.

一些低频率发生的事件可能会产生戏剧性的后果：自然灾害，经济危机，系统故障。估计它们的概率是一个非常困难的问题。该项目将开发新的模拟方法，能够为此类事件的概率提供最精确和最有效的估计。