Rare events

罕见事件

• 批准号: 4551-2011
• 负责人: McDonald, David
• 金额: $ 1.17万
• 依托单位: University of Ottawa
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2014
• 资助国家: 加拿大
• 起止时间: 2014-01-01 至 2015-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=544202
• 关键词: Rare; events

Rare events arise, often with catastrophic consequences, in fields such as finance, manufacturing and telecommunications. A rare event might be large number of claims in a short period of time bankrupting an insurance company or an unexpectedly high rate of packet arrivals may cause a buffer overload in a telecommunications system. Rare events are difficult to simulate precisely because the event of interest occurs so rarely. The proposal is to calculate the probability of particular large deviations, and find the most probable path. These two pieces of information can help redesign a system to make the rare event even less likely. Of particular interest are large deviations where the most probable path is nonlinear; i.e. it is sometimes the case that one gets sideswiped by a rare event in another part of the system whose failure cascades across the network. A recent idea of an approximate time reversal seems to be the key to solving these nonlinear problems. The applicant hopes to apply these methods to finance (R. Nikzad is working on a problem relevant to the bank of Canada) to rare event simulation (Jesse Collingwood is doing his Ph.D. on rare events in engineering) and to telecommunications.

在金融、制造和电信等领域，罕见事件的发生往往会带来灾难性后果。罕见事件可能是短时间内大量索赔导致保险公司破产，或者意外的高数据包到达率可能导致电信系统中的缓冲区过载。 罕见事件很难精确模拟，因为感兴趣的事件很少发生。该建议是计算特定大偏差的概率，并找到最可能的路径。这两条信息可以帮助重新设计系统，从而降低罕见事件发生的可能性。特别令人感兴趣的是大偏差，其中最可能的路径是非线性的；即，有时会出现这样的情况：系统的另一部分发生罕见事件，而该部分的故障会在整个网络中级联。最近提出的近似时间反转的想法似乎是解决这些非线性问题的关键。申请人希望将这些方法应用于金融（R. Nikzad 正在研究与加拿大银行相关的问题）、罕见事件模拟（Jesse Collingwood 正在攻读工程中罕见事件的博士学位）以及电信领域。