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[ October 09, 2019]
Rare-Event Simulation of Regenerative Systems
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- Speaker:
- Bruno Tuffin
- Date:
- Oct. 10， 2019
- Time:
- 10:00am
- Location:
- 210, COE Building No.1
- Host:
- Yijie Peng
- Abstract
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Rare events occur by definition with a very small probability but are important to analyze because of potential catastrophic consequences. During this talk, we will focus on rare event for so-called regenerative processes, that are basically processes such that portions of the process are statistically independent of each other. For many complex and/or large models, simulation is the only tool at hand but requires specific implementations to get an accurate answer in a reasonable time. There are two main families of rare-event simulation techniques: importance sampling (IS) and splitting.
This talk is mostly based on collaborative works with Peter W. Glynn and Marvin K. Nakayama.
- Biography
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Bruno TUFFIN received his PhD degree in applied mathematics from the University of Rennes 1 (France) in 1997. Since then, he has been with INRIA in Rennes. His research interests include developing Monte Carlo and quasi-Monte Carlo simulation techniques for the performance evaluation of telecommunication systems and telecommunication-related economical models. He is currently Area Editor for INFORMS Journal on Computing Associate Editor for ACM Transactions on Modeling and Computer Simulation. He has written or co-written three books (two devoted to simulation): Rare event simulation using Monte Carlo methods published by John Wiley & Sons in 2009, La simulation de Monte Carlo (in French), published by Hermes Editions in 2010, and Telecommunication Network Economics: From Theory to Applications, published by Cambridge University Press in 2014. His email address is bruno.tuffin@inria.fr and web web page is http://www.irisa.fr/dionysos/pages_perso/tuffin/Tuffin_en.htm