Rare Event Simulation : Theory and Practice

Bruno Tuffin

INRIA, University of Rennes 1, France

20th November 2024, Wednesday (09:00-10:00), Room 1

Session Chair : Rahim Kacimi, IRIT, Paul Sabatier University, France

ABSTRACT

Since rare events are unlikely to occur, one may think that their probability evaluation may be neglected. Though the consequences of such events may be dramatic in many areas. Examples are a catastrophic failure in a transport system or in a nuclear power plant, the failure of an information processing system in a bank, or in the communication network of a group of banks, leading to financial losses, etc. Being able to evaluate the probability of rare events is therefore a critical issue.

Monte Carlo simulation methods are used to analyze rare events. This presentation will present the challenges, difficulties, and the mathematical tools available for the efficient simulation of rare events. Importance sampling and splitting will be presented along with an exposition of how to apply these tools to a variety of fields ranging from performance and dependability evaluation of complex systems, typically in computer science or in telecommunications. Recent issues related to quantile estimation and the link with extreme values will also be discussed.

BIOGRAPHY

Prof. Bruno Tuffin received his PhD degree in applied mathematics from the University of Rennes 1, France, in 1997 and spent 8 months at Duke University. Since then, he has been with Inria in Rennes and is leading the Ermine team since 2022. 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. Overall, he has published close to two hundred papers and has written or co-written four books: Rare Event Simulation using Monte Carlo Methods, John Wiley & Sons in 2009, La simulation Monte Carlo, Editions Hermès in 2010, Telecommunication Network Economics: From Theory to Applications published by Cambridge University Press in 2014 and From Net Neutrality to ICT Neutrality, Springer, 2022. He is currently Area Editor for INFORMS Journal on Computing and Associate Editor for ACM Transactions on Modeling and Computer Simulation and Queuing Systems.