The research and simulation about rare events based on MCMC

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In this paper, the importance of the rare events has been strengthened and the MCMC (Markov Chain Monte Carlo) sampling is proposed to simulate the possibility of the rare events instead of traditional standard Monte Carlo simulation. Gibbs sampling as one of the popular and widely used algorithm is adopted for MCMC methodology. In the end of this paper, a useful software WinBUGS was introduced to provide some proof for MCMC method based on Gibbs sampling to estimate the possibility of rare events.

Original languageEnglish
Title of host publicationProceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages694-698
Number of pages5
ISBN (Electronic)9781479970179
DOIs
StatePublished - 17 Jul 2015
Event27th Chinese Control and Decision Conference, CCDC 2015 - Qingdao, China
Duration: 23 May 201525 May 2015

Publication series

NameProceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015

Conference

Conference27th Chinese Control and Decision Conference, CCDC 2015
Country/TerritoryChina
CityQingdao
Period23/05/1525/05/15

Keywords

  • MCMC
  • Monte Carlo
  • Rare Event
  • WinBUGS

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