OpenCyclone/model — Issue #56: Rare Events Simulation
Author: bsy9142
Created: 2012-02-01 23:57:54+00:00
State: open

Background:
Recently I attended a seminar in which the speaker mentioned the limitation of the "naive" Monte Carlo method. Briefly speaking, the straightforward way of running a huge number of simulations and drawing conclusion about some exceptionally rare events might still lead to unacceptable bias, even if the model being used is ideal. The motivation of my raising this issue is that those exceptionally rare events might be of great interest within the context of our disaster study.

Resources:
--Historical TC data

Goal:
--To explore necessities and methods to reduce bias of estimations concerning rare events in simulation.
--If needed indeed, to implement rare-events bias reduction technique.

Here I'd like to give some keywords which might serve as starting points of thinking:

Sample Size
Stratified Sampling
Importance Sampling
Bootstrapping

Plenty of literature can be found concerning rare events simulation.