Lecture

Stochastic Simulation: Rare Events and Crude Monte Carlo

In course

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Description

This lecture covers the topic of stochastic simulation, focusing on rare events and the Crude Monte Carlo method. The instructor explains the importance of generating enough realizations and introduces the concept of thresholds. The lecture discusses the process of choosing parameters and the algorithm for adaptive cross-entropy. It also delves into the idea of introducing thresholds and the significance of closed-form expressions in simulations.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_zttqzuyt

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