A saddle point approximation for certain multivariate tail probabilities

doi:10.1137/S1064827594277338

1998-07-01

PRE

Satish Iyengar

M. Mazumdar

DOI：10.1137/S1064827594277338

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摘要

En 中文

We consider the problem of computing the probability of a union of a large number of tail events. This multivariate probability is intractable, so we propose a bound based on univariate and bivariate marginal probabilities, which in turn we approximate by the saddle point method and a correction for skewness. We use this approach to approximate a reliability index for power systems. Our numerical results indicate that this deterministic bound is also an accurate estimate and that it is more efficient than direct Monte Carlo.

Keyword:

control variate

Edgeworth expansion

Hunter's inequality

Monte Carlo

power systems

reliability

期刊

SIAM Journal on Scientific Computing

IF:

2.6

论文数:

5.1K

被引数:

1.8W

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