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 Clément Walter Statistics , 2015, Abstract: Multilevel Splitting methods, also called Sequential Monte-Carlo or \emph{Subset Simulation}, are widely used methods for estimating extreme probabilities of the form $P[S(\mathbf{U}) > q]$ where $S$ is a deterministic real-valued function and $\mathbf{U}$ can be a random finite- or infinite-dimensional vector. Very often, $X := S(\mathbf{U})$ is supposed to be a continuous random variable and a lot of theoretical results on the statistical behaviour of the estimator are now derived with this hypothesis. However, as soon as some threshold effect appears in $S$ and/or $\mathbf{U}$ is discrete or mixed discrete/continuous this assumption does not hold any more and the estimator is not consistent. In this paper, we study the impact of discontinuities in the \emph{cdf} of $X$ and present three unbiased \emph{corrected} estimators to handle them. These estimators do not require to know in advance if $X$ is actually discontinuous or not and become all equal if $X$ is continuous. Especially, one of them has the same statistical properties in any case. Efficiency is shown on a 2-D diffusive process as well as on the \emph{Boolean SATisfiability problem} (SAT).
 Statistics , 2015, Abstract: Rare events are events that are expected to occur infrequently, or more technically, those that have low probabilities (say, order of $10^{-3}$ or less) of occurring according to a probability model. In the context of uncertainty quantification, the rare events often correspond to failure of systems designed for high reliability, meaning that the system performance fails to meet some design or operation specifications. As reviewed in this section, computation of such rare-event probabilities is challenging. Analytical solutions are usually not available for non-trivial problems and standard Monte Carlo simulation is computationally inefficient. Therefore, much research effort has focused on developing advanced stochastic simulation methods that are more efficient. In this section, we address the problem of estimating rare-event probabilities by Monte Carlo simulation, Importance Sampling and Subset Simulation for highly reliable dynamic systems.
 Stochastic Systems , 2011, Abstract: We consider a standard splitting algorithm for the rare-event simulation of overflow probabilities in any subset of stations in a Jackson network at level n, starting at a fixed initial position. It was shown in [8] that a subsolution to the Isaacs equation guarantees that a subexponential number of function evaluations (in n) suffices to estimate such overflow probabilities within a given relative accuracy. Our analysis here shows that in fact O(n2βV+1) function evaluations suffice to achieve a given relative precision, where βV is the number of bottleneck stations in the subset of stations under consideration in the network. This is the first rigorous analysis that favorably compares splitting against directly computing the overflow probability of interest, which can be evaluated by solving a linear system of equations with O(nd) variables.
 Computer Science , 2010, Abstract: We consider a standard splitting algorithm for the rare-event simulation of overflow probabilities in any subset of stations in a Jackson network at level n, starting at a fixed initial position. It was shown in DeanDup09 that a subsolution to the Isaacs equation guarantees that a subexponential number of function evaluations (in n) suffice to estimate such overflow probabilities within a given relative accuracy. Our analysis here shows that in fact O(n^{2{\beta}+1}) function evaluations suffice to achieve a given relative precision, where {\beta} is the number of bottleneck stations in the network. This is the first rigorous analysis that allows to favorably compare splitting against directly computing the overflow probability of interest, which can be evaluated by solving a linear system of equations with O(n^{d}) variables.
 Mathematics , 2012, DOI: 10.1088/1742-5468/2012/11/P11004 Abstract: Rare event simulation and estimation for systems in equilibrium are among the most challenging topics in molecular dynamics. As was shown by Jarzynski and others, nonequilibrium forcing can theoretically be used to obtain equilibrium rare event statistics. The advantage seems to be that the external force can speed up the sampling of the rare events by biasing the equilibrium distribution towards a distribution under which the rare events is no longer rare. Yet algorithmic methods based on Jarzynski's and related results often fail to be efficient because they are based on sampling in path space. We present a new method that replaces the path sampling problem by minimization of a cross-entropy-like functional which boils down to finding the optimal nonequilibrium forcing. We show how to solve the related optimization problem in an efficient way by using an iterative strategy based on milestoning.
 Quantitative Finance , 2013, Abstract: Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator within a parametric family, we propose a general account for finding the optimal tilting measure. To this end, when the moment generating function of the underlying distribution exists, we obtain a simple and explicit expression of the optimal alternative distribution. The proposed algorithm is quite general to cover many interesting examples, such as normal distribution, noncentral $\chi^2$ distribution, and compound Poisson processes. To illustrate the broad applicability of our method, we study value-at-risk (VaR) computation in financial risk management and bootstrap confidence regions in statistical inferences.
 Mathematics , 2009, DOI: 10.1007/s10955-008-9672-2 Abstract: The problem of \emph{statistical recognition} is considered, as it arises in immunobiology, namely, the discrimination of foreign antigens against a background of the body's own molecules. The precise mechanism of this foreign-self-distinction, though one of the major tasks of the immune system, continues to be a fundamental puzzle. Recent progress has been made by van den Berg, Rand, and Burroughs (2001), who modelled the \emph{probabilistic} nature of the interaction between the relevant cell types, namely, T-cells and antigen-presenting cells (APCs). Here, the stochasticity is due to the random sample of antigens present on the surface of every APC, and to the random receptor type that characterises individual T-cells. It has been shown previously that this model, though highly idealised, is capable of reproducing important aspects of the recognition phenomenon, and of explaining them on the basis of stochastic rare events. These results were obtained with the help of a refined large deviation theorem and were thus asymptotic in nature. Simulations have, so far, been restricted to the straightforward simple sampling approach, which does not allow for sample sizes large enough to address more detailed questions. Building on the available large deviation results, we develop an importance sampling technique that allows for a convenient exploration of the relevant tail events by means of simulation. With its help, we investigate the mechanism of statistical recognition in some depth. In particular, we illustrate how a foreign antigen can stand out against the self background if it is present in sufficiently many copies, although no \emph{a priori} difference between self and nonself is built into the model.
 Mathematics , 2014, Abstract: In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following classical approach we use Wonham filter to achieve multiple goals including reduction of asymptotic variance and exemption from sampling the discrete components.
 Konstantin Zuev Statistics , 2015, Abstract: This paper provides a detailed introductory description of Subset Simulation, an advanced stochastic simulation method for estimation of small probabilities of rare failure events. A simple and intuitive derivation of the method is given along with the discussion on its implementation. The method is illustrated with several easy-to-understand examples. For demonstration purposes, the MATLAB code for the considered examples is provided. The reader is assumed to be familiar only with elementary probability theory and statistics.
 Mathematics , 2012, Abstract: We develop rare-event simulation methodology for the analysis of loss events in a many-server loss system under quality-driven regime, focusing on the steady-state loss probability (i.e. fraction of lost customers over arrivals) and the behavior of the whole system leading to loss events. The analysis of these events requires working with the full measure-valued process describing the system. This is the first algorithm that is shown to be asymptotically optimal, in the rare-event simulation context, under the setting of many-server queues involving a full measure-valued descriptor.
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