### Abstract

Original language | English |
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Title of host publication | Leveraging Applications of Formal Methods, Verification and Validation: Foundational Techniques |

Subtitle of host publication | 7th International Symposium, ISoLA 2016, Imperial, Corfu, Greece, October 10–14, 2016, Proceedings, Part I |

Editors | Tiziana Margaria, Bernhard Steffen |

Publisher | Springer |

Pages | 16-26 |

Number of pages | 11 |

ISBN (Electronic) | 978-3-319-47166-2 |

ISBN (Print) | 978-3-319-47165-5 |

DOIs | |

Publication status | Published - 10 Oct 2016 |

Event | 7th International Symposium on Leveraging Applications of Formal Methods, Verification and Validation, ISoLA 2016 - Corfu, Greece Duration: 10 Oct 2016 → 14 Oct 2016 Conference number: 7 http://www.isola-conference.org/isola2016/ |

### Publication series

Name | Lecture Notes in Computer Science |
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Publisher | Springer |

Volume | 9952 |

ISSN (Print) | 0302-9743 |

ISSN (Electronic) | 1611-3349 |

### Conference

Conference | 7th International Symposium on Leveraging Applications of Formal Methods, Verification and Validation, ISoLA 2016 |
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Abbreviated title | ISoLA 2016 |

Country | Greece |

City | Corfu |

Period | 10/10/16 → 14/10/16 |

Internet address |

### Fingerprint

### Keywords

- IR-103348
- EC Grant Agreement nr.: FP7/318490
- METIS-321693
- EC Grant Agreement nr.: FP7/600708
- EWI-27678

### Cite this

*Leveraging Applications of Formal Methods, Verification and Validation: Foundational Techniques: 7th International Symposium, ISoLA 2016, Imperial, Corfu, Greece, October 10–14, 2016, Proceedings, Part I*(pp. 16-26). (Lecture Notes in Computer Science; Vol. 9952). Springer. https://doi.org/10.1007/978-3-319-47166-2_2

}

*Leveraging Applications of Formal Methods, Verification and Validation: Foundational Techniques: 7th International Symposium, ISoLA 2016, Imperial, Corfu, Greece, October 10–14, 2016, Proceedings, Part I.*Lecture Notes in Computer Science, vol. 9952, Springer, pp. 16-26, 7th International Symposium on Leveraging Applications of Formal Methods, Verification and Validation, ISoLA 2016, Corfu, Greece, 10/10/16. https://doi.org/10.1007/978-3-319-47166-2_2

**Hypothesis testing for rare-event simulation : limitations and possibilities.** / Reijsbergen, D.P.; de Boer, Pieter-Tjerk; Scheinhardt, Willem R.W.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic › peer-review

TY - CHAP

T1 - Hypothesis testing for rare-event simulation

T2 - limitations and possibilities

AU - Reijsbergen, D.P.

AU - de Boer, Pieter-Tjerk

AU - Scheinhardt, Willem R.W.

N1 - This work is partially supported by the EU projects SENSATION, 318490, and QUANTICOL, 600708.

PY - 2016/10/10

Y1 - 2016/10/10

N2 - One of the main applications of probabilistic model checking is to decide whether the probability of a property of interest is above or below a threshold. Using statistical model checking (SMC), this is done using a combination of stochastic simulation and statistical hypothesis testing. When the probability of interest is very small, one may need to resort to rare-event simulation techniques, in particular importance sampling (IS). However, IS simulation does not yield 0/1-outcomes, as assumed by the hypothesis tests commonly used in SMC, but likelihood ratios that are typically close to zero, but which may also take large values. In this paper we consider two possible ways of combining IS and SMC. One involves a classical IS-scheme from the rare-event simulation literature that yields likelihood ratios with bounded support when applied to a certain (nontrivial) class of models. The other involves a particular hypothesis testing scheme that does not require a-priori knowledge about the samples, only that their variance is estimated well.

AB - One of the main applications of probabilistic model checking is to decide whether the probability of a property of interest is above or below a threshold. Using statistical model checking (SMC), this is done using a combination of stochastic simulation and statistical hypothesis testing. When the probability of interest is very small, one may need to resort to rare-event simulation techniques, in particular importance sampling (IS). However, IS simulation does not yield 0/1-outcomes, as assumed by the hypothesis tests commonly used in SMC, but likelihood ratios that are typically close to zero, but which may also take large values. In this paper we consider two possible ways of combining IS and SMC. One involves a classical IS-scheme from the rare-event simulation literature that yields likelihood ratios with bounded support when applied to a certain (nontrivial) class of models. The other involves a particular hypothesis testing scheme that does not require a-priori knowledge about the samples, only that their variance is estimated well.

KW - IR-103348

KW - EC Grant Agreement nr.: FP7/318490

KW - METIS-321693

KW - EC Grant Agreement nr.: FP7/600708

KW - EWI-27678

U2 - 10.1007/978-3-319-47166-2_2

DO - 10.1007/978-3-319-47166-2_2

M3 - Chapter

SN - 978-3-319-47165-5

T3 - Lecture Notes in Computer Science

SP - 16

EP - 26

BT - Leveraging Applications of Formal Methods, Verification and Validation: Foundational Techniques

A2 - Margaria, Tiziana

A2 - Steffen, Bernhard

PB - Springer

ER -