Rare event estimation for a large-scale stochastic hybrid system with air traffic application

Henk A.P. Blom, G.J. (Bert) Bakker, J. Krystul

    Research output: Chapter in Book/Report/Conference proceedingChapterAcademicpeer-review

    22 Citations (Scopus)

    Abstract

    Embedding of rare event estimation theory within a stochastic analysis framework has recently led to signi��?cant novel results in rare event estimation for a diffusion process using sequential MC simulation. This chapter presents this rare event estimation theory for diffusions to a Stochastic Hybrid System (SHS) and extends it in order to handle a large scale SHS where a very huge number of rare discrete modes may contribute signi��?cantly to the rare event estimation. Essentially, the approach taken is to introduce a suitable aggregation of the discrete modes, and to develop importance sampling and Rao-Blackwellization relative to these aggregated modes. The practical use of this approach is demonstrated for the stimation of mid-air collision for an advanced air traf��?c control example.
    Original languageUndefined
    Title of host publicationRare Event Simulation using Monte Carlo Methods
    EditorsG. Rubino, B. Tuffin
    PublisherWiley
    Pages193-214
    Number of pages21
    ISBN (Print)978-0-470-77269-0
    DOIs
    Publication statusPublished - Mar 2009

    Publication series

    Name
    PublisherJohn Wiley & Sons

    Keywords

    • EWI-14873
    • Rare event simulation
    • METIS-263719
    • Hybrid systems
    • Monte Carlo
    • IR-68328

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