Abstract
The problem of estimating the probability that a system reaches a given set within some time horizon is considered. Standard Monte Carlo methods for reachability probability estimation do not require specific assumptions on the system under consideration. However, they are computationally demanding when the probability to be estimated is small. An Interacting Particle System (IPS) approach has been developed for the estimation of small reachability probabilities for diffusion processes. IPS has then been extended so as to estimate small reachability probabilities for a certain family of stochastic hybrid processes, namely switching diffusions. This contribution further improves the hybrid IPS method by adopting an importance sampling approach that uses the interaction equations characterizing stochastic hybrid systems.
| Original language | Undefined |
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| Title of host publication | 2006 Second International Symposium on Communications, Control and Signal Processing |
| Place of Publication | Tampere |
| Publisher | Suvisoft |
| Pages | - |
| Number of pages | 4 |
| ISBN (Print) | 2-908849-17-8 |
| Publication status | Published - 14 Mar 2006 |
| Event | 2nd International Symposium on Communications, Control and Signal Processing, ISCCSP 2006 - Marrakech, Morocco Duration: 13 Mar 2006 → 15 Mar 2006 Conference number: 2 http://www.fsr.ac.ma/ISCCSP2006/ |
Publication series
| Name | |
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| Number | A219 |
Conference
| Conference | 2nd International Symposium on Communications, Control and Signal Processing, ISCCSP 2006 |
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| Abbreviated title | ISCCSP |
| Country/Territory | Morocco |
| City | Marrakech |
| Period | 13/03/06 → 15/03/06 |
| Internet address |
Keywords
- EWI-9134
- METIS-237932
- IR-63930