Sequential Monte Carlo simulation for the estimation of small reachability probabilities for stochastic hybrid systems

J. Krystul, H.A.P. Blom

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

    16 Downloads (Pure)

    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 languageUndefined
    Title of host publication2006 Second International Symposium on Communications, Control and Signal Processing
    Place of PublicationTampere
    PublisherSuvisoft
    Pages-
    Number of pages4
    ISBN (Print)2-908849-17-8
    Publication statusPublished - 14 Mar 2006
    Event2nd International Symposium on Communications, Control and Signal Processing, ISCCSP 2006 - Marrakech, Morocco
    Duration: 13 Mar 200615 Mar 2006
    Conference number: 2
    http://www.fsr.ac.ma/ISCCSP2006/

    Publication series

    Name
    NumberA219

    Conference

    Conference2nd International Symposium on Communications, Control and Signal Processing, ISCCSP 2006
    Abbreviated titleISCCSP
    CountryMorocco
    CityMarrakech
    Period13/03/0615/03/06
    Internet address

    Keywords

    • EWI-9134
    • METIS-237932
    • IR-63930

    Cite this