Sequential Monte Carlo simulation of rare event probability in stochastic hybrid systems

Jaroslav Krystul, Henk A.P. Blom

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

    Abstract

    Recently (Cérou et al., 2002) developed an elegant factorization of rare event probabilities appearing in diffusion processes and other strong Markov processes, and a sequential Monte Carlo simulation approach to estimate the factorized rare event probability. The paper extends this approach towards rarely switching diffusions, and demonstrates the effectiveness for a simple example.
    Original languageEnglish
    Title of host publication16th IFAC World Congress
    EditorsP. Horacek, M. Simandl, P. Zitek
    Place of PublicationPrague
    PublisherInternational Federation of Automatic Control
    Pages176-181
    Number of pages6
    DOIs
    Publication statusPublished - 3 Jul 2005
    Event16th IFAC World Congress 2005 - Prague, Czech Republic
    Duration: 3 Jul 20058 Jul 2005
    Conference number: 16
    http://www.utia.cas.cz/news/608

    Publication series

    NameIFAC Proceedings
    PublisherIFAC
    Number1
    Volume38

    Conference

    Conference16th IFAC World Congress 2005
    CountryCzech Republic
    CityPrague
    Period3/07/058/07/05
    Internet address

    Keywords

    • METIS-225035

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