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

Jaroslav Krystul; Henk A.P. Blom

doi:10.3182/20050703-6-CZ-1902.00382

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 proceeding › Conference contribution › Academic › peer-review

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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 language	English
Title of host publication	16th IFAC World Congress
Editors	P. Horacek, M. Simandl, P. Zitek
Place of Publication	Prague
Publisher	International Federation of Automatic Control
Pages	176-181
Number of pages	6
DOIs	https://doi.org/10.3182/20050703-6-CZ-1902.00382
Publication status	Published - 3 Jul 2005
Event	16th IFAC World Congress 2005 - Prague, Czech Republic Duration: 3 Jul 2005 → 8 Jul 2005 Conference number: 16 http://www.utia.cas.cz/news/608

Publication series

Name	IFAC Proceedings
Publisher	IFAC
Number	1
Volume	38

Conference

Conference	16th IFAC World Congress 2005
Country/Territory	Czech Republic
City	Prague
Period	3/07/05 → 8/07/05
Internet address	http://www.utia.cas.cz/news/608

Keywords

METIS-225035

Access to Document

10.3182/20050703-6-CZ-1902.00382

Cite this

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title = "Sequential Monte Carlo simulation of rare event probability in stochastic hybrid systems",

abstract = "Recently (C{\'e}rou 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.",

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author = "Jaroslav Krystul and Blom, \{Henk A.P.\}",

year = "2005",

month = jul,

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doi = "10.3182/20050703-6-CZ-1902.00382",

language = "English",

series = "IFAC Proceedings",

publisher = "International Federation of Automatic Control",

number = "1",

pages = "176--181",

editor = "P. Horacek and M. Simandl and P. Zitek",

booktitle = "16th IFAC World Congress",

note = "16th IFAC World Congress 2005 ; Conference date: 03-07-2005 Through 08-07-2005",

url = "http://www.utia.cas.cz/news/608",

}

Krystul, J & Blom, HAP 2005, Sequential Monte Carlo simulation of rare event probability in stochastic hybrid systems. in P Horacek, M Simandl & P Zitek (eds), 16th IFAC World Congress. IFAC Proceedings, no. 1, vol. 38, International Federation of Automatic Control, Prague, pp. 176-181, 16th IFAC World Congress 2005, Prague, Czech Republic, 3/07/05. https://doi.org/10.3182/20050703-6-CZ-1902.00382

Sequential Monte Carlo simulation of rare event probability in stochastic hybrid systems. / Krystul, Jaroslav; Blom, Henk A.P.
16th IFAC World Congress. ed. / P. Horacek; M. Simandl; P. Zitek. Prague: International Federation of Automatic Control, 2005. p. 176-181 (IFAC Proceedings; Vol. 38, No. 1).

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

TY - GEN

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AU - Krystul, Jaroslav

AU - Blom, Henk A.P.

N1 - Conference code: 16

PY - 2005/7/3

Y1 - 2005/7/3

N2 - 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.

AB - 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.

KW - METIS-225035

U2 - 10.3182/20050703-6-CZ-1902.00382

DO - 10.3182/20050703-6-CZ-1902.00382

M3 - Conference contribution

T3 - IFAC Proceedings

SP - 176

EP - 181

BT - 16th IFAC World Congress

A2 - Horacek, P.

A2 - Simandl, M.

A2 - Zitek, P.

PB - International Federation of Automatic Control

CY - Prague

T2 - 16th IFAC World Congress 2005

Y2 - 3 July 2005 through 8 July 2005

ER -

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

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