Multilevel Monte Carlo method for statistical model checking of hybrid systems

DOI10.1007/978-3-319-66335-7_24MaRDI QIDQ5194936zbMATH OpenOpenAlexFDO

Authors Sadegh Esmaeil Zadeh Soudjani, Rupak Majumdar, Tigran Nagapetyan

Publication date 17 September 2019

Published in Quantitative Evaluation of Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.08270

zbMATH Keywords

continuous-time stochastic processesformal verificationhybrid systemsmultilevel Monte Carlostatistical model checking

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Specification and verification (program logics, model checking, etc.) (68Q60) Probability in computer science (algorithm analysis, random structures, phase transitions, etc.) (68Q87)

Abstract: We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo method (MLMC) and work on a sequence of discrete-time stochastic processes whose executions approximate and converge weakly to that of the original continuous-time stochastic hybrid system with respect to satisfaction of the property of interest. With focus on bounded-horizon reachability, we recast the model checking problem as the computation of the distribution of the exit time, which is in turn formulated as the expectation of an indicator function. This latter computation involves estimating discontinuous functionals, which reduces the bound on the convergence rate of the Monte Carlo algorithm. We propose a smoothing step with tunable precision and formally quantify the error of the MLMC approach in the mean-square sense, which is composed of smoothing error, bias, and variance. We formulate a general adaptive algorithm which balances these error terms. Finally, we describe an application of our technique to verify a model of thermostatically controlled loads.

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Cited in

(2)

• Automated verification and synthesis of stochastic hybrid systems: a survey
• Data-driven verification of stochastic linear systems with signal temporal logic constraints

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