On the optimal importance process for piecewise deterministic Markov process

DOI10.1051/PS/2019015MaRDI QIDQ5881053zbMATH OpenOpenAlexWikidataFDO

Authors Hassane Chraibi, Anne Dutfoy, Thomas Galtier, Josselin Garnier

Publication date 9 March 2023

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/ps/2019015

zbMATH Keywords

cross-entropyhybrid dynamic systemimportance samplingMonte-Carlo accelerationpiecewise deterministic Markovian processreliability

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Reliability and life testing (62N05) Reliability, availability, maintenance, inspection in operations research (90B25)

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Cites work

• A comparison of cross-entropy and variance minimization strategies
• A tutorial on the cross-entropy method
• Analysis of adaptive multilevel splitting algorithms in an idealized case
• Fast simulation of rare events in queueing and reliability models
• Genealogical particle analysis of rare events
• Genetic genealogical models in rare event analysis
• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3901778 (Why is no real title available?)
• Importance sampling in the Monte Carlo study of sequential tests
• Importance Sampling, Large Deviations, and Differential Games
• On the asymptotic normality of adaptive multilevel splitting
• Rare-event verification for stochastic hybrid systems
• Some recent results in rare event estimation
• Transition Path Theory for Markov Jump Processes

Cited in

(4)

• Optimal potential functions for the interacting particle system method
• Numerical methods for simulation and optimization of piecewise deterministic Markov processes. Application to reliability
• Application of the interacting particle system method to piecewise deterministic Markov processes used in reliability
• Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process

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