On bounding the union probability using partial weighted information

DOI10.1016/J.SPL.2016.04.017zbMATH Open1376.60049arXiv1506.08331OpenAlexW1945575495MaRDI QIDQ297136FDOQ297136

Authors: Fady Alajaji, Glen Takahara, Jun Yang 

Publication date: 24 June 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Effective bounds on the union probability are well known to be beneficial in the analysis of stochastic problems in many areas, including probability theory, information theory, statistical communications, computing and operations research. In this work we present new results on bounding the probability of a finite union of events, $$, for a fixed positive integer $N$, using partial information on the events in terms of $P(A_i)$ and $su{m}_j{c}_{j}P(A_{i}cap{A}_j)$ where $c_1$, $dots$, $c_N$ are given weights. We derive two new classes of lower bounds of at most pseudo-polynomial computational complexity. These classes of lower bounds generalize the existing bound in cite{Kuai2000} and recent bounds in cite{Yang2014,Yang2014ISIT} and are numerically shown to be tighter in some cases than the Gallot-Kounias bound cite{Gallot1966,Kounias1968} and the Pr{'e}kopa-Gao bound cite{Prekopa2005} which require more information on the events probabilities.

Full work available at URL: https://arxiv.org/abs/1506.08331

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zbMATH Keywords

linear programminglower and upper boundsoptimal boundsprobability of a finite union of events

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Combinatorial probability (60C05)

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Cited In (5)

• Importance sampling the union of rare events with an application to power systems analysis
• On bounding the union probability using partial weighted information
• Linear programming bounds on the union probability
• Upper and lower bounds of Borel–Cantelli Lemma in a general measure space
• Behavior of FWER in Normal Distributions

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