Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process

DOI10.1137/22M1522838arXiv2210.16185OpenAlexW4307529937MaRDI QIDQ6131422FDOQ6131422

Authors: Hassane Chraibi, Anne Dutfoy, Josselin Garnier 

Publication date: 5 April 2024

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: Piecewise deterministic Markov processes (PDMPs) can be used to model complex dynamical industrial systems. The counterpart of this modeling capability is their simulation cost, which makes reliability assessment untractable with standard Monte Carlo methods. A significant variance reduction can be obtained with an adaptive importance sampling (AIS) method based on a cross-entropy (CE) procedure. The success of this method relies on the selection of a good family of approximations of the committor function of the PDMP. In this paper original families are proposed. They are well adapted to high-dimensional industrial systems. Their forms are based on reliability concepts related to fault tree analysis: minimal path sets and minimal cut sets. The proposed method is discussed in detail and applied to academic systems and to a realistic system from the nuclear industry.

Full work available at URL: https://arxiv.org/abs/2210.16185

zbMATH Keywords

cross-entropyimportance samplingreliabilitypiecewise deterministic Markov processrare event simulationfault tree analysisPyCATSHOO

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential estimation (62L12) Continuous-time Markov processes on general state spaces (60J25)

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