Handle URI:
http://hdl.handle.net/10754/624860
Title:
Static models, recursive estimators and the zero-variance approach
Authors:
Rubino, Gerardo
Abstract:
When evaluating dependability aspects of complex systems, most models belong to the static world, where time is not an explicit variable. These models suffer from the same problems than dynamic ones (stochastic processes), such as the frequent combinatorial explosion of the state spaces. In the Monte Carlo domain, on of the most significant difficulties is the rare event situation. In this talk, we describe this context and a recent technique that appears to be at the top performance level in the area, where we combined ideas that lead to very fast estimation procedures with another approach called zero-variance approximation. Both ideas produced a very efficient method that has the right theoretical property concerning robustness, the Bounded Relative Error one. Some examples illustrate the results.
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
Issue Date:
7-Jan-2016
Type:
Presentation
Additional Links:
http://mediasite.kaust.edu.sa/Mediasite/Play/357c86cd3985448fad68293d3845ac531d?catalog=ca65101c-a4eb-4057-9444-45f799bd9c52
Appears in Collections:
Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

Full metadata record

DC FieldValue Language
dc.contributor.authorRubino, Gerardoen
dc.date.accessioned2017-06-08T06:32:30Z-
dc.date.available2017-06-08T06:32:30Z-
dc.date.issued2016-01-07-
dc.identifier.urihttp://hdl.handle.net/10754/624860-
dc.description.abstractWhen evaluating dependability aspects of complex systems, most models belong to the static world, where time is not an explicit variable. These models suffer from the same problems than dynamic ones (stochastic processes), such as the frequent combinatorial explosion of the state spaces. In the Monte Carlo domain, on of the most significant difficulties is the rare event situation. In this talk, we describe this context and a recent technique that appears to be at the top performance level in the area, where we combined ideas that lead to very fast estimation procedures with another approach called zero-variance approximation. Both ideas produced a very efficient method that has the right theoretical property concerning robustness, the Bounded Relative Error one. Some examples illustrate the results.en
dc.relation.urlhttp://mediasite.kaust.edu.sa/Mediasite/Play/357c86cd3985448fad68293d3845ac531d?catalog=ca65101c-a4eb-4057-9444-45f799bd9c52en
dc.titleStatic models, recursive estimators and the zero-variance approachen
dc.typePresentationen
dc.conference.dateJanuary 5-10, 2016en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)en
dc.conference.locationKAUSTen
dc.contributor.institutionIRISA/INRIAen
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