Rare event estimation for a large-scale stochastic hybrid system with air traffic application


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Blom, Henk A.P. and Bakker, G.J. (Bert) and Krystul, Jaroslav (2009) Rare event estimation for a large-scale stochastic hybrid system with air traffic application. In: Rare Event Simulation using Monte Carlo Methods. John Wiley & Sons, pp. 193-214. ISBN 9780470772690

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Abstract:Embedding of rare event estimation theory within a stochastic analysis framework has recently led to significant novel results in rare event estimation for a diffusion process using sequential MC simulation. This chapter presents this rare event estimation theory for diffusions to a Stochastic Hybrid System (SHS) and extends it in order to handle a large scale SHS where a very huge number of rare discrete modes may contribute significantly to the rare event estimation. Essentially, the approach taken is to introduce a suitable aggregation of the discrete modes, and to develop importance sampling and Rao-Blackwellization relative to these aggregated modes. The practical use of this approach is demonstrated for the stimation of mid-air collision for an advanced air traffic control example.
Item Type:Book Section
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Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/68328
Official URL:http://dx.doi.org/10.1002/9780470745403.ch9
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