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Estimating the probability of a rare event over a finite time horizon

10 years 2 months ago
Estimating the probability of a rare event over a finite time horizon
We study an approximation for the zero-variance change of measure to estimate the probability of a rare event in a continuous-time Markov chain. The rare event occurs when the chain reaches a given set of states before some fixed time limit. The jump rates of the chain are expressed as functions of a rarity parameter in a way that the probability of the rare event goes to zero when the rarity parameter goes to zero, and the behavior of our estimators is studied in this asymptotic regime. After giving a general expression for the zero-variance change of measure in this situation, we develop an approximation of it via a power series and show that this approximation provides a bounded relative error when the rarity parameter goes to zero. We illustrate the performance of our approximation on small numerical examples of highly reliable Markovian systems. We compare it to a previously proposed heuristic that combines forcing with balanced failure biaising. We also exhibit the exact zero-v...
Pieter-Tjerk de Boer, Pierre L'Ecuyer, Gerardo Rub
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Pieter-Tjerk de Boer, Pierre L'Ecuyer, Gerardo Rubino, Bruno Tuffin
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