Sequential Monte Carlo simulation of rare event probability in stochastic hybrid systems

IFAC Proceedings Volumes (IFAC-PapersOnline)

Volumn 16, Issue , 2005, Pages 176-181

  Krystul, Jaroslav ^a   Blom, Henk A P ^b  

^a UNIVERSITY OF TWENTE   (Netherlands)

^b NATIONAL AEROSPACE LABORATORY NLR   (Netherlands)

Author keywords

Markov models; Monte carlo; Probabilistic risk assessment; Stochastic jump processes; Uncertain dynamic systems

Indexed keywords

HYBRID SYSTEMS; MARKOV PROCESSES; RISK ASSESSMENT; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

MARKOV MODEL; PROBABILISTIC RISK ASSESSMENT; RARE EVENT PROBABILITIES; SEQUENTIAL MONTE CARLO SIMULATION; STOCHASTIC HYBRID SYSTEMS; STOCHASTIC JUMPS; SWITCHING DIFFUSION; UNCERTAIN DYNAMIC SYSTEMS;

MONTE CARLO METHODS;

EID: 79960738410     PISSN: 14746670     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.3182/20050703-6-cz-1902.00382     Document Type: Conference Paper

References (17)

1. Blom, H.A.P. and E.A. Bloem (2003). Joint IMMPDA particle filter. In: Proceedings 6th Int. Conf. on Information Fusion. Cairns, Queensland, Australia. pp. 785-792.
2. Blom, H.A.P., G.J. Bakker, M.H.C. Everdij and M.N.J. van der Park (2003a). Collision risk modeling of air traffic. In: Proc. European Control Conf., Cambridge, UK.
3. Blom, H.A.P., G.J. Bakker, M.H.C. Everdij and M.N.J. van der Park (2003b). Stochastic analysis background of accident risk assessment for air traffic management. In: IFAC Conference on Analysis and Design of Hybrid Systems. Saint-Malo Brittany, France.
4. Cérou, F.P., P. Del Moral, F. LeGland and P. Lezaud (2002). Genetic genealogical models in rare event analysis. Research Report. http://www.nlr.nl/public/hostedsites/hybridge/.
5. Doucet, A., N. de Freitas and N. Gordon (2001). Sequential Monte Carlo Methods in Practice. Springer-Verlag.
6. Embrechts, P., C. Kluppelberg and T. Mikosh (1997). Modeling extrimal events for insurance and finance. Springer.
7. Ghosh, M.K., A. Arapostathis and S.I. Marcus (1993). Optimal control of switching diffusions with application to flexible manufacturing systems. SIAM J. Control Optimization 31, 1183-1204.
8. Ghosh, M.K., A. Arapostathis and S.I. Marcus (1997). Ergodic control of switching diffusions. SIAM J. Control Optimization 35, 1952-1988.
9. Hu, J., M. Prandini and S. Sastry (2003). Probabilistic safety analysis in three-dimensional aircraft flight. In: Proc. 42nd IEEE CDC. Maui, USA.
10. Krystul, J. and A. Bagchi (2004). Approximation of first passage times of switching diffusion. In: Proc. Sixteenth International Symposium on Mathematical Theory of Networks and Systems. Leuven, Belgium.
11. Krystul, J. and H.A.P. Blom (2004). Monte carlo simulation of rare events in hybrid system. hybridge report d8.3. http://www.nlr.nl/public/hosted-sites/ hybridge/.
12. Labeau, P.E., C. Smidts and S. Swaminathan (2000). Dynamic reliability: towards an integrated platform for probabilistic risk assessment. Reliability Engineering and System Safety 68, 219-254.
13. Liu, J.S. (2003). Monte Carlo Strategies in Scientific Computing. Springer.
14. Moral, P. Del (2004). Feynman-Kac Formulae. Genealogical and Interacting Particle Systems with Applications. Springer.
15. Smidts, C., J. Devooght and P.E. Labeau (1998). Dynamic reliability: Future directions. In: International Workshop Series on Advanced Topics in Reliability and Risk Analysis. Greenbelt. MD, USA.
16. Townsend, J.D., Z. Haraszti, J.A. Freebersyser and M. Devetsikiotis (1998). Simulation of rare events in communications networks. IEEE Communications Magazine 36(8), 36- 41.
17. Watkins, O. and J. Lygeros (2003). Stochastic reachability for discrete time systems: an application to aircraft collision avoidance. In: Proc. 42nd IEEE CDC. Maui, USA. pp. 5314-5319.