Recommendations for the tuning of rare event probability estimators

Abstract : Being able to accurately estimate rare event probabilities is a challenging issue in order to improve the reliability of complex systems. Several powerful methods such as importance sampling, importance splitting or extreme value theory have been proposed in order to reduce the computational cost and to improve the accuracy of extreme probability estimation. However, the performance of these methods is highly correlated with the choice of tuning parameters, which are very difficult to determine. In order to highlight recommended tunings for such methods, an empirical campaign of automatic tuning on a set of representative test cases is conducted for splitting methods. This allows to provide a reduced set of tuning parameters that may lead to the reliable estimation of rare event probability for various problems. The relevance of the obtained result is assessed on a series of real-world aerospace problems.
Type de document :
Article dans une revue
Reliability Engineering and System Safety, Elsevier, 2015, 133, pp.68-78
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01064029
Contributeur : Julien Marzat <>
Soumis le : lundi 15 septembre 2014 - 12:57:49
Dernière modification le : jeudi 15 novembre 2018 - 08:38:59
Document(s) archivé(s) le : mardi 16 décembre 2014 - 10:45:49

Fichier

2014_-_RESS_-_Recommendations_...
Fichiers éditeurs autorisés sur une archive ouverte

Identifiants

  • HAL Id : hal-01064029, version 1

Citation

Mathieu Balesdent, Jérôme Morio, Julien Marzat. Recommendations for the tuning of rare event probability estimators. Reliability Engineering and System Safety, Elsevier, 2015, 133, pp.68-78. 〈hal-01064029〉

Partager

Métriques

Consultations de la notice

315

Téléchargements de fichiers

293