Interacting Particle System-based Estimation of Reach Probability for a Generalized Stochastic Hybrid System

Journal article (2018)

Authors

H.A.P. Blom Air Transport & Operations - Aerospace Engineering , Royal Netherlands Aerospace Centre NLR
H. Ma Air Transport & Operations - Aerospace Engineering , Northwestern Polytechnical University
G. J.(Bert) Bakker Royal Netherlands Aerospace Centre NLR
Research Group
Air Transport & Operations (Aerospace Engineering) (TU Delft)
Copyright: © 2018 H.A.P. Blom, H. Ma, G. J.(Bert) Bakker
DOI
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https://doi.org/10.1016/j.ifacol.2018.08.014
Factorization Interacting Particles Rare event Reach Probability Stochastic Hybrid System
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Published Date

01-01-2018

Language

English

Faculty

Aerospace Engineering

Department

Control & Operations

Research Group

Air Transport & Operations

Abstract

This paper studies estimation of reach probability for a generalized stochastic hybrid system (GSHS). For diffusion processes a well-developed approach in reach probability estimation is to introduce a suitable factorization of the reach probability and then to estimate these factors through simulation of an Interacting Particle System (IPS). The theory of this IPS approach has been extended to arbitrary strong Markov processes, which includes GSHS executions. Because Monte Carlo simulation of GSHS particles involves sampling of Brownian motion as well as sampling of random discontinuities, the practical elaboration of the IPS approach for GSHS is not straightforward. The aim of this paper is to elaborate the IPS approach for GSHS by using complementary Monte Carlo sampling techniques. For a simple GSHS example, it is shown that and why the specific technique selected for sampling discontinuities can have a major influence on the effectiveness of IPS in reach probability estimation.