Iterative Importance Sampling for Estimating Expectation Bounds Under Partial Probability Specifications

Troffaes, Matthias C.M.; Fetz, Thomas; Oberguggenberger, Michael

Iterative Importance Sampling for Estimating Expectation Bounds Under Partial Probability Specifications

Troffaes, Matthias C.M.; Fetz, Thomas; Oberguggenberger, Michael

Authors

Professor Matthias Troffaes matthias.troffaes@durham.ac.uk
Professor

Thomas Fetz

Michael Oberguggenberger

Abstract

In this paper, we explore and enhance importance sampling techniques for calculating lower and upper expectations with respect to sets of probability distributions. We formalize an iterative algorithm that we proposed in earlier work, by formulating the algorithm as a procedure for identifying a fixed point. We show how the algorithm can break down under poor coverage of the sampling distribution, and explore simple methods to increase coverage and thereby improve the algorithm.

Citation

Troffaes, M. C., Fetz, T., & Oberguggenberger, M. (2018). Iterative Importance Sampling for Estimating Expectation Bounds Under Partial Probability Specifications.

Conference Name	8th International Workshop on Reliable Engineering Computing (REC2018)
Conference Location	Liverpool, UK
Start Date	Jul 16, 2018
End Date	Jul 18, 2018
Acceptance Date	May 30, 2018
Publication Date	Jul 16, 2018
Deposit Date	Jun 15, 2018
Publicly Available Date	Jun 18, 2018
Publisher URL	http://riskinstitute.org.uk/rec2018/