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Iterative importance sampling for estimating expectation bounds under partial probability specifications.

Troffaes, Matthias C. M. and Fetz, Thomas and Oberguggenberger, Michael (2018) 'Iterative importance sampling for estimating expectation bounds under partial probability specifications.', 8th International Workshop on Reliable Engineering Computing (REC2018) Liverpool, UK, 16-18 July 2018.

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.

Item Type:Conference item (Paper)
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:http://riskinstitute.org.uk/rec2018/
Date accepted:30 May 2018
Date deposited:18 June 2018
Date of first online publication:2018
Date first made open access:No date available

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