Iterative Importance Sampling for Estimating Expectation Bounds Under Partial Probability Specifications

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

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, July). Iterative Importance Sampling for Estimating Expectation Bounds Under Partial Probability Specifications. Presented at 8th International Workshop on Reliable Engineering Computing (REC2018), Liverpool, UK

• Presentation Conference Type: Conference Paper (published)
• Conference Name: 8th International Workshop on Reliable Engineering Computing (REC2018)
• 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
• Public URL: https://durham-repository.worktribe.com/output/1145381
• Publisher URL: http://riskinstitute.org.uk/rec2018/