Related papers: A Method for Estimating the Probability of Extreme…

We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…

We propose a new method to define anomaly scores and apply this to particle physics collider events. Anomalies can be either rare, meaning that these events are a minority in the normal dataset, or different, meaning they have values that…

An important issue during an engineering design process is to develop an understanding which design parameters have the most influence on the performance. Especially in the context of optimization approaches this knowledge is crucial in…

We often rely on probabilistic measures -- e.g. event probability or expected time -- to characterize systems' safety. However, determining these quantities for extremely low-probability events is generally challenging, as standard safety…

Autonomous Vehicles (AVs) are often tested in simulation to estimate the probability they will violate safety specifications. Two common issues arise when using existing techniques to produce this estimation: If violations occur rarely,…

Evaluating rare-event forecasts is challenging because standard metrics collapse as event prevalence declines. Measures such as F1-score, AUPRC, MCC, and accuracy induce degenerate thresholds -- converging to zero or one -- and their values…

This paper deals with the state estimation problem in discrete-event systems modeled with nondeterministic finite automata, partially observed via a sensor measuring unit whose measurements (reported observations) may be vitiated by a…

This paper provides a detailed introductory description of Subset Simulation, an advanced stochastic simulation method for estimation of small probabilities of rare failure events. A simple and intuitive derivation of the method is given…

Adaptive sampling algorithms are modern and efficient methods that dynamically adjust the sample size throughout the optimization process. However, they may encounter difficulties in risk-averse settings, particularly due to the challenge…

Standard rare-event simulation techniques require exact distributional specifications, which limits their effectiveness in the presence of distributional uncertainty. To address this, we develop a novel framework for estimating rare-event…

Detecting early signs of failures (anomalies) in complex systems is one of the main goal of preventive maintenance. It allows in particular to avoid actual failures by (re)scheduling maintenance operations in a way that optimizes…

We consider chance-constrained problems with discrete random distribution. We aim for problems with a large number of scenarios. We propose a novel method based on the stochastic gradient descent method which performs updates of the…

Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…

Evaluating the reliability of intelligent physical systems against rare safety-critical events poses a huge testing burden for real-world applications. Simulation provides a useful platform to evaluate the extremal risks of these systems…

We present an optimization-based method to plan the motion of an autonomous robot under the uncertainties associated with dynamic obstacles, such as humans. Our method bounds the marginal risk of collisions at each point in time by…

Importance sampling (IS) is a widely used simulation method for estimating rare event probabilities. In IS, the relative variance of an estimator is the most common measure of estimator accuracy, and the focus of existing literature is on…

We analyze a power distribution line with high penetration of distributed generation and strong variations of power consumption and generation levels. In the presence of uncertainty the statistical description of the system is required to…

Satellite conjunctions involving near misses of space objects are increasingly common, especially with the growth of satellite constellations and space debris. Accurate risk analysis for these events is essential to prevent collisions and…

We introduce a variational algorithm to estimate the likelihood of a rare event within a nonequilibrium molecular dynamics simulation through the evaluation of an optimal control force. Optimization of a control force within a chosen basis…

In transportation networks, where traffic lights have traditionally been used for vehicle coordination, intersections act as natural bottlenecks. A formidable challenge for existing automated intersections lies in detecting and reasoning…