Probabilistic bounded relative error for rare event simulation learning techniques

Bruno Tuffin*, Ad Ridder

*Corresponding author for this work

Research output: Chapter in Book / Report / Conference proceedingConference contributionAcademicpeer-review

Abstract

In rare event simulation, we look for estimators such that the relative accuracy of the output is 'controlled' when the rarity is getting more and more critical. Different robustness properties of estimators have been defined in the literature. However, these properties are not adapted to estimators coming from a parametric family for which the optimal parameter is random due to a learning algorithm. These estimators have random accuracy. For this reason, we motivate in this paper the need to define probabilistic robustness properties. We especially focus on the so-called probabilistic bounded relative error property. We additionally provide sufficient conditions, both in general and Markov settings, to satisfy such a property, and hope that it will foster discussions and new works in the area.

Original languageEnglish
Title of host publicationProceedings of the 2012 Winter Simulation Conference, WSC 2012
DOIs
Publication statusPublished - 1 Dec 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: 9 Dec 201212 Dec 2012

Conference

Conference2012 Winter Simulation Conference, WSC 2012
CountryGermany
CityBerlin
Period9/12/1212/12/12

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