Accelerated Monte Carlo estimation of exceedance probabilities under monotonicity constraintsReport as inadecuate

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* Corresponding author 1 GdR MASCOT-NUM - Méthodes d-Analyse Stochastique des Codes et Traitements Numériques 2 EDF R&D - EDF R&D Chatou 3 ESP - Equipe de Statistique et Probabilités ESP - IMT IMT - Institut de Mathématiques de Toulouse UMR5219, Institut de Mathématiques de Toulouse

Abstract : — The problem of estimating the probability p = P gX ≤ 0 is considered when X represents a multivariate stochastic input of a monotonic function g. First, a heuristic method to bound p, originally proposed by de Rocquigny 2009, is formally described, involving a special-ized design of numerical experiments. Then a statistical estimation of p is considered based on a sequential stochastic exploration of the input space. A maximum likelihood estimator of p based on successive dependent Bernoulli data is defined and its theoretical convergence properties are studied. Under intuitive or mild conditions, the estimation is faster and more robust than the traditional Monte Carlo approach, therefore adapted to time-consuming computer codes g. The main result of the paper is related to the variance of the estimator. It appears as a new baseline measure of efficiency under monotonicity constraints, which could play a similar role to the usual Monte Carlo estimator variance in unconstrained frameworks. Furthermore the bias of the estimator is shown to be corrigible via bootstrap heuristics. The behavior of the method is illus-trated by numerical tests led on a class of toy examples and a more realistic hydraulic case-study.

Keywords : martingale monotonicity variance reduction Monte Carlo maximum likelihood estimator failure limit state probability

Author: Nicolas Bousquet -



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