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Importance Sampling of Interval Markov Chains
Conference proceeding

Importance Sampling of Interval Markov Chains

Cyrille Jegourel, Jingyi Wang, Jun Sun, IEEE and Cyrille Pierre Joseph Jegourel
Proceedings - International Conference on Dependable Systems and Networks, pp.303-313
International Conference on Dependable Systems and Networks
01/01/2018

Abstract

Computer Science Computer Science, Theory & Methods Engineering Engineering, Electrical & Electronic Science & Technology Technology
In real-world systems, rare events often characterize critical situations like the probability that a system fails within some time bound and they are used to model some potentially harmful scenarios in dependability of safety-critical systems. Probabilistic Model Checking has been used to verify dependability properties in various types of systems but is limited by the state space explosion problem. An alternative is the recourse to Statistical Model Checking (SMC) that relies on Monte Carlo simulations and provides estimates within predefined error and confidence bounds. However, rare properties require a large number of simulations before occurring at least once. To tackle the problem, Importance Sampling, a rare event simulation technique, has been proposed in SMC for different types of probabilistic systems. Importance Sampling requires the full knowledge of probabilistic measure of the system, e.g. Markov chains. In practice, however, we often have models with some uncertainty, e.g., Interval Markov Chains. In this work, we propose a method to apply importance sampling to Interval Markov Chains. We show promising results in applying our method to multiple case studies.

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