Reachability Analysis for Stochastic Hybrid Systems Using Multilevel Splitting

Authors:
Derek Riley;Xenofon Koutsoukos;Kasandra Riley
Affiliations:
ISIS/EECS, Vanderbilt University, Nashville, USA TN 37235;ISIS/EECS, Vanderbilt University, Nashville, USA TN 37235;Howard Hughes Medical Institute, Yale University, New Haven, USA
Venue:
HSCC '09 Proceedings of the 12th International Conference on Hybrid Systems: Computation and Control
Year:
2009

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Abstract

Biomedical research is increasingly using formal modeling and analysis methods to improve the understanding of complex systems. Verification methods for Stochastic Hybrid Systems (SHSs) are burdened with the curse of dimensionality; however, probabilistic analysis methods such as Monte Carlo (MC) methods can be used to analyze larger systems. MC methods are useful for estimating probabilities of event occurrences in SHS, but large and complex systems may require prohibitively large computation time to generate sufficient accuracy. In this work we present the multilevel splitting (MLS) variance reduction technique that has the potential to reduce the variance of MC methods by an order of magnitude significantly improving both their efficiency and accuracy [1].