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Durham University

Department of Mathematical Sciences

Academic Staff

Publication details for Matthias Troffaes

Troffaes, Matthias C. M., Fetz, Thomas & Oberguggenberger, Michael (2018), Iterative Importance Sampling for Estimating Expectation Bounds Under Partial Probability Specifications, The 8th International Workshop on Reliable Engineering Computing (REC2018). Liverpool.

Author(s) from Durham

Abstract

In this paper, we explore and enhance importance sampling techniques for calculating lower and upper
expectations with respect to sets of probability distributions. We formalize an iterative algorithm
that we proposed in earlier work, by formulating the algorithm as a procedure for identifying a fixed
point. We show how the algorithm can break down under poor coverage of the sampling distribution,
and explore simple methods to increase coverage and thereby improve the algorithm.