Probabilistic Reachability Analysis for Large Scale Stochastic Hybrid Systems

This paper studies probabilistic reachability analysis for large scale stochastic hybrid systems (SHS) as a problem of rare event estimation. In literature, advanced rare event estimation theory has recently been embedded within a stochastic analysis framework, and this has led to significant novel results in rare event estimation for a diffusion process using sequential MC simulation. This paper presents this rare event estimation theory directly in terms of probabilistic reachability analysis of an SHS, and develops novel theory which allows to extend the novel results for application to a large scale SHS where a very huge number of rare discrete modes may contribute significantly to the reach probability. Essentially, the approach taken is to introduce an aggregation of the discrete modes, and to develop importance sampling relative to the rare switching between the aggregation modes. The practical working of this approach is demonstrated for the safety verification of an advanced air traffic control example

Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks

We consider a standard splitting algorithm for the rare-event simulation of overflow probabilities in any subset of stations in a Jackson network at level n, starting at a fixed initial position. It was shown in DeanDup09 that a subsolution to the Isaacs equation guarantees that a subexponential number of function evaluations (in n) suffice to estimate such overflow probabilities within a given relative accuracy. Our analysis here shows that in fact O(n^{2{\beta}+1}) function evaluations suffice to achieve a given relative precision, where {\beta} is the number of bottleneck stations in the network. This is the first rigorous analysis that allows to favorably compare splitting against directly computing the overflow probability of interest, which can be evaluated by solving a linear system of equations with O(n^{d}) variables.Comment: 23 page

Biological applications of the theory of birth-and-death processes

In this review, we discuss the applications of the theory of birth-and-death processes to problems in biology, primarily, those of evolutionary genomics. The mathematical principles of the theory of these processes are briefly described. Birth-and-death processes, with some straightforward additions such as innovation, are a simple, natural formal framework for modeling a vast variety of biological processes such as population dynamics, speciation, genome evolution, including growth of paralogous gene families and horizontal gene transfer, and somatic evolution of cancers. We further describe how empirical data, e.g., distributions of paralogous gene family size, can be used to choose the model that best reflects the actual course of evolution among different versions of birth-death-and-innovation models. It is concluded that birth-and-death processes, thanks to their mathematical transparency, flexibility and relevance to fundamental biological process, are going to be an indispensable mathematical tool for the burgeoning field of systems biology.Comment: 29 pages, 4 figures; submitted to "Briefings in Bioinformatics

Splitting for Rare Event Simulation: A Large Deviation Approach to Design and Analysis

Particle splitting methods are considered for the estimation of rare events. The probability of interest is that a Markov process first enters a set $B$ before another set $A$, and it is assumed that this probability satisfies a large deviation scaling. A notion of subsolution is defined for the related calculus of variations problem, and two main results are proved under mild conditions. The first is that the number of particles generated by the algorithm grows subexponentially if and only if a certain scalar multiple of the importance function is a subsolution. The second is that, under the same condition, the variance of the algorithm is characterized (asymptotically) in terms of the subsolution. The design of asymptotically optimal schemes is discussed, and numerical examples are presented.Comment: Submitted to Stochastic Processes and their Application

Actions Speak Louder Than Goals: Valuing Player Actions in Soccer

Assessing the impact of the individual actions performed by soccer players during games is a crucial aspect of the player recruitment process. Unfortunately, most traditional metrics fall short in addressing this task as they either focus on rare actions like shots and goals alone or fail to account for the context in which the actions occurred. This paper introduces (1) a new language for describing individual player actions on the pitch and (2) a framework for valuing any type of player action based on its impact on the game outcome while accounting for the context in which the action happened. By aggregating soccer players' action values, their total offensive and defensive contributions to their team can be quantified. We show how our approach considers relevant contextual information that traditional player evaluation metrics ignore and present a number of use cases related to scouting and playing style characterization in the 2016/2017 and 2017/2018 seasons in Europe's top competitions.Comment: Significant update of the paper. The same core idea, but with a clearer methodology, applied on a different data set, and more extensive experiments. 9 pages + 2 pages appendix. To be published at SIGKDD 201