Risk evaluation with rectangular random walk

Xinjia Chen; Jafar Al Sharab

doi:10.1117/12.2557629

23 April 2020 Risk evaluation with rectangular random walk

Xinjia Chen, Jafar Al Sharab

Proceedings Volume 11425, Unmanned Systems Technology XXII; 114250R (2020) https://doi.org/10.1117/12.2557629
Event: SPIE Defense + Commercial Sensing, 2020, Online Only

Abstract

In this paper, we develop a rigorous and efficient method for risk evaluation. Our risk evaluation method is an adaptive Monte Carlo estimation method implemented as a rectangular random walk, which is derived from a mixed error criterion and the concept of relative entropy from information theory. Our proposed method of risk evaluation can be orders of magnitude more efficient as compared to existing methods in literatures and widely used softwares. This new method makes it possible to evaluate risk of systems so that in a strict statistical sense, either the absolute error can be controlled below 10⁻⁶ or the relative error can be controlled below 0.01, that is, the error of risk evaluation can be rigorously certified at extremely low level, which is impossible by using existing methods.

Conference Presentation

Citation Download Citation

Xinjia Chen and Jafar Al Sharab "Risk evaluation with rectangular random walk", Proc. SPIE 11425, Unmanned Systems Technology XXII, 114250R (23 April 2020); https://doi.org/10.1117/12.2557629

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