[Estimation of rare event probabilities and quantiles applied to an aerospace vehicle fall-back zone analysis]
Estimating rare event probability and quantile with a valuable accuracy is an important source of interest in reliability and safety. Since usual estimation techniques such as Monte Carlo method are not efficient for low probabilities, different methods have been investigated: importance splitting, importance sampling or extreme value theory. These algorithms are compared and then applied to the safety zone estimation of an aerospace vehicle.
Afin de quantifier les risques ainsi qu’évaluer des performances de système, il est souvent nécessaire d’estimer des quantiles et des probabilités faibles. Les techniques habituelles d’estimation de type méthode de Monte Carlo n’étant plus efficaces, nous détaillons les principales techniques d’estimation de probabilités rares telles que l’importance sampling, l’importance splitting ou la théorie des valeurs extrêmes. Ces différents algorithmes sont appliqués au cas de l’estimation d’une zone de retombée d’un engin spatial.
Keywords: Rare event estimation, Extreme value theory, Importance sampling, Importance splitting
@article{JSFS_2011__152_4_1_0, author = {Morio, J\'er\^ome and Pastel, Rudy and Le Gland, Fran\c{c}ois}, title = {Estimation de probabilit\'es et de quantiles rares pour la caract\'erisation d{\textquoteright}une zone de retomb\'ee d{\textquoteright}un engin}, journal = {Journal de la soci\'et\'e fran\c{c}aise de statistique}, pages = {1--29}, publisher = {Soci\'et\'e fran\c{c}aise de statistique}, volume = {152}, number = {4}, year = {2011}, zbl = {1316.62185}, language = {fr}, url = {http://www.numdam.org/item/JSFS_2011__152_4_1_0/} }
TY - JOUR AU - Morio, Jérôme AU - Pastel, Rudy AU - Le Gland, François TI - Estimation de probabilités et de quantiles rares pour la caractérisation d’une zone de retombée d’un engin JO - Journal de la société française de statistique PY - 2011 SP - 1 EP - 29 VL - 152 IS - 4 PB - Société française de statistique UR - http://www.numdam.org/item/JSFS_2011__152_4_1_0/ LA - fr ID - JSFS_2011__152_4_1_0 ER -
%0 Journal Article %A Morio, Jérôme %A Pastel, Rudy %A Le Gland, François %T Estimation de probabilités et de quantiles rares pour la caractérisation d’une zone de retombée d’un engin %J Journal de la société française de statistique %D 2011 %P 1-29 %V 152 %N 4 %I Société française de statistique %U http://www.numdam.org/item/JSFS_2011__152_4_1_0/ %G fr %F JSFS_2011__152_4_1_0
Morio, Jérôme; Pastel, Rudy; Le Gland, François. Estimation de probabilités et de quantiles rares pour la caractérisation d’une zone de retombée d’un engin. Journal de la société française de statistique, Volume 152 (2011) no. 4, pp. 1-29. http://www.numdam.org/item/JSFS_2011__152_4_1_0/
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