Simulating a Random Vector Conditionally to a Subvariety: A Generic Dichotomous Approach

Frédéric Dambreville

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Paper

Simulating a Random Vector Conditionally to a Subvariety: A Generic Dichotomous Approach

Topics: Non-Linear Systems; Optimization Issues; Rare Event Simulation and Co-Simulation

In Proceedings of the 11th International Conference on Simulation and Modeling Methodologies, Technologies and Applications SIMULTECH - Volume 1, 109-120, 2021

Author: Frédéric Dambreville

Affiliation: ONERA/DTIS, Université Paris Saclay, F-91123 Palaiseau Cedex, France

Keyword(s): Rare Event Simulation, Subvariety, Interval Analysis, Black-box Optimization.

Abstract: The problem of sampling a random vector conditionally to a subvariety within a box (actually, a small volume around the subvariety) is addressed. The approach is generic, in the sense that the subvariety may be defined by an isosurface related to any (computable) continuous function. Our approach is based on a dichotomous method. As a result, the sampling process is straightforward, accurate and avoids the use of Markov chain Monte Carlo. Our implementation relies on the evaluation of the matching with the subvariety at each dichotomy step. By using interval analysis techniques for evaluating the matching, our method has been applied up to dimension 11. Perspectives are evoked for improving the sampling efficiency on higher dimensions. An example of application of this simulation technique to black-box function optimization is detailed.

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Paper citation in several formats:

Dambreville, F. (2021). Simulating a Random Vector Conditionally to a Subvariety: A Generic Dichotomous Approach. In Proceedings of the 11th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - SIMULTECH; ISBN 978-989-758-528-9; ISSN 2184-2841, SciTePress, pages 109-120. DOI: 10.5220/0010559101090120

@conference{simultech21,
author={Frédéric Dambreville.},
title={Simulating a Random Vector Conditionally to a Subvariety: A Generic Dichotomous Approach},
booktitle={Proceedings of the 11th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - SIMULTECH},
year={2021},
pages={109-120},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010559101090120},
isbn={978-989-758-528-9},
issn={2184-2841},
}

TY - CONF

JO - Proceedings of the 11th International Conference on Simulation and Modeling Methodologies, Technologies and Applications - SIMULTECH
TI - Simulating a Random Vector Conditionally to a Subvariety: A Generic Dichotomous Approach
SN - 978-989-758-528-9
IS - 2184-2841
AU - Dambreville, F.
PY - 2021
SP - 109
EP - 120
DO - 10.5220/0010559101090120
PB - SciTePress