The Road from Stochastic Automata to the Simulation of Rare Events

Abstract

We report in the advances on stochastic automata and its use on rare event simulation. We review and introduce an extension of IOSA, an input/output variant of stochastic automata that under mild constraints can be ensured to contain non-determinism only in a spurious manner. That is, the model can be regarded as fully probabilistic and hence amenable for simulation. We also report on our latest work on fully automatizing the technique of rare event simulation. Using the structure of the model given in terms a network of IOSAs allows us to automatically derive the importance function, which is crucial for the importance splitting technique of rare event simulation. We conclude with experimental results that show how promising our technique is.