Uncertainty quantification and confidence intervals for naive rare-event estimators

Abstract We consider the estimation of rare-event probabilities using sample proportions output by naive Monte Carlo or collected data. Unlike using variance reduction techniques, this naive estimator does not have an a priori relative efficiency guarantee. On the other hand, due to the recent surge of sophisticated rare-event problems arising in safety evaluations of intelligent systems, efficiency-guaranteed variance reduction may face implementation challenges which, coupled with the availability of computation or data collection power, motivate the use of such a naive estimator. In this paper we study the uncertainty quantification, namely the construction, coverage validity, and tightness of confidence intervals, for rare-event probabilities using only sample proportions. In addition to the known normality, Wilson, and exact intervals, we investigate and compare them with two new intervals derived from Chernoff’s inequality and the Berry–Esseen theorem. Moreover, we generalize our results to the natural situation where sampling stops by reaching a target number of rare-event hits. Our findings show that the normality and Wilson intervals are not always valid, but they are close to the newly developed valid intervals in terms of half-width. In contrast, the exact interval is conservative, but safely guarantees the attainment of the nominal confidence level. Our new intervals, while being more conservative than the exact interval, provide useful insights into understanding the tightness of the considered intervals.

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Publication Details

Journal
Journal of Applied Probability
Published
2024-09-02
DOI
https://doi.org/10.1017/jpr.2024.43
Citations
3
Primary Topic
Probability and Risk Models
Type
article
Field-Weighted Citation Impact
1.47

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article

Uncertainty quantification and confidence intervals for naive rare-event estimators

Yuanlu Bai, Henry Lam
3 citations
Journal of Applied Probability
Probability and Risk Models
1.47
article

Uncertainty quantification and confidence intervals for naive rare-event estimators

Yuanlu Bai, Henry Lam
article en
3 citations

Abstract

Abstract We consider the estimation of rare-event probabilities using sample proportions output by naive Monte Carlo or collected data. Unlike using variance reduction techniques, this naive estimator does not have an a priori relative efficiency guarantee. On the other hand, due to the recent surge of sophisticated rare-event problems arising in safety evaluations of intelligent systems, efficiency-guaranteed variance reduction may face implementation challenges which, coupled with the availability of computation or data collection power, motivate the use of such a naive estimator. In this paper we study the uncertainty quantification, namely the construction, coverage validity, and tightness of confidence intervals, for rare-event probabilities using only sample proportions. In addition to the known normality, Wilson, and exact intervals, we investigate and compare them with two new intervals derived from Chernoff’s inequality and the Berry–Esseen theorem. Moreover, we generalize our results to the natural situation where sampling stops by reaching a target number of rare-event hits. Our findings show that the normality and Wilson intervals are not always valid, but they are close to the newly developed valid intervals in terms of half-width. In contrast, the exact interval is conservative, but safely guarantees the attainment of the nominal confidence level. Our new intervals, while being more conservative than the exact interval, provide useful insights into understanding the tightness of the considered intervals.

Journal of Applied ProbabilityVol. 62(1)
Columbia University (US)
National Science Foundation, Division of Civil, Mechanical and Manufacturing Innovation
Openalex Percentile: Top 16%
Probability and Risk Models
1.47
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Uncertainty quantification and confidence intervals for naive rare-event estimators — Yuanlu Bai, Henry Lam · Journal of Applied Probability (2024) | TGRS Research Map | TGRS