RareEventProbabilityEstimationContextGetLikelihoodRatio Method

protected abstract double GetLikelihoodRatio(
	DoubleMatrix samplePoint,
	DoubleMatrix nominalParameter,
	DoubleMatrix referenceParameter
)

Protected MustOverride Function GetLikelihoodRatio ( 
	samplePoint As DoubleMatrix,
	nominalParameter As DoubleMatrix,
	referenceParameter As DoubleMatrix
) As Double

protected:
virtual double GetLikelihoodRatio(
	DoubleMatrix^ samplePoint, 
	DoubleMatrix^ nominalParameter, 
	DoubleMatrix^ referenceParameter
) abstract

abstract GetLikelihoodRatio : 
        samplePoint : DoubleMatrix * 
        nominalParameter : DoubleMatrix * 
        referenceParameter : DoubleMatrix -> float 

Parameters

samplePoint

Type: Novacta.AnalyticsDoubleMatrix
The sample point.

nominalParameter

Type: Novacta.AnalyticsDoubleMatrix
The nominal parameter.

referenceParameter

Type: Novacta.AnalyticsDoubleMatrix
The reference parameter.

Return Value

A Cross-Entropy estimator is designed to evaluate the probability of rare events regarding the performance of complex systems. It is assumed that such probability must be evaluated with respect to a specific density function, member of a parametric family



where is a vector representing a possible state of the system, and is the set of allowable values for parameter . Let be the specific parameter value under which the probability must be evaluated. This is referred to as the nominal parameter.

Method GetLikelihoodRatio is intended to return the value



i.e., the likelihood ratio of to evaluated at state , where is the nominalParameter while is the referenceParameter.

Reference