Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula (Q4995122): Difference between revisions

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scientific article; zbMATH DE number 7362397

Language	Label	Description	Also known as
English	Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula	scientific article; zbMATH DE number 7362397

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instance of

scholarly article

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title

Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula (English)

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SIAM/ASA Journal on Uncertainty Quantification

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publication date

23 June 2021

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full work available at URL

https://arxiv.org/abs/2001.11904

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zbMATH Keywords

excursion probability

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rare events

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Gaussian mixtures

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MCMC

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Rice's formula

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MaRDI profile type

MaRDI publication profile

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cites work

The Geometry of Random Fields

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Random Fields and Geometry

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Stochastic simulation: Algorithms and analysis

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Bayesian Subset Simulation

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Efficient Monte Carlo simulation via the generalized splitting method

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Introduction to rare event simulation.

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A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems Part I: The Linearized Case, with Application to Global Seismic Inversion

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Reliability estimation for dynamical systems subject to stochastic excitation using subset simulation with splitting

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Rogue waves and large deviations in deep sea

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Extreme Event Quantification in Dynamical Systems with Random Components

0 references

Q3100983

0 references

Oceanic Rogue Waves

0 references

Sampling-Based Approaches to Calculating Marginal Densities

0 references

Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

0 references

Q4864274

0 references

An adaptive Metropolis algorithm

0 references

Monte Carlo sampling methods using Markov chains and their applications

0 references

Methods of Reducing Sample Size in Monte Carlo Computations

0 references

Statistical and computational inverse problems.

0 references

A two-stage subset simulation-based approach for calculating the reliability of inelastic structural systems subjected to Gaussian random excitations

0 references

Monte Carlo strategies in scientific computing.

0 references

Equation of State Calculations by Fast Computing Machines

0 references

The Monte Carlo Method

0 references

Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems

0 references

Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models

0 references

A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems, Part II: Stochastic Newton MCMC with Application to Ice Sheet Flow Inverse Problems

0 references

A time-parallel approach to strong-constraint four-dimensional variational data assimilation

0 references

Q3394879

0 references

Mathematical Analysis of Random Noise

0 references

Q4828566

0 references

Multivariate Density Estimation

0 references

Q4778523

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Predictability of extreme waves in the Lorenz-96 model near intermittency and quasi-periodicity

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Identifiers

zbMATH Open document ID

1478.60102

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DOI

10.1137/19M1308177

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4995122

@@ Property / cites work @@
+The Geometry of Random Fields
@@ Property / cites work: The Geometry of Random Fields / rank @@
+Normal rank
@@ Property / cites work @@
+Random Fields and Geometry
@@ Property / cites work: Random Fields and Geometry / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian Subset Simulation
@@ Property / cites work: Bayesian Subset Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation via the generalized splitting method
+Normal rank
@@ Property / cites work @@
+Introduction to rare event simulation.
@@ Property / cites work: Introduction to rare event simulation. / rank @@
+Normal rank
@@ Property / cites work @@
+A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems Part I: The Linearized Case, with Application to Global Seismic Inversion
+Normal rank
@@ Property / cites work @@
+Reliability estimation for dynamical systems subject to stochastic excitation using subset simulation with splitting
+Normal rank
@@ Property / cites work @@
+Rogue waves and large deviations in deep sea
@@ Property / cites work: Rogue waves and large deviations in deep sea / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme Event Quantification in Dynamical Systems with Random Components
+Normal rank
@@ Property / cites work @@
+Q3100983
@@ Property / cites work: Q3100983 / rank @@
+Normal rank
@@ Property / cites work @@
+Oceanic Rogue Waves
@@ Property / cites work: Oceanic Rogue Waves / rank @@
+Normal rank
@@ Property / cites work @@
+Sampling-Based Approaches to Calculating Marginal Densities
+Normal rank
@@ Property / cites work @@
+Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
+Normal rank
@@ Property / cites work @@
+Q4864274
@@ Property / cites work: Q4864274 / rank @@
+Normal rank
@@ Property / cites work @@
+An adaptive Metropolis algorithm
@@ Property / cites work: An adaptive Metropolis algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo sampling methods using Markov chains and their applications
+Normal rank
@@ Property / cites work @@
+Methods of Reducing Sample Size in Monte Carlo Computations
+Normal rank
@@ Property / cites work @@
+Statistical and computational inverse problems.
@@ Property / cites work: Statistical and computational inverse problems. / rank @@
+Normal rank
@@ Property / cites work @@
+A two-stage subset simulation-based approach for calculating the reliability of inelastic structural systems subjected to Gaussian random excitations
+Normal rank
@@ Property / cites work @@
+Monte Carlo strategies in scientific computing.
@@ Property / cites work: Monte Carlo strategies in scientific computing. / rank @@
+Normal rank
@@ Property / cites work @@
+Equation of State Calculations by Fast Computing Machines
+Normal rank
@@ Property / cites work @@
+The Monte Carlo Method
@@ Property / cites work: The Monte Carlo Method / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems
+Normal rank
@@ Property / cites work @@
+Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
+Normal rank
@@ Property / cites work @@
+A Computational Framework for Infinite-Dimensional Bayesian Inverse Problems, Part II: Stochastic Newton MCMC with Application to Ice Sheet Flow Inverse Problems
+Normal rank
@@ Property / cites work @@
+A time-parallel approach to strong-constraint four-dimensional variational data assimilation
+Normal rank
@@ Property / cites work @@
+Q3394879
@@ Property / cites work: Q3394879 / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical Analysis of Random Noise
@@ Property / cites work: Mathematical Analysis of Random Noise / rank @@
+Normal rank
@@ Property / cites work @@
+Q4828566
@@ Property / cites work: Q4828566 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Density Estimation
@@ Property / cites work: Multivariate Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778523
@@ Property / cites work: Q4778523 / rank @@
+Normal rank
@@ Property / cites work @@
+Predictability of extreme waves in the Lorenz-96 model near intermittency and quasi-periodicity
+Normal rank