Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (Q1686588): Difference between revisions

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English	Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics	scientific article

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instance of

scholarly article

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title

Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (English)

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Journal of Computational Physics

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publication date

15 December 2017

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zbMATH Keywords

importance sampling

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variance reduction

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Girsanov transformation

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time variant reliability

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describes a project that uses

bvp4c

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jcp.2017.03.047

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cites work

Handbook of Monte Carlo Methods

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Q3311717

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Q4319807

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Variance reduction through robust design of boundary conditions for stochastic hyperbolic systems of equations

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A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations

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Variance reduction for Monte Carlo solutions of the Boltzmann equation

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Importance sampling variance reduction for the Fokker-Planck rarefied gas particle method

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Variational variance reduction for particle transport eigenvalue calculations using Monte Carlo adjoint simulation.

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Q3714495

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

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Numerical solution of spectral stochastic finite element systems

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On advanced Monte Carlo simulation procedures in stochastic structural dynamics

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Importance sampling for randomly excited dynamical systems

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Stochastic differential equations. An introduction with applications.

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Q2778405

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Variance reduction for Monte Carlo simulation of stochastic environmental models

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Estimation of failure probabilities of linear dynamic systems by importance sampling

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An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise

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Variance Reduction for Simulated Diffusions

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Q4049680

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Quasilinearization and invariant imbedding. With applications to chemical engineering and adaptive control

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Solving ODEs with MATLAB

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Q3967411

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Q3843227

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On approximation of stable linear dynamical systems using Laguerre and Kautz functions

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Identifiers

zbMATH Open document ID

1378.65033

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DOI

10.1016/j.jcp.2017.03.047

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1686588

@@ Property / cites work @@
+Handbook of Monte Carlo Methods
@@ Property / cites work: Handbook of Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Q3311717
@@ Property / cites work: Q3311717 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance reduction through robust design of boundary conditions for stochastic hyperbolic systems of equations
+Normal rank
@@ Property / cites work @@
+A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations
+Normal rank
@@ Property / cites work @@
+Variance reduction for Monte Carlo solutions of the Boltzmann equation
+Normal rank
@@ Property / cites work @@
+Importance sampling variance reduction for the Fokker-Planck rarefied gas particle method
+Normal rank
@@ Property / cites work @@
+Variational variance reduction for particle transport eigenvalue calculations using Monte Carlo adjoint simulation.
+Normal rank
@@ Property / cites work @@
+Q3714495
@@ Property / cites work: Q3714495 / rank @@
+Normal rank
@@ Property / cites work @@
+Reliability estimation for dynamical systems subject to stochastic excitation using subset simulation with splitting
+Normal rank
@@ Property / cites work @@
+Numerical solution of spectral stochastic finite element systems
+Normal rank
@@ Property / cites work @@
+On advanced Monte Carlo simulation procedures in stochastic structural dynamics
+Normal rank
@@ Property / cites work @@
+Importance sampling for randomly excited dynamical systems
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Q2778405
@@ Property / cites work: Q2778405 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance reduction for Monte Carlo simulation of stochastic environmental models
+Normal rank
@@ Property / cites work @@
+Estimation of failure probabilities of linear dynamic systems by importance sampling
+Normal rank
@@ Property / cites work @@
+An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise
+Normal rank
@@ Property / cites work @@
+Variance Reduction for Simulated Diffusions
@@ Property / cites work: Variance Reduction for Simulated Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4049680
@@ Property / cites work: Q4049680 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasilinearization and invariant imbedding. With applications to chemical engineering and adaptive control
+Normal rank
@@ Property / cites work @@
+Solving ODEs with MATLAB
@@ Property / cites work: Solving ODEs with MATLAB / rank @@
+Normal rank
@@ Property / cites work @@
+Q3967411
@@ Property / cites work: Q3967411 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3843227
@@ Property / cites work: Q3843227 / rank @@
+Normal rank
@@ Property / cites work @@
+On approximation of stable linear dynamical systems using Laguerre and Kautz functions
+Normal rank