Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events (Q6189161): Difference between revisions

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scientific article; zbMATH DE number 7801539

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English	Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events	scientific article; zbMATH DE number 7801539

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scholarly article

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title

Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events (English)

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SIAM Journal on Scientific Computing

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publication date

8 February 2024

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full work available at URL

https://arxiv.org/abs/2209.01941

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zbMATH Keywords

rare events

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Bayesian inference

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inverse problems

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tensor train

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transport maps

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MaRDI profile type

Publication

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cites work

A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

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Spectral Tensor-Train Decomposition

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An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting

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Model Reduction for Large-Scale Systems with High-Dimensional Parametric Input Space

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Sparse-grid, reduced-basis Bayesian inversion: nonaffine-parametric nonlinear equations

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Parallel computation of flow in heterogeneous media modelled by mixed finite elements

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Nonlinear Reduced Models for State and Parameter Estimation

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Convergence rates of best \(N\)-term Galerkin approximations for a class of elliptic SPDEs

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Active Subspace Methods in Theory and Practice: Applications to Kriging Surfaces

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Deep composition of tensor-trains using squared inverse Rosenblatt transports

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Scalable conditional deep inverse Rosenblatt transports using tensor trains and gradient-based dimension reduction

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Likelihood-informed dimension reduction for nonlinear inverse problems

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Data-driven model reduction for the Bayesian solution of inverse problems

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Scalable posterior approximations for large-scale Bayesian inverse problems via likelihood-informed parameter and state reduction

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A unified performance analysis of likelihood-informed subspace methods

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Sequential Monte Carlo Samplers

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Approximation and sampling of multivariate probability distributions in the tensor train decomposition

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Alternating Minimal Energy Methods for Linear Systems in Higher Dimensions

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Convergence of adaptive mixtures of importance sampling schemes

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Low-rank tensor reconstruction of concentrated densities with application to Bayesian inversion

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Sampling-free Bayesian inversion with adaptive hierarchical tensor representations

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A Multilevel Monte Carlo Method for Computing Failure Probabilities

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Methods for approximating integrals in statistics with special emphasis on Bayesian integration problems

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Non‐linear model reduction for uncertainty quantification in large‐scale inverse problems

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Simulating normalizing constants: From importance sampling to bridge sampling to path sampling

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A continuous analogue of the tensor-train decomposition

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Analysis of tensor approximation schemes for continuous functions

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Tensor Spaces and Numerical Tensor Calculus

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Q3740832

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Parameter and State Model Reduction for Large-Scale Statistical Inverse Problems

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Dimensionality reduction and polynomial chaos acceleration of Bayesian inference in inverse problems

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Bayesian inference with optimal maps

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TT-cross approximation for multidimensional arrays

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Tensor-Train Decomposition

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Transport Map Accelerated Markov Chain Monte Carlo

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Multifidelity importance sampling

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Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation

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Rank Bounds for Approximating Gaussian Densities in the Tensor-Train Format

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Remarks on a Multivariate Transformation

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Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems

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Sparse deterministic approximation of Bayesian inverse problems

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Q4614105

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Deep UQ: learning deep neural network surrogate models for high dimensional uncertainty quantification

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Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation

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Multilevel Sequential Importance Sampling for Rare Event Estimation

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Error Analysis for Probabilities of Rare Events with Approximate Models

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Coupling the reduced-order model and the generative model for an importance sampling estimator

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The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

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Adaptive multi-fidelity polynomial chaos approach to Bayesian inference in inverse problems

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An Adaptive Surrogate Modeling Based on Deep Neural Networks for Large-Scale Bayesian Inverse Problems

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Certified dimension reduction in nonlinear Bayesian inverse problems

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Physics-constrained deep learning for high-dimensional surrogate modeling and uncertainty quantification without labeled data

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Identifiers

arXiv ID

2209.01941

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6189161

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