An efficient surrogate-based method for computing rare failure probability

DOI10.1016/j.jcp.2011.08.008zbMath1370.65005OpenAlexW2150592616MaRDI QIDQ422494

Dongbin Xiu, Jinglai Li, Jing Li

Publication date: 18 May 2012

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2011.08.008

zbMATH Keywords

importance samplingrare eventscross-entropyfailure probability

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Probabilistic models, generic numerical methods in probability and statistics (65C20) Reliability and life testing (62N05)

Related Items (27)

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Cites Work

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• The transform likelihood ratio method for rare event simulation with heavy tails
• Evaluation of failure probability via surrogate models
• Uses and abuses of statistical simulation
• Optimization of computer simulation models with rare events
• Introduction to rare event simulation.
• Adapted polynomial chaos expansion for failure detection
• A tutorial on the cross-entropy method
• A Study on the Cross-Entropy Method for Rare-Event Probability Estimation
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• On Information and Sufficiency

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