Estimating Percentiles of Uncertain Computer Code Outputs

DOI10.1046/J.0035-9254.2003.05044.XzbMath1111.62395OpenAlexW1999000678MaRDI QIDQ3435791

Jeremy E. Oakley

Publication date: 7 May 2007

Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1046/j.0035-9254.2003.05044.x

Mathematics Subject Classification ID

Applications of statistics (62P99) Inference from stochastic processes (62M99) Theory of software (68N99)

Related Items (20)

Noisy kriging-based optimization methods: a unified implementation within the DiceOptim package ⋮ Bounding rare event probabilities in computer experiments ⋮ Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models ⋮ Solving an inverse problem for time-series-valued computer simulators via multiple contour estimation ⋮ Bayesian Subset Simulation ⋮ Nonparametric quantile estimation using importance sampling ⋮ Structural dynamic analysis using Gaussian process emulators ⋮ Sequential design of computer experiments for the estimation of a probability of failure ⋮ Efficient estimation of extreme quantiles using adaptive kriging and importance sampling ⋮ A new surrogate modeling technique combining Kriging and polynomial chaos expansions - application to uncertainty analysis in computational dosimetry ⋮ Controlled stratification for quantile estimation ⋮ Kriging metamodeling in simulation: a review ⋮ Estimating percentiles in computer experiments: a comparison of sequential-adaptive designs and fixed designs ⋮ Conditional quantile sequential estimation for stochastic codes ⋮ Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification ⋮ Unnamed Item ⋮ Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement ⋮ Sequential Active Learning of Low-Dimensional Model Representations for Reliability Analysis ⋮ Maximum Likelihood Estimation for a Smooth Gaussian Random Field Model ⋮ Rare Event Estimation for Computer Models

Cites Work

• Exploratory designs for computational experiments
• Bayesian Calibration of Computer Models
• Unnamed Item

This page was built for publication: Estimating Percentiles of Uncertain Computer Code Outputs