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

DOI10.1137/20M1344585zbMath1472.62023arXiv2006.05496MaRDI QIDQ5010082

Youssef M. Marzouk, Daniel Straub, Iason Papaioannou, Felipe Uribe

Publication date: 24 August 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.05496

zbMATH Keywords

importance samplingrandom fieldsreliability analysisrare event simulationcross-entropy methodlikelihood-informed subspace

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Monte Carlo methods (65C05) Sequential estimation (62L12)

Related Items (7)

Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method ⋮ Adaptive Importance Sampling Based on Fault Tree Analysis for Piecewise Deterministic Markov Process ⋮ Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions ⋮ Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events ⋮ The Ensemble Kalman Filter for Rare Event Estimation ⋮ Sequential Active Learning of Low-Dimensional Model Representations for Reliability Analysis ⋮ Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sequential Monte Carlo for rare event estimation
• Efficient Monte Carlo simulation via the generalized splitting method
• Optimization of computer simulation models with rare events
• Introduction to rare event simulation.
• Inverse problems: A Bayesian perspective
• Likelihood-informed dimension reduction for nonlinear inverse problems
• Active Subspaces
• Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation
• General multi-dimensional probability integration by directional simulation
• Sequential Monte Carlo Samplers
• A First Look at Rigorous Probability Theory
• Optimal Low-rank Approximations of Bayesian Linear Inverse Problems
• Multilevel Estimation of Rare Events
• How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation
• Structural reliability under combined random load sequences
• Erratum: Active Subspace Methods in Theory and Practice: Applications to Kriging Surfaces
• Methods of Reducing Sample Size in Monte Carlo Computations
• Simulation and the Monte Carlo Method
• Structural Analysis with the Finite Element Method
• Measures, Integrals and Martingales

This page was built for publication: Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation