Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
Publication:5010082
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
importance samplingrandom fieldsreliability analysisrare event simulationcross-entropy methodlikelihood-informed subspace
Sampling theory, sample surveys (62D05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Monte Carlo methods (65C05) Sequential estimation (62L12)
Related Items (7)
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