Efficient Rare Event Simulation for Failure Problems in Random Media

DOI10.1137/140965569zbMath1320.65012arXiv1404.4225OpenAlexW2963973757WikidataQ60143611 ScholiaQ60143611MaRDI QIDQ5254418

Xiang Zhou, Jingchen Liu, Jian-feng Lu

Publication date: 9 June 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4225

zbMATH Keywords

importance samplingrandom mediarare eventGaussian random function

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random operators and equations (aspects of stochastic analysis) (60H25) Statistical mechanics of random media, disordered materials (including liquid crystals and spin glasses) (82D30)

Related Items (6)

Moderate deviation for random elliptic PDE with small noise ⋮ A Koopman framework for rare event simulation in stochastic differential equations ⋮ Multilevel Estimation of Rare Events ⋮ An Efficient MultiModes Monte Carlo Homogenization Method for Random Materials ⋮ Asymptotically Efficient Simulation of Elliptic Problems with Small Random Forcing ⋮ Chernoff index for Cox test of separate parametric families

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