Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions (Q6177925)

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scientific article; zbMATH DE number 7733137
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Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
scientific article; zbMATH DE number 7733137

    Statements

    title
    Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions (English)
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    author
    Shanyin Tong
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    Georg Stadler
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    publication date
    31 August 2023
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    zbMATH Keywords
    rare events
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    large deviation theory
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    adaptive importance sampling
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    cross-entropy method
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    likelihood-informed subspace
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    reliability analysis
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    cites work
    Q3692703
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    Q4391441
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    The Monte Carlo Method
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    Q3592129
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    Q3341599
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    Identifiers

    arXiv ID
    2209.06278
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    DOI
    10.1137/22m1524758
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    Mathematics Subject Classification ID
    65C05
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    60F10
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    62L12
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    65F15
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    65K10
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    zbMATH DE Number
    7733137
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