Data-based importance sampling estimates for extreme events (Q776693)

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scholarly article

Data-based importance sampling estimates for extreme events (English)

Journal of Computational Physics

publication date

13 July 2020

zbMATH Keywords

extreme events

importance sampling measures

Monte Carlo method

nominal measures

Radon-Nikodym theorem

stochastic equations

Mircea D. Grigoriu

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MaRDI publication profile

full work available at URL

https://doi.org/10.1016/j.jcp.2020.109429

UTILIZING ADJOINT-BASED ERROR ESTIMATES FOR SURROGATE MODELS TO ACCURATELY PREDICT PROBABILITIES OF EVENTS

Microstructure Models and Material Response by Extreme Value Theory

Stochastic systems. Uncertainty quantification and propagation

Response Statistics for Random Heterogeneous Microstructures

Parametric models for samples of random functions

Estimates of System Response Maxima by Extreme Value Theory and Surrogate Models

Finite dimensional models for random functions

Extremes and related properties of random sequences and processes

An efficient surrogate-based method for computing rare failure probability

Evaluation of failure probability via surrogate models

Multifidelity importance sampling

Heavy-Tail Phenomena

A multilevel finite element method for Fredholm integral eigenvalue problems

The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

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Mathematics(1 entry)

mardi Publication:776693

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