Multilevel estimation of rare events
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PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
Recommendations
- Multilevel sequential importance sampling for rare event estimation
- A subset multicanonical Monte Carlo method for simulating rare failure events
- Adaptive Multilevel Splitting for Rare Event Analysis
- Some recent results in rare event estimation
- A multilevel Monte Carlo method for computing failure probabilities
Cites work
- A multilevel Monte Carlo method for computing failure probabilities
- Accelerated subset simulation with neural networks for reliability analysis
- Accurate and efficient evaluation of failure probability for partial different equations with random input data
- Accurate uncertainty quantification using inaccurate computational models
- Adaptive Markov Chain Monte Carlo through Regeneration
- An efficient surrogate-based method for computing rare failure probability
- Branching and interacting particle interpretations of rare event probabilities
- Efficient Monte Carlo simulation via the generalized splitting method
- Efficient rare event simulation for failure problems in random media
- Equation of state calculations by fast computing machines
- Evaluation of failure probability via surrogate models
- Finite element error analysis of elliptic PDEs with random coefficients and its application to multilevel Monte Carlo methods
- Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
- Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
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- Mixed finite element analysis of lognormal diffusion and multilevel Monte Carlo methods
- Monte Carlo sampling methods using Markov chains and their applications
- Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
- Multilevel Monte Carlo approximation of distribution functions and densities
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- Parallel computation of flow in heterogeneous media modelled by mixed finite elements
- Regeneration in Markov Chain Samplers
- Reliability-based optimization of maintenance scheduling of mechanical components under fatigue
- Remarks on a Multivariate Transformation
- Sequential Monte Carlo for rare event estimation
- Stochastic finite element methods for partial differential equations with random input data
- Surrogate based method for evaluation of failure probability under multiple constraints
- The stochastic finite element method: past, present and future
Cited in
(29)- Convergence analysis of multifidelity Monte Carlo estimation
- Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models
- A subset multicanonical Monte Carlo method for simulating rare failure events
- Low-dimensional offshore wave input for extreme event quantification
- A multilevel approach to stochastic trace estimation
- Estimation of distributions via multilevel Monte Carlo with stratified sampling
- A non-intrusive multifidelity method for the reduced order modeling of nonlinear problems
- On the reliability of structures equipped with a class of friction-based devices under stochastic excitation
- Rare event simulation for large-scale structures with local nonlinearities
- Multifidelity probability estimation via fusion of estimators
- Conditional reliability analysis in high dimensions based on controlled mixture importance sampling and information reuse
- Central limit theorems for multilevel Monte Carlo methods
- Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation
- Multilevel sequential importance sampling for rare event estimation
- Adaptive Multilevel Splitting for Rare Event Analysis
- Multilevel Monte Carlo approximation of functions
- Selecting reduced models in the cross-entropy method
- Error analysis for probabilities of rare events with approximate models
- Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
- Multifidelity Dimension Reduction via Active Subspaces
- Adaptive multilevel splitting: historical perspective and recent results
- Analysis of nested multilevel Monte Carlo using approximate normal random variables
- The ensemble Kalman filter for rare event estimation
- Sequential active learning of low-dimensional model representations for reliability analysis
- Multifidelity approaches for uncertainty quantification
- Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
- Adaptive multilevel subset simulation with selective refinement
- Adaptive reduced multilevel splitting
- Multilevel sequential Monte Carlo for Bayesian inverse problems
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