Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models

DOI10.1016/J.JCP.2017.04.012zbMATH Open1376.93020OpenAlexW2604390261MaRDI QIDQ1686574FDOQ1686574

Karen Willcox, Boris Kramer, Benjamin Peherstorfer

Publication date: 15 December 2017

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2017.04.012

Recommendations

• Multifidelity importance sampling
• Multifidelity probability estimation via fusion of estimators
• Evaluation of failure probability via surrogate models
• Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation
• Optimal model management for multifidelity Monte Carlo estimation

zbMATH Keywords

uncertainty quantificationmodel reductionrare event simulationmultifidelitysurrogate modelingfailure probability estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

• Support-vector networks
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• Weighted Average Importance Sampling and Defensive Mixture Distributions
• Optimization of computer simulation models with rare events
• Adaptive Multiple Importance Sampling
• A spectral viscosity method for correcting the long-term behavior of POD models.
• A tutorial on the cross-entropy method
• A survey of projection-based model reduction methods for parametric dynamical systems
• Safe and Effective Importance Sampling
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• The dynamics of coherent structures in the wall region of a turbulent boundary layer
• Proper orthogonal decomposition closure models for turbulent flows: a numerical comparison
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• Convergence of Spectral Methods for Nonlinear Conservation Laws
• Two-level discretizations of nonlinear closure models for proper orthogonal decomposition
• Accurate and efficient evaluation of failure probability for partial different equations with random input data
• An efficient surrogate-based method for computing rare failure probability
• Evaluation of failure probability via surrogate models
• Convergence of adaptive mixtures of importance sampling schemes
• Minimum variance importance samplingviaPopulation Monte Carlo
• Accelerated subset simulation with neural networks for reliability analysis
• Multilevel Estimation of Rare Events
• Multifidelity importance sampling
• Online Adaptive Model Reduction for Nonlinear Systems via Low-Rank Updates
• Proper orthogonal decomposition closure models for fluid flows: Burgers equation
• On control variate estimators

Cited In (15)

• Multifidelity probability estimation via fusion of estimators
• A physics-informed variational DeepONet for predicting crack path in quasi-brittle materials
• An efficient surrogate-based method for computing rare failure probability
• Conditional-Value-at-Risk Estimation via Reduced-Order Models
• Ensemble Approximate Control Variate Estimators: Applications to MultiFidelity Importance Sampling
• Data-driven spatiotemporal modeling for structural dynamics on irregular domains by stochastic dependency neural estimation
• Multifidelity approaches for uncertainty quantification
• Rare event simulation for large-scale structures with local nonlinearities
• Bifidelity Surrogate Modelling: Showcasing the Need for New Test Instances
• Context-Aware Surrogate Modeling for Balancing Approximation and Sampling Costs in Multifidelity Importance Sampling and Bayesian Inverse Problems
• Taylor Approximation for Chance Constrained Optimization Problems Governed by Partial Differential Equations with High-Dimensional Random Parameters
• Multifidelity Dimension Reduction via Active Subspaces
• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
• Title not available (Why is that?)
• Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation

Uses Software

• libagf

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