A subset multicanonical Monte Carlo method for simulating rare failure events

DOI10.1016/J.JCP.2017.04.051zbMath1380.65009arXiv1612.07002OpenAlexW2563968020MaRDI QIDQ1693882

Jinglai Li, Xinjuan Chen

Publication date: 1 February 2018

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

Full work available at URL: https://arxiv.org/abs/1612.07002

zbMATH Keywords

uncertainty quantificationsubset simulationmulticanonical Monte Carlofailure probability estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Uses Software

• QRM

Cites Work

• A survey on approaches for reliability-based optimization
• An efficient surrogate-based method for computing rare failure probability
• Multicanonical MCMC for sampling rare events: an illustrative review
• Evaluation of failure probability via surrogate models
• Accelerated subset simulation with neural networks for reliability analysis
• A surrogate accelerated multicanonical Monte Carlo method for uncertainty quantification
• A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
• A Cross-Entropy Scheme for Mixtures
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