Optimisation of interacting particle systems for rare event estimation
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Publication:1800121
DOI10.1016/j.csda.2013.03.025zbMath1471.62143MaRDI QIDQ1800121
Julien Marzat, Mathieu Balesdent, Jérôme Morio, Damien Jacquemart
Publication date: 19 October 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2013.03.025
kriging; probability; input-output model; optimisation; interacting particle system; surrogate model; rare event; hyperparameter
62-08: Computational methods for problems pertaining to statistics
65C35: Stochastic particle methods
Uses Software