Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters

DOI10.1007/s11009-014-9411-xzbMath1334.65004OpenAlexW2065482820MaRDI QIDQ267894

Mathieu Balesdent, Loïc Brevault, Jérôme Morio

Publication date: 12 April 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9411-x

zbMATH Keywords

importance samplingKrigingepistemic uncertaintyinput-output functionrare event estimationsurrogate model

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items

Uncertainty quantification of stochastic simulation for black-box computer experiments

Uses Software

• DACE
• CMA-ES

Cites Work

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