Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation

DOI10.1137/17M1122992zbMath1394.35493WikidataQ129736637 ScholiaQ129736637MaRDI QIDQ3176243

Karen Willcox, Boris Kramer, Benjamin Peherstorfer

Publication date: 19 July 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

zbMATH Keywords

multilevelMonte Carloimportance samplingreduced modelsvariance reductionsurrogate modelsrare event simulationcross-entropy methodmultifidelityfailure probability estimation

Mathematics Subject Classification ID

Related Items (16)

Rare event simulation for large-scale structures with local nonlinearities ⋮ Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method ⋮ Meta variance reduction for Monte Carlo estimation of energetic particle confinement during stellarator optimization ⋮ Tensor product approach to modelling epidemics on networks ⋮ Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events ⋮ Conditional-Value-at-Risk Estimation via Reduced-Order Models ⋮ Multifidelity probability estimation via fusion of estimators ⋮ Multilevel Sequential Importance Sampling for Rare Event Estimation ⋮ Conditional reliability analysis in high dimensions based on controlled mixture importance sampling and information reuse ⋮ Taylor Approximation for Chance Constrained Optimization Problems Governed by Partial Differential Equations with High-Dimensional Random Parameters ⋮ Selecting Reduced Models in the Cross-Entropy Method ⋮ A transport-based multifidelity preconditioner for Markov chain Monte Carlo ⋮ Failure Probability Estimation of Linear Time Varying Systems by Progressive Refinement of Reduced Order Models ⋮ Error Analysis for Probabilities of Rare Events with Approximate Models ⋮ Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation ⋮ Sequential Active Learning of Low-Dimensional Model Representations for Reliability Analysis

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