Multifidelity preconditioning of the cross-entropy method for rare event simulation and failure probability estimation

DOI10.1137/17M1122992zbMATH Open1394.35493WikidataQ129736637 ScholiaQ129736637MaRDI QIDQ3176243FDOQ3176243

Authors: Benjamin Peherstorfer, Boris Kramer, Karen Willcox 

Publication date: 19 July 2018

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

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zbMATH Keywords

multilevelMonte Carloimportance samplingvariance reductionreduced modelssurrogate modelsrare event simulationcross-entropy methodmultifidelityfailure probability estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parametric tolerance and confidence regions (62F25) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) PDEs in connection with statistics (35Q62)

Cites Work

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Cited In (22)

• Multifidelity importance sampling
• Multifidelity probability estimation via fusion of estimators
• A transport-based multifidelity preconditioner for Markov chain Monte Carlo
• Conditional-value-at-risk estimation via reduced-order models
• Failure probability estimation of linear time varying systems by progressive refinement of reduced order models
• 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
• Sequential active learning of low-dimensional model representations for reliability analysis
• Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models
• Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events
• Error analysis for probabilities of rare events with approximate models
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• 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
• Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions
• Tensor product approach to modelling epidemics on networks
• Rare event simulation for large-scale structures with local nonlinearities
• An approximate control variates approach to multifidelity distribution estimation
• Multilevel sequential importance sampling for rare event estimation
• Adaptive reduced basis strategy for rare-event simulations
• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey

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