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

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

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