Efficient Monte Carlo for high excursions of Gaussian random fields
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Publication:433910
Abstract: Our focus is on the design and analysis of efficient Monte Carlo methods for computing tail probabilities for the suprema of Gaussian random fields, along with conditional expectations of functionals of the fields given the existence of excursions above high levels, b. Na"{i}ve Monte Carlo takes an exponential, in b, computational cost to estimate these probabilities and conditional expectations for a prescribed relative accuracy. In contrast, our Monte Carlo procedures achieve, at worst, polynomial complexity in b, assuming only that the mean and covariance functions are H"{o}lder continuous. We also explain how to fine tune the construction of our procedures in the presence of additional regularity, such as homogeneity and smoothness, in order to further improve the efficiency.
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Cited in
(29)- Editorial introduction: special issue on Gaussian queues
- Importance sampling the union of rare events with an application to power systems analysis
- High-frequency asymptotics for Lipschitz-Killing curvatures of excursion sets on the sphere
- Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
- Quantifying uncertainties on excursion sets under a Gaussian random field prior
- The harmonic mean formula for random processes
- Uniformly efficient simulation for extremes of Gaussian random fields
- Large excursion probabilities for random fields close to Gaussian ones
- Moderate deviation for random elliptic PDE with small noise
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
- Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
- Extreme analysis of a random ordinary differential equation
- On the density functions of integrals of Gaussian random fields
- On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
- Efficient rare event simulation for failure problems in random media
- Speeding up Monte Carlo simulations for the adaptive sum of powered score test with importance sampling
- Rare-event simulation and efficient discretization for the supremum of Gaussian random fields
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- Rare-event simulation for neural network and random forest predictors
- Chernoff index for Cox test of separate parametric families
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Asymptotically Optimal Sequential Design for Rank Aggregation
- Tail approximations of integrals of Gaussian random fields
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Rare-event simulation for distribution networks
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Generalized Sequential Probability Ratio Test for Separate Families of Hypotheses
- Efficient simulation for dependent rare events with applications to extremes
- Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
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