Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
From MaRDI portal
Publication:5010082
DOI10.1137/20M1344585zbMath1472.62023arXiv2006.05496MaRDI QIDQ5010082
Youssef M. Marzouk, Daniel Straub, Iason Papaioannou, Felipe Uribe
Publication date: 24 August 2021
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.05496
importance sampling; random fields; reliability analysis; rare event simulation; cross-entropy method; likelihood-informed subspace
62D05: Sampling theory, sample surveys
65F15: Numerical computation of eigenvalues and eigenvectors of matrices
65C05: Monte Carlo methods
62L12: Sequential estimation
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