Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
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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 samplingrandom fieldsreliability analysisrare event simulationcross-entropy methodlikelihood-informed subspace
Sampling theory, sample surveys (62D05) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Monte Carlo methods (65C05) Sequential estimation (62L12)
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