Rare Event Estimation for Computer Models

DOI10.1080/00031305.2012.751879MaRDI QIDQ5877101zbMATH OpenOpenAlexWikidataFDO

Authors Rick Picard, Brian J. Williams

Publication date 3 February 2023

Published in The American Statistician (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00031305.2012.751879

zbMATH Keywords

computer experimentsGaussian processimportance samplingpercentile estimationquantile estimationsequential experimental design

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• Bayesian calibration of computer models. (With discussion)
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Collision probability for Earth-crossing asteroids using orbital ranging
• Estimating Percentiles of Uncertain Computer Code Outputs
• Exponential convergence of adaptive importance sampling for Markov chains
• Handbook of Monte Carlo Methods
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Projection array based designs for computer experiments
• Quantile estimation with adaptive importance sampling
• Sequential design of computer experiments for the estimation of a probability of failure
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling

Cited in

(5)

• Optimization of computer simulation models with rare events
• Searching for High-Value Rare Events with Uncheatable Grid Computing
• Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification
• Variational approach to rare event simulation using least-squares regression
• RARE EVENT SIMULATION

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