Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions

DOI10.1137/22m1524758zbMath1518.65009arXiv2209.06278MaRDI QIDQ6177925

Shanyin Tong, Georg Stadler

Publication date: 31 August 2023

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.06278

zbMATH Keywords

rare eventsreliability analysiscross-entropy methodlarge deviation theoryadaptive importance samplinglikelihood-informed subspace

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10) Large deviations (60F10) Sequential estimation (62L12)

Related Items (2)

Scalable methods for computing sharp extreme event probabilities in infinite-dimensional stochastic systems ⋮ Importance sampling for the empirical measure of weakly interacting diffusions

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