Efficient estimation of extreme quantiles using adaptive kriging and importance sampling

DOI10.1002/NME.6300MaRDI QIDQ6497763FDOQ6497763

Authors: Nassim Razaaly, Daan Crommelin, P. M. Congedo 

Publication date: 6 May 2024

Published in: International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

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zbMATH Keywords

quantiletail probabilityimportance samplingkrigingextreme quantilerare eventmultiple failure regions

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Parametric inference (62Fxx) Sequential statistical methods (62Lxx)

Cites Work

• Gaussian processes for machine learning.
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• Title not available (Why is that?)
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• Correlation-induction techniques for estimating quantiles in simulation experiments
• Variance Reduction Techniques for Estimating Value-at-Risk
• Estimating Percentiles of Uncertain Computer Code Outputs
• An efficient reliability method combining adaptive importance sampling and kriging metamodel
• Novel algorithm using active metamodel learning and importance sampling: application to multiple failure regions of low probability
• Adaptive Gaussian process emulators for efficient reliability analysis
• Confidence intervals for quantiles when applying variance-reduction techniques
• Control variates for probability and quantile estimation.
• Control Variates for Quantile Estimation
• Bayesian Subset Simulation
• Sequential design of experiments for estimating percentiles of black-box functions

Cited In (1)

• Active learning method combining Kriging model and multimodal-optimization-based importance sampling for the estimation of small failure probability

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