Adaptive multilevel subset simulation with selective refinement
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Publication:6645124
Markov chain Monte Carlohigh-dimensional problemsrare event probabilitiesadaptive model hierarchiesshaking transformations
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
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Cites work
- scientific article; zbMATH DE number 989729 (Why is no real title available?)
- scientific article; zbMATH DE number 1522714 (Why is no real title available?)
- A multilevel Monte Carlo method for computing failure probabilities
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- Subset simulation for multi-objective optimization
- Uncertainty quantification for approximate \(p\)-quantiles for physical models with stochastic inputs
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