Adaptive multilevel subset simulation with selective refinement

DOI10.1137/22M1515240MaRDI QIDQ6645124zbMATH OpenFDO

Authors Daniel Elfverson, Robert Scheichl, Simon Weissmann, F. A. DiazDelaO

Publication date 28 November 2024

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

Full work available at URL https://doi.org/10.1137/22M1515240

zbMATH Keywords

adaptive model hierarchieshigh-dimensional problemsMarkov chain Monte Carlorare event probabilitiesshaking transformations

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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Cites work

• A multilevel Monte Carlo method for computing failure probabilities
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• Accurate uncertainty quantification using inaccurate computational models
• Adaptive multiscale predictive modelling
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• Analysis of adaptive multilevel splitting algorithms in an idealized case
• Approximation and optimization on the Wiener space
• Bayesian Subset Simulation
• Bayesian updating and model class selection with subset simulation
• Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• Efficient Monte Carlo simulation via the generalized splitting method
• Error analysis for probabilities of rare events with approximate models
• HISTORY MATCHING WITH SUBSET SIMULATION
• scientific article; zbMATH DE number 989729 (Why is no real title available?)
• scientific article; zbMATH DE number 1522714 (Why is no real title available?)
• MCMC methods for functions: modifying old algorithms to make them faster
• Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients
• Multilevel estimation of rare events
• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Multilevel Monte Carlo Path Simulation
• Multilevel sequential importance sampling for rare event estimation
• Rare Event Simulation Using Reversible Shaking Transformations
• Sequential Monte Carlo for rare event estimation
• Simulation and estimation of extreme quantiles and extreme probabilities
• Some recent results in rare event estimation
• Subset simulation for multi-objective optimization
• Uncertainty quantification for approximate p-quantiles for physical models with stochastic inputs

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