Sequential design of computer experiments for the estimation of a probability of failure
From MaRDI portal
Publication:693305
Abstract: This paper deals with the problem of estimating the volume of the excursion set of a function above a given threshold, under a probability measure on that is assumed to be known. In the industrial world, this corresponds to the problem of estimating a probability of failure of a system. When only an expensive-to-simulate model of the system is available, the budget for simulations is usually severely limited and therefore classical Monte Carlo methods ought to be avoided. One of the main contributions of this article is to derive SUR (stepwise uncertainty reduction) strategies from a Bayesian-theoretic formulation of the problem of estimating a probability of failure. These sequential strategies use a Gaussian process model of and aim at performing evaluations of as efficiently as possible to infer the value of the probability of failure. We compare these strategies to other strategies also based on a Gaussian process model for estimating a probability of failure.
Recommendations
- Gaussian process surrogates for failure detection: a Bayesian experimental design approach
- Surrogate based method for evaluation of failure probability under multiple constraints
- Recursive estimation of a failure probability for a Lipschitz function
- Reliability analysis of discrete-state performance functions via adaptive sequential sampling with detection of failure surfaces
- Sequential design of experiments for estimating percentiles of black-box functions
Cites work
- A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
- A Knowledge-Gradient Policy for Sequential Information Collection
- An Approach to Time Series Analysis
- An informational approach to the global optimization of expensive-to-evaluate functions
- Bayesian calibration of computer models. (With discussion)
- Coarse-to-fine face detection
- Default priors for Gaussioan processes
- Design and analysis of computer experiments. With comments and a rejoinder by the authors
- Efficient global optimization of expensive black-box functions
- Estimating Percentiles of Uncertain Computer Code Outputs
- scientific article; zbMATH DE number 4078557 (Why is no real title available?)
- scientific article; zbMATH DE number 43985 (Why is no real title available?)
- scientific article; zbMATH DE number 3612796 (Why is no real title available?)
- scientific article; zbMATH DE number 1313649 (Why is no real title available?)
- scientific article; zbMATH DE number 3994822 (Why is no real title available?)
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- Interpolation of spatial data. Some theory for kriging
- Probabilistic Sensitivity Analysis of Complex Models: A Bayesian Approach
- The design and analysis of computer experiments.
- The Theory of Measures and Integration
- The transform likelihood ratio method for rare event simulation with heavy tails
Cited in
(77)- A Bayesian optimization approach to find Nash equilibria
- \textit{KrigInv}: an efficient and user-friendly implementation of batch-sequential inversion strategies based on kriging
- Noisy kriging-based optimization methods: a unified implementation within the DiceOptim package
- Bounding rare event probabilities in computer experiments
- Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation
- Nested polynomial trends for the improvement of Gaussian process-based predictors
- Argumentwise invariant kernels for the approximation of invariant functions
- Accelerated Monte Carlo estimation of exceedance probabilities under monotonicity constraints
- A blackbox yield estimation workflow with Gaussian process regression applied to the design of electromagnetic devices
- Expected improvement for expensive optimization: a review
- Parallel Gaussian process surrogate Bayesian inference with noisy likelihood evaluations
- Sequential Bayesian optimal experimental design for structural reliability analysis
- Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation
- \texttt{CAMERA}: a method for cost-aware, adaptive, multifidelity, efficient reliability analysis
- Bayesian inversion using adaptive polynomial chaos kriging within subset simulation
- Clustered active-subspace based local Gaussian process emulator for high-dimensional and complex computer models
- Recursive estimation of a failure probability for a Lipschitz function
- Sequential Bayesian experimental design for estimation of extreme-event probability in stochastic input-to-response systems
- Probabilistic bisection with spatial metamodels
- An efficient dimension reduction for the Gaussian process emulation of two nested codes with functional outputs
- High-fidelity hurricane surge forecasting using emulation and sequential experiments
- Learning excursion sets of vector-valued Gaussian random fields for autonomous ocean sampling
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Data-driven stochastic inversion via functional quantization
- Adaptive Gaussian process emulators for efficient reliability analysis
- Efficient evaluation of reliability-oriented sensitivity indices
- Conditional quantile sequential estimation for stochastic codes
- A supermartingale approach to Gaussian process based sequential design of experiments
- Hybrid reliability analysis with both random and probability-box variables
- Gaussian process surrogates for failure detection: a Bayesian experimental design approach
- A new expected-improvement algorithm for continuous minimax optimization
- Surrogate based method for evaluation of failure probability under multiple constraints
- Sequential design for optimal stopping problems
- Sequential design and spatial modeling for portfolio tail risk measurement
- Warped Gaussian processes and derivative-based sequential designs for functions with heterogeneous variations
- Bregman superquantiles. Estimation methods and applications
- Active learning for level set estimation under input uncertainty and its extensions
- Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation
- Adaptive virtual support vector machine for reliability analysis of high-dimensional problems
- Universal Prediction Distribution for Surrogate Models
- Sequential design of computer experiments for the solution of Bayesian inverse problems
- Bayesian Subset Simulation
- Gaussian process-based dimension reduction for goal-oriented sequential design
- Efficient sequential experimental design for surrogate modeling of nested codes
- scientific article; zbMATH DE number 7370622 (Why is no real title available?)
- A Supervised Learning Approach Involving Active Subspaces for an Efficient Genetic Algorithm in High-Dimensional Optimization Problems
- A Bayesian approach to constrained single- and multi-objective optimization
- The frontier of simulation-based inference
- Bayesian quadrature, energy minimization, and space-filling design
- The Kalai-Smorodinsky solution for many-objective Bayesian optimization
- Sequential tuning of complex computer models
- Density modification-based reliability sensitivity analysis
- Sequential design for ranking response surfaces
- Sequential design of computer experiments for the computation of Bayesian model evidence
- Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
- Rare Event Estimation for Computer Models
- Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction
- Feasible set estimation under functional uncertainty by Gaussian process modelling
- Solving an inverse problem for time-series-valued computer simulators via multiple contour estimation
- Uncertainty Quantification and Experimental Design for Large-Scale Linear Inverse Problems under Gaussian Process Priors
- A sampling criterion for constrained Bayesian optimization with uncertainties
- A SUR version of the Bichon criterion for excursion set estimation
- Efficient estimation of extreme quantiles using adaptive kriging and importance sampling
- Generalized probabilistic bisection for stochastic root finding
- An adaptive kriging method for solving nonlinear inverse statistical problems
- Using an autonomous underwater vehicle with onboard stochastic advection-diffusion models to map excursion sets of environmental variables
- Sequential Design of Multi-Fidelity Computer Experiments: Maximizing the Rate of Stepwise Uncertainty Reduction
- Adaptive Design of Experiments for Conservative Estimation of Excursion Sets
- Parallel active learning reliability analysis: a multi-point look-ahead paradigm
- Adaptive design for contour estimation from computer experiments with quantitative and qualitative inputs
- Strata Design for Variance Reduction in Stochastic Simulation
- Bayesian Sequential Design of Computer Experiments for Quantile Set Inversion
- A finite-horizon approach to active level set estimation
- A theoretically-consistent parallel enrichment strategy for Bayesian active learning reliability analysis
- Generalized Bayesian subset simulation for the evaluation of failure probability
- A new surrogate modeling technique combining Kriging and polynomial chaos expansions - application to uncertainty analysis in computational dosimetry
- Quantifying uncertainties on excursion sets under a Gaussian random field prior
This page was built for publication: Sequential design of computer experiments for the estimation of a probability of failure
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693305)
