Sequential design of computer experiments for the estimation of a probability of failure

DOI10.1007/s11222-011-9241-4zbMath1252.62081arXiv1009.5177OpenAlexW2133118715MaRDI QIDQ693305

Ling Li, Victor Picheny, David Ginsbourger, Julien Bect

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.5177

zbMATH Keywords

Gaussian processes probability of failure stepwise uncertainty reduction

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Bayesian inference (62F15) Monte Carlo methods (65C05) Sequential statistical design (62L05) Reliability and life testing (62N05)

Related Items

A new expected-improvement algorithm for continuous minimax optimization, \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, 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, Gaussian process surrogates for failure detection: a Bayesian experimental design approach, Warped Gaussian Processes and Derivative-Based Sequential Designs for Functions with Heterogeneous Variations, Bregman superquantiles. Estimation methods and applications, The frontier of simulation-based inference, Sequential Design for Optimal Stopping Problems, Adaptive virtual support vector machine for reliability analysis of high-dimensional problems, Probabilistic bisection with spatial metamodels, Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation, Argumentwise invariant kernels for the approximation of invariant functions, Feasible set estimation under functional uncertainty by Gaussian process modelling, Solving an inverse problem for time-series-valued computer simulators via multiple contour estimation, Nested polynomial trends for the improvement of Gaussian process-based predictors, Uncertainty Quantification and Experimental Design for Large-Scale Linear Inverse Problems under Gaussian Process Priors, Unnamed Item, A sampling criterion for constrained Bayesian optimization with uncertainties, A SUR version of the Bichon criterion for excursion set estimation, An efficient dimension reduction for the Gaussian process emulation of two nested codes with functional outputs, Bayesian Quadrature, Energy Minimization, and Space-Filling Design, Universal Prediction Distribution for Surrogate Models, Sequential Design of Computer Experiments for the Solution of Bayesian Inverse Problems, Bayesian Subset Simulation, High-fidelity hurricane surge forecasting using emulation and sequential experiments, A blackbox yield estimation workflow with Gaussian process regression applied to the design of electromagnetic devices, A Bayesian approach to constrained single- and multi-objective optimization, Learning excursion sets of vector-valued Gaussian random fields for autonomous ocean sampling, Quantifying Uncertainties on Excursion Sets Under a Gaussian Random Field Prior, Expected improvement for expensive optimization: a review, A Bayesian optimization approach to find Nash equilibria, A new surrogate modeling technique combining Kriging and polynomial chaos expansions - application to uncertainty analysis in computational dosimetry, Multiobjective optimization using Gaussian process emulators via stepwise uncertainty reduction, Gaussian Process-Based Dimension Reduction for Goal-Oriented Sequential Design, An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system, Efficient sequential experimental design for surrogate modeling of nested codes, Data-driven stochastic inversion via functional quantization, Sequential tuning of complex computer models, Density modification-based reliability sensitivity analysis, 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, Estimating Orthant Probabilities of High-Dimensional Gaussian Vectors with An Application to Set Estimation, 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, Unnamed Item, Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement, A Supervised Learning Approach Involving Active Subspaces for an Efficient Genetic Algorithm in High-Dimensional Optimization Problems, Sequential Design of Computer Experiments for the Computation of Bayesian Model Evidence, \texttt{CAMERA}: a method for cost-aware, adaptive, multifidelity, efficient reliability analysis, Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs, Sequential Design for Ranking Response Surfaces, Hybrid reliability analysis with both random and probability-box variables, Rare Event Estimation for Computer Models

Uses Software

Cites Work