Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities

DOI10.1007/S11222-011-9277-5MaRDI QIDQ693310zbMATH OpenOpenAlexFDO

Authors M. Munoz Zuniga, Josselin Garnier, Emmanuel Remy

Publication date 7 December 2012

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

Full work available at URL https://doi.org/10.1007/s11222-011-9277-5

zbMATH Keywords

Monte Carlosimulationssmall probabilities

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05) Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 3549966 (Why is no real title available?)
• scientific article; zbMATH DE number 2231192 (Why is no real title available?)
• A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
• Adaptive sparse polynomial chaos expansion based on least angle regression
• Convergence rates for sparse chaos approximations of elliptic problems with stochastic coefficients
• Dimension-adaptive tensor-product quadrature
• Gaussian processes for machine learning.
• Genealogical particle analysis of rare events
• Importance sampling in the Monte Carlo study of sequential tests
• Multivariate quadrature on adaptive sparse grids
• Nonparametric Importance Sampling
• Numerical integration using sparse grids
• Physical Systems with Random Uncertainties: Chaos Representations with Arbitrary Probability Measure
• Rare events, splitting, and quasi-Monte Carlo
• Rare-event probability estimation with conditional Monte Carlo
• Simulation and the Monte Carlo Method
• Splitting for rare event simulation: A large deviation approach to design and analysis
• The design and analysis of computer experiments.

Cited in

(5)

• Adaptive Multilevel Splitting for Rare Event Analysis
• Some recent results in rare event estimation
• Adaptive reliability analysis for rare events evaluation with global imprecise line sampling
• A sampling criterion for constrained Bayesian optimization with uncertainties
• Directional filter combined with active learning for rare failure events

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