Optimisation of interacting particle systems for rare event estimation

DOI10.1016/j.csda.2013.03.025zbMath1471.62143OpenAlexW2047403142MaRDI QIDQ1800121

Julien Marzat, Mathieu Balesdent, Jérôme Morio, Damien Jacquemart

Publication date: 19 October 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.03.025

zbMATH Keywords

krigingprobabilityinput-output modeloptimisationinteracting particle systemsurrogate modelrare eventhyperparameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Stochastic particle methods (65C35)

Related Items

Gaussian process surrogates for failure detection: a Bayesian experimental design approach ⋮ Optimizing Weighted Ensemble Sampling of Steady States ⋮ Optimal potential functions for the interacting particle system method

Uses Software

• Paramils
• SPACE
• EGO

Cites Work

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• PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Conflict Probability Estimation for Free Flight

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