Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters

DOI10.1007/S11009-014-9411-XzbMath1334.65004OpenAlexW2065482820MaRDI QIDQ267894

Mathieu Balesdent, Loïc Brevault, Jérôme Morio

Publication date: 12 April 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9411-x

zbMATH Keywords

importance samplingKrigingepistemic uncertaintyinput-output functionrare event estimationsurrogate model

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (1)

Uncertainty quantification of stochastic simulation for black-box computer experiments

Uses Software

• DACE
• CMA-ES

Cites Work

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• A tutorial on the cross-entropy method
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• Rare events, splitting, and quasi-Monte Carlo
• Importance sampling: how to approach the optimal density?
• Introduction to Interval Analysis
• Saddle point approximation for the distribution of the sum of independent random variables
• Nonparametric Importance Sampling
• Upper and Lower Probabilities Induced by a Multivalued Mapping
• Saddlepoint Approximations in Statistics

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