Multilevel Sequential Importance Sampling for Rare Event Estimation

DOI10.1137/19M1289601zbMath1442.35569arXiv1909.07680MaRDI QIDQ3303985

Fabian Wagner, Jonas Latz, Iason Papaioannou, Elisabeth Ullmann

Publication date: 5 August 2020

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.07680

zbMATH Keywords

importance samplingMarkov chain Monte Carloreliability analysismultilevel Monte Carlosubset simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical analysis or methods applied to Markov chains (65C40) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (6)

Tensor product approach to modelling epidemics on networks ⋮ Large Deviation Theory-based Adaptive Importance Sampling for Rare Events in High Dimensions ⋮ Deep Importance Sampling Using Tensor Trains with Application to a Priori and a Posteriori Rare Events ⋮ Error Analysis for Probabilities of Rare Events with Approximate Models ⋮ The Ensemble Kalman Filter for Rare Event Estimation ⋮ Sequential Active Learning of Low-Dimensional Model Representations for Reliability Analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the convergence of adaptive sequential Monte Carlo methods
• Multilevel sequential Monte Carlo samplers
• Sequential Monte Carlo for rare event estimation
• Multilevel sequential Monte Carlo for Bayesian inverse problems
• Efficient Monte Carlo simulation via the generalized splitting method
• A multi-resolution, non-parametric, Bayesian framework for identification of spatially-varying model parameters
• Optimal scaling for various Metropolis-Hastings algorithms.
• Importance sampling: intrinsic dimension and computational cost
• Negative association, ordering and convergence of resampling methods
• Multilevel Splitting for Estimating Rare Event Probabilities
• Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
• Multilevel Monte Carlo Methods
• Simulation and the Monte Carlo Method
• Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation
• Multilevel Estimation of Rare Events
• A sequential particle filter method for static models
• Equation of State Calculations by Fast Computing Machines
• Methods of Reducing Sample Size in Monte Carlo Computations
• Monte Carlo sampling methods using Markov chains and their applications
• A Multilevel Monte Carlo Method for Computing Failure Probabilities
• Probability theory. A comprehensive course
• Finite Elements
• MCMC methods for functions: modifying old algorithms to make them faster

This page was built for publication: Multilevel Sequential Importance Sampling for Rare Event Estimation