Bayesian Subset Simulation

DOI10.1137/16M1078276MaRDI QIDQ4636406

Ling Li, Julien Bect, Emmanuel Vazquez

Publication date: 19 April 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.02557

zbMATH Keywords

Gaussian processsequential Monte Carlocomputer experimentsprobability of failuresequential designstepwise uncertainty reduction

Mathematics Subject Classification ID

Design of statistical experiments (62K99) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical design (62L05)

Related Items (10)

Recursive estimation of a failure probability for a Lipschitz function ⋮ Partially Bayesian active learning cubature for structural reliability analysis with extremely small failure probabilities ⋮ A blackbox yield estimation workflow with Gaussian process regression applied to the design of electromagnetic devices ⋮ Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection ⋮ Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation ⋮ Constrained minimum energy designs ⋮ Efficient evaluation of reliability-oriented sensitivity indices ⋮ A supermartingale approach to Gaussian process based sequential design of experiments ⋮ Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula ⋮ Sequential Active Learning of Low-Dimensional Model Representations for Reliability Analysis

Uses Software

• FERUM
• AK-MCS
• STK

Cites Work

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• A sequential particle filter method for static models

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