Selecting Reduced Models in the Cross-Entropy Method
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Publication:4960999
DOI10.1137/18M1192500zbMath1483.65011arXiv1806.01916MaRDI QIDQ4960999
Publication date: 24 April 2020
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.01916
importance samplingpartial differential equationcross-entropy optimizationrare event simulationreduced basiscertified error bound
Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Probability in computer science (algorithm analysis, random structures, phase transitions, etc.) (68Q87)
Uses Software
Cites Work
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