Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula

DOI10.1137/19M1308177zbMath1478.60102arXiv2001.11904MaRDI QIDQ4995122

Vishwas Rao, Mihai Anitescu

Publication date: 23 June 2021

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

Full work available at URL: https://arxiv.org/abs/2001.11904

zbMATH Keywords

rare eventsGaussian mixturesMCMCexcursion probabilityRice's formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05) Large deviations (60F10) Generation, random and stochastic difference and differential equations (37H10)

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