Rare Event Estimation for Computer Models

DOI10.1080/00031305.2012.751879OpenAlexW2092029585WikidataQ58278512 ScholiaQ58278512MaRDI QIDQ5877101

Rick Picard, Brian J. Williams

Publication date: 3 February 2023

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00031305.2012.751879

zbMATH Keywords

importance samplingGaussian processquantile estimationcomputer experimentssequential experimental designpercentile estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification

Cites Work

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• Projection array based designs for computer experiments
• Sequential design of computer experiments for the estimation of a probability of failure
• Quantile estimation with adaptive importance sampling
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• Handbook of Monte Carlo Methods
• Estimating Percentiles of Uncertain Computer Code Outputs
• Exponential convergence of adaptive importance sampling for Markov chains
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Collision probability for Earth-crossing asteroids using orbital ranging

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