Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
From MaRDI portal
Publication:6072164
DOI10.1002/nav.21938zbMath1523.90104OpenAlexW3080841735MaRDI QIDQ6072164
Eunshin Byon, Henry Lam, Young Myoung Ko, Unnamed Author
Publication date: 12 October 2023
Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/2027.42/162776
Related Items (2)
Batching Adaptive Variance Reduction ⋮ Nonparametric importance sampling for wind turbine reliability analysis with stochastic computer models
Cites Work
- Unnamed Item
- Nonparametric recursive quantile estimation
- A concrete approach to classical analysis
- Controlled stratification for quantile estimation
- New method of stochastic approximation type
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- Introduction to rare event simulation.
- Composite Gaussian process models for emulating expensive functions
- Generalized multiple importance sampling
- Quantile estimation with adaptive importance sampling
- Bayesian spline method for assessing extreme loads on wind turbines
- Stochastic simulation: Algorithms and analysis
- Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation
- Stochastic Kriging for Simulation Metamodeling
- Variance Reduction Techniques for Estimating Value-at-Risk
- Nested Simulation in Portfolio Risk Measurement
- Adaptive Multiple Importance Sampling
- Estimating Percentiles of Uncertain Computer Code Outputs
- Efficient generation of cycle time-throughput curves through simulation and metamodeling
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Nonparametric Importance Sampling
- A new importance sampling Monte Carlo method for a flow network reliability problem
- Safe and Effective Importance Sampling
- Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement
- Confidence intervals for quantiles when applying variance-reduction techniques
- Weighted Average Importance Sampling and Defensive Mixture Distributions
- Efficient budget allocation strategies for elementary effects method in stochastic simulation
- Efficient Risk Estimation via Nested Sequential Simulation
- Equation of State Calculations by Fast Computing Machines
- Computationally Efficient Nonparametric Importance Sampling
- Generalized Additive Models for Location, Scale and Shape
- A Stochastic Approximation Method
This page was built for publication: Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models