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Kriging-based adaptive Importance Sampling algorithms for rare event estimation
16 references·16 citing·36 second hopsampled
Kriging-based adaptive Importance Sampling algorithms for rare event estimation (2013)Kriging-based adaptive Importance Samplin…Meta-models for Structural Reliability and Uncertainty Quantification (2012)Meta-models for Structural Re…Assessing small failure probabilities by combined subset simulation and Support Vector Machines (2011)Assessing small failure proba…AK-MCS: An active learning reliability method combining Kriging and Monte Carlo Simulation (2011)AK-MCS: An active learning re…Kriging metamodeling in simulation: A review (2007)Kriging metamodeling in simul…Application of subset simulation methods to reliability benchmark problems (2006)Application of subset simulat…An Application of Extreme Value Theory for Measuring Financial Risk (2006)An Application of Extreme Val…Introduction to Rare Event Simulation (2004)Introduction to Rare Event Si…Benefit of splines and neural networks in simulation based structural reliability analysis (2004)Benefit of splines and neural…Comparison of response surface and neural network with other methods for structural reliability analysis (2003)Comparison of response surfac…CQ2RS: a new statistical approach to the response surface method for reliability analysis (2002)CQ2RS: a new statistical appr…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Optimization of computer simulation models with rare events (1997)Optimization of computer simu…A new look at the response surface approach for reliability analysis (1993)A new look at the response su…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…A fast and efficient response surface approach for structural reliability problems (1990)A fast and efficient response…Design and Analysis of Computer Experiments (1989)Design and Analysis of Comput…AKSE: A novel adaptive Kriging method combining sampling region scheme and error-based stopping criterion for structural reliability analysis (2021)AKSE: A novel adaptive Krigin…System Reliability Analysis With Autocorrelated Kriging Predictions (2020)System Reliability Analysis W…A new reliability method for small failure probability problems by combining the adaptive importance sampling and surrogate models (2020)A new reliability method for …A combined radial basis function and adaptive sequential sampling method for structural reliability analysis (2020)A combined radial basis funct…RBF-GA: An adaptive radial basis function metamodeling with genetic algorithm for structural reliability analysis (2019)RBF-GA: An adaptive radial ba…An active weight learning method for efficient reliability assessment with small failure probability (2019)An active weight learning met…An efficient reliability analysis method combining adaptive Kriging and modified importance sampling for small failure probability (2018)An efficient reliability anal…A combined projection-outline-based active learning Kriging and adaptive importance sampling method for hybrid reliability analysis with small failure probabilities (2018)A combined projection-outline…Uncertainty propagation of p-boxes using sparse polynomial chaos expansions (2017)Uncertainty propagation of p-…Global sensitivity analysis via multi-fidelity polynomial chaos expansion (2017)Global sensitivity analysis v…Bayesian Subset Simulation (2017)Bayesian Subset SimulationA new active learning method based on the learning function U of the AK-MCS reliability analysis method (2017)A new active learning method …Review of improved Monte Carlo methods in uncertainty-based design optimization for aerospace vehicles (2016)Review of improved Monte Carl…Reliability Analysis With Monte Carlo Simulation and Dependent Kriging Predictions (2016)Reliability Analysis With Mon…Quantile-based optimization under uncertainties using adaptive Kriging surrogate models (2016)Quantile-based optimization u…A survey of rare event simulation methods for static input–output models (2014)A survey of rare event simula…Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)Applied Probability and Queues (1987)A quick simulation method for excessive backlogs in networks of queues (1989)Acceleration of Stochastic Approximation by Averaging (1992)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)Exact and Invariant Second-Moment Code Format (1974)Response Surface Methodology (1996)Moment methods for structural reliability (2001)Application of kriging method to structural reliability problems (2004)A combined Importance Sampling and Kriging reliability method for small failure probabilities with time-demanding numerical models (2012)Structural Reliability Analysis and Prediction (2017)Stochastic Finite Elements: A Spectral Approach (1991)Structural Reliability Methods (1996)Metamodel-based importance sampling for structural reliability analysis (2013)LIF: A new Kriging based learning function and its application to structural reliability analysis (2016)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS (2012)Insurability of Cyber Risk: An Empirical Analysis (2014)Tail risk and systemic risk of finance and technology (FinTech) firms (2021)Bayesian Experimental Design: A Review (1995)Sensitivity analysis: A review of recent advances (2015)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)Proceedings of the 2002 Winter Simulation Conference (2002)Rare Event Simulation using Monte Carlo Methods (2009)The future of risk assessment (2018)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index (2009)Taking the Human Out of the Loop: A Review of Bayesian Optimization (2015)
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1989Design and Analysis of Computer Experiments6,958 cited
  • 2011AK-MCS: An active learning reliability method combining Kriging and Monte Carlo Simulation2,048 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2007Kriging metamodeling in simulation: A review1,278 cited
  • 1990A fast and efficient response surface approach for structural reliability problems1,198 cited
  • 1993A new look at the response surface approach for reliability analysis733 cited
  • 1997Optimization of computer simulation models with rare events682 cited
  • 2004Introduction to Rare Event Simulation517 cited
  • 2006An Application of Extreme Value Theory for Measuring Financial Risk425 cited
  • 2011Assessing small failure probabilities by combined subset simulation and Support Vector Machines419 cited
  • 2006Application of subset simulation methods to reliability benchmark problems285 cited
  • 2003Comparison of response surface and neural network with other methods for structural reliability analysis284 cited
  • 2002CQ2RS: a new statistical approach to the response surface method for reliability analysis208 cited
  • 2012Meta-models for Structural Reliability and Uncertainty Quantification

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181 cited
  • 2004Benefit of splines and neural networks in simulation based structural reliability analysis161 cited
  • Cited by

    • 2016Reliability Analysis With Monte Carlo Simulation and Dependent Kriging Predictions145 cited
    • 2018A combined projection-outline-based active learning Kriging and adaptive importance sampling method for hybrid reliability analysis with small failure probabilities144 cited
    • 2016Quantile-based optimization under uncertainties using adaptive Kriging surrogate models139 cited
    • 2019RBF-GA: An adaptive radial basis function metamodeling with genetic algorithm for structural reliability analysis132 cited
    • 2017A new active learning method based on the learning function U of the AK-MCS reliability analysis method129 cited
    • 2021AKSE: A novel adaptive Kriging method combining sampling region scheme and error-based stopping criterion for structural reliability analysis116 cited
    • 2019An active weight learning method for efficient reliability assessment with small failure probability105 cited
    • 2020A new reliability method for small failure probability problems by combining the adaptive importance sampling and surrogate models99 cited
    • 2016Review of improved Monte Carlo methods in uncertainty-based design optimization for aerospace vehicles88 cited
    • 2018An efficient reliability analysis method combining adaptive Kriging and modified importance sampling for small failure probability87 cited
    • 2017Global sensitivity analysis via multi-fidelity polynomial chaos expansion80 cited
    • 2020A combined radial basis function and adaptive sequential sampling method for structural reliability analysis79 cited
    • 2017Uncertainty propagation of p-boxes using sparse polynomial chaos expansions72 cited
    • 2014A survey of rare event simulation methods for static input–output models70 cited
    • 2020System Reliability Analysis With Autocorrelated Kriging Predictions69 cited
    • 2017Bayesian Subset Simulation68 cited