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Efficient Rare Event Simulation for Failure Problems in Random Media
5 references·0 citing·24 second hop
Efficient Rare Event Simulation for Failure Problems in Random Media (2015)Efficient Rare Event Simulation for Failu…An efficient surrogate-based method for computing rare failure probability (2011)An efficient surrogate-based …State-dependent importance sampling for regularly varying random walks (2008)State-dependent importance sa…Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue (2007)Fluid heuristics, Lyapunov bo…Adapted polynomial chaos expansion for failure detection (2007)Adapted polynomial chaos expa…Importance Sampling, Large Deviations, and Differential Games (2004)Importance Sampling, Large De…Stochastic Finite Elements: A Spectral Approach (1991)The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations (2002)Application of the Polynomial Chaos Expansion to the simulation of chemical reactors with uncertainties (2011)An Integrated Performance Measure Approach for System Reliability Analysis (2014)Structural Reliability Analysis and Prediction (2017)Efficient time-variant reliability analysis through approximating the most probable point trajectory (2020)The existence of value in differential games (1972)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Fast simulation of rare events in queueing and reliability models (1995)Dynamic Importance Sampling for Queueing Networks (2005)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Asymptotic robustness of estimators in rare-event simulation (2010)Applied Probability and Queues (1987)Extreme Values, Regular Variation and Point Processes (1987)Monte Carlo Methods in Financial Engineering (2003)State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Efficient simulation of tail probabilities of sums of correlated lognormals (2009)Estimation of small failure probabilities in high dimensions by subset simulation (2001)Simulation and the Monte Carlo Method (2007)Bayesian analysis of rare events (2016)Bayesian optimization with output-weighted optimal sampling (2020)Reliability and sensitivity analysis of composite structures by an adaptive Kriging based approach (2021)
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References

  • 2004Importance Sampling, Large Deviations, and Differential Games147 cited
  • 2011An efficient surrogate-based method for computing rare failure probability105 cited
  • 2008State-dependent importance sampling for regularly varying random walks63 cited
  • 2007Adapted polynomial chaos expansion for failure detection56 cited
  • 2007Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue37 cited

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