GLOBAL SENSITIVITY ANALYSIS OF RARE EVENT PROBABILITIES USING SUBSET SIMULATION AND POLYNOMIAL CHAOS EXPANSIONS
Author:
Publisher
Begell House
Subject
Control and Optimization,Discrete Mathematics and Combinatorics,Modeling and Simulation,Statistics and Probability
Link
https://www.dl.begellhouse.com/download/article/3f9a0df34d19be0e/IJUQ1301(3)-41624.pdf
Reference53 articles.
1. Ullmann, E. and Papaioannou, I., Multilevel Estimation of Rare Events, SIAM/ASA J. Uncertainty Quantif., 3(1):922-953, 2015.
2. Tong, S., Vanden-Eijnden, E., and Stadler, G., Extreme Event Probability Estimation Using PDE-Constrained Optimization and Large Deviation Theory, with Application to Tsunamis, Commun. Appl. Math. Comput. Sci., 16(2):181-225, 2021.
3. Beck, J.L. and Zuev, K.M., Rare-Event Simulation, in Handbook of Uncertainty Quantification, R. Ghanem, D. Higdon, and H. Owhadi, Eds., Cham, Switzerland: Springer, pp. 1075-1100, 2017.
4. Morio, J., Influence of Input PDF Parameters of a Model on a Failure Probability Estimation, Simul. Modell. Practice Theory, 19(10):2244-2255, 2011.
5. Sobol', I.M., On Sensitivity Estimation for Nonlinear Mathematical Models, Mat. Model, 2(1):112-118,1990.
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