Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation

2018 ◽  
Vol 6 (2) ◽  
pp. 737-761 ◽  
Author(s):  
Benjamin Peherstorfer ◽  
Boris Kramer ◽  
Karen Willcox
Keyword(s):  
Failure Probability ◽  
Rare Event ◽  
Entropy Method ◽  
Cross Entropy ◽  
Probability Estimation ◽  
Rare Event Simulation ◽  
Event Simulation ◽  
Cross Entropy Method ◽  
The Cross

scholarly journals Semiparametric cross entropy for rare-event simulation

2016 ◽  
Vol 53 (3) ◽  
pp. 633-649 ◽  
Author(s):  
Z. I. Botev ◽  
A. Ridder ◽  
L. Rojas-Nandayapa
Keyword(s):  
Importance Sampling ◽  
Rare Event ◽  
Entropy Method ◽  
Sampling Distribution ◽  
Cross Entropy ◽  
Event Simulation ◽  
Importance Sampling Method ◽  
Cross Entropy Method ◽  
The Cross ◽  
Parametric Class

AbstractThe cross entropy is a well-known adaptive importance sampling method which requires estimating an optimal importance sampling distribution within a parametric class. In this paper we analyze an alternative version of the cross entropy, where the importance sampling distribution is selected instead within a general semiparametric class of distributions. We show that the semiparametric cross entropy method delivers efficient estimators in a wide variety of rare-event problems. We illustrate the favourable performance of the method with numerical experiments.

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