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Abstract Details
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Activity Number:
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638
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Type:
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Invited
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Date/Time:
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Thursday, August 2, 2012 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Physical and Engineering Sciences
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| Abstract - #306863 |
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Title:
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Sequential Importance Sampling for Rare-Event Estimation with Computer Experiments
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Author(s):
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Brian Williams*+ and Rick Picard
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Companies:
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Los Alamos National Laboratory and Los Alamos National Laboratory
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Address:
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, , ,
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Keywords:
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Abstract:
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Importance sampling often drastically improves the variance of percentile and quantile estimators of rare events. We propose a sequential strategy for iterative refinement of importance distributions for sampling uncertain inputs to a computer model to estimate quantiles of model output or the probability that the model output exceeds a fixed or random threshold. A framework is introduced for updating a model surrogate to maximize its predictive capability for rare event estimation with sequential importance sampling.
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Authors who are presenting talks have a * after their name.
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