Bayesian subset simulation

Article, Preprint English OPEN
Bect, Julien; Li, Ling; Vazquez, Emmanuel;
(2017)
  • Publisher: ASA, American Statistical Association
  • Related identifiers: doi: 10.1137/16M1078276
  • Subject: [STAT.CO]Statistics [stat]/Computation [stat.CO] | Stepwise uncertainty reduction | Probability of failure | Statistics - Computation | Sequential design | Sequential Monte Carlo | Computer experiments | [ STAT.CO ] Statistics [stat]/Computation [stat.CO] | Gaussian process
International audience; We consider the problem of estimating a probability of failure $\alpha$, defined as the volume of the excursion set of a function $f:\mathbb{X} \subseteq \mathbb{R}^{d} \to \mathbb{R}$ above a given threshold, under a given probability measure on... View more
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