29 citations · 90 across the 15 of their papers we have counts for
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math.PR2019★ 2 cited
Rare Event Simulation for Steady-State Probabilities via Recurrency Cycles
Krzysztof Bisewski, Daan Crommelin, Michel Mandjes
We develop a new algorithm for the estimation of rare event probabilities associated with the steady-state of a Markov stochastic process with continuous state space …
math.ST2019
Efficient estimation of divergence-based sensitivity indices with Gaussian process surrogates
A. W. Eggels, D. T. Crommelin
We consider the estimation of sensitivity indices based on divergence measures such as Hellinger distance. For sensitivity analysis of complex models, these divergence-based indice…