2 papers
stat.CO2019
BIMC: The Bayesian Inverse Monte Carlo method for goal-oriented uncertainty quantification. Part II
Siddhant Wahal, George Biros
In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The a…
stat.CO2019
BIMC: The Bayesian Inverse Monte Carlo method for goal-oriented uncertainty quantification. Part I
Siddhant Wahal, George Biros
We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the sy…