52 citations · 135 across the 10 of their papers we have counts for
15 papers
Consensus-based rare event estimation
Konstantin Althaus, Iason Papaioannou, Elisabeth Ullmann
In this paper, we introduce a new algorithm for rare event estimation based on adaptive importance sampling. We consider a smoothed version of the optimal importance sampling densi…
The ensemble Kalman filter for rare event estimation
Fabian Wagner, Iason Papaioannou, Elisabeth Ullmann
We present a novel sampling-based method for estimating probabilities of rare or failure events. Our approach is founded on the Ensemble Kalman filter (EnKF) for inverse problems.…
Asymptotic Analysis of Multilevel Best Linear Unbiased Estimators
Daniel Schaden, Elisabeth Ullmann
We study the computational complexity and variance of multilevel best linear unbiased estimators introduced in [D. Schaden and E. Ullmann, SIAM/ASA J. Uncert. Quantif., (2020)]. We…
Error analysis for probabilities of rare events with approximate models
Fabian Wagner, Jonas Latz, Iason Papaioannou +1
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit-state fu…
Multilevel Sequential Importance Sampling for Rare Event Estimation
Fabian Wagner, Jonas Latz, Iason Papaioannou +1
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit state fu…
Multilevel adaptive sparse Leja approximations for Bayesian inverse problems
Ionut-Gabriel Farcas, Jonas Latz, Elisabeth Ullmann +2
Deterministic interpolation and quadrature methods are often unsuitable to address Bayesian inverse problems depending on computationally expensive forward mathematical models. Whi…