52 citations · 135 across the 10 of their papers we have counts for
9 papers · 1 filter
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.…
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…
Analysis of boundary effects on PDE-based sampling of Whittle-Matérn random fields
Ustim Khristenko, Laura Scarabosio, Piotr Swierczynski +2
We consider the generation of samples of a mean-zero Gaussian random field with Matérn covariance function. Every sample requires the solution of a differential equation with Gauss…
Bayesian parameter identification in Cahn-Hilliard models for biological growth
Christian Kahle, Kei Fong Lam, Jonas Latz +1
We consider the inverse problem of parameter estimation in a diffuse interface model for tumour growth. The model consists of a fourth-order Cahn-Hilliard system and contains three…
Fast sampling of parameterised Gaussian random fields
Jonas Latz, Marvin Eisenberger, Elisabeth Ullmann
Gaussian random fields are popular models for spatially varying uncertainties, arising for instance in geotechnical engineering, hydrology or image processing. A Gaussian random fi…