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math.ST2020
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…
math.NA2020
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…