A generalized likelihood-weighted optimal sampling algorithm for rare-event probability quantification

1 code implementation • 22 Oct 2023 • Xianliang Gong, Yulin Pan

In this work, we introduce a new acquisition function for sequential sampling to efficiently quantify rare-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations.

Sequential Bayesian experimental design for estimation of extreme-event probability in stochastic dynamical systems

1 code implementation • 22 Feb 2021 • Xianliang Gong, Yulin Pan

We consider an input-to-response (ItR) system characterized by (1) parameterized input with a known probability distribution and (2) stochastic ItR function with heteroscedastic randomness.

Methodology Fluid Dynamics