Related papers: Sequential design of computer experiments for the …
We consider the problem of estimating a probability of failure $\alpha$, defined as the volume of the excursion set of a function $f:\mathbb{X} \subseteq \mathbb{R}^{d} \to \mathbb{R}$ above a given threshold, under a given probability…
In this article, we consider a stochastic numerical simulator to assess the impact of some factors on a phenomenon. The simulator is seen as a black box with inputs and outputs. The quality of a simulation, hereafter referred to as…
We consider an unknown multivariate function representing a system-such as a complex numerical simulator-taking both deterministic and uncertain inputs. Our objective is to estimate the set of deterministic inputs leading to outputs whose…
Group sequential designs drive innovation in clinical, industrial, and corporate settings. Early stopping for failure in sequential designs conserves experimental resources, whereas early stopping for success accelerates access to improved…
Gaussian process (GP) models have become a well-established frameworkfor the adaptive design of costly experiments, and notably of computerexperiments. GP-based sequential designs have been found practicallyefficient for various objectives,…
This article deals with the sequential design of experiments for (deterministic or stochastic) multi-fidelity numerical simulators, that is, simulators that offer control over the accuracy of simulation of the physical phenomenon or system…
Structural reliability analysis is concerned with estimation of the probability of a critical event taking place, described by $P(g(\textbf{X}) \leq 0)$ for some $n$-dimensional random variable $\textbf{X}$ and some real-valued function…
Estimating percentiles of black-box deterministic functions with random inputs is a challenging task when the number of function evaluations is severely restricted, which is typical for computer experiments. This article proposes two new…
An important task of uncertainty quantification is to identify {the probability of} undesired events, in particular, system failures, caused by various sources of uncertainties. In this work we consider the construction of Gaussian…
Estimating probability of failure in aerospace systems is a critical requirement for flight certification and qualification. Failure probability estimation involves resolving tails of probability distribution, and Monte Carlo sampling…
Optimization of expensive computer models with the help of Gaussian process emulators in now commonplace. However, when several (competing) objectives are considered, choosing an appropriate sampling strategy remains an open question. We…
In this article, an overview of Bayesian methods for sequential simulation from posterior distributions of nonlinear and non-Gaussian dynamic systems is presented. The focus is mainly laid on sequential Monte Carlo methods, which are based…
We propose and analyze a method for computing failure probabilities of systems modeled as numerical deterministic models (e.g., PDEs) with uncertain input data. A failure occurs when a functional of the solution to the model is below (or…
Estimating the probability of failure for expensive simulations is a central task in reliability analysis for structural design, power grid design, and safety certification, among other areas. This work derives credible intervals on the…
We focus on the problem of estimating and quantifying uncertainties on the excursion set of a function under a limited evaluation budget. We adopt a Bayesian approach where the objective function is assumed to be a realization of a Gaussian…
We consider the problem of inferring a latent function in a probabilistic model of data. When dependencies of the latent function are specified by a Gaussian process and the data likelihood is complex, efficient computation often involve…
A multi-fidelity simulator is a numerical model, in which one of the inputs controls a trade-off between the realism and the computational cost of the simulation. Our goal is to estimate the probability of exceeding a given threshold on a…
We tackle the problem of quantifying failure probabilities for expensive deterministic computer experiments with stochastic inputs under a fixed budget. The computational cost of the computer simulation prohibits direct Monte Carlo (MC) and…
This paper deals with the estimation of a failure probability of an industrial product. To be more specific, it is defined as the probability that the output of a physical model, with random input variables, exceeds a threshold. The model…
We consider the problem of optimizing a real-valued continuous function $f$ using a Bayesian approach, where the evaluations of $f$ are chosen sequentially by combining prior information about $f$, which is described by a random process…