Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation.
Felipe UribeIason PapaioannouYoussef M. MarzoukDaniel StraubPublished in: SIAM/ASA J. Uncertain. Quantification (2021)
Keyphrases
- importance sampling
- dimension reduction
- rare events
- monte carlo
- principal component analysis
- feature extraction
- kalman filter
- high dimensional
- markov chain
- low dimensional
- particle filter
- high dimensional data
- high dimensionality
- feature selection
- particle filtering
- dimensionality reduction
- approximate inference
- unsupervised learning
- data sets
- feature space
- image processing
- least squares
- feature vectors
- object tracking
- pairwise
- gaussian process
- markov chain monte carlo