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04/18/2023
Consensus-based rare event estimation
In this paper, we introduce a new algorithm for rare event estimation ba...
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06/18/2021
The ensemble Kalman filter for rare event estimation
We present a novel sampling-based method for estimating probabilities of...
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12/07/2020
Asymptotic Analysis of Multilevel Best Linear Unbiased Estimators
We study the computational complexity and variance of multilevel best li...
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08/14/2020
Error analysis for probabilities of rare events with approximate models
The estimation of the probability of rare events is an important task in...
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01/24/2020
Certified and fast computations with shallow covariance kernels
Many techniques for data science and uncertainty quantification demand e...
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09/17/2019
Multilevel Sequential Importance Sampling for Rare Event Estimation
The estimation of the probability of rare events is an important task in...
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04/27/2019
Multilevel adaptive sparse Leja approximations for Bayesian inverse problems
Deterministic interpolation and quadrature methods are often unsuitable ...
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09/20/2018
Analysis of boundary effects on PDE-based sampling of Whittle-Matérn random fields
We consider the generation of samples of a mean-zero Gaussian random fie...
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07/23/2018
A practical example for the non-linear Bayesian filtering of model parameters
In this tutorial we consider the non-linear Bayesian filtering of static...
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05/08/2018
Bayesian parameter identification in Cahn-Hilliard models for biological growth
In this paper we consider the identification of internal parameters in a...
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04/30/2018
Fast sampling of parameterised Gaussian random fields
Gaussian random fields are popular models for spatially varying uncertai...
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09/27/2017