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05/03/2023
Uncertainty Quantification and Confidence Intervals for Naive Rare-Event Estimators
We consider the estimation of rare-event probabilities using sample prop...
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01/03/2023
A Distributionally Robust Optimization Framework for Extreme Event Estimation
Conventional methods for extreme event estimation rely on well-chosen pa...
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12/03/2021
Efficient Calibration of Multi-Agent Market Simulators from Time Series with Bayesian Optimization
Multi-agent market simulation is commonly used to create an environment ...
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11/03/2021
Certifiable Deep Importance Sampling for Rare-Event Simulation of Black-Box Systems
Rare-event simulation techniques, such as importance sampling (IS), cons...
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10/25/2021
Over-Conservativeness of Variance-Based Efficiency Criteria and Probabilistic Efficiency in Rare-Event Simulation
In rare-event simulation, an importance sampling (IS) estimator is regar...
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05/27/2021
Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Set
Stochastic simulation aims to compute output performance for complex mod...
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02/03/2021
Model Calibration via Distributionally Robust Optimization: On the NASA Langley Uncertainty Quantification Challenge
We study a methodology to tackle the NASA Langley Uncertainty Quantifica...
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10/10/2020
Rare-Event Simulation for Neural Network and Random Forest Predictors
We study rare-event simulation for a class of problems where the target ...
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06/28/2020
Deep Probabilistic Accelerated Evaluation: A Certifiable Rare-Event Simulation Methodology for Black-Box Autonomy
Evaluating the reliability of intelligent physical systems against rare ...
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06/28/2020