Coupling the reduced-order model and the generative model for an importance sampling estimator

@article{Wan2019CouplingTR,
  title={Coupling the reduced-order model and the generative model for an importance sampling estimator},
  author={Xiaoliang Wan and Shuangqing Wei},
  journal={ArXiv},
  year={2019},
  volume={abs/1901.07977}
}
In this work, we develop an importance sampling estimator by coupling the reduced-order model and the generative model in a problem setting of uncertainty quantification. The target is to estimate the probability that the quantity of interest (QoI) in a complex system is beyond a given threshold. To avoid the prohibitive cost of sampling a large scale system, the reduced-order model is usually considered for a trade-off between efficiency and accuracy. However, the Monte Carlo estimator given… CONTINUE READING

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