KDE-AIS trains a Gaussian process and kernel density surrogate from shared evaluations to build an adaptive importance sampling proposal that converges to the zero-variance optimum for efficient failure probability estimation.
An efficient surrogate-based method for computing rare failure probability.Journal of Computational Physics, 230(24):8683–8697, 2011
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Surrogate-Guided Adaptive Importance Sampling for Failure Probability Estimation
KDE-AIS trains a Gaussian process and kernel density surrogate from shared evaluations to build an adaptive importance sampling proposal that converges to the zero-variance optimum for efficient failure probability estimation.