Rare Event Estimation

A short course by Patrick Laub

Lecture 1: Introduction, Quadrature, Crude Monte Carlo, Importance Sampling, Cross Entropy Method Preliminaries

Lecture 2: Cross Entropy Method for Rare Event Estimation and Optimization, Acceptance-Rejection algorithm, Markov Chain Preliminaries

Lecture 3: Markov Chain Monte Carlo (MCMC), Improved Cross Entropy Method

Lecture 4: MCMC Details, and some Machine Learning Overview.

Course materials from 2020.