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Sequential design of experiment on a stochastic multi-fidelity simulator to estimate a probability of exceeding a threshold

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Stroh, Rémi | Bect, Julien | Vazquez, Emmanuel | Demeyer, Séverine | Fischer, Nicolas

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International audience. We propose a method for the sequential design of multi-fidelity computer experiments, in order to estimate a probability of exceeding a threshold. The methodology is illustrated on a fire safety case study, where the goal is to assess the conformity of a building.

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