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Multi-fidelity density estimation via importance sampling

This GitHub repository contains the R code for the paper titled "Sampling low-fidelity outputs for estimation of high-fidelity density and its tails "

by Minji Kim, Vladas Pipiras, Kevin O'Connor, and Themistoklis Sapsis, Feb 2024.

The repository includes the following files:

  • scripts : This directory is the core of our project, containing the main scripts for implementing multi-fidelity importance sampling techniques.

  • figs_intro.R : This script is to create the introductory figures.

  • simulation.Rmd : An R Markdown document that outlines the process of data generation and the steps involved in our numerical simulations.

  • Figure_final.R : A script designed to generate the final set of figures showcasing the results of our numerical simulations.

  • ship.Rmd : An R Markdown document focused on the application of our multi-fidelity importance sampling method to analyze ship motion program data.