Langevin Bi-fidelity Importance Sampling

The paper is available at arXiv.

Referecing this code

If you use this code in any of your own work, please reference our paper:

@misc{cheng2025langevin,
      title={Langevin Bi-fidelity Importance Sampling for Failure Probability Estimation}, 
      author={Nuojin Cheng and Alireza Doostan},
      year={2025},
      eprint={2503.17796},
      archivePrefix={arXiv},
      primaryClass={stat.CO}
}

Description of code

Download Data

Download data from here as ./data

Reproduce results

To reproduce results in our paper, please follow the pipeline in the Jupyter notebook ./src/reproduce.ipynb

Explore methodology

To explore the L-BF-IS estimator and our proposed method, please follow our provided example of Borehold problem in the Jupyter notebook ./src/Borehole.ipynb