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Hybrid Subset Simulation Method for Reliability Estimation of Dynamical Systems Subject to Stochastic Excitation

Ching, J. and Beck, J. L. and Au, S. K. (2005) Hybrid Subset Simulation Method for Reliability Estimation of Dynamical Systems Subject to Stochastic Excitation. Probabilistic Engineering Mechanics, 20 (3). pp. 199-214. ISSN 0266-8920 .

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A hybrid Subset Simulation approach is proposed for reliability estimation for general dynamical systems subject to stochastic excitation. This new stochastic simulation approach combines the advantages of the two previously proposed Subset Simulation methods, Subset Simulation with Markov Chain Monte Carlo (MCMC) algorithm and Subset Simulation with splitting. The new method employs the MCMC algorithm before reaching an intermediate failure level and splitting after reaching the level to exploit the causality of dynamical systems. The statistical properties of the failure probability estimators are derived. Two examples are presented to demonstrate the effectiveness of the new approach and to compare with the previous two Subset Simulation methods. The results show that the new method is robust to the choice of proposal distribution for the MCMC algorithm and to the intermediate failure events selected for Subset Simulation.

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Additional Information:© 2004 Elsevier Ltd. All rights reserved. Received 7 January 2004; received in revised form 10 September 2004; accepted 13 September 2004 Available online 19 January 2005. The first author would like to acknowledge the financial support of the George W. Housner Postdoctoral Fellowship from the California Institute of Technology.
Subject Keywords:Subset Simulation; Markov Chain Monte Carlo simulation; Reliability; First passage problem; Dynamical systems
Record Number:CaltechAUTHORS:20120817-164316371
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:33333
Deposited By: Carmen Nemer-Sirois
Deposited On:20 Aug 2012 21:28
Last Modified:20 Aug 2012 21:28

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