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Calculation of First Excursion Probabilities by Subset Simulation

Au, S. K. and Beck, J. L. (2000) Calculation of First Excursion Probabilities by Subset Simulation. In: Proceedings of the 8th ASCE Conference on Probabilistic Mechanics and Structural Reliability. Notre Dame , South Bend, IN, Article 101. http://resolver.caltech.edu/CaltechAUTHORS:20120925-162729567

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Abstract

A new simulation approach, called ‘subset simulation’, is applied to computing small first excursion probabilities for dynamical systems with stochastic excitations. The basic idea is to express the first excursion probability as a product of larger conditional failure probabilities by introducing intermediate failure boundaries. With a proper choice of the intermediate boundaries, the original problem of calculating a small failure probability, which is computationally demanding, is reduced to calculating a sequence of conditional probabilities, which are efficiently estimated by simulation using a special Markov chain. The proposed method is robust to the type of structural model (e.g., linear or nonlinear) and stochastic excitation model (e.g., stationary or nonstationary). Numerical studies are presented to demonstrate the efficiency of the method.


Item Type:Book Section
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http://www.nd.edu/~pmc2000/pmc2000/sessions/papers/p101.pdfPublisherUNSPECIFIED
Additional Information:This paper is based upon work partly supported by the Pacific Earthquake Engineering Research Center under National Science Foundation Cooperative Agreement No. CMS-9701568. This support is gratefully acknowledged.
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NSFCMS-9701568
Record Number:CaltechAUTHORS:20120925-162729567
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20120925-162729567
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:34375
Collection:CaltechAUTHORS
Deposited By: Carmen Nemer-Sirois
Deposited On:10 Dec 2012 19:28
Last Modified:27 Dec 2012 02:43

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