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A New Adaptive Importance Sampling Scheme for Reliability Calculations

Au, S.K. and Beck, J.L. (1999) A New Adaptive Importance Sampling Scheme for Reliability Calculations. In: 13th ASCE Engineering Mechanics Conference, June 13-16, 1999, Johns Hopkins University, Baltimore, MD. http://resolver.caltech.edu/CaltechAUTHORS:20120926-085601779

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Abstract

An adaptive importance sampling methodology is proposed to compute the multidimensional integrals encountered in reliability analysis. In the proposed methodology, samples are simulated as the states of a Markov chain and are distributed asymptotically according to the optimal importance sampling density. A kernel sampling density is then constructed from these samples which is used as the sampling density in an importance sampling simulation. The Markov chain samples populate the region of higher probability density in the failure domain and so the kernel sampling density approximates the optimal importance sampling density for a large variety of shapes of the failure domain. This adaptive feature is insensitive to the probability level to be estimated. A numerical example demonstrates the accuracy, efficiency and robustness of the method.


Item Type:Conference or Workshop Item (Paper)
Additional Information:This paper is based upon work partly supported by the Pacic Earthquake Engineering Research Center under National Science Foundation Cooperative Agreement No. CMS-9701568. This support is gratefully acknowledged.
Funders:
Funding AgencyGrant Number
NSFCMS-9701568
Record Number:CaltechAUTHORS:20120926-085601779
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20120926-085601779
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:34392
Collection:CaltechAUTHORS
Deposited By: Carmen Nemer-Sirois
Deposited On:13 Nov 2012 22:43
Last Modified:13 Nov 2012 22:43

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