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Subset Simulation – A New Approach to Calculating Small Failure Probabilities

Au, S. K. and Beck, J. L. (2000) Subset Simulation – A New Approach to Calculating Small Failure Probabilities. In: Monte Carlo simulation : proceedings of the International Conference on Monte Carlo Simulation, Principality of Monaco, 18-21 June 2000. Balkema , Rotterdam, Netherlands, pp. 287-293. ISBN 9058091880. https://resolver.caltech.edu/CaltechAUTHORS:20120925-163206969

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Abstract

A new simulation approach, called 'subset simulation', is proposed to compute small failure probabilities. The basic idea is to express the failure probability as a product of larger conditional failure probabilities by introducing intermediate failure events. With a proper choice of the intermediate failure events, 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 number of uncertain parameters and efficient in computing small probabilities. An example of calculating the first-excursion probability of a five-story shear building under uncertain seismic excitation is presented to demonstrate the efficiency of the method.


Item Type:Book Section
Record Number:CaltechAUTHORS:20120925-163206969
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20120925-163206969
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:34377
Collection:CaltechAUTHORS
Deposited By: Carmen Nemer-Sirois
Deposited On:13 Nov 2012 22:25
Last Modified:03 Oct 2019 04:18

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