期刊
PROBABILISTIC ENGINEERING MECHANICS
卷 40, 期 -, 页码 42-51出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.probengmech.2015.02.004
关键词
Markov chain Monte Carlo; Reliability integral; Particle splitting; Variance reduction
Monte Carlo simulation methods involving splitting of Markov chains have been used in evaluation of multi-fold integrals in different application areas. We examine in this paper the performance of these methods in the context of evaluation of reliability integrals from the point of view of characterizing the sampling fluctuations. The methods discussed include the Au-Beck subset simulation, Holmes-Diaconis-Ross method, and generalized splitting algorithm. A few improvisations based on first order reliability method are suggested to select algorithmic parameters of the latter two methods. The bias and sampling variance of the alternative estimators are discussed. Also, an approximation to the sampling distribution of some of these estimators is obtained. Illustrative examples involving component and series system reliability analyses are presented with a view to bring out the relative merits of alternative methods. (C) 2015 Elsevier Ltd. All rights reserved.
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