Hamiltonian MCMC methods for estimating rare events probabilities in high-dimensional problems

Accurate and efficient estimation of rare events probabilities is of significant importance, since often the occurrences of such events have widespread impacts. The focus in this work is on precisely quantifying these probabilities, often encountered in reliability analysis of complex engineering systems, based on an introduced framework termed Approximate Sampling Target with Post-processing Adjustment (ASTPA), which herein is integrated with and supported by gradient-based Hamiltonian Markov Chain Monte Carlo (HMCMC) methods. The developed techniques in this paper are applicable from low-to high-dimensional stochastic spaces, and the basic idea is to construct a relevant target distribution by weighting the original random variable space through a one-dimensional output likelihood model, using the limit-state function. To sample from this target distribution, we exploit HMCMC algorithms, a family of MCMC methods that adopts physical system dynamics, rather than solely using a proposal probability distribution, to generate distant sequential samples, and we develop a new Quasi-Newton mass preconditioned HMCMC scheme (QNp-HMCMC), which is particularly efficient and suitable for high-dimensional spaces. To eventually compute the rare event probability, an original post-sampling step is devised using an inverse importance sampling procedure based on the already obtained samples. The statistical properties of the estimator are analyzed as well, and the performance of the proposed methodology is examined in detail and compared against Subset Simulation in a series of challenging low-and high-dimensional problems.

Automated summary

Accurate estimation of rare event probabilities is crucial due to their widespread impacts. This work proposes the Approximate Sampling Target with Post-processing Adjustment (ASTPA) framework integrated with gradient-based Hamiltonian Markov Chain Monte Carlo (HMCMC) methods. The proposed technique is applicable in low-to high-dimensional stochastic spaces, utilizing a one-dimensional output likelihood model to construct a relevant target distribution. A new Quasi-Newton mass preconditioned HMCMC scheme (QNp-HMCMC) is developed for efficient sampling in high-dimensional spaces. An original post-sampling step using an inverse importance sampling procedure is devised to compute the rare event probability. The statistical properties and performance of the proposed methodology are analyzed and compared against Subset Simulation.