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Document type:
Zeitschriftenaufsatz 
Author(s):
Papaioannou, I. ; Betz, W. ; Zwirglmaier, K. ; Straub, D. 
Title:
MCMC algorithms for Subset Simulation 
Abstract:
Subset Simulation is an adaptive simulation method that efficiently solves structural reliability problems with many random variables. The method requires sampling from conditional distributions, which is achieved through Markov Chain Monte Carlo (MCMC) algorithms. This paper discusses different MCMC algorithms proposed for Subset Simulation and introduces a novel approach for MCMC sampling in the standard normal space. Two variants of the algorithm are proposed: a basic variant, which is simple...    »
 
Keywords:
MCMC, Subset Simulation, Reliability analysis, High dimensions, Conditional sampling, Adaptive scaling 
Journal title:
Probabilistic Engineering Mechanics 
Year:
2015 
Month:
Jul 
Journal issue:
41 
Pages contribution:
89-103 
Reviewed:
ja 
Language:
en 
Publisher:
Elsevier 
TUM Institution:
FG Risikoanalyse und Zuverlässigkeit