Benutzer: Gast  Login
Titel:

MCMC algorithms for Subset Simulation

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Papaioannou, I. ; Betz, W. ; Zwirglmaier, K. ; Straub, D.
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...     »
Stichworte:
MCMC, Subset Simulation, Reliability analysis, High dimensions, Conditional sampling, Adaptive scaling
Zeitschriftentitel:
Probabilistic Engineering Mechanics
Jahr:
2015
Monat:
Jul
Heft / Issue:
41
Seitenangaben Beitrag:
89-103
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1016/j.probengmech.2015.06.006
WWW:
http://www.sciencedirect.com/science/article/pii/S0266892015300205
Verlag / Institution:
Elsevier
TUM Einrichtung:
FG Risikoanalyse und Zuverlässigkeit
 BibTeX