User: Guest  Login
Title:

MCMC algorithms for Subset Simulation

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
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
Fulltext / DOI:
doi:10.1016/j.probengmech.2015.06.006
WWW:
http://www.sciencedirect.com/science/article/pii/S0266892015300205
Publisher:
Elsevier
TUM Institution:
FG Risikoanalyse und Zuverlässigkeit
 BibTeX