Bayesian Subset Simulation: a kriging-based subset simulation algorithm for the estimation of small probabilities of failure

Abstract : The estimation of small probabilities of failure from computer simulations is a classical problem in engineering, and the Subset Simulation algorithm proposed by Au \& Beck (Prob. Eng. Mech., 2001) has become one of the most popular method to solve it. Subset simulation has been shown to provide significant savings in the number of simulations to achieve a given accuracy of estimation, with respect to many other Monte Carlo approaches. The number of simulations remains still quite high however, and this method can be impractical for applications where an expensive-to-evaluate computer model is involved. We propose a new algorithm, called Bayesian Subset Simulation, that takes the best from the Subset Simulation algorithm and from sequential Bayesian methods based on kriging (also known as Gaussian process modeling). The performance of this new algorithm is illustrated using a test case from the literature. We are able to report promising results. In addition, we provide a numerical study of the statistical properties of the estimator.
Type de document :
Communication dans un congrès
11th International Probabilistic Assessment and Management Conference (PSAM11) and The Annual European Safety and Reliability Conference (ESREL 2012), Jun 2012, Helsinki, Finland. CD-ROM Proceedings (10 p.), 2012
Liste complète des métadonnées

Littérature citée [32 références]  Voir  Masquer  Télécharger

https://hal-supelec.archives-ouvertes.fr/hal-00715316
Contributeur : Julien Bect <>
Soumis le : vendredi 6 juillet 2012 - 16:35:21
Dernière modification le : jeudi 29 mars 2018 - 11:06:05
Document(s) archivé(s) le : dimanche 7 octobre 2012 - 02:35:19

Fichiers

LiBectVazquez-PSAM11ESREL2012....
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00715316, version 1
  • ARXIV : 1207.1963

Collections

Citation

Ling Li, Julien Bect, Emmanuel Vazquez. Bayesian Subset Simulation: a kriging-based subset simulation algorithm for the estimation of small probabilities of failure. 11th International Probabilistic Assessment and Management Conference (PSAM11) and The Annual European Safety and Reliability Conference (ESREL 2012), Jun 2012, Helsinki, Finland. CD-ROM Proceedings (10 p.), 2012. 〈hal-00715316〉

Partager

Métriques

Consultations de la notice

260

Téléchargements de fichiers

558