A new adaptive importance sampling scheme for reliability calculations
Abstract
An adaptive importance sampling methodology is proposed to compute the multidimensional integrals encountered in reliability analysis. It is based on a Markov simulation algorithm due to Metropolis et al. (Metropolis, Rosenbluth, Rosenbluth and Teller, Equations of state calculatons by fast computing machines. Journal of Chemical Physics, 1953;21(6): 1087-1092). In the proposed methodology, samples are simulated as the states of a Markov chain...
Paper Details
Title
A new adaptive importance sampling scheme for reliability calculations
Published Date
Jun 1, 1999
Journal
Volume
21
Issue
2
Pages
135 - 158
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