dc.contributor.author | Gardoni, Paolo | |
dc.contributor.author | Jia, Gaofeng | |
dc.contributor.author | ICASP14 | |
dc.contributor.author | Tabandeh, Armin | |
dc.date.accessioned | 2023-08-03T13:26:36Z | |
dc.date.available | 2023-08-03T13:26:36Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | Armin Tabandeh, Gaofeng Jia, Paolo Gardoni, Langevin Dynamics for Importance Sampling in Reliability Analysis, 14th International Conference on Applications of Statistics and Probability in Civil Engineering (ICASP14), Dublin, Ireland, 2023. | |
dc.description | PUBLISHED | |
dc.description.abstract | Importance Sampling (IS) is a popular simulation method for the reliability analysis of general engineering systems. Its core idea is to build a biased density that can sample from the failure domain more frequently than in the Monte Carlo simulation. The optimal IS density, derived from the Euler-Lagrange equation, is inversely proportional to the unknown failure probability to be estimated; thus, directly sampling from it is impossible. However, samples can indirectly be drawn from the optimal IS density by simulating a Markov chain. In particular, the Hamiltonian Monte Carlo (HMC) sampling algorithm and its variants design a dynamical system that can explore the failure domain better than, for example, the Metropolis-Hastings algorithm. However, such sampling algorithms can be prohibitively slow if the problem is high-dimensional or involves expensive model evaluations. This paper presents a method to convert the inference problem in HMC into an optimization problem and discusses its connection with existing optimization-based algorithms for IS. The starting point is the Langevin equation, which offers a unified formulation for several variants of HMC. The optimal IS density is the steady-state solution of the Fokker-Planck equation associated with the Langevin equation. The proposed method approximates the steady-state solution of the Fokker-Planck equation via optimization. The process is illustrated through a benchmark reliability problem. | |
dc.language.iso | en | |
dc.relation.ispartofseries | 14th International Conference on Applications of Statistics and Probability in Civil Engineering(ICASP14) | |
dc.rights | Y | |
dc.title | Langevin Dynamics for Importance Sampling in Reliability Analysis | |
dc.title.alternative | 14th International Conference on Applications of Statistics and Probability in Civil Engineering(ICASP14) | |
dc.type | Conference Paper | |
dc.type.supercollection | scholarly_publications | |
dc.type.supercollection | refereed_publications | |
dc.rights.ecaccessrights | openAccess | |
dc.identifier.uri | http://hdl.handle.net/2262/103299 | |