Surrogate based method for evaluation of failure probability under multiple constraints (Q2875007)

The authors study the problem of computing the failure probability subject to multiple constraints. In particular, the case of surrogate models, also known as response surfaces, is considered for the available constraints. An efficient numerical algorithm based on Monte Carlo sampling is presented, where a large portion of the samples is evaluated using the surrogates and only a small portion using the underlying stochastic system. Convergence analysis of the algorithm for multiple constraints is presented and its efficiency is demonstrated through numerical examples.