Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
From MaRDI portal
Publication:1686588
Recommendations
- Estimation of time-variant system reliability of nonlinear randomly excited systems based on the Girsanov transformation with state-dependent controls
- An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise
- Importance sampling for randomly excited dynamical systems
- scientific article; zbMATH DE number 5010659
- Estimation of failure probabilities of linear dynamic systems by importance sampling
Cites work
- scientific article; zbMATH DE number 1715058 (Why is no real title available?)
- scientific article; zbMATH DE number 3841285 (Why is no real title available?)
- scientific article; zbMATH DE number 3943077 (Why is no real title available?)
- scientific article; zbMATH DE number 1194816 (Why is no real title available?)
- scientific article; zbMATH DE number 3790273 (Why is no real title available?)
- scientific article; zbMATH DE number 3464364 (Why is no real title available?)
- scientific article; zbMATH DE number 711262 (Why is no real title available?)
- A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations
- An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise
- Estimation of failure probabilities of linear dynamic systems by importance sampling
- Handbook of Monte Carlo Methods
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Importance sampling for randomly excited dynamical systems
- Importance sampling variance reduction for the Fokker-Planck rarefied gas particle method
- Numerical solution of spectral stochastic finite element systems
- On advanced Monte Carlo simulation procedures in stochastic structural dynamics
- On approximation of stable linear dynamical systems using Laguerre and Kautz functions
- Quasilinearization and invariant imbedding. With applications to chemical engineering and adaptive control
- Reliability estimation for dynamical systems subject to stochastic excitation using subset simulation with splitting
- Solving ODEs with MATLAB
- Stochastic differential equations. An introduction with applications.
- Variance Reduction for Simulated Diffusions
- Variance reduction for Monte Carlo simulation of stochastic environmental models
- Variance reduction for Monte Carlo solutions of the Boltzmann equation
- Variance reduction through robust design of boundary conditions for stochastic hyperbolic systems of equations
- Variational variance reduction for particle transport eigenvalue calculations using Monte Carlo adjoint simulation.
Cited in
(5)- Importance sampling for randomly excited dynamical systems
- A Note on Variance Reduction Methods in Monte Carlo Applications to Systems Engineering and Reliability.
- An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise
- Estimation of time-variant system reliability of nonlinear randomly excited systems based on the Girsanov transformation with state-dependent controls
- Probabilistic response of nonsmooth nonlinear systems under Gaussian white noise excitations
This page was built for publication: Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1686588)
