Sequential design of computer experiments for the estimation of a probability of failure
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Publication:693305
DOI10.1007/S11222-011-9241-4zbMATH Open1252.62081arXiv1009.5177OpenAlexW2133118715MaRDI QIDQ693305FDOQ693305
Authors: Julien Bect, D. Ginsbourger, Ling Li, Victor Picheny 
Publication date: 7 December 2012
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: This paper deals with the problem of estimating the volume of the excursion set of a function above a given threshold, under a probability measure on that is assumed to be known. In the industrial world, this corresponds to the problem of estimating a probability of failure of a system. When only an expensive-to-simulate model of the system is available, the budget for simulations is usually severely limited and therefore classical Monte Carlo methods ought to be avoided. One of the main contributions of this article is to derive SUR (stepwise uncertainty reduction) strategies from a Bayesian-theoretic formulation of the problem of estimating a probability of failure. These sequential strategies use a Gaussian process model of and aim at performing evaluations of as efficiently as possible to infer the value of the probability of failure. We compare these strategies to other strategies also based on a Gaussian process model for estimating a probability of failure.
Full work available at URL: https://arxiv.org/abs/1009.5177
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Bayesian inference (62F15) Reliability and life testing (62N05) Monte Carlo methods (65C05) Sequential statistical design (62L05) Non-Markovian processes: estimation (62M09)
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