Estimation of failure probabilities of linear dynamic systems by importance sampling

DOI10.1007/BF02716785zbMATH Open1193.62177MaRDI QIDQ949162FDOQ949162

Authors: Anna Ivanova Olsen, A. Naess 

Publication date: 20 October 2008

Published in: Sādhanā (Search for Journal in Brave)

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zbMATH Keywords

time-variant reliability

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Reliability and life testing (62N05) Markov processes (60J99) Optimal stochastic control (93E20)

Cites Work

• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Variance Reduction for Simulated Diffusions
• Title not available (Why is that?)
• Importance sampling for randomly excited dynamical systems
• Title not available (Why is that?)

Cited In (12)

• Augmented line sampling for approximation of failure probability function in reliability-based analysis
• Failure probability estimation of linear time varying systems by progressive refinement of reduced order models
• Importance sampling for randomly excited dynamical systems
• Conditional Monte Carlo method for dynamic systems with random properties
• An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise
• Title not available (Why is that?)
• Estimating failure probabilities
• Importance sampling of nonlinear structures using adapted process
• Computation of probabilities of survival/failure of technical economic systems/structures by means of piecewise linearization of the performance function
• Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics
• Importance sampling simulations of Markovian reliability systems using cross-entropy
• Reliability estimation for dynamical systems subject to stochastic excitation using subset simulation with splitting

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