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First excursion probabilities for linear systems by very efficient importance sampling
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DOI：10.1016/S0266-8920(01)00002-9.png)
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Abstract
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An analytical study of the failure region of the first excursion reliability problem for linear dynamical systems subjected to Gaussian white noise excitation is carried out with a view to constructing a suitable importance sampling density for computing the first excursion failure probability. Central to the study are 'elementary failure regions', which are defined as the failure region in the load space corresponding to the failure of a particular output response at a particular instant. Each elementary failure region is completely characterized by its design point, which can be computed readily using impulse response functions of the system. It is noted that the complexity of the first excursion problem stems from the structure of the union of the elementary failure regions. One important consequence of this union structure is that, in addition to the global design point, a large number of neighboring design points are important in accounting for the failure probability. Using information from the analytical study, an importance sampling density is proposed. Numerical examples are presented, which demonstrate that the efficiency of using the proposed importance sampling density to calculate system reliability is remarkable. (C) 2001 Elsevier Science Ltd. All rights reserved.
Keywords:
first excursion problem
first passage problem
linear systems
importance sampling
Monte Carlo simulation
reliability
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