Engineering Risk Assessment with Subset Simulation by Siu-Kui Au

By Siu-Kui Au

This booklet starts off with the fundamental rules in uncertainty propagation utilizing Monte Carlo tools and the new release of random variables and stochastic methods for a few universal distributions encountered in engineering functions. It then introduces a category of strong simulation thoughts referred to as Markov Chain Monte Carlo process (MCMC), a massive equipment at the back of Subset Simulation that enables one to generate samples for investigating infrequent eventualities in a probabilistically constant demeanour. the idea of Subset Simulation is then provided, addressing comparable useful matters encountered within the real implementation. The booklet additionally introduces the reader to probabilistic failure research and reliability-based sensitivity research, that are specified by a context that may be successfully tackled with Subset Simulation or Monte Carlo simulation ordinarily. The ebook is supplemented with an Excel VBA code that offers a effortless device for the reader to achieve hands-on adventure with Monte Carlo simulation.

  • Presents a strong simulation process known as Subset Simulation for effective engineering threat evaluation and failure and sensitivity analysis
  • Illustrates examples with MS Excel spreadsheets, permitting readers to realize hands-on adventure with Monte Carlo simulation
  • Covers theoretical basics in addition to complex implementation issues
  • A significant other site is offered to incorporate the advancements of the software program ideas

This ebook is vital examining for graduate scholars, researchers and engineers drawn to employing Monte Carlo equipment for chance review and reliability dependent layout in a number of fields corresponding to civil engineering, mechanical engineering, aerospace engineering, electric engineering and nuclear engineering. venture managers, threat managers and fiscal engineers facing uncertainty results can also locate it helpful.

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Example text

This implies that ???? > 0 and ∇g(x∗ ) is a vector exactly opposite to x∗ . 2. A point x inside F1 is characterized by the condition that its projection along the direction of x∗ is greater than ||x∗ ||. 2 Schematic diagram of FORM. 2, it does not change the value of the PDF nor the integral. 38) which is not related to z2 , … , zn . 39) since the integral with respect to z2 , … , zn is over the whole n−1 space and hence is equal to 1; Φ(⋅) is the standard Gaussian CDF. 40) The parameter ???? is a convenient measure of reliability (the higher the safer).

The notation f : A → B is used to denote a function that takes an element in the set A to give a value in the set B. For example, f : n →  denotes a real scalar valued multi-variable function on the n-dimensional Euclidean space. We reserve P(⋅) for the probability of the statement in the argument. The notation pX (x) refers to the PDF of the random variable X evaluated at the value x. When the random variable X is understood in the context it may be omitted for simplicity. Random variables are usually denoted in capital letters and their parameter value in small letters.

A Taylor series has been used to approximate the logarithm of the integrand rather than the integrand itself directly. The resulting integrand, that is, exp[−L(x)] where L(x) is given by Eq. 13), is non-negative and decays to zero as ||x − x∗ || → ∞. In contrast, a secondorder Taylor approximation of the integrand will produce a concave quadratic form that tends to negative infinity and violates the non-negative assumption about the integrand. , Gaussian, Exponential), for which a Gaussian PDF provides a simple natural form of approximation.

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