Multinormal integrals by importance sampling for series system reliability

Structural Safety

Volumn 25, Issue 4, 2003, Pages 363-378

  Mori, Yasuhiro ^a   Kato, Teruyuki ^b  

^a NAGOYA UNIVERSITY   (Japan)

^b Nichiha Co Ltd   (Japan)

Author keywords

Importance sampling; Monte Carlo simulation; Multinormal integral; Probability theory; Series system; Structural reliability

Indexed keywords

FAILURE ANALYSIS; FUNCTIONS; INTEGRAL EQUATIONS; SAMPLING;

STATE FUNCTIONS;

SYSTEMS ANALYSIS;

FAILURE ANALYSIS; STRUCTURAL COMPONENT;

EID: 0042202075     PISSN: 01674730     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-4730(03)00015-8     Document Type: Article

References (20)

1. Melchers R.E. Structural reliability: analysis and prediction 2nd ed 1999 John Wiley - Sons Chichester, UK
2. Johnson N. Kotz S. Distributions in statistics: continuous multivariate distributions 1972 John Wiley - Sons Inc New York
3. Stuart A.J. Equally correlated variates and multinormal integral J Royal Stat Soc B 20 1958 373-378
4. Grigoriu M. Turkstra C. Safety of structural systems with correlated resistances Applied Math Modelling 3 1979 130-136
5. Ditlevsen O. Narrow reliability bounds for structural systems J Structural Mechanics 7 4 1979 435-451
6. Ramachandra K. System bounds: a critical study J Civil Engineering System 3 1984 123-128
7. Hohenbichler M. Rackwitz R. First-order concepts in system reliability Structural Safety 4 1983 177-188
8. Tang L.K. Melchers R.E. Improved approximation for multinormal integral Structural Safety 4 1987 81-93
9. Pandey M.D. An effective approximation to evaluate multinormal integrals Structural Safety 20 1998 51-67
10. Rubinstein R.Y. Simulation and the Monte Carlo method 1981 John Wiley - Sons New York
11. McGrath E.J. Irving D.C. Techniques for efficient Monte Carlo simulation, vol. III, variance reduction 1975 Oak Ridge National Laboratory TN [ORNL-RSIC-38]
12. Karamchandani A, Bjerager P, Cornell CA. Adaptive importance sampling. In: Structural safety and reliability, Proc. ICOSSAR'89, San Francisco, 1989. p. 855-62.
13. Harbitz A. An efficient sampling method for probability of failure calculation Structural Safety 3 1986 109-115
14. Bucher C.G. Adaptive sampling-an iterative fast Monte Carlo procedure Structural Safety 5 1988 119-126
15. Ang G.L. Ang A.H.-S. Tang W.H. Optimal importance sampling density estimator J Engineering Mechanics 118 1992 1146-1163
16. Kijawatworawet W, Pradlwarter HJ, Schueller GI. Structural reliability estimation by adaptive importance directional sampling. In: Structural safety and reliability, Proc. ICOS-SAR'97, Kyoto, 1998. p. 891-7.
17. Schueller GI. Structural reliability-recent advances. In: Structural Safety and Reliability, Proc. ICOSSAR'97, Kyoto, 1998. p. 3-35.
18. Engelund S. Rackwitz R. A benchmark study on importance sampling techniques in structural reliability Structural Safety 12 1993 255-276
19. Schueller G.I. Stix R. A critical appraisal of methods to determine failure probabilities Structural Safety 4 1987 293-309
20. Fu G. Moses F. Importance sampling in structural system reliability Probabilistic Methods in Civil Engineering 1988 340-343