Modified Metropolis-Hastings algorithm with reduced chain correlation for efficient subset simulation

Probabilistic Engineering Mechanics

Volumn 26, Issue 2, 2011, Pages 331-341

  Santoso, A M ^a   Phoon, K K ^a   Quek, S T ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Chain correlation; Markov chain; MetropolisHastings algorithm; Reliability estimation; Subset simulation

Indexed keywords

COEFFICIENT OF VARIATION; ENGINEERING PROBLEMS; FAILURE PROBABILITY; MARKOV CHAIN; METROPOLISHASTINGS ALGORITHM; MODIFIED ALGORITHMS; RANDOM DIMENSION; RELIABILITY ESTIMATION; SOIL SLOPES; SUBSET SIMULATION; TRANSITION PROBABILITIES; VARIABLE PROPERTY;

CORRELATION METHODS; ESTIMATION; MARKOV PROCESSES; PROBABILITY; RELIABILITY; SET THEORY;

ALGORITHMS;

EID: 79952193514     PISSN: 02668920     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.probengmech.2010.08.007     Document Type: Article

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