Sequential sampling based reliability analysis for high dimensional rare events with confidence intervals

Yanwen Xu, Pingfeng Wang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Analysis of rare failure events accurately is often challenging with an affordable computational cost in many engineering applications, and this is especially true for problems with high dimensional system inputs. The extremely low probabilities of occurrences for those rare events often lead to large probability estimation errors and low computational efficiency. Thus, it is vital to develop advanced probability analysis methods that are capable of providing robust estimations of rare event probabilities with narrow confidence bounds. Generally, confidence intervals of an estimator can be established based on the central limit theorem, but one of the critical obstacles is the low computational efficiency, since the widely used Monte Carlo method often requires a large number of simulation samples to derive a reasonably narrow confidence interval. This paper develops a new probability analysis approach that can be used to derive the estimates of rare event probabilities efficiently with narrow estimation bounds simultaneously for high dimensional problems. The asymptotic behaviors of the developed estimator has also been proved theoretically without imposing strong assumptions. Further, an asymptotic confidence interval is established for the developed estimator. The presented study offers important insights into the robust estimations of the probability of occurrences for rare events. The accuracy and computational efficiency of the developed technique is assessed with numerical and engineering case studies. Case study results have demonstrated that narrow bounds can be built efficiently using the developed approach, and the true values have always been located within the estimation bounds, indicating that good estimation accuracy along with a significantly improved efficiency.

Original languageEnglish (US)
Title of host publication46th Design Automation Conference (DAC)
PublisherAmerican Society of Mechanical Engineers (ASME)
ISBN (Electronic)9780791884010
DOIs
StatePublished - 2020
EventASME 2020 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference, IDETC-CIE 2020 - Virtual, Online
Duration: Aug 17 2020Aug 19 2020

Publication series

NameProceedings of the ASME Design Engineering Technical Conference
Volume11B-2020

Conference

ConferenceASME 2020 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference, IDETC-CIE 2020
CityVirtual, Online
Period8/17/208/19/20

Keywords

  • Asymptotic normality
  • High dimensional problem
  • Narrow bound
  • Rare event estimation

ASJC Scopus subject areas

  • Mechanical Engineering
  • Computer Graphics and Computer-Aided Design
  • Computer Science Applications
  • Modeling and Simulation

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