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The Transitional Markov Chain Monte Carlo (TMCMC) method is a widely used method for Bayesian updating and Bayesian model class selection. The method is based on successively sampling from a sequence of distributions that gradually approach the posterior target distribution. The samples of the intermediate distributions are used to obtain an estimate of the evidence, which is needed in the context of Bayesian model class selection. We discuss the properties of the TMCMC method and propose the following three modifications to the TMCMC method: (1) The sample weights should be adjusted after each MCMC step. (2) A burn-in period in the MCMC sampling step can improve the posterior approximation. (3) The scale of the proposal distribution of the MCMC algorithm can be selected adaptively to achieve a near-optimal acceptance rate. We compare the performance of the proposed modifications with the original TMCMC method by means of three example problems. The proposed modifications reduce the bias in the estimate of the evidence, and improve the convergence behavior of posterior estimates.

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Bayesian Updating with Structural reliability methods (BUS) reinterprets the Bayesian updating problem as a structural reliability problem; i.e. a rare event estimation. The BUS approach can be considered an extension of rejection sampling, where a standard uniform random variable is added to the space of random variables. Each generated sample from this extended random variable space is accepted if the realization of the uniform random variable is smaller than the likelihood function scaled by a constant c. The constant c has to be selected such that 1/c is not smaller than the maximum of the likelihood function, which, however, is typically unknown a-priori. A c chosen too small will have negative impact on the efficiency of the BUS approach when combined with sampling-based reliability methods. For the combination of BUS with Subset Simulation, we propose an approach, termed aBUS, for adaptive BUS, that does not require c as input. The proposed algorithm requires only minimal modifications of standard BUS with Subset Simulation. We discuss why aBUS produces samples that 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 demanding to evaluate the likelihood function.