2019
DOI: 10.1002/nme.6135
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Adaptive reduced basis strategy for rare‐event simulations

Abstract: Summary Monte Carlo methods are well suited to characterize events of which associated probabilities are not too low with respect to the simulation budget. For very seldom observed events, these approaches do not lead to accurate results. Indeed, the number of samples is often insufficient to estimate such low probabilities (at least 10n+2 samples are needed to estimate a probability of 10−n with 10% relative deviation of the Monte Carlo estimator). Even within the framework of reduced order methods, such as a… Show more

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Cited by 10 publications
(13 citation statements)
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References 50 publications
(103 reference statements)
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“…For higher percentages (6-sigma) much higher accuracy is needed, i.e., more sample points or other techniques have to be applied, e.g. importance sampling [27] or subset simulation [28].…”
Section: B Estimation Of the Yieldmentioning
confidence: 99%
“…For higher percentages (6-sigma) much higher accuracy is needed, i.e., more sample points or other techniques have to be applied, e.g. importance sampling [27] or subset simulation [28].…”
Section: B Estimation Of the Yieldmentioning
confidence: 99%
“…For that reason, there is research on efficient yield estimation, using e.g. importance sampling [5], surrogate modeling [1,11,10] or hybrid approaches [8,3,4]. These hybrid approaches combine classic MC with surrogate methods, e.g.…”
Section: Definition Of the Yieldmentioning
confidence: 99%
“…Once an accurate surrogate model is available, it can then be used as an inexpensive substitute of Eq. (3) for an extensive MC analysis (6).…”
Section: Stochastic Collocation and Error Estimationmentioning
confidence: 99%
“…These methods determine the most probable point, which is the closest point from the parameter domain origin to the separating surface between the failure region and the safe region, and employ approximations of the limit state function around this point [4,5]. Investigations in the context of sampling have led to a sample size reduction, e.g., through importance sampling [6] or subset simulation [7,8]. Alternatively or complementarily, the computational effort has been reduced for each sample point, e.g., with surrogate based approaches.…”
Section: Introductionmentioning
confidence: 99%