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Improved cross entropy-based importance sampling with a flexible mixture model

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  • Papaioannou, Iason
  • Geyer, Sebastian
  • Straub, Daniel

Abstract

The probability of a rare event or failure event is defined through a potentially high-dimensional integral, whose integration domain is often only known point-wise in terms of the outcome of a numerical model. The probability of failure can be estimated efficiently through importance sampling (IS), provided that an effective IS density is chosen. The cross entropy (CE) method is an adaptive sampling approach that determines the IS density through minimizing the Kullback–Leibler divergence between the theoretically optimal IS density and a chosen parametric family of distributions. We propose an improved version of the classical CE method that introduces a smooth transition to make better use of the samples from intermediate sampling levels for fitting the sought IS density. The improved CE method is combined with a novel flexible parametric distribution model that is able to handle low- and high-dimensional problems as well as problems with multimodal failure domains. A set of numerical examples demonstrate that the proposed approach performs consistently better than the classical CE method in various problem settings.

Suggested Citation

  • Papaioannou, Iason & Geyer, Sebastian & Straub, Daniel, 2019. "Improved cross entropy-based importance sampling with a flexible mixture model," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    • Handle: RePEc:eee:reensy:v:191:y:2019:i:c:s0951832019301528
    DOI: 10.1016/j.ress.2019.106564
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    References listed on IDEAS

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    1. Au, Siu-Kui & Patelli, Edoardo, 2016. "Rare event simulation in finite-infinite dimensional space," Reliability Engineering and System Safety, Elsevier, vol. 148(C), pages 67-77.
    2. Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
    3. Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
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    1. Chiron, Marie & Genest, Christian & Morio, Jérôme & Dubreuil, Sylvain, 2023. "Failure probability estimation through high-dimensional elliptical distribution modeling with multiple importance sampling," Reliability Engineering and System Safety, Elsevier, vol. 235(C).
    2. Zheng, Xiaoyu & Tamaki, Hitoshi & Sugiyama, Tomoyuki & Maruyama, Yu, 2022. "Dynamic probabilistic risk assessment of nuclear power plants using multi-fidelity simulations," Reliability Engineering and System Safety, Elsevier, vol. 223(C).
    3. Song, Chaolin & Zhang, Chi & Shafieezadeh, Abdollah & Xiao, Rucheng, 2022. "Value of information analysis in non-stationary stochastic decision environments: A reliability-assisted POMDP approach," Reliability Engineering and System Safety, Elsevier, vol. 217(C).
    4. Dang, Chao & Wei, Pengfei & Faes, Matthias G.R. & Valdebenito, Marcos A. & Beer, Michael, 2022. "Parallel adaptive Bayesian quadrature for rare event estimation," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
    5. Ni, Pinghe & Li, Jun & Hao, Hong & Yan, Weimin & Du, Xiuli & Zhou, Hongyuan, 2020. "Reliability analysis and design optimization of nonlinear structures," Reliability Engineering and System Safety, Elsevier, vol. 198(C).
    6. Betz, Wolfgang & Papaioannou, Iason & Straub, Daniel, 2022. "Bayesian post-processing of Monte Carlo simulation in reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 227(C).
    7. Dang, Chao & Xu, Jun, 2020. "Unified reliability assessment for problems with low- to high-dimensional random inputs using the Laplace transform and a mixture distribution," Reliability Engineering and System Safety, Elsevier, vol. 204(C).
    8. Papaioannou, Iason & Straub, Daniel, 2021. "Variance-based reliability sensitivity analysis and the FORM α-factors," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    9. Mehni, Moien Barkhori & Mehni, Mohammad Barkhori, 2023. "Reliability analysis with cross-entropy based adaptive Markov chain importance sampling and control variates," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
    10. Chan, Jianpeng & Papaioannou, Iason & Straub, Daniel, 2022. "An adaptive subset simulation algorithm for system reliability analysis with discontinuous limit states," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
    11. Dasgupta, Agnimitra & Johnson, Erik A., 2024. "REIN: Reliability Estimation via Importance sampling with Normalizing flows," Reliability Engineering and System Safety, Elsevier, vol. 242(C).
    12. Jiang, Chen & Qiu, Haobo & Gao, Liang & Wang, Dapeng & Yang, Zan & Chen, Liming, 2020. "EEK-SYS: System reliability analysis through estimation error-guided adaptive Kriging approximation of multiple limit state surfaces," Reliability Engineering and System Safety, Elsevier, vol. 198(C).
    13. Zhang, Xiaobo & Lu, Zhenzhou & Cheng, Kai, 2022. "Cross-entropy-based directional importance sampling with von Mises-Fisher mixture model for reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 220(C).
    14. El Masri, Maxime & Morio, Jérôme & Simatos, Florian, 2021. "Improvement of the cross-entropy method in high dimension for failure probability estimation through a one-dimensional projection without gradient estimation," Reliability Engineering and System Safety, Elsevier, vol. 216(C).
    15. Dang, Chao & Beer, Michael, 2024. "Semi-Bayesian active learning quadrature for estimating extremely low failure probabilities," Reliability Engineering and System Safety, Elsevier, vol. 246(C).

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