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Extension of AK-MCS for the efficient computation of very small failure probabilities

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  • Razaaly, Nassim
  • Congedo, Pietro Marco

Abstract

We consider the problem of estimating a probability of failure pf, defined as the volume of the excursion set of a complex (e.g. output of an expensive-to-run finite element model) scalar performance function J below a given threshold, under a probability measure that can be recast as a multivariate standard gaussian law using an isoprobabilistic transformation. We propose a method able to deal with cases characterized by multiple failure regions, possibly very small failure probability pf (say ∼10−6−10−9), and when the number of evaluations of J is limited. The present work is an extension of the popular Kriging-based active learning algorithm known as AK-MCS, as presented in [1], permitting to deal with very low failure probabilities. The key idea merely consists in replacing the Monte-Carlo sampling, used in the original formulation to propose candidates and evaluate the failure probability, by a centered isotropic Gaussian sampling in the standard space, whose standard deviation is iteratively tuned. This extreme AK-MCS (eAK-MCS) inherits its former multi-point enrichment algorithm allowing to add several points at each iteration step, and provide an estimated failure probability based on the Gaussian nature of the Kriging surrogate.

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  • Razaaly, Nassim & Congedo, Pietro Marco, 2020. "Extension of AK-MCS for the efficient computation of very small failure probabilities," Reliability Engineering and System Safety, Elsevier, vol. 203(C).
  • Handle: RePEc:eee:reensy:v:203:y:2020:i:c:s0951832020305858
    DOI: 10.1016/j.ress.2020.107084
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    1. Bourinet, J.-M., 2016. "Rare-event probability estimation with adaptive support vector regression surrogates," Reliability Engineering and System Safety, Elsevier, vol. 150(C), pages 210-221.
    2. Cadini, F. & Santos, F. & Zio, E., 2014. "An improved adaptive kriging-based importance technique for sampling multiple failure regions of low probability," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 109-117.
    3. Echard, B. & Gayton, N. & Lemaire, M. & Relun, N., 2013. "A combined Importance Sampling and Kriging reliability method for small failure probabilities with time-demanding numerical models," Reliability Engineering and System Safety, Elsevier, vol. 111(C), pages 232-240.
    4. Cadini, F. & Gioletta, A. & Zio, E., 2015. "Improved metamodel-based importance sampling for the performance assessment of radioactive waste repositories," Reliability Engineering and System Safety, Elsevier, vol. 134(C), pages 188-197.
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    Cited by:

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    6. Qian, Hua-Ming & Li, Yan-Feng & Huang, Hong-Zhong, 2021. "Time-variant system reliability analysis method for a small failure probability problem," Reliability Engineering and System Safety, Elsevier, vol. 205(C).
    7. Zhang, Yu & Dong, You & Xu, Jun, 2023. "An accelerated active learning Kriging model with the distance-based subdomain and a new stopping criterion for reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
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    10. Perrin, G., 2021. "Point process-based approaches for the reliability analysis of systems modeled by costly simulators," Reliability Engineering and System Safety, Elsevier, vol. 214(C).

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