First order control variates algorithm for reliability analysis of engineering structures
Sign Up to like & getrecommendations! Published in 2020 at "Applied Mathematical Modelling"
DOI: 10.1016/j.apm.2019.07.049
Abstract: Abstract This study introduces an efficient method for safety evaluation of the structures with small failure probability. The proposed approach reformulates basic failure probability formula based on control variates method and suggests to firstly substitute… read more here.
Keywords: control variates; limit state; first order; reliability analysis ... See more keywords
Adaptive importance sampling and control variates
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2019.123608
Abstract: Abstract We construct and investigate an adaptive variance reduction framework in which both importance sampling and control variates are employed. The three lines (Monte Carlo averaging and two variance reduction parameter search lines) run in… read more here.
Keywords: control variates; variance; importance sampling; variance reduction ... See more keywords
Control Variates for Constrained Variables
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DOI: 10.1109/lsp.2022.3221347
Abstract: Numerical Bayesian inference methods typified by Markov chain Monte Carlo generate a set of samples from a probability distribution. When using real-valued samples to approximate the expectation of a random variable, the variance of the… read more here.
Keywords: constrained variables; variates constrained; variance; control variates ... See more keywords