Efficient variance-based reliability sensitivity analysis for Monte Carlo methods

Autor:	Most, Thomas
Rok vydání:	2024
Předmět:	Statistics - Computation Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	In this paper, a Monte Carlo based approach for the quantification of the importance of the scattering input parameters with respect to the failure probability is presented. Using the basic idea of the alpha-factors of the First Order Reliability Method, this approach was developed to analyze correlated input variables as well as arbitrary marginal parameter distributions. Based on an efficient transformation scheme using the importance sampling principle, only a single analysis run by a plain or variance-reduced Monte Carlo method is required to give a sufficient estimate of the introduced parameter sensitivities. Several application examples are presented and discussed in the paper. Comment: presented at the 14th International Conference on Applications of Statistics and Probability in Civil Engineering, Dublin, Ireland, 9-13 July, 2023
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2408.06664 Zobrazit plný text záznamu View this record from Arxiv