This paper presents a recently developed advanced Monte Carlo method called ‘Subset Simulation’ for efficient stocha stic analysis of complex engineering systems. The method investigates rare failure scenarios by efficiently generating ‘conditional sample s’ that populate progressively towards the rare failure region. In addition to reliability analysis and performance margin estimation, the conditional samples also provide information for sensitivity and data-mining purposes. Subset Simulation is based on a simple but important observation that a small failure probability can be expressed as a product of large conditional failure probabilities of some intermediate failure events. This perspective makes use of the defining properties of conditional probabilities, and so is valid for all applications. The method is illustrated with applications in structural and aerospace engineering. Recent and future development of the method will also be discussed.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2007 Springer
About this paper
Cite this paper
Au, S.K., Thunnissen, D.P. (2007). Uncertainty Propagation in Complex Engineering Systems by Advanced Monte Carlo Methods. In: Hu, H.Y., Kreuzer, E. (eds) Iutam Symposium on Dynamics and Control of Nonlinear Systems with Uncertainty. IUTAM Book Series, vol 2. Springer, Dordrecht. https://doi.org/10.1007/978-1-4020-6332-9_5
Download citation
DOI: https://doi.org/10.1007/978-1-4020-6332-9_5
Publisher Name: Springer, Dordrecht
Print ISBN: 978-1-4020-6331-2
Online ISBN: 978-1-4020-6332-9
eBook Packages: EngineeringEngineering (R0)