Title: Efficiency and accuracy of Monte Carlo (importance) sampling
Abstract:Monte Carlo Analysis is often regarded as the most simple and accurate reliability method. Be-sides it is the most transparent method. The only problem is the accuracy in correlation with the efficien...Monte Carlo Analysis is often regarded as the most simple and accurate reliability method. Be-sides it is the most transparent method. The only problem is the accuracy in correlation with the efficiency. Monte Carlo gets less efficient or less accurate when very low probabilities are to be computed in combina-tion with limit state functions that use a lot of computational time. The efficiency of Monte Carlo simulations can be improved by means of importance sampling. This however requires pre-information on the state func-tion that may affect the accuracy. Several Monte Carlo simulation methods are compared with respect to effi-ciency and accuracy: Crude Monte Carlo, Importance Sampling, Increased Variance Sampling, and Direc-tional Sampling. Furthermore a comparison is made with a special kind of response surface methodRead More
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: article
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Cited By Count: 1
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