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An island particle Markov chain Monte Carlo algorithm for safety analysis

hal.structure.identifierCentre National d'Études Spatiales [Toulouse] [CNES]
hal.structure.identifierONERA - The French Aerospace Lab [Châtillon]
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
dc.contributor.authorVERGÉ, Christelle
hal.structure.identifierONERA - The French Aerospace Lab [Châtillon]
dc.contributor.authorMORIO, Jérôme
hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorDEL MORAL, Pierre
dc.date.created2013
dc.date.issued2013-06
dc.identifier.issn0167-4730
dc.description.abstractEnEstimating rare event probability with accuracy is of great interest for safety and reliability applications. Nevertheless, some simulation parameters such as the input density parameters in the case of input-output functions, are often set for simplification reasons. A bad estimation of the parameters can strongly modify rare event probability estimations. In the present article, we design a new island particle Markov chain Monte Carlo algorithm to determine the parameters that, in case of bad estimation, tend to increase the rare event probability value. This algorithm also gives an estimate of the rare event probability maximum taking into account the likelihood of the parameter. The principles of this statistical technique are described throughout this article and its results are analyzed on different test cases.
dc.language.isoen
dc.publisherElsevier
dc.subject.enrare event
dc.subject.ensequential Monte Carlo
dc.subject.enparticle filtering
dc.subject.ensensitivity analysis
dc.title.enAn island particle Markov chain Monte Carlo algorithm for safety analysis
dc.typeArticle de revue
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalStructural Safety
bordeaux.peerReviewedoui
hal.identifierhal-00834987
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00834987v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Structural%20Safety&rft.date=2013-06&rft.eissn=0167-4730&rft.issn=0167-4730&rft.au=VERG%C3%89,%20Christelle&MORIO,%20J%C3%A9r%C3%B4me&DEL%20MORAL,%20Pierre&rft.genre=article


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