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Engineering risk assessment and design with subset simulation / / Siu-Kui Au, Yu Wang
| Engineering risk assessment and design with subset simulation / / Siu-Kui Au, Yu Wang |
| Autore | Au Siu-Kui |
| Pubbl/distr/stampa | Singapore : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (337 p.) |
| Disciplina | 519.2 |
| Soggetto topico |
Risk assessment - Mathematics
Engineering design - Mathematics Set theory |
| ISBN |
1-118-39807-6
1-118-39805-X 1-118-39806-8 |
| Classificazione | TEC009070 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
ENGINEERING RISK ASSESSMENT WITH SUBSET SIMULATION; Contents; About the Authors; Preface; Acknowledgements; Nomenclature; 1 Introduction; 1.1 Formulation; 1.2 Context; 1.3 Extreme Value Theory; 1.4 Exclusion; 1.5 Organization of this Book; 1.6 Remarks on the Use of Risk Analysis; 1.7 Conventions; References; 2 A Line of Thought; 2.1 Numerical Integration; 2.2 Perturbation; 2.3 Gaussian Approximation; 2.3.1 Single Design Point; 2.3.2 Multiple Design Points; 2.4 First/Second-Order Reliability Method; 2.4.1 Context; 2.4.2 Design Point; 2.4.3 FORM; 2.4.4 SORM
2.4.5 Connection with Gaussian Approximation 2.5 Direct Monte Carlo; 2.5.1 Unbiasedness; 2.5.2 Mean-Square Convergence; 2.5.3 Asymptotic Distribution (Central Limit Theorem); 2.5.4 Almost Sure Convergence (Strong Law of Large Numbers); 2.5.5 Failure Probability Estimation; 2.5.6 CCDF Perspective; 2.5.7 Rare Event Problems; 2.5.8 Variance Reduction by Conditioning; 2.6 Importance Sampling; 2.6.1 Optimal Sampling Density; 2.6.2 Failure Probability Estimation; 2.6.3 Shifting Distribution; 2.6.4 Benefits and Side-Effects; 2.6.5 Bias; 2.6.6 Curse of Dimension; 2.6.7 CCDF Perspective 2.7 Subset Simulation 2.8 Remarks on Reliability Methods; 2A.1 Appendix: Laplace Type Integrals; References; 3 Simulation of Standard Random Variable and Process; 3.1 Pseudo-Random Number; 3.2 Inversion Principle; 3.2.1 Continuous Random Variable; 3.2.2 Discrete Random Variables; 3.3 Mixing Principle; 3.4 Rejection Principle; 3.4.1 Acceptance Probability; 3.5 Samples of Standard Distribution; 3.6 Dependent Gaussian Variables; 3.6.1 Cholesky Factorization; 3.6.2 Eigenvector Factorization; 3.7 Dependent Non-Gaussian Variables; 3.7.1 Nataf Transformation; 3.7.2 Copula 3.8 Correlation through Constraint 3.8.1 Uniform in Sphere; 3.8.2 Gaussian on Hyper-plane; 3.9 Stationary Gaussian Process; 3.9.1 Autocorrelation Function and Power Spectral Density; 3.9.2 Discrete-Time Process; 3.9.3 Sample Autocorrelation Function and Periodogram; 3.9.4 Time Domain Representation; 3.9.5 The ARMA Process; 3.9.6 Frequency Domain Representation; 3.9.7 Remarks; 3A.1 Appendix: Variance of Linear System Driven by White Noise; 3A.2 Appendix: Verification of Spectral Formula; References; 4 Markov Chain Monte Carlo; 4.1 Problem Context; 4.2 Metropolis Algorithm; 4.2.1 Proposal PDF 4.2.2 Statistical Properties 4.2.3 Detailed Balance; 4.2.4 Biased Rejection; 4.2.5 Reversible Chain; 4.3 Metropolis-Hastings Algorithm; 4.3.1 Detailed Balance; 4.3.2 Independent Proposal and Importance Sampling; 4.4 Statistical Estimation; 4.4.1 Properties of Estimator; 4.4.2 Chain Correlation; 4.4.3 Ergodicity; 4.5 Generation of Conditional Samples; 4.5.1 Curse of Dimension; 4.5.2 Independent Component MCMC; References; 5 Subset Simulation; 5.1 Standard Algorithm; 5.1.1 Simulation Level 0 (Direct Monte Carlo); 5.1.2 Simulation Level (MCMC); 5.2 Understanding the Algorithm 5.2.1 Direct Monte Carlo Indispensible |
| Record Nr. | UNINA-9910132215503321 |
Au Siu-Kui
|
||
| Singapore : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Engineering risk assessment and design with subset simulation / / Siu-Kui Au, Yu Wang
| Engineering risk assessment and design with subset simulation / / Siu-Kui Au, Yu Wang |
| Autore | Au Siu-Kui |
| Pubbl/distr/stampa | Singapore : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (337 p.) |
| Disciplina | 519.2 |
| Soggetto topico |
Risk assessment - Mathematics
Engineering design - Mathematics Set theory |
| ISBN |
1-118-39807-6
1-118-39805-X 1-118-39806-8 |
| Classificazione | TEC009070 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
ENGINEERING RISK ASSESSMENT WITH SUBSET SIMULATION; Contents; About the Authors; Preface; Acknowledgements; Nomenclature; 1 Introduction; 1.1 Formulation; 1.2 Context; 1.3 Extreme Value Theory; 1.4 Exclusion; 1.5 Organization of this Book; 1.6 Remarks on the Use of Risk Analysis; 1.7 Conventions; References; 2 A Line of Thought; 2.1 Numerical Integration; 2.2 Perturbation; 2.3 Gaussian Approximation; 2.3.1 Single Design Point; 2.3.2 Multiple Design Points; 2.4 First/Second-Order Reliability Method; 2.4.1 Context; 2.4.2 Design Point; 2.4.3 FORM; 2.4.4 SORM
2.4.5 Connection with Gaussian Approximation 2.5 Direct Monte Carlo; 2.5.1 Unbiasedness; 2.5.2 Mean-Square Convergence; 2.5.3 Asymptotic Distribution (Central Limit Theorem); 2.5.4 Almost Sure Convergence (Strong Law of Large Numbers); 2.5.5 Failure Probability Estimation; 2.5.6 CCDF Perspective; 2.5.7 Rare Event Problems; 2.5.8 Variance Reduction by Conditioning; 2.6 Importance Sampling; 2.6.1 Optimal Sampling Density; 2.6.2 Failure Probability Estimation; 2.6.3 Shifting Distribution; 2.6.4 Benefits and Side-Effects; 2.6.5 Bias; 2.6.6 Curse of Dimension; 2.6.7 CCDF Perspective 2.7 Subset Simulation 2.8 Remarks on Reliability Methods; 2A.1 Appendix: Laplace Type Integrals; References; 3 Simulation of Standard Random Variable and Process; 3.1 Pseudo-Random Number; 3.2 Inversion Principle; 3.2.1 Continuous Random Variable; 3.2.2 Discrete Random Variables; 3.3 Mixing Principle; 3.4 Rejection Principle; 3.4.1 Acceptance Probability; 3.5 Samples of Standard Distribution; 3.6 Dependent Gaussian Variables; 3.6.1 Cholesky Factorization; 3.6.2 Eigenvector Factorization; 3.7 Dependent Non-Gaussian Variables; 3.7.1 Nataf Transformation; 3.7.2 Copula 3.8 Correlation through Constraint 3.8.1 Uniform in Sphere; 3.8.2 Gaussian on Hyper-plane; 3.9 Stationary Gaussian Process; 3.9.1 Autocorrelation Function and Power Spectral Density; 3.9.2 Discrete-Time Process; 3.9.3 Sample Autocorrelation Function and Periodogram; 3.9.4 Time Domain Representation; 3.9.5 The ARMA Process; 3.9.6 Frequency Domain Representation; 3.9.7 Remarks; 3A.1 Appendix: Variance of Linear System Driven by White Noise; 3A.2 Appendix: Verification of Spectral Formula; References; 4 Markov Chain Monte Carlo; 4.1 Problem Context; 4.2 Metropolis Algorithm; 4.2.1 Proposal PDF 4.2.2 Statistical Properties 4.2.3 Detailed Balance; 4.2.4 Biased Rejection; 4.2.5 Reversible Chain; 4.3 Metropolis-Hastings Algorithm; 4.3.1 Detailed Balance; 4.3.2 Independent Proposal and Importance Sampling; 4.4 Statistical Estimation; 4.4.1 Properties of Estimator; 4.4.2 Chain Correlation; 4.4.3 Ergodicity; 4.5 Generation of Conditional Samples; 4.5.1 Curse of Dimension; 4.5.2 Independent Component MCMC; References; 5 Subset Simulation; 5.1 Standard Algorithm; 5.1.1 Simulation Level 0 (Direct Monte Carlo); 5.1.2 Simulation Level (MCMC); 5.2 Understanding the Algorithm 5.2.1 Direct Monte Carlo Indispensible |
| Record Nr. | UNINA-9910829294603321 |
|
Au Siu-Kui
|
||
| Singapore : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Reliability and risk models : setting reliability requirements / / Michael T. Todinov
| Reliability and risk models : setting reliability requirements / / Michael T. Todinov |
| Autore | Todinov M. T. |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | West Sussex, England : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (0 p.) |
| Disciplina | 620/.00452015118 |
| Collana | Wiley Series in Quality and Reliability Engineering |
| Soggetto topico |
Reliability (Engineering) - Mathematical models
Risk assessment - Mathematics |
| ISBN |
1-118-87325-4
1-118-87331-9 1-118-87319-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910131612103321 |
|
Todinov M. T.
|
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| West Sussex, England : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
