论文标题

哈密​​顿MCMC方法用于估计高维问题中罕见事件概率

Hamiltonian MCMC methods for estimating rare events probabilities in high-dimensional problems

论文作者

Papakonstantinou, Konstantinos G., Nikbakht, Hamed, Eshra, Elsayed

论文摘要

对罕见事件概率的准确有效估计非常重要,因为此类事件的发生通常会产生广泛的影响。这项工作的重点是精确量化这些概率,通常在复杂的工程系统的可靠性分析中遇到的,基于引入的框架,该框架称为近似采样目标,并通过后处理调整(ASTPA)与基于梯度基于梯度的汉密尔顿·马克洛夫·马克洛夫·凯洛(Hamiltonian Markov Chain)Monte Carlo(HMCMC)集成并支持。本文中开发的技术适用于从低维到高维的随机空间,基本思想是通过使用极限状态函数通过一维输出可能性模型加权原始随机变量空间来构建相关的目标分布。要从此目标分布中采样,我们利用了HMCMC算法,这是一种MCMC方法的家族,它采用物理系统动力学,而不是仅使用建议的概率分布来生成远距离的顺序分类,并且我们开发了一种新的Quasi-Newton群众质量预先预先预先预先预料的HMCMC方案(QNP-HMCMC),适用于高效应,并且适用于高效应。为了最终计算罕见事件的概率,使用基于已经获得的样品的逆向重要性采样程序设计了原始的后采样步骤。还分析了估计量的统计特性,并在一系列具有挑战性的低维问题中进行了详细研究所提出的方法的性能,并与子集模拟进行了比较。

Accurate and efficient estimation of rare events probabilities is of significant importance, since often the occurrences of such events have widespread impacts. The focus in this work is on precisely quantifying these probabilities, often encountered in reliability analysis of complex engineering systems, based on an introduced framework termed Approximate Sampling Target with Post-processing Adjustment (ASTPA), which herein is integrated with and supported by gradient-based Hamiltonian Markov Chain Monte Carlo (HMCMC) methods. The developed techniques in this paper are applicable from low- to high-dimensional stochastic spaces, and the basic idea is to construct a relevant target distribution by weighting the original random variable space through a one-dimensional output likelihood model, using the limit-state function. To sample from this target distribution, we exploit HMCMC algorithms, a family of MCMC methods that adopts physical system dynamics, rather than solely using a proposal probability distribution, to generate distant sequential samples, and we develop a new Quasi-Newton mass preconditioned HMCMC scheme (QNp-HMCMC), which is particularly efficient and suitable for high-dimensional spaces. To eventually compute the rare event probability, an original post-sampling step is devised using an inverse importance sampling procedure based on the already obtained samples. The statistical properties of the estimator are analyzed as well, and the performance of the proposed methodology is examined in detail and compared against Subset Simulation in a series of challenging low- and high-dimensional problems.

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