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Variance based sensitivity analysis for Monte Carlo and importance sampling reliability assessment with Gaussian processes

Abstract : Running a reliability analysis on engineering problems involving complex numerical models can be computationally very expensive, requiring advanced simulation methods to reduce the overall numerical cost. Gaussian process based active learning methods for reliability analysis have emerged as a promising way for reducing this computational cost. In this paper, we propose a methodology to quantify the sensitivity of the failure probability estimator to uncertainties generated by the Gaussian process and the sampling strategy. This quantification also enables to control the whole error associated to the failure probability estimate and thus provides an accuracy criterion on the estimation. Thus, an active learning approach integrating this analysis to reduce the main source of error and stopping when the global variability is sufficiently low is introduced. The approach is proposed for both a Monte Carlo based method as well as an importance sampling based method, seeking to improve the estimation of rare event probabilities. Performance of the proposed strategy is then assessed on several examples.
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https://hal-univ-tlse3.archives-ouvertes.fr/hal-03324347
Contributor : Christian Gogu Connect in order to contact the contributor
Submitted on : Monday, August 23, 2021 - 3:16:56 PM
Last modification on : Tuesday, October 19, 2021 - 11:17:38 PM

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Morgane Menz, Sylvain Dubreuil, Jérôme Morio, Christian Gogu, Nathalie Bartoli, et al.. Variance based sensitivity analysis for Monte Carlo and importance sampling reliability assessment with Gaussian processes. Structural Safety, Elsevier, 2021, 93, pp.102116. ⟨10.1016/j.strusafe.2021.102116⟩. ⟨hal-03324347⟩

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