On advanced Monte Carlo simulation procedures in stochastic structural dynamics
type: Item
instance of: scholarly article
title: On advanced Monte Carlo simulation procedures in stochastic structural dynamics
zbMATH Open document ID: 0892.73080
DOI: 10.1016/S0020-7462(96)00091-1
author: H. J. Pradlwarter
author: Gerhart I. Schuëller
published in: International Journal of Non-Linear Mechanics
publication date: 1998-08-12T00:00:00Z
review text: Monte Carlo methods, applicable to Markov processes, are modified by leading the generated samples towards the low probability range which is practically not accessible by direct Monte Carlo methods. In this context, notions as developed for variance reduction techniques are introduced and discussed. Based on criteria denoting those realizations which lead most likely to failure, a numerical procedure called ``Double \& Clump'' (D \& C) is discussed briefly. It is shown that the rather numerically involved D \& C procedure can be simplified by a technique known as ``Russian roulette and splitting''. In two numerical examples, both procedures are compared with direct Monte Carlo simulation as well as with the response surface method demonstrating comparable accuracy.
Mathematics Subject Classification ID: 74S30
Mathematics Subject Classification ID: 74H50
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1079936
zbMATH Keywords: nonlinear dynamics
zbMATH Keywords: low probability events
zbMATH Keywords: reliability
zbMATH Keywords: Russian roulette
zbMATH Keywords: splitting
zbMATH Keywords: Markov processes
zbMATH Keywords: variance reduction techniques
zbMATH Keywords: response surface method
MaRDI profile type: Publication
full work available at URL: s0020-7462(96)00091-1
OpenAlex ID: W1986767924
description: scientific article; zbMATH DE number 1079936