Sequential Design of Experiments to Estimate a Probability of Failure.

Abstract : This thesis deals with the problem of estimating the probability of failure of a system from computer simulations. When only an expensive-to-simulate model of the system is available, the budget for simulations is usually severely limited, which is incompatible with the use of classical Monte Carlo methods. In fact, estimating a small probability of failure with very few simulations, as required in some complex industrial problems, is a particularly difficult topic. A classical approach consists in replacing the expensive-to-simulate model with a surrogate model that will use little computer resources. Using such a surrogate model, two operations can be achieved. The first operation consists in choosing a number, as small as possible, of simulations to learn the regions in the parameter space of the system that will lead to a failure of the system. The second operation is about constructing good estimators of the probability of failure. The contributions in this thesis consist of two parts. First, we derive SUR (stepwise uncertainty reduction) strategies from a Bayesian-theoretic formulation of the problem of estimating a probability of failure. Second, we propose a new algorithm, called Bayesian Subset Simulation, that takes the best from the Subset Simulation algorithm and from sequential Bayesian methods based on Gaussian process modeling. The new strategies are supported by numerical results from several benchmark examples in reliability analysis. The methods proposed show good performances compared to methods of the literature.
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Ling Li. Sequential Design of Experiments to Estimate a Probability of Failure.. Other. Supélec, 2012. English. ⟨NNT : 2012SUPL0006⟩. ⟨tel-00765457⟩

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