کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
807248 905487 2009 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Importance sampling for stochastic systems under stationary noise having a specified power spectrum
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی مکانیک
پیش نمایش صفحه اول مقاله
Importance sampling for stochastic systems under stationary noise having a specified power spectrum
چکیده انگلیسی

We develop an importance sampling simulation scheme for estimating an extremely small probability of system failure with respect to a time-dependent stochastic system excited by stationary random noise having a specified power spectrum. First, we construct a system of random differential equations driven by a Wiener process, which can approximately give such a stationary random noise by the use of an extended version of the well-known Ornstein–Uhlenbeck process. Next, we suppose a stochastic response system driven by the constructed stationary random noise. Next, formulating the probability of system failure, we give an importance sampling scheme through the probability measure transformation based upon the Girsanov theorem, where multi design times are introduced to cope with stationary or almost stationary behavior of the system. Finally, we give numerical examples to demonstrate the efficiency of the proposed scheme.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Probabilistic Engineering Mechanics - Volume 24, Issue 4, October 2009, Pages 537–544
نویسندگان
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