EFFICIENT MONTE-CARLO PROBABILITY INTEGRATION

Conventional Monte-Carlo integration for high reliability systems is extremely inefficient. It is possible to use a rather simple technique, known in the literature as "importance sampling", to dramatically improve sampling efficiency (or the "variance" in the integral for a given amount of sampling). This technique, unlike some other "variance reduction techniques", can be applied in a systematic manner to problems with one or more limit state functions, including unions and intersections of limit states. These applications as well as the theory, are outlined in this report. (Author/TRRL)

  • Availability:
  • Corporate Authors:

    Monash University

    Department of Civil Engineering
    Clayton, Victoria  Australia  3800
  • Authors:
    • Melchers, R E
  • Publication Date: 1984

Media Info

Subject/Index Terms

Filing Info

  • Accession Number: 00396091
  • Record Type: Publication
  • Source Agency: ARRB
  • ISBN: 0-87646-346-5
  • Report/Paper Numbers: Monograph
  • Files: ITRD, TRIS, ATRI
  • Created Date: Jan 31 1986 12:00AM