First Excursion Probabilities of Non-Linear Dynamical Systems by Importance Sampling.docVIP

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First Excursion Probabilities of Non-Linear Dynamical Systems by Importance Sampling.doc

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First Excursion Probabilities of Non-Linear Dynamical Systems by Importance Sampling.doc

First Excursion Probabilities of Non-Linear Dynamical Systems by Importance Sampling 　　Abstract： This paper suggests a procedure to estimatefirst excursion probabilities for non-linear dynamical systems subjected to Gaussian excitation. The approach is based on the mean up-crossing rate and importance sampling method. Firstly， by using of Poisson assumption and Rice formula， the equivalent linear system is carried out. The linearization principle is that non-linear and linear systems have the same up-crossing rate for a specified threshold. Secondly， an importance sampling technique is used in order to estimate excursion probabilities for the equivalent linear system. The variance of the failure probability estimates， the number of samples and the computational time are reduced significantly compared with direct Monte Carlo simulations. 　　Key words： First excursion probability； Importance sampling； Mean upcrossing rate 　　1. INTRODUCTION 　　Thefirst excursion probability is one of the most basic reliability measures in structural reliability assessment of dynamical systems. So far， no analytical solution has been obtained even in the case of a linear system. Pioneered by Rice （1945） [1，2]， a class of numerical solution methods based on Fokker-plank equation has been developed， such as path integration （1976） [3]， cell-mapping （1993） [4] and stochastic averaging （2003） [5，6]， however these methods increase in complexity at least exponentially with the state space dimension. Over the past decade， Monte Carlo simulations （MCS） with variance reduction technique offered a robust methodology well suited for solving such reliability problems. 　　For the linear dynamical systems， S. K. Au （2001） developed an extremely powerful methodology by investigating analytically the failure region of linear systems and constructing an efficient importance sampling density [7]. Ka-VengYuen （2005） also presented a simulation method using simple additive rules of probability [8]. L