Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · 1706.08209

A sequential surrogate method for reliability analysis based on radial basis function

Xu Li·Chunlin Gong·Liangxian Gu·Wenkun Gao·Zhao Jing·Hua Su
View original source ↗Read source document ↗Export metadata ↓

Abstract

A radial basis function (RBF) based sequential surrogate reliability method (SSRM) is proposed, in which a special optimization problem is solved to update the surrogate model of the limit state function (LSF) iteratively. The objective of the optimization problem is to find a new point to maximize the probability density function (PDF), subject to the constraints that the new point is on the approximated LSF and the minimum distance to the existing points is greater than or equal to the given distance. By updating the surrogate model with the new points, the surrogate model of the LSF becomes more and more accurate in the important region with a high failure probability and on the LSF boundary. Moreover, the accuracy of the unimportant region is also improved within the iteration due to the minimum distance constraint. SSRM takes advantage of the information of PDF and LSF to capture the failure features, which decreases the number of the expensive LSF evaluations. Six numerical examples show that SSRM improves the accuracy of the surrogate model in the important region around the failure boundary with small number of samples and has better adaptability to the nonlinear LSF, hence increases the accuracy and efficiency of the reliability analysis.

Explore related subjects

stat.CO

Keep this discovery

BibTeXRIS

Xu Li, Chunlin Gong, Liangxian Gu, Wenkun Gao, Zhao Jing, Hua Su. 2017-06-26. A sequential surrogate method for reliability analysis based on radial basis function. https://arxiv.org/abs/1706.08209

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Estimating Hierarchically Rank Structured Covariance Matrices

We consider the problem of estimating a high-dimensional covariance matrix from a very limited number of samples. This problem is ubiquitous in computational fluid dynamics, where a small number of fluid snapshots must be used to construct a Gramian matrix determining a reduced-order model, as well as in computational geoscience, where a small ensemble of Earth system forecasts must be used to estimate the covariance matrix associated with the forecast uncertainty. It is common practice to regularize the small-sample covariance by imposing a "localization" structure that enforces a physically realistic correlation length scale, imposing a sparsity constraint, "shrinking" towards a prescribed target, or attenuating small correlations. We propose an alternate technique that regularizes the small-sample covariance by imposing hierarchical rank structure. Compared to regularization methods that assume sparsity such as spatial localization, hierarchical rank structure accommodates a wider range of covariance matrices, roughly corresponding to situations where long-range correlations vary more smoothly than short-range ones. It also results in a data-sparse matrix format that permits highly efficient matrix-vector products. We present theory and algorithms which show how to efficiently estimate a high-dimensional, hierarchically rank structured covariance matrix from limited samples. Through an error analysis and numerical experiments with a variety of model problems, we demonstrate that these techniques are effective at reducing sampling errors, and that in many cases they achieve smaller estimation error than conventional techniques.

stat.CO↗
arXiv2026

Optimal Slice-Adaptive Tuning of Hybrid Slice Sampling

Slice sampling is a Markov chain Monte Carlo algorithm that draws its next state uniformly from a "slice"---a super-level set of the target density function---at each iteration, thereby providing automatic local adaptivity to the scale of the target. In practice the exact slice is not known, so general-purpose implementations use an approximate slice that is grown from a starting interval of length $w>0$, with a computational cost that depends on $w$. This work presents an analysis of the average per-iteration number of target density evaluations, as a function of $w$, of hybrid slice sampling with various slice-finding schemes for targets with contiguous slices. The paper uses the results of the analysis to develop automated, slice-adaptive tuning schemes along with suboptimality bounds and asymptotic convergence guarantees. Simulations demonstrate that the tuning schemes reliably yield near-optimal slice-adaptive tuning with essentially no dependence on the initial setting of $w$.

stat.CO↗