A fast approximate method for parameter sensitivity estimation in Monte Carlo structural reliability |
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Authors: | R.E Melchers M Ahammed |
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Affiliation: | Department of Civil, Surveying and Environmental Engineering, Centre for Infrastructure Performance and Reliability, University of Newcastle, University Drive, Callaghan, NSW 2308, Australia |
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Abstract: | In estimating the effect of a change in a random variable parameter on the (time-invariant) probability of structural failure estimated through Monte Carlo methods the usual approach is to carry out a duplicate simulation run for each parameter being varied. The associated computational cost may become prohibitive when many random variables are involved. Herein a procedure is proposed in which the numerical results from a Monte Carlo reliability estimation procedure are converted to a form that will allow the basic ideas of the first order reliability method to be employed. Using these allows sensitivity estimates of low computational cost to be made. Illustrative examples with sensitivities computed both by conventional Monte Carlo and the proposed procedure show good agreement over a range of probability distributions for the input random variables and for various complexities of the limit state function. |
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Keywords: | Monte Carlo Simulation Sensitivities Gradient sensitivities Parameter sensitivities Structural reliability |
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