Uncertainty Quantification of Stochastic Simulation for Black-box Computer Experiments
Stochastic simulations applied to black-box computer experiments are becoming more widely used to evaluate the reliability of systems. Yet, the reliability evaluation or computer experiments involving many replications of simulations can take significant computational resources as simulators become...
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| Veröffentlicht in: | Methodology and computing in applied probability Jg. 20; H. 4; S. 1155 - 1172 |
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| Format: | Journal Article |
| Sprache: | Englisch |
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01.12.2018
Springer Nature B.V |
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| ISSN: | 1387-5841, 1573-7713 |
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| Abstract | Stochastic simulations applied to black-box computer experiments are becoming more widely used to evaluate the reliability of systems. Yet, the reliability evaluation or computer experiments involving many replications of simulations can take significant computational resources as simulators become more realistic. To speed up, importance sampling coupled with near-optimal sampling allocation for these experiments is recently proposed to efficiently estimate the probability associated with the stochastic system output. In this study, we establish the central limit theorem for the probability estimator from such procedure and construct an asymptotically valid confidence interval to quantify estimation uncertainty. We apply the proposed approach to a numerical example and present a case study for evaluating the structural reliability of a wind turbine. |
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| AbstractList | Stochastic simulations applied to black-box computer experiments are becoming more widely used to evaluate the reliability of systems. Yet, the reliability evaluation or computer experiments involving many replications of simulations can take significant computational resources as simulators become more realistic. To speed up, importance sampling coupled with near-optimal sampling allocation for these experiments is recently proposed to efficiently estimate the probability associated with the stochastic system output. In this study, we establish the central limit theorem for the probability estimator from such procedure and construct an asymptotically valid confidence interval to quantify estimation uncertainty. We apply the proposed approach to a numerical example and present a case study for evaluating the structural reliability of a wind turbine. |
| Author | Choe, Youngjun Byon, Eunshin Lam, Henry |
| Author_xml | – sequence: 1 givenname: Youngjun orcidid: 0000-0002-7702-521X surname: Choe fullname: Choe, Youngjun email: ychoe@uw.edu organization: Department of Industrial and Systems Engineering, University of Washington – sequence: 2 givenname: Henry surname: Lam fullname: Lam, Henry organization: Department of Industrial Engineering and Operations Research, Columbia University – sequence: 3 givenname: Eunshin surname: Byon fullname: Byon, Eunshin organization: Department of Industrial and Operations Engineering, University of Michigan |
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| CitedBy_id | crossref_primary_10_1080_00401706_2024_2416411 crossref_primary_10_1109_TR_2020_2980448 crossref_primary_10_1080_24725854_2021_1953197 crossref_primary_10_1002_we_70057 crossref_primary_10_1016_j_apenergy_2024_122753 crossref_primary_10_1016_j_strusafe_2025_102621 crossref_primary_10_1111_risa_13758 crossref_primary_10_1002_nav_21938 crossref_primary_10_1016_j_ress_2019_106526 crossref_primary_10_1109_TSTE_2021_3069111 crossref_primary_10_1007_s11009_023_09993_2 crossref_primary_10_1214_21_AOAS1490 |
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| Copyright | Springer Science+Business Media, LLC 2017 Methodology and Computing in Applied Probability is a copyright of Springer, (2017). All Rights Reserved. |
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| Keywords | 68U20 Central limit theorem Variance reduction 65C05 62F12 Monte Carlo simulation Confidence interval Importance sampling |
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| SubjectTerms | Business and Management Central limit theorem Computer simulation Confidence intervals Economics Electrical Engineering Experiments Importance sampling Life Sciences Mathematics and Statistics Probability theory Reliability analysis Reliability engineering Simulators Statistical analysis Statistics Structural reliability System reliability Systems analysis Uncertainty Wind turbines |
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