Cross entropy-based importance sampling using Gaussian densities revisited

•We compare two distributions as sampling densities in the cross entropy method.•A modified expectation-maximization algorithm is proposed for fitting the parameters.•The DBSCAN algorithm is used to estimate the number of Gaussians in the mixture.•We compare the performance of the two densities in t...

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Vydané v:	Structural safety Ročník 76; s. 15 - 27
Hlavní autori:	Geyer, Sebastian, Papaioannou, Iason, Straub, Daniel
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Amsterdam Elsevier Ltd 01.01.2019 Elsevier BV
Predmet:	Adaptive sampling Algorithms Clustering Component reliability Computer simulation Cross entropy method Density Divergence Entropy Entropy (Information theory) Expectation maximization Failure analysis Gaussian mixture Importance sampling Markov chains Mathematical models Normal distribution Optimization Probabilistic models Probability Reliability analysis Reliability engineering Sampling Sequential importance sampling Simulation Statistical analysis Structural reliability System reliability Sequential importance sampling Simulation Cross entropy method Expectation maximization Reliability analysis Gaussian mixture Importance sampling
ISSN:	0167-4730, 1879-3355
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