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Importance sampling for randomly excited dynamical systems
16 references·13 citing·23 second hop
Importance sampling for randomly excited dynamical systems (2003)Importance sampling for randomly excited …Structural Reliability Analysis and Prediction (2017)Structural Reliability Analys…Simulation and the Monte Carlo Method (2016)Simulation and the Monte Carl…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Stochastic Differential Equations (2003)Stochastic Differential Equat…Stochastic Differential Equations (1995)Stochastic Differential Equat…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Random vibration and statistical linearization (1990)Random vibration and statisti…Random vibration and statistical linearization (1990)Random vibration and statisti…Importance Sampling for Stochastic Simulations (1989)Importance Sampling for Stoch…Basic Analysis of Structural Safety (1983)Basic Analysis of Structural …Simulation and the Monte Carlo Method (1981)Simulation and the Monte Carl…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesStructural reliability under combined random load sequences (1978)Structural reliability under …Probabilistic Theory of Structural Dynamics (1976)Probabilistic Theory of Struc…Probabilistic Structural Dynamics: Advanced Theory and Applications (1967)Probabilistic Structural Dyna…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…Bayesian updating of reliability by cross entropy-based importance sampling (2023)Bayesian updating of reliabil…Numerical solution of the Fokker–Planck equation using physics-based mixture models (2022)Numerical solution of the Fok…Estimation of first-passage probability under stochastic wind excitations by active-learning-based heteroscedastic Gaussian process (2022)Estimation of first-passage p…Application of directional importance sampling for estimation of first excursion probabilities of linear structural systems subject to stochastic Gaussian loading (2020)Application of directional im…Experimental estimation of time variant system reliability of vibrating structures based on subset simulation with Markov chain splitting (2018)Experimental estimation of ti…Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics (2017)Girsanov's transformation bas…Assessing small failure probability by importance splitting method and its application to wind turbine extreme response prediction (2013)Assessing small failure proba…Efficient estimation of first passage probability of high-dimensional nonlinear systems (2011)Efficient estimation of first…Applications of asymptotic sampling on high dimensional structural dynamic problems (2011)Applications of asymptotic sa…Time Variant Reliability Analysis of Nonlinear Structural Dynamical Systems using combined Monte Carlo Simulations and Asymptotic Extreme Value Theory (2008)Time Variant Reliability Anal…An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise (2007)An importance sampling proced…Reliability analysis of randomly vibrating structures with parameter uncertainties (2006)Reliability analysis of rando…Determination of point of maximum likelihood in failure domain using genetic algorithms (2006)Determination of point of max…Uncertainties in risk analysis: Six levels of treatment (1996)Reliability analysis—a review and some perspectives (2001)Sequential Optimization and Reliability Assessment Method for Efficient Probabilistic Design (2004)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Random field finite elements (1986)Nonlinear Vibration Models for Extremes and Fatigue (1988)A nonparametric model of random uncertainties for reduced matrix models in structural dynamics (2000)Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations (2004)Stochastic Dynamics of Marine Structures (2012)Structural Reliability Methods (1996)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Efficient Global Reliability Analysis for Nonlinear Implicit Performance Functions (2008)A pricing method for options based on average asset values (1990)Do subsidies to commercial R&D reduce market failures? 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  • 2016Simulation and the Monte Carlo Method3,356 cited
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  • 1983Basic Analysis of Structural Safety530 cited
  • 1995Stochastic Differential Equations

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384 cited

Cited by

  • 2020Application of directional importance sampling for estimation of first excursion probabilities of linear structural systems subject to stochastic Gaussian loading48 cited
  • 2006Reliability analysis of randomly vibrating structures with parameter uncertainties43 cited
  • 2013Assessing small failure probability by importance splitting method and its application to wind turbine extreme response prediction32 cited
  • 2007An importance sampling procedure for estimating failure probabilities of non-linear dynamic systems subjected to random noise31 cited
  • 2022Estimation of first-passage probability under stochastic wind excitations by active-learning-based heteroscedastic Gaussian process29 cited
  • 2011Applications of asymptotic sampling on high dimensional structural dynamic problems29 cited
  • 2011Efficient estimation of first passage probability of high-dimensional nonlinear systems26 cited
  • 2022Numerical solution of the Fokker–Planck equation using physics-based mixture models23 cited
  • 2018Experimental estimation of time variant system reliability of vibrating structures based on subset simulation with Markov chain splitting21 cited
  • 2006Determination of point of maximum likelihood in failure domain using genetic algorithms21 cited
  • 2023Bayesian updating of reliability by cross entropy-based importance sampling14 cited
  • 2017Girsanov's transformation based variance reduced Monte Carlo simulation schemes for reliability estimation in nonlinear stochastic dynamics14 cited
  • 2008Time Variant Reliability Analysis of Nonlinear Structural Dynamical Systems using combined Monte Carlo Simulations and Asymptotic Extreme Value Theory12 cited