Reliability Sensitivity Analysis via the Likelihood Ratio Method
This paper investigates the likelihood ratio (LR) derivative/gradient estimation approach to sensitivity analysis in reliability applications. The implementation of the LR method in the two commonly adopted approaches to Monte Carlo simulation in reliability analysis, namely the component-based approach and the system-based approach, is first worked out To speed up the simulation, we then apply the LR method within the framework of Z-VISA, an importance sampling scheme we have developed recently. A simple example with analytical solution available is studied to test the effectiveness and behaviors of the LR method when applied to reliability sensitivity analysis and also the effectiveness of the Z-VISA biasing technique to reduce the variance of LR derivative estimators.
reliability sensitivity analysis derivative estimation likelihood ratio Monte Carlo simulation importance sampling
Jinghui Li Rui Kang Ali Mosleh
School of Reliability and Systems Engineering Beihang University Beijing, China Center for Risk and Reliability University of Maryland College Park, USA
国际会议
贵阳
英文
327-333
2011-06-12（万方平台首次上网日期，不代表论文的发表时间）