Subset Simulation Method for Rare Event Estimation: An Introduction
Abstract
This paper provides a detailed introductory description of Subset Simulation, an advanced stochastic simulation method for estimation of small probabilities of rare failure events. A simple and intuitive derivation of the method is given along with the discussion on its implementation. The method is illustrated with several easy-to-understand examples. For demonstration purposes, the MATLAB code for the considered examples is provided. The reader is assumed to be familiar only with elementary probability theory and statistics.
Cite
@article{arxiv.1505.03506,
title = {Subset Simulation Method for Rare Event Estimation: An Introduction},
author = {Konstantin Zuev},
journal= {arXiv preprint arXiv:1505.03506},
year = {2015}
}
Comments
14 page, 12 figures, MATLAB code in Zuev K.: Subset Simulation Method for Rare Event Estimation: An Introduction. In: Beer M. et al (Ed.) Encyclopedia of Earthquake Engineering: SpringerReference (www.springerreference.com), 2013