Adaptive proposal length scale in Subset Simulation

• Main Authors: Au, Siu-Kui, Zhou, Xin
• Other Authors: School of Civil and Environmental Engineering
• Format: Article
• Language: English
• Published: 2025
• Subjects: Engineering; First passage problem; Markov chain Monte Carlo; Optimal proposal; Rare event; Subset simulation
• Online Access: https://hdl.handle.net/10356/183542
• Institution: Nanyang Technological University

Subset Simulation (SS) is a Monte Carlo method for estimating the failure probability of a system whose response is a ‘black box’, for which little or no prior information is available for variance reduction. Pivotal to SS is an efficient mechanism for generating candidates that are accepted/rejec...