A subset multicanonical Monte Carlo method for simulating rare failure events
For engineers needing to estimate rare failure probabilities, this method offers improved efficiency and additional distributional information over existing techniques.
The paper proposes a subset multicanonical Monte Carlo method for estimating extremely small failure probabilities (≤10⁻¹⁰) in engineering systems, combining subset simulation and multicanonical Monte Carlo. The method is shown to be significantly more efficient than both individual approaches and can reconstruct the full distribution of the parameter of interest.
Estimating failure probabilities of engineering systems is an important problem in many engineering fields. In this work we consider such problems where the failure probability is extremely small (e.g $\leq10^{-10}$). In this case, standard Monte Carlo methods are not feasible due to the extraordinarily large number of samples required. To address these problems, we propose an algorithm that combines the main ideas of two very powerful failure probability estimation approaches: the subset simulation (SS) and the multicanonical Monte Carlo (MMC) methods. Unlike the standard MMC which samples in the entire domain of the input parameter in each iteration, the proposed subset MMC algorithm adaptively performs MMC simulations in a subset of the state space and thus improves the sampling efficiency. With numerical examples we demonstrate that the proposed method is significantly more efficient than both of the SS and the MMC methods. Moreover, the proposed algorithm can reconstruct the complete distribution function of the parameter of interest and thus can provide more information than just the failure probabilities of the systems.