Stochastic finite elements: a spectral approach
Stochastic finite elements: a spectral approach
Input modeling with the Johnson system of distributions
WSC '88 Proceedings of the 20th conference on Winter simulation
Simulation and the Monte Carlo Method
Simulation and the Monte Carlo Method
The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
SIAM Journal on Scientific Computing
Optimization under worst case constraints--a new global multimodel search procedure
Structural and Multidisciplinary Optimization
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In this paper we investigate the performance of probability estimation methods for reliability analysis. The probability estimation methods typically construct the probability density function (PDF) of a system response using estimated statistical moments, and then perform reliability analysis based on the approximate PDF. In recent years, a number of probability estimation methods have been proposed, such as the Pearson system, saddlepoint approximation, Maximum Entropy Principle (MEP), and Johnson system. However, no general guideline to suggest a most appropriate probability estimation method has yet been proposed. In this study, we carry out a comparative study of the four probability estimation methods so as to derive the general guidelines. Several comparison metrics are proposed to quantify the accuracy in the PDF approximation, cumulative density function (CDF) approximation and tail probability estimations (or reliability analysis). This comparative study gives an insightful guidance for selecting the most appropriate probability estimation method for reliability analysis. The four probability estimation methods are extensively tested with one mathematical and two engineering examples, each of which considers eight different combinations of the system response characteristics in terms of response boundness, skewness, and kurtosis.