Explanation of Design-point Importance Sampling in a New Framework
Date Issued
2015
Date
2015
Author(s)
Cheng, Che-hsiu
Abstract
This paper demonstrates that the design-point importance sampling, which is prevalent in civil and financial engineering as well as risk management, can be theoretically justified by using the high-dimensional embedding entropy-based importance sampling.
Subjects
design point
importance sampling
relative entropy
failure region
iso-probability transformation
reliability analysis
Type
thesis