Institute of Fundamental Technological Research, Polish Academy of Sciences, Swietokrzyska 21 Str., 00–049 Warsaw, Poland
ABSTRACT
Markov chain Monte Carlo is a method for simulation from a probability density function which is known up to a normalizing constant. Application of this method for evaluation of a probability of failure is presented. Several ideas which facilitate the proposed approach are provided. An illustrative numerical example is given.
Keywords:
Reliability analysis; Markov chain Monte Carlo; Normalizing constant; Exponential tilting; Importance sampling