Efficient rare event simulation for failure problems in random media

Journal Article (Journal Article)

In this paper we study rare events associated to the solutions of an elliptic partial differential equation with a spatially varying random coefficient. The random coefficient follows the lognormal distribution, which is determined by a Gaussian process. This model is employed to study the failure problem of elastic materials in random media in which the failure is characterized by the criterion that the strain field exceeds a high threshold. We propose an efficient importance sampling scheme to compute the small failure probability in the high threshold limit. The change of measure in our scheme is parametrized by two density functions. The efficiency of the importance sampling scheme is validated by numerical examples.

Full Text

Duke Authors

Cited Authors

  • Liu, J; Lu, J; Zhou, X

Published Date

  • January 1, 2015

Published In

Volume / Issue

  • 37 / 2

Start / End Page

  • A609 - A624

Electronic International Standard Serial Number (EISSN)

  • 1095-7200

International Standard Serial Number (ISSN)

  • 1064-8275

Digital Object Identifier (DOI)

  • 10.1137/140965569

Citation Source

  • Scopus