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Journal Article

Efficient Probabilistic Reanalysis and Optimization of a Discrete Event System

This paper presents a methodology to evaluate and optimize discrete event systems, such as an assembly line or a call center. First, the methodology estimates the performance of a system for a single probability distribution of the inputs. Probabilistic Reanalysis (PRRA) uses this information to evaluate the effect of changes in the system configuration on its performance. PRRA is integrated with a program to optimize the system. The proposed methodology is dramatically more efficient than one requiring a new Monte Carlo simulation each time we change the system. We demonstrate the approach on a drilling center and an electronic parts factory.
Journal Article

Managing the Computational Cost of Monte Carlo Simulation with Importance Sampling by Considering the Value of Information

Importance Sampling is a popular method for reliability assessment. Although it is significantly more efficient than standard Monte Carlo simulation if a suitable sampling distribution is used, in many design problems it is too expensive. The authors have previously proposed a method to manage the computational cost in standard Monte Carlo simulation that views design as a choice among alternatives with uncertain reliabilities. Information from simulation has value only if it helps the designer make a better choice among the alternatives. This paper extends their method to Importance Sampling. First, the designer estimates the prior probability density functions of the reliabilities of the alternative designs and calculates the expected utility of the choice of the best design. Subsequently, the designer estimates the likelihood function of the probability of failure by performing an initial simulation with Importance Sampling.
Technical Paper

Modeling Dependence and Assessing the Effect of Uncertainty in Dependence in Probabilistic Analysis and Decision Under Uncertainty

A complete probabilistic model of uncertainty in probabilistic analysis and design problems is the joint probability distribution of the random variables. Often, it is impractical to estimate this joint probability distribution because the mechanism of the dependence of the variables is not completely understood. This paper proposes modeling dependence by using copulas and demonstrates their representational power. It also compares this representation with a Monte-Carlo simulation using dispersive sampling.
Journal Article

Estimation of High-Cycle Fatigue Life by using Re-analysis

In design of real-life systems, such as the suspension of a car, an offshore platform or a wind turbine, there are significant uncertainties in the model of the inputs. For example, scarcity of data leads to inaccuracies in the power spectral density function of the waves and the probability distribution of the wind speed. Therefore, it is necessary to evaluate the performance and safety of a system for different probability distributions. This is computationally expensive or even impractical. This paper presents a methodology to assess efficiently the fatigue life of structures for different power spectra of the applied loads. We accomplish that by reweighting the incremental damage calculated in one simulation. We demonstrate the accuracy and efficiency of the proposed method on an example which involves a nonlinear quarter car under a random dynamic load. The fatigue life of the suspension spring under loads generated by a sampling spectrum is calculated.
Journal Article

Probability of Failure of Dynamic Systems by Importance Sampling

Estimation of the probability of failure of mechanical systems under random loads is computationally expensive, especially for very reliable systems with low probabilities of failure. Importance Sampling can be an efficient tool for static problems if a proper sampling distribution is selected. This paper presents a methodology to apply Importance Sampling to dynamic systems in which both the load and response are stochastic processes. The method is applicable to problems for which the input loads are stationary and Gaussian and are represented by power spectral density functions. Shinozuka's method is used to generate random time histories of excitation. The method is demonstrated on a linear quarter car model. This approach is more efficient than standard Monte Carlo simulation by several orders of magnitude.
Journal Article

Probabilistic Reanalysis Using Monte Carlo Simulation

An approach for Probabilistic Reanalysis (PRA) of a system is presented. PRA calculates very efficiently the system reliability or the average value of an attribute of a design for many probability distributions of the input variables, by performing a single Monte Carlo simulation. In addition, PRA calculates the sensitivity derivatives of the reliability to the parameters of the probability distributions. The approach is useful for analysis problems where reliability bounds need to be calculated because the probability distribution of the input variables is uncertain or for design problems where the design variables are random. The accuracy and efficiency of PRA is demonstrated on vibration analysis of a car and on system reliability-based optimization (RBDO) of an internal combustion engine.
Technical Paper

Imprecise Reliability Assessment When the Type of the Probability Distribution of the Random Variables is Unknown

In reliability design, often, there is scarce data for constructing probabilistic models. It is particularly challenging to model uncertainty in variables when the type of their probability distribution is unknown. Moreover, it is expensive to estimate the upper and lower bounds of the reliability of a system involving such variables. A method for modeling uncertainty by using Polynomial Chaos Expansion is presented. The method requires specifying bounds for statistical summaries such as the first four moments and credible intervals. A constrained optimization problem, in which decision variables are the coefficients of the Polynomial Chaos Expansion approximation, is formulated and solved in order to estimate the minimum and maximum values of a system’s reliability. This problem is solved efficiently by employing a probabilistic re-analysis approach to approximate the system reliability as a function of the moments of the random variables.
Journal Article

Value of Information for Comparing Dependent Repairable Assemblies and Systems

This article presents an approach for comparing alternative repairable systems and calculating the value of information obtained by testing a specified number of such systems. More specifically, an approach is presented to determine the value of information that comes from field testing a specified number of systems in order to appropriately estimate the reliability metric associated with each of the respective repairable systems. Here the reliability of a repairable system will be measured by its failure rate. In support of the decision-making effort, the failure rate is translated into an expected utility based on a utility curve that represents the risk tolerance of the decision-maker. The algorithm calculates the change of the expected value of the decision with the sample size. The change in the value of the decision represents the value of information obtained from testing.