In this paper a variance-reducing technique for Monte Carlo reliability analysis, named Dagger Sampling, is extended to deal with components which may fail in more than one mode. Particular attention is given to the numerical implementation of the procedure, with respect to both memory requirements and computational burden, which is found to play a crucial role for the overall efficiency of the method. An application is provided in the context of the reliability assessment of a nuclear safety system.
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Monte Carlo Methods and Applications
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Dagger-sampling variance reduction in Monte Carlo reliability analysis
E. Zio / A. Cammi / A. Cioncolini
- Department of Nuclear Engineering-Politecnico di Milano, Via Ponzio, 34/3 - 20133 Milano, ITALY
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Published Online: 2008-05-09 | DOI: https://doi.org/10.1515/mcma.2004.10.3-4.641
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Get Access to Full TextKeywords: Monte Carlo Simulation; Variance-Reducing Techniques; Dagger Sampling; Reliability; Nuclear Safety Systems; High Pressure Safety Injection System
About the article
Published Online: 2008-05-09
Published in Print: 2004-12-01
Citation Information: Monte Carlo Methods and Applications mcma, Volume 10, Issue 3-4, Pages 641–652, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/mcma.2004.10.3-4.641.
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- Foreword
- An outline of quasi-probability * : Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically All proofs and references have been omitted from this outline, for the sake of brevity. All such details will be included in a much longer, complete paper, to be published soon.
- QMC techniques for CAT bond pricing * This research was supported by the Austrian Science Fund Project S-8308-MAT. The first author is a postdoctoral research fellow at K.U. Leuven (Fellowship F/03/035)
- Parallel Quasi-Monte Carlo Methods for Linear Algebra Problems
- Algorithm of statistical simulation of dynamic systems with distributed change of structure * Supported by scientific program “Russian Universities basic research”, Grant YP.04.01.34; program “Leading scientific schools” Grant HIII - 1271.2003.1; RFBR, Grant 02-01-01178.
- Frequency Analysis of Semiconductor Devices Using Full-Band Cellular Monte Carlo Simulations
- The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term * This work was partially supported by the Deutsche Forschungsgemeinschaft grant 234499 and the SFB 373 (“Qualifikation und Simulation Ökonomischer Prozesse), Humboldt-Universität zu Berlin.
- Subdiffusion and Superdiffusion in Lagrangian Stochastic Models of Oceanic Transport
- Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
- Normalization of the Spectral Test in High Dimensions
- A spectral Monte Carlo method for the Poisson equation
- Convergence rate for spherical processes with shifted centres * The work is supported by the RFFI grant No 01-01-00315
- On the Power of Quantum Algorithms for Vector Valued Mean Computation
- Parallel Quasirandom Walks on the Boundary
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- Upper Bounds for Bermudan Style Derivatives
- Stochastic Eulerian model for the flow simulation in porous media. Unconfined aquifers * This work is supported partly by the RFBR Grant N 03-01-00914, the program of Leading Scientific Schooles under Grant N 1271.2003.1, and NATO Linkage Grant N 978912
- Solution of the Space-dependent Wigner Equation Using a Particle Model
- Subgrid Modeling of Filtration in a Porous Medium with Multiscale Log-Stable permeability
- Comparison of Quasi-Monte Carlo-Based Methods for Simulation of Markov Chains
- Monte Carlo methods for fissured porous media: a gridless approach * This work has been partially supported by the “Groupe de Recherche MOMAS” financed by the institutes ANDRA, BRGM, CEA, CNRS and EDF.
- Smoothed Transformed Density Rejection * This work was supported by the Austrian Science Foundation (FWF), project no. P16767-N12.
- Adaptive adjoint Monte Carlo simulation for the uncertainty
- A Nuclear Measurement Technique of Water Penetration in Concrete Barriers
- System availability and reliability analysis by direct Monte Carlo with biasing
- On the Scrambled Halton Sequence
- Monte-Carlo simulation of the chord length distribution function across convex bodies, non-convex bodies and random media
- Discrepancy of sequences generated by dynamical system
- Operator-Split Method for Variance Reduction in Stochastic Solutions of the Wigner Equation
- Two variants of a stochastic Euler method for homogeneous balance differential equations * The work is supported by the RFFI grant N° 01-01-00315
- Full band Monte Carlo simulation - beyond the semiclassical approach
- Coin Tossing Algorithms for Integral Equations and Tractability
- Optimal Korobov Coefficients for Good Lattice Points in Quasi Monte Carlo Algorithms
- A theoretical view on transforming low-discrepancy sequences from a cube to a simplex
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- Dynamic probabilistic method of numerical modeling of multidimensional hydrometeorological fields
- Quasirandom Sequences in Branching Random Walks * Research Partially Funded by The Fulbright Program, Army Research Office (US), North Atlantic Treaty Organization, and the National Science Foundation (US)
- Discrete random walk on large spherical grids generated by spherical means for PDEs * This work is partly supported by the RFBR Grant HIII - 03-01-00914, the program of Leading Scientific Schooles under Grant N 1271.2003.1, and the NATO Linkage Grant N 978912
- Reusing paths in radiosity and global illumination
- Measures of Uniform Distribution in Wavelet Based Image Compression
- Random Walk Algorithms for Estimating Effective Properties of Digitized Porous Media * Partially supported by NATO Linkage Grant 978912 and ARO contract DAAD19-01-4-0675
- Security of Pseudo-random Generator and Monte Carlo Method
- Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation * This work has been partially supported by the Sure-Paths ACI project
- Monte Carlo Simulation of Narrow-Width SOI Devices: Incorporation of the Short Range Coulomb Interaction
- Dagger-sampling variance reduction in Monte Carlo reliability analysis
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