IDEAS home Printed from https://ideas.repec.org/a/eee/reensy/v191y2019ics0951832019301528.html
   My bibliography  Save this article

Improved cross entropy-based importance sampling with a flexible mixture model

Author

Listed:
  • Papaioannou, Iason
  • Geyer, Sebastian
  • Straub, Daniel

Abstract

The probability of a rare event or failure event is defined through a potentially high-dimensional integral, whose integration domain is often only known point-wise in terms of the outcome of a numerical model. The probability of failure can be estimated efficiently through importance sampling (IS), provided that an effective IS density is chosen. The cross entropy (CE) method is an adaptive sampling approach that determines the IS density through minimizing the Kullback–Leibler divergence between the theoretically optimal IS density and a chosen parametric family of distributions. We propose an improved version of the classical CE method that introduces a smooth transition to make better use of the samples from intermediate sampling levels for fitting the sought IS density. The improved CE method is combined with a novel flexible parametric distribution model that is able to handle low- and high-dimensional problems as well as problems with multimodal failure domains. A set of numerical examples demonstrate that the proposed approach performs consistently better than the classical CE method in various problem settings.

Suggested Citation

  • Papaioannou, Iason & Geyer, Sebastian & Straub, Daniel, 2019. "Improved cross entropy-based importance sampling with a flexible mixture model," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    • Handle: RePEc:eee:reensy:v:191:y:2019:i:c:s0951832019301528
    DOI: 10.1016/j.ress.2019.106564
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0951832019301528
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ress.2019.106564?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Au, Siu-Kui & Patelli, Edoardo, 2016. "Rare event simulation in finite-infinite dimensional space," Reliability Engineering and System Safety, Elsevier, vol. 148(C), pages 67-77.
    2. Rubinstein, Reuven Y., 1997. "Optimization of computer simulation models with rare events," European Journal of Operational Research, Elsevier, vol. 99(1), pages 89-112, May.
    3. Pieter-Tjerk de Boer & Dirk Kroese & Shie Mannor & Reuven Rubinstein, 2005. "A Tutorial on the Cross-Entropy Method," Annals of Operations Research, Springer, vol. 134(1), pages 19-67, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chiron, Marie & Genest, Christian & Morio, Jérôme & Dubreuil, Sylvain, 2023. "Failure probability estimation through high-dimensional elliptical distribution modeling with multiple importance sampling," Reliability Engineering and System Safety, Elsevier, vol. 235(C).
    2. Zheng, Xiaoyu & Tamaki, Hitoshi & Sugiyama, Tomoyuki & Maruyama, Yu, 2022. "Dynamic probabilistic risk assessment of nuclear power plants using multi-fidelity simulations," Reliability Engineering and System Safety, Elsevier, vol. 223(C).
    3. Papaioannou, Iason & Straub, Daniel, 2021. "Variance-based reliability sensitivity analysis and the FORM α-factors," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    4. Mehni, Moien Barkhori & Mehni, Mohammad Barkhori, 2023. "Reliability analysis with cross-entropy based adaptive Markov chain importance sampling and control variates," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
    5. Song, Chaolin & Zhang, Chi & Shafieezadeh, Abdollah & Xiao, Rucheng, 2022. "Value of information analysis in non-stationary stochastic decision environments: A reliability-assisted POMDP approach," Reliability Engineering and System Safety, Elsevier, vol. 217(C).
    6. Chan, Jianpeng & Papaioannou, Iason & Straub, Daniel, 2022. "An adaptive subset simulation algorithm for system reliability analysis with discontinuous limit states," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
    7. Dang, Chao & Wei, Pengfei & Faes, Matthias G.R. & Valdebenito, Marcos A. & Beer, Michael, 2022. "Parallel adaptive Bayesian quadrature for rare event estimation," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
    8. Ni, Pinghe & Li, Jun & Hao, Hong & Yan, Weimin & Du, Xiuli & Zhou, Hongyuan, 2020. "Reliability analysis and design optimization of nonlinear structures," Reliability Engineering and System Safety, Elsevier, vol. 198(C).
    9. Betz, Wolfgang & Papaioannou, Iason & Straub, Daniel, 2022. "Bayesian post-processing of Monte Carlo simulation in reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 227(C).
    10. Jiang, Chen & Qiu, Haobo & Gao, Liang & Wang, Dapeng & Yang, Zan & Chen, Liming, 2020. "EEK-SYS: System reliability analysis through estimation error-guided adaptive Kriging approximation of multiple limit state surfaces," Reliability Engineering and System Safety, Elsevier, vol. 198(C).
    11. Dang, Chao & Xu, Jun, 2020. "Unified reliability assessment for problems with low- to high-dimensional random inputs using the Laplace transform and a mixture distribution," Reliability Engineering and System Safety, Elsevier, vol. 204(C).
    12. Zhang, Xiaobo & Lu, Zhenzhou & Cheng, Kai, 2022. "Cross-entropy-based directional importance sampling with von Mises-Fisher mixture model for reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 220(C).
    13. El Masri, Maxime & Morio, Jérôme & Simatos, Florian, 2021. "Improvement of the cross-entropy method in high dimension for failure probability estimation through a one-dimensional projection without gradient estimation," Reliability Engineering and System Safety, Elsevier, vol. 216(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mattrand, C. & Bourinet, J.-M., 2014. "The cross-entropy method for reliability assessment of cracked structures subjected to random Markovian loads," Reliability Engineering and System Safety, Elsevier, vol. 123(C), pages 171-182.
    2. Kin-Ping Hui, 2011. "Cooperative Cross-Entropy method for generating entangled networks," Annals of Operations Research, Springer, vol. 189(1), pages 205-214, September.
    3. Mathieu Balesdent & Jérôme Morio & Loïc Brevault, 2016. "Rare Event Probability Estimation in the Presence of Epistemic Uncertainty on Input Probability Distribution Parameters," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 197-216, March.
    4. Caballero, Rafael & Hernández-Díaz, Alfredo G. & Laguna, Manuel & Molina, Julián, 2015. "Cross entropy for multiobjective combinatorial optimization problems with linear relaxations," European Journal of Operational Research, Elsevier, vol. 243(2), pages 362-368.
    5. A. Shibu & M. Reddy, 2014. "Optimal Design of Water Distribution Networks Considering Fuzzy Randomness of Demands Using Cross Entropy Optimization," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(12), pages 4075-4094, September.
    6. Nguyen, Hoa T.M. & Chow, Andy H.F. & Ying, Cheng-shuo, 2021. "Pareto routing and scheduling of dynamic urban rail transit services with multi-objective cross entropy method," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 156(C).
    7. Hao Su & Qun Niu & Zhile Yang, 2023. "Optimal Power Flow Using Improved Cross-Entropy Method," Energies, MDPI, vol. 16(14), pages 1-33, July.
    8. Heath, Jeffrey W. & Fu, Michael C. & Jank, Wolfgang, 2009. "New global optimization algorithms for model-based clustering," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 3999-4017, October.
    9. Ferdinand Bollwein & Stephan Westphal, 2022. "Oblique decision tree induction by cross-entropy optimization based on the von Mises–Fisher distribution," Computational Statistics, Springer, vol. 37(5), pages 2203-2229, November.
    10. Dirk P. Kroese & Sergey Porotsky & Reuven Y. Rubinstein, 2006. "The Cross-Entropy Method for Continuous Multi-Extremal Optimization," Methodology and Computing in Applied Probability, Springer, vol. 8(3), pages 383-407, September.
    11. Erik Hintz & Marius Hofert & Christiane Lemieux & Yoshihiro Taniguchi, 2022. "Single-Index Importance Sampling with Stratification," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3049-3073, December.
    12. Jiaqiao Hu & Michael C. Fu & Steven I. Marcus, 2007. "A Model Reference Adaptive Search Method for Global Optimization," Operations Research, INFORMS, vol. 55(3), pages 549-568, June.
    13. R. Y. Rubinstein, 2005. "A Stochastic Minimum Cross-Entropy Method for Combinatorial Optimization and Rare-event Estimation," Methodology and Computing in Applied Probability, Springer, vol. 7(1), pages 5-50, March.
    14. Tran, Cong Quoc & Keyvan-Ekbatani, Mehdi & Ngoduy, Dong & Watling, David, 2021. "Stochasticity and environmental cost inclusion for electric vehicles fast-charging facility deployment," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 154(C).
    15. Xi Chen & Enlu Zhou, 2015. "Population model-based optimization," Journal of Global Optimization, Springer, vol. 63(1), pages 125-148, September.
    16. K.-P. Hui & N. Bean & M. Kraetzl & Dirk Kroese, 2005. "The Cross-Entropy Method for Network Reliability Estimation," Annals of Operations Research, Springer, vol. 134(1), pages 101-118, February.
    17. Lvyang Qiu & Shuyu Li & Yunsick Sung, 2021. "3D-DCDAE: Unsupervised Music Latent Representations Learning Method Based on a Deep 3D Convolutional Denoising Autoencoder for Music Genre Classification," Mathematics, MDPI, vol. 9(18), pages 1-17, September.
    18. Mohammad Hassan Salmani & Kourosh Eshghi, 2017. "A Metaheuristic Algorithm Based on Chemotherapy Science: CSA," Journal of Optimization, Hindawi, vol. 2017, pages 1-13, February.
    19. Zhou, Yuekuan & Zheng, Siqian, 2020. "Climate adaptive optimal design of an aerogel glazing system with the integration of a heuristic teaching-learning-based algorithm in machine learning-based optimization," Renewable Energy, Elsevier, vol. 153(C), pages 375-391.
    20. Akimoto, Youhei & Auger, Anne & Hansen, Nikolaus, 2022. "An ODE method to prove the geometric convergence of adaptive stochastic algorithms," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 269-307.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reensy:v:191:y:2019:i:c:s0951832019301528. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/reliability-engineering-and-system-safety .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.