A novel cross-entropy-based importance sampling method for cumulative time-dependent failure probability function

Cumulative time-dependent failure probability function (C-T-FPF) can reflect the effects of distribution parameters of random inputs and the upper bound of service time interval, which vary in their design domains, on time-dependent failure probability. However, solving C-T-FPF involves a time-consuming triple-layer framework. Thus, we propose an efficient method by combining cross-entropy-based importance sampling (IS) with adaptive Kriging model (CE-IS-AK). The innovations of CE-IS-AK include two aspects. Firstly, we construct a space augmented by both distribution parameters and the upper bound of service time interval, on which the triple-layer framework is decoupled to a single-layer one. And in the augmented space, an optimal IS density is proposed to reduce the required candidate sample size for estimating C-T-FPF. Secondly, we employ Gaussian mixture model (GMM) to approximate the optimal IS density, and the parameters in GMM are determined by minimizing the cross entropy of GMM and the optimal IS density. Moreover, to reduce the model evaluations in the proposed method, Kriging model is adaptively embedded to replace the actual model, and a first failure instant based learning function is proposed to train Kriging model adaptively. Due to the proposed single-layer framework and IS strategy assisted by the Kriging model, the efficiency is greatly improved for estimating C-T-FPF, which is validated by several examples.