Random Assignment Versus Fixed Assignment in Multilevel Importance Splitting for Estimating Stochastic Reach Probabilities

This paper focuses on estimating reach probability of a closed unsafe set by a stochastic process. A well-developed approach is to make use of multi-level MC simulation, which consists of encapsulating the unsafe set by a sequence of increasing closed sets and conducting a sequence of MC simulations to estimate the reach probability of each...

Service life prediction of concrete structures under chloride environment based on Monte Carlo method

Transport of chlorides is one of the most critical factors determining the service life of concrete structures under ocean environments, and diffusion is usually regarded as the major mechanism for the transport of chloride ions into concrete. As chloride diffusivity is affected by temperature, most existing service life prediction models use...

Sample Regenerating Particle Filter Combined With Unequal Weight Ensemble Kalman Filter for Nonlinear Systems

We present an approach which combines the sample regenerating particle filter (SRGPF) and unequal weight ensemble Kalman filter (UwEnKF) to obtain a more accurate forecast for nonlinear dynamic systems. Ensemble Kalman filter assumes that the model errors and observation errors are Gaussian distributed. Particle filter has demonstrated its...

Uncertainty assessment

Assessing uncertainties in measurements must become a standard practice in the field of urban drainage andstormwater management. This chapter presents three standard methods to estimate uncertainties: the Type Amethod (repeated measurements), the Type B method (law of propagation of uncertainties) and the MCmethod (Monte Carlo method). Each...

Simulation of elliptic and hypo-elliptic conditional diffusions

Suppose X is a multidimensional diffusion process. Assume that at time zero the state of X is fully observed, but at time 0$ ]]> only linear combinations of its components are observed. That is, one only observes the vector for a given matrix L. In this paper we show how samples from the conditioned process can be generated. The main...

Reliability of Percussion Drilling as a Mean to Define Rock Surface

In Finnish ground investigation methods percussion drilling has an important role as a mean to define the rock surface. Ground conditions in Finland vary a lot, however, it is quite common that the soil layers are relatively thin and the rock surface lies in around 3...5 meters depth. Besides that the rock is usually very hard, so it has to be...

Importance sampling of severe wind gusts

An important problem that arises during the design of wind turbines is estimating extreme loads with sufficient accuracy. This is especially difficult during iterative design phases when computational resources are scarce. Over the years, many methods have been proposed to extrapolate extreme load distributions from relatively short time series...

Probabilistic estimation of dune erosion and coastal zone risk

Coastal erosion has gained global attention and has been studied for many decades. As a soft sea defence structure, coastal sandy dunes protect coastal zones all over the world, which usually are densely populated areas with tremendous economic value. The coastal zone of the Netherlands, one of the most well-known vulnerable areas to coastal...

The Delft Ising system processor: Design, construction, and operation of a dedicated processor for Monte Carlo experiments on Ising spin systems