SuSIE: Subset Simulation with Intrepid Exploration

Abstract

This work explores the challenges associated with the subset simulation framework - a well-established algorithm for estimating structural reliability - in settings involving multiple, possibly disconnected regions of failure, or involving discontinuous or sharply changing performance functions. We demonstrate that these drawbacks of subset simulation stem from the limitations of the Markov chain Monte Carlo (MCMC) sampler employed within the method, not from the subset simulation framework itself. Traditional random-walk Metropolis algorithms, which are known to struggle severely with sampling from multimodal distributions, are conventionally applied within subset simulation, which leads to inaccurate failure probability estimates in such cases. In this work, we instead utilize a modified version of the Intrepid MCMC sampler, which has recently been shown to be more effective than vanilla random-walk Metropolis algorithms in sampling from multimodal probability distributions. The subset simulation method with the proposed Intrepid sampler is demonstrated to address these complicating features. Several illustrative examples are considered, ranging from 2 to 1003 dimensions and exhibiting multiple failure regions or highly nonlinear performance functions, including both analytical problems and structural engineering applications.