Subset simulation

Subset simulation is a method used in reliability engineering to compute small failure probabilities encountered in engineering systems. The basic idea is to express a small failure probability as a product of larger conditional probabilities by introducing intermediate failure events. This conceptually converts the original rare-event problem into a series of frequent-event problems that are easier to solve. In the actual implementation, samples conditional on intermediate failure events are adaptively generated to gradually populate from the frequent to rare event region. These 'conditional samples' provide information for estimating the complementary cumulative distribution function (CCDF) of the quantity of interest, covering the high as well as the low probability regions. They can also be used for investigating the cause and consequence of failure events. The generation of conditional samples is not trivial but can be performed efficiently using Markov chain Monte Carlo (MCMC).

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