Structural Safety 97 (2022) 102216

Contents lists available at ScienceDirect

Structural Safety
journal homepage: www.elsevier.com/locate/strusafe

A review and assessment of importance sampling methods for reliability

analysis
Armin Tabandeh a ,∗, Gaofeng Jia b , Paolo Gardoni a
a Department of Civil and Environmental Engineering, University of Illinois at Urbana-Champaign, Urbana, IL, USA
b
Department of Civil and Environmental Engineering, Colorado State University, Fort Collins, CO, USA

ARTICLE INFO ABSTRACT

Keywords: This paper reviews the mathematical foundation of the importance sampling technique and discusses two
Importance sampling general classes of methods to construct the importance sampling density (or probability measure) for reliability
Reliability analysis analysis. The paper first explains the failure probability estimator of the importance sampling technique,
Gaussian mixture
its statistical properties, and computational complexity. The optimal but not implementable importance
Kernel density estimation
sampling density, derived from the variational calculus, is the starting point of the two general classes
Surrogate
of importance sampling methods. For time-variant reliability analysis, the optimal but not implementable
stochastic control is derived that induces the corresponding optimal importance sampling probability measure.
In the first class, the optimal importance sampling density is directly approximated by a member of a family
of parametric or nonparametric probability density functions. This approximation requires defining the family
of approximating probability densities, a measure of distance between two probability densities, and an
optimization algorithm. In the second class, the approximating importance sampling density has the general
functional form of the optimal solution. The approximation amounts to replacing the limit-state function
with a computationally convenient surrogate. The paper then explores the performances of the two classes
of importance sampling methods through several benchmark numerical examples. The challenges and future
directions of the importance sampling technique are also discussed.

1. Introduction required to achieve the desired accuracy level in the standard MC

The performance of reliability analysis methods depends on the
interplay between their mathematical flexibility and computational
complexity. Gradient-based methods like the First-Order Reliability
Method (FORM) and the Second-Order Reliability Method (SORM) [1]
generally have low computational complexity at the cost of imposing
restrictive regularity conditions on the limit-state function that defines
the failure domain. When the required regularity conditions are met,
FORM and SORM usually converge with ∼  (10) number of limit-state
function evaluations. However, they are prone to significant errors or
infeasible when used for (1) problems with a strongly nonlinear fail-
ure boundary, particularly in the vicinity of design-point(s) (the most
likely failure point(s) in the standard Gaussian probability space), (2)
component reliability problems with multiple design points or a single
but non-dominant one, and (3) problems with non-smooth limit-state
functions (e.g., system reliability problems.) In contrast, sampling tech-
niques based on the variants of the Monte Carlo (MC) simulation relax
the restrictive regularity conditions at the cost of higher computational
complexity than FORM and SORM. For example, the number of samples
simulation is inversely proportional to the failure probability (e.g., for
small failure probabilities, accurate reliability analysis usually requires
( )
∼  106 number of limit-state function evaluations.)
Importance Sampling (IS) is an enhanced MC simulation technique
whose objective is to reduce the computational complexity of the stan-
dard MC simulation while retaining its mathematical flexibility. The
idea of the IS technique is to define a biased sampling density, called
IS density, that can sample from the failure domain more frequently
than the base sampling density in the standard MC simulation [2–
4]. Samples drawn from the IS density are then weighted to yield
an unbiased estimate of the failure probability. Implementing the IS
technique for the time-variant reliability analysis of dynamical systems
amounts to designing an IS probability measure that generates sample
paths out-crossing the failure boundary more frequently than that
under the base probability measure. The IS probability measure is
induced by introducing a stochastic control into the equation of motion
of the dynamical system that increases the likelihood of out-crossing the
failure boundary. The generated sample paths under the IS probability

∗ Corresponding author.
E-mail addresses: tabande2@illinois.edu (A. Tabandeh), gjia@colostate.edu (G. Jia), gardoni@illinois.edu (P. Gardoni).

https://doi.org/10.1016/j.strusafe.2022.102216
Received 28 June 2021; Received in revised form 12 February 2022; Accepted 9 March 2022
Available online 21 March 2022
0167-4730/© 2022 Elsevier Ltd. All rights reserved.
A. Tabandeh et al. Structural Safety 97 (2022) 102216

measure are then weighted according to the Radon–Nikodym derivative 2.1. Formulation of reliability analysis
to yield an unbiased estimate of the failure probability (i.e., the first-
passage probability) [5]. The success of the IS technique depends on Following the conventional notation in reliability analysis [4,29,
the prudent choice of the IS density or stochastic control [6,7]. It 30], consider a system whose performance depends on a vector of state
( )
is possible to derive the IS density or stochastic control directly via variables 𝐱⊺ = 𝑥1 , … , 𝑥𝑑 ∈ 𝒳 ⊆ R𝑑 , where 𝒳 denotes the space of
the optimization of the failure probability estimator. However, the all possible values of 𝐱. We assume that the probability distribution
dependence of the optimal solution (probability density or stochastic of 𝐱 that captures its uncertainty has a probability density function
control) on the unknown failure probability limits its use to a mere (PDF) 𝑝 (𝐱). Also, suppose 𝑔 (𝐱) ∶ 𝒳 → R denotes a limit-state function
guide for developing efficient IS densities or stochastic control that are that characterizes the system performance, defined such that 𝛺𝐹 =
implementable. {𝐱 ∈ 𝒳 ∶ 𝑔 (𝐱) ≤ 0} indicates its failure domain (i.e., realizations for
The reliability analysis literature includes many IS methods. How- which the system fails to meet the desired performance level.) Con-
ever, the existing methods share similar theoretical foundations. In sidering the uncertainties in 𝐱, we can compute the failure probability
general, we recognize two classes of IS methods. This review paper 𝑃𝐹 as
focuses on these two classes and discusses them in a consistent theo- [ ]
𝑃𝐹 = 𝑝 (𝐱) d𝐱 = 𝐼𝛺𝐹 (𝐱) 𝑝 (𝐱) d𝐱 = E𝑝 𝐼𝛺𝐹 (𝐱) , (1)
retical framework for comparison purposes. The first class of methods ∫𝛺𝐹 ∫𝒳
develops the IS density by minimizing a discrepancy measure between
where 𝐼𝛺𝐹 (𝐱) is an indicator function, defined as 𝐼𝛺𝐹 (𝐱) = 1, if 𝐱 ∈ 𝛺𝐹 ,
the optimal solution and a family of approximating densities. For
and 𝐼𝛺𝐹 (𝐱) = 0, if 𝐱 ∉ 𝛺𝐹 ; and E𝑝 [⋅] is the expectation with respect to
example, Ang et al. [8] derived the IS density by minimizing the mean
𝑝 (𝐱). The reliability of the system is then 𝑅 = 1 − 𝑃𝐹 .
squared error between the optimal solution and kernel densities (a
For systems with a large vector of uncertain state variables (i.e., 𝑑 ≫
family of nonparametric probability densities.) The estimator of the
1), the estimation of 𝑃𝐹 requires evaluating a high-dimensional integral
mean squared error should be evaluated at samples from the optimal
that is often analytically intractable. Simulation techniques (e.g., MC
solution, for which the sampling algorithm controls the computational
simulation) provide a general means to evaluate such high-dimensional
complexity. Later, Au and Beck [9] improved the work of Ang et al. [8]
integrals [3,4,31]. Simulation techniques rely on an unbiased and con-
by proposing a more efficient sampling algorithm based on a Markov
sistent estimator of 𝑃𝐹 to ensure convergence to the true, but unknown,
Chain Monte Carlo simulation technique. More recently, Kurtz and
value of 𝑃𝐹 . For example, in the standard MC simulation,
[ ]the following
Song [10] derived the IS density by minimizing the relative entropy
estimator is commonly used to estimate 𝑃𝐹 = E𝑝 𝐼𝛺𝐹 (𝐱) :
between the optimal solution and Gaussian mixtures (a family of para-
metric probability densities.) As before, the estimator of the relative
1 ∑
𝑁
( ) ( (𝑛) )
entropy should be evaluated at samples from the optimal solution. 𝑃̂𝐹 ,𝑝 𝑁 = 𝐼 𝐱 , (2)
𝑁 𝑛=1 𝛺𝐹
Kurtz and Song [10] developed an adaptive estimation method to
{ }
improve the computational efficiency, where the Gaussian mixture where 𝑁 = 𝐱(𝑛) ∶ 𝑛 = 1, … , 𝑁 is a set of 𝑁 statistically independent
gradually approaches the optimal solution. The second class of methods and identically distributed samples from 𝑝 (𝐱). The above expression fol-
( )
is based on the general form of the optimal solution in which the lows by replacing 𝑝 (𝐱) in Eq. (1) with the empirical density 𝑝̂ 𝐱, 𝑁 =
1 ∑𝑁 ( )
computationally demanding limit-state function is replaced with a fast- 𝛿 𝐱 − 𝐱(𝑛) , where 𝛿 (⋅) is the Dirac delta function. Note that
𝑁 (𝑛=1 )
to-evaluate surrogate. Examples of such surrogates include polynomial 𝑃̂𝐹 ,𝑝 𝑁 is a random function of the samples in 𝑁 ; hence, the
( )
response surface [11–15], support vector regression [16–19], neural performance of 𝑃̂𝐹 ,𝑝 𝑁 can be evaluated in terms of its statistical
[ ( )]
network [20–23], Gaussian process [24–26], and polynomial chaos properties. In particular, one can show that the mean E𝑝 𝑃̂𝐹 ,𝑝 𝑁
[ ( )] ( )
expansion [27,28]. The algorithm that generates required samples for and variance Var𝑝 𝑃̂𝐹 ,𝑝 𝑁 of 𝑃̂𝐹 ,𝑝 𝑁 are [31]
the training of the surrogate controls the computational complexity of [ ( )]
the method. After the initial training, this class of methods usually uses E𝑝 𝑃̂𝐹 ,𝑝 𝑁 = 𝑃𝐹 ,
( )
an active learning technique to generate additional training samples [ ( )] 𝑃𝐹 1 − 𝑃𝐹 (3)
Var𝑝 𝑃̂𝐹 ,𝑝 𝑁 = .
that improve the failure boundary representation. Besides theoretical 𝑁
discussions, the performances of the two classes will be illustrated ( )
The above statistics indicate that 𝑃̂𝐹 ,𝑝 𝑁 satisfies the desired
through several benchmark numerical examples. We also discuss the [ ( )]
unbiasedness (i.e., E𝑝 𝑃̂𝐹 ,𝑝 𝑁 = 𝑃𝐹 ) and consistency (i.e., Var𝑝
challenges and future directions of the IS technique. [ ( )] 𝑁→∞
𝑃̂𝐹 ,𝑝 𝑁 ⟶ 0) conditions. More generally, one can show that
The rest of the paper is organized into six sections. The next ( ) 𝑎.𝑠. ∑ 𝑎.𝑠.
𝑃̂𝐹 ,𝑝 𝑁 ⟶ 𝑃𝐹 almost surely (𝑎.𝑠.) or, equivalently, 𝑁 𝑛=1 𝑟𝑛 ∕𝑁 ⟶
section defines the reliability problem and presents the mathematical ( (𝑛) ) ( 4)
0, where 𝑟𝑛 = 𝐼𝛺𝐹 𝐱 − 𝑃𝐹 . Using E 𝑟𝑛 < ∞ and the statistical
basis of the IS technique. Sections 3 and 4 explain the mathematical [( )4 ]
∑𝑁
development of the two classes of IS methods and elaborate notable independence of 𝑟1 , … , 𝑟𝑁 , it can be shown that E 𝑛=1 𝑟𝑛 =
contributions in each class. Section 5 evaluates the performance of ( 4) ( 2 ) [ ( 2 )]2 2
the discussed IS methods through benchmark reliability problems. Sec- 𝑁E 𝑟1 + 3 𝑁 − 𝑁 E( 𝑟1 ≤ 𝑁 𝑐0 for ) some (constant 𝑐0 > 0. For
|∑ | )
tion 6 discusses the challenges of the IS technique and its future any 𝜀 > 0, we have P | 𝑁 𝑟 ∕𝑁 | ≥ 𝜀 ≤ 𝑐 ∕ 𝑁 2 𝜀4 according to
| 𝑛=1 𝑛 | ( 0∑ )
direction. Finally, the last section summarizes the paper and draws | |
Chebyshev inequality, leading to lim𝑁→∞ P | 𝑁 𝑟𝑛 ∕𝑁 | ≥ 𝜀 = 0.
some conclusions. | 𝑛=1 |
Invoking
(∑ the Borel–Cantelli ) Lemma, the latter implies
| 𝑁 |
P | 𝑛=1 𝑟𝑛 ∕𝑁 | ≥ 𝜀 infinitely often = 0 [32]. The Chebyshev inequal-
| | ( ) ( )
2. Formulation of reliability analysis using importance sampling ity also implies that at least 𝑁 (𝜀, 𝛾) = 𝑃𝐹 1 − 𝑃𝐹 ∕ 𝛾𝜀2 number
of samples is required to ensure, with confidence 1 − 𝛾, that the
In this section, we first briefly present the formulation of reliability estimated failure probability is bounded between 𝑃𝐹 −𝜀 and 𝑃𝐹 +𝜀. The
analysis focusing on sampling techniques based on Monte Carlo sim- mapping (𝜀, 𝛾) ↦ 𝑁 (𝜀, 𝛾) is a measure of the estimator’s computational
( )
ulation. We then lay out the foundation of the importance sampling complexity. The Coefficient of Variation (CoV) of 𝑃̂𝐹 ,𝑝 𝑁 provides
technique and discuss its computational complexity. Finally, we intro- similar information about its computational complexity. i.e.,
duce the two classes of IS methods that will be reviewed in this paper. √ [ ( )] √
This introductory section aims to facilitate the review and discussion Var𝑝 𝑃̂𝐹 ,𝑝 𝑁 1 − 𝑃𝐹
𝛿𝑀𝐶 = [ ( )] = , (4)
of the two classes of IS methods presented in subsequent sections. E𝑝 𝑃̂𝐹 ,𝑝 𝑁 𝑁𝑃𝐹

2
A. Tabandeh et al. Structural Safety 97 (2022) 102216

( )
where 𝛿 is the CoV of 𝑃̂𝐹 ,𝑝 𝑁 , which implies that almost 𝑃𝐹 for all 𝑞𝐼𝑆 (𝐱) ∈ ; thus, the estimator is unbiased. We then write
⌈ ( 2 𝑀𝐶 )⌉ [ ( )]
1∕ 𝛿𝑀𝐶 𝑃𝐹 samples is required to achieve the confidence level of the estimator’s variance Var𝑞 𝑃̂𝐹 ,𝑞 𝑁 as
( )
1 − 𝛿𝑀𝐶 . In reliability analysis, the failure of a system is typically [ ]
[ ( )] 1 𝑝 (𝐱)
a rare event whose probability of occurrence usually does not exceed Var𝑞 𝑃̂𝐹 ,𝑞 𝑁 = Var𝑞 𝐼𝛺𝐹 (𝐱)
( ) 𝑁 𝑞𝐼𝑆 (𝐱)
 10−3 (i.e., 𝑃𝐹 < 10−3 ); thus, the MC estimator in Eq. (2) requires { [ ] } (10)
a large number of 𝑔 (𝐱) evaluations to yield an accurate estimate of 1 𝑝2 (𝐱)
= E𝑞 𝐼𝛺𝐹 (𝐱) − 𝑃𝐹2 .
𝑃𝐹 . For systems with a computationally demanding 𝑔 (𝐱), the slow 𝑁 𝑞 2 (𝐱) 𝐼𝑆
convergence of the standard MC simulation significantly limits its use
The consistency and computational complexity of the estimator
for reliability analysis. [ ( )]
depend on the choice of 𝑞𝐼𝑆 . Hence, the functional Var𝑞 𝑃̂𝐹 ,𝑞 𝑁
We can also use the IS technique for the reliability analysis of
can be minimized for 𝑞𝐼𝑆 [6,7,31]. i.e.,
dynamical systems driven by stochastic excitations (i.e., estimate the
first-passage probability.) The vector of state variables 𝐱𝑡 is an 𝒳 -valued ∗
[ ( )] 𝐼𝛺𝐹 (𝐱) 𝑝 (𝐱)
𝑞𝐼𝑆 (𝐱) = arg min Var𝑞 𝑃̂𝐹 ,𝑞 𝑁 = , (11)
stochastic process governed by 𝑞𝐼𝑆 ∈ 𝑃𝐹
( ) ( ) ∗ (𝐱) is the optimal IS density, which results in Var 𝑃̂
[ ( )]
d𝐱𝑡 = 𝐚 𝐱𝑡 , 𝑡 d𝑡 + 𝐁 𝐱𝑡 , 𝑡 d𝐰𝑡 , (5) where 𝑞𝐼𝑆 𝑞 𝐹 ,𝑞 𝑁
∗
= 0 for all 𝑁 ∈ N (see Eq. (10)). The density 𝑞𝐼𝑆 (𝐱) is obtained from
with the initial condition 𝐱𝑡𝑠 at time 𝑡𝑠 , where 𝐚 (⋅, ⋅) is the drift vector; the Euler–Lagrange equation 𝜕𝐿∕𝜕𝑞𝐼𝑆 = 0 subject to ∫ 𝑞𝐼𝑆 (𝐱) d𝐱 = 1,
′ ′ ( )
𝐁 (⋅, ⋅) is an R𝑑×𝑑 -valued matrix; and 𝐰𝑡 is the R𝑑 -valued standard where the Lagrangian is 𝐿 𝑞𝐼𝑆 = 𝐼𝛺𝐹 (𝐱) 𝑝2 (𝐱) ∕𝑞𝐼𝑆 (𝐱). See [36] for
{ ( ) }
Wiener process. The failure domain 𝛺𝐹 (𝒯 ) = 𝐱𝑡 ∶ inf 𝑡∈𝒯 𝑔 𝐱𝑡 ≤ 0 more discussion on the computational complexity of the IS technique.
[ ]
is now a function of the considered time interval 𝒯 = 𝑡𝑠 , 𝑡𝑒 ⊂ R+ . The In general, 𝑞𝐼𝑆∗ (𝐱) is not realizable since its normalizing constant 𝑃
𝐹
failure domain also depends on 𝐱𝑡𝑠 and 𝑡𝑠 , which is assumed implicitly. is the ultimate quantity of interest. However, the functional form of
We can express the failure probability as ∗ (𝐱) provides insight into the design of a computationally efficient
𝑞𝐼𝑆
( ) [ ( )] IS density. Deviation among available importance sampling methods
𝑃𝐹 (𝒯 ) = dP 𝐱𝑡 = EP 𝐼𝛺𝐹 (𝒯 ) 𝐱𝑡 . (6) initiates from how the knowledge of 𝑞𝐼𝑆 ∗ (𝐱) is used in the design of a
∫𝛺𝐹 (𝒯 )
( ) near-optimal IS density.
where P 𝐱𝑡 is the probability measure on the space of R𝑑 -valued con- For dynamical systems, we may capture the uncertainty in 𝐱𝑡 by
tinuous functions, containing the samples of 𝐱𝑡 . As for time-invariant an equivalent set of random variables using spectral representation
problems, the standard MC estimator of 𝑃𝐹 (𝒯 ) is methods (e.g., Karhunen–Loève expansion [37]) and proceed with the
( ) IS estimator of time-invariant problems in Eq. (8). However, the grow-
1 ∑
𝑁
( )
𝑃̂𝐹 ,P 𝒯 , 𝑁 = 𝐼 𝐱(𝑛) , (7) ing number of required random variables can lead to computational
𝑁 𝑛=1 𝛺𝐹 (𝒯 ) 𝑡
demands exceeding available resources. Instead, one can extend the
{ }
where 𝑁 = 𝐱𝑡(𝑛) ∶ 𝑛 = 1, … , 𝑁 is now a set of 𝑁 statistically general idea of the IS technique to dynamical systems by designing
independent sample paths under a common probability measure P. a new probability measure that increases the likelihood of the failure
Alternatively, the first-passage probability of the Markov process 𝐱𝑡 event [5,38–40]. Introducing the IS probability measure Q, we can
satisfies the Kolmogorov backward equation, a parabolic partial differ- estimate the failure probability as
[ ]
ential equation, that can be solved numerically for simpler dynamical dP ( ) ( ) ( ) dP ( )
𝑃𝐹 (𝒯 ) = 𝐱̌ 𝑡 dQ 𝐱̌ 𝑡 = EQ 𝐼𝛺𝐹 (𝒯 ) 𝐱̌ 𝑡 𝐱̌ 𝑡 , (12)
systems. See [33,34] for a review of the equation and discussion on its ∫𝛺𝐹 (𝒯 ) dQ dQ
numerical solution.
where dP∕dQ (⋅) is the Radon–Nikodym derivative of P with respect to
Q, and 𝐱̌ 𝑡 is the vector of state variables with probability measure Q.
2.2. Concept of importance sampling A common approach to obtain dP∕dQ is based on the Girsanov
transformation [41]. In this approach, the Wiener process 𝐰𝑡 in Eq. (5)
Importance sampling can significantly improve the computational is replaced by
complexity of the standard Monte Carlo estimator, making an other- 𝑡
wise infeasible reliability analysis amenable to simulations [6,7,31,35]. 𝐰̌ 𝑡 = 𝐰𝑡 − 𝐮𝜏 d𝜏, (13)
Instead of using samples from 𝑝 (𝐱), the importance sampling (IS) ∫ 𝑡𝑠
technique introduces an alternative sampling density that can reduce ′
in which 𝐮𝜏 is an R𝑑 -valued stochastic control that should be estimated.
the estimator’s variance [6,7,31]. Introducing the importance sampling Substituting Eq. (13) into Eq. (5) yields the transformed governing
density 𝑞𝐼𝑆 (𝐱) into the definition of 𝑃𝐹 in Eq. (1) yields equation of 𝐱̌ 𝑡 , written as
[ ]
𝑝 (𝐱) 𝑝 (𝐱) [ ( ) ( ) ] ( )
𝑃𝐹 = 𝐼𝛺𝐹 (𝐱) 𝑞𝐼𝑆 (𝐱) d𝐱 = E𝑞 𝐼𝛺𝐹 (𝐱) , (8) d𝐱̌ 𝑡 = 𝐚 𝐱̌ 𝑡 , 𝑡 + 𝐁 𝐱̌ 𝑡 , 𝑡 𝐮𝑡 d𝑡 + 𝐁 𝐱̌ 𝑡 , 𝑡 d𝐰̌ 𝑡 . (14)
∫𝒳 𝑞𝐼𝑆 (𝐱) 𝑞𝐼𝑆 (𝐱)
[ ( ) ( ) ]
where E𝑞 [⋅] is the expectation with respect to 𝑞𝐼𝑆 (𝐱). For the integral The design of the drift term 𝐚 𝐱̌ 𝑡 , 𝑡 + 𝐁 𝐱̌ 𝑡 , 𝑡 𝐮𝑡 via 𝐮𝑡 is the lever
to be well-defined, it is required that 𝑞𝐼𝑆 (𝐱) > 0 for all 𝐱 ∈ 𝛺𝐹 , unless to control the likelihood of arriving at the failure domain. According
𝐼𝛺𝐹 (𝐱) 𝑝 (𝐱) = 0. Let  denote the space of admissible IS densities. to the Girsanov theorem [41], the probability measures P and Q are
Accordingly, we may write the failure probability estimator as related via the Radon–Nikodym derivative
( ) ( )
dP ( )
𝑡𝑒 𝑡𝑒
1 ∑
𝑁
( ) ( ) 𝑝 𝐱(𝑛) 𝐱̌ 𝑡 = exp −
⊺
𝐮𝜏 d𝐰̌ 𝜏 −
1 ⊺
𝐮𝜏 𝐮𝜏 d𝜏 . (15)
𝑃̂𝐹 ,𝑞 𝑁 = 𝐼𝛺𝐹 𝐱(𝑛) ( ), (9) dQ ∫ 𝑡𝑠 2 ∫𝑡𝑠
𝑁 𝑛=1 𝑞𝐼𝑆 𝐱(𝑛)
where 𝑁 is a set of 𝑁 statistically independent and identically dis- Combining Eqs. (12)–(15), we can write the IS estimator of the
tributed samples from 𝑞𝐼𝑆 (𝐱). The above expression follows by replac- failure probability as
( )
ing 𝑞𝐼𝑆 (𝐱) in Eq. (8) with the empirical sampling density 𝑞̂𝐼𝑆 𝐱, 𝑁 = ( )
1 ∑
𝑁
∑𝑁 ( ) ( ) ( ) ( )
𝑛=1 𝑤𝑛 𝛿 𝐱 − 𝐱
(𝑛) , where 𝑤 ∝ 𝑝 𝐱(𝑛) ∕𝑞
𝑛 𝐼𝑆 𝐱
(𝑛) is the weight as- 𝑃̂𝐹 ,Q 𝒯 , 𝑁 = 𝐼𝛺𝐹 (𝒯 ) 𝐱̌ 𝑡(𝑛)
𝑁 𝑛=1
signed to 𝐱(𝑛) ∈ 𝑁 . The proportionality notation ∝ in the definition ( ) (16)
∑
of 𝑤𝑛 means to ensure that 𝑁 𝑛=1 𝑤𝑛 = 1, leading to a proper sampling 𝑡𝑒
1
𝑡
𝑒
( ) [ ( )] × exp −
⊺(𝑛)
𝐮𝜏 d𝐰̌ (𝑛)
𝜏 −
⊺(𝑛)
𝐮 𝐮(𝑛)𝜏 d𝜏 .
density 𝑞̂𝐼𝑆 𝐱, 𝑁 . It is straightforward to show that E𝑞 𝑃̂𝐹 ,𝑞 𝑁 = ∫ 𝑡𝑠 2 𝑡𝑠 𝜏
∫

3
A. Tabandeh et al. Structural Safety 97 (2022) 102216

Like for time-invariant problems, we can find the optimal control as follows [38,44]:
𝐮∗𝑡 by minimizing the estimator’s variance ( ) ⊺ ( )
𝐁 𝐱̌ 𝑡 , 𝑡 ∇𝐱𝑡 𝑃𝐹 𝐱𝑡𝑠 = 𝐱̌ 𝑡 , 𝑡𝑠 = 𝑡
{ [ 𝐮∗𝑡 = (
𝑠
) , (22)
[ ( )] 1 ( )
VarQ 𝑃̂𝐹 ,Q 𝒯 , 𝑁 = EQ 𝐼𝛺𝐹 (𝒯 ) 𝐱̌ 𝑡 𝑃𝐹 𝐱𝑡𝑠 = 𝐱̌ 𝑡 , 𝑡𝑠 = 𝑡
𝑁
( )] ( )
𝑡𝑒
⊺
𝑡𝑒
⊺
where ∇𝐱𝑡 𝑃𝐹 𝐱𝑡𝑠 = 𝐱̌ 𝑡 , 𝑡𝑖 = 𝑡 is the gradient of 𝑃𝐹 with the initial
𝑠
× exp −2 𝐮𝜏 d𝐰̌ 𝜏 − 𝐮𝜏 𝐮𝜏 d𝜏 (17) condition 𝐱𝑡𝑠 = 𝐱̌ 𝑡 at time 𝑡𝑠 = 𝑡. The optimal control 𝐮∗𝑡 leads to a zero-
∫ 𝑡𝑠 ∫ 𝑡𝑠
} variance estimator [44]. As for time-invariant problems, the optimal
− 𝑃𝐹2 (𝒯 ) . IS probability measure with 𝐮∗𝑡 is not directly implementable since 𝐮∗𝑡
depends on the estimates of the failure probability and its gradient for
different values of 𝐱𝑡𝑠 and 𝑡𝑠 . However, the general form of 𝐮∗𝑡 is the
We can derive 𝐮∗𝑡 by invoking the stochastic control theory [42]. To starting point to design implementable controls 𝐮̂ ∗𝑡 .
facilitate the optimization, we focus on the part of Eq. (17) that involves
the unknown control 𝐮𝑡 . We cast the optimization problem as 2.3. Scope of this review paper on importance sampling methods for relia-
( ) [ ( )] bility analysis
𝜓 𝐱̌ 𝑡𝑠 , 𝑡𝑠 = min EQ 𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡 , (18)
𝐮𝑡
( ) [ ( )] This review paper discusses several notable importance sampling
( ) 𝑡 ⊺ 𝑡 ⊺ ∗ (𝐱) for time-invariant reliability
with 𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡 = ln 𝐼𝛺𝐹 (𝒯 ) 𝐱̌ 𝑡 exp −2 ∫𝑡 𝑒 𝐮𝜏 d𝐰̌ 𝜏 − ∫𝑡 𝑒 𝐮𝜏 𝐮𝜏 d𝜏 , methods developed to approximate 𝑞𝐼𝑆
𝑠 𝑠
where the logarithmic transformation ln (⋅) leaves the solution 𝐮∗𝑡 un- analysis. We also briefly discuss available methods to approximate the
changed. optimal control 𝐮∗𝑡 for the time-variant reliability analysis of dynamical
{ [ ( We must
)]} also consider the constraint
EQ exp 𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡 ≥ 𝑃𝐹2 (𝒯 ) in finding 𝐮∗𝑡 . The optimal control 𝐮∗𝑡 systems. The scope of the IS methods goes well beyond reliability
satisfies the Hamilton–Jacobi–Bellman equation [43] formulated next. analysis; researchers have implemented them in different areas, in-
cluding particle filtering [45,46], statistical signal processing [47], and
( By discretizing
) 𝒯 into sub-intervals with increments 𝛥𝑡, we express
Bayesian inference [48]. These applications are usually concerned with
𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡 as
estimating a probability distribution that is known up to a propor-
tionality constant (e.g., the posterior distribution in Bayesian infer-
( ) [ ( )]
𝑡𝑒 −𝛥𝑡
∑ ⊺ 𝑡𝑒 −𝛥𝑡
∑ ⊺ ence) or estimating its statistical moments. This review paper focuses
𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡𝑠 , … , 𝐮𝑡𝑒 −𝛥𝑡 = ln 𝐼𝛺𝐹 (𝒯 ) 𝐱̌ 𝑡 − 2 𝐮𝜏 𝛥𝐰̌ 𝜏 − 𝐮𝜏 𝐮𝜏 𝛥𝑡,
specifically on IS methods developed for reliability analysis, aiming to
𝜏=𝑡𝑠 𝜏=𝑡𝑠
approximate 𝑞𝐼𝑆 ∗ (𝐱) in Eq. (11) or 𝐮∗ in Eq. (22). The current literature
𝑡
(19) includes a wide range of methods to approximate 𝑞𝐼𝑆 ∗ (𝐱) and 𝐮∗ ; we
𝑡
group these methods into two general classes depending on whether
leading to the following optimization problem for 𝐮𝑡𝑠 , … , 𝐮𝑡𝑒 −𝛥𝑡 [42]: or not they use the derived optimal solution in Eq. (11) or (22). The
( ) [ ( )] first class, called density approximation methods, deals with methods
𝜓 𝐱̌ 𝑡𝑠 , 𝑡𝑠 = min EQ 𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡𝑠 , … , 𝐮𝑡𝑒 −𝛥𝑡 that directly approximate 𝑞𝐼𝑆 ∗ (𝐱) by a member of a family of parametric
𝐮𝑡𝑠 ,…,𝐮𝑡𝑒 −𝛥𝑡
{ or nonparametric probability density functions. The second class, called
⊺
= min −𝐮𝑡 𝐮𝑡𝑠 𝛥𝑡 limit-state approximation methods, deals with methods that exploit the
𝐮𝑡𝑠 𝑠

)]} general form of 𝑞𝐼𝑆 ∗ (𝐱) ∝ 𝐼

[ ( 𝛺𝐹 (𝐱) 𝑝 (𝐱) while approximating the limit-
+ min EQ 𝑣 𝐱̌ 𝑡𝑠 +𝛥𝑡 , 𝑡𝑠 + 𝛥𝑡, 𝐮𝑡𝑠 +𝛥𝑡 , … , 𝐮𝑡𝑒 −𝛥𝑡 state function 𝑔 (𝐱) in the definition of 𝐼𝛺𝐹 (𝐱). In the next two sections,
𝐮𝑡𝑠 +𝛥𝑡 ,…,𝐮𝑡𝑒 −𝛥𝑡
{ [ ( )]} these two classes of IS methods will be discussed in a consistent theoret-
⊺
= min −𝐮𝑡 𝐮𝑡𝑠 𝛥𝑡 + EQ 𝜓 𝐱̌ 𝑡𝑠 +𝛥𝑡 , 𝑡𝑠 + 𝛥𝑡 ical framework for comparison purposes, notable contributions under
𝐮𝑡𝑠 𝑠
{ each class will be reviewed, and their key characteristics, advantages,
( )
⊺ and limitations will be highlighted.
= min − 𝐮𝑡 𝐮𝑡𝑠 𝛥𝑡 + 𝜓 𝐱̌ 𝑡𝑠 , 𝑡𝑠
𝐮𝑡𝑠 𝑠
[ ( ) ( ) ] ( )
+ 𝛥𝑡 𝐚 𝐱̌ 𝑡𝑠 , 𝑡𝑠 + 𝐁 𝐱̌ 𝑡𝑠 , 𝑡𝑠 𝐮𝑡𝑠 ⋅ ∇𝜓 𝐱̌ 𝑡𝑠 , 𝑡𝑠 3. Density approximation methods
( )
𝜕𝜓 𝐱̌ 𝑡𝑠 , 𝑡𝑠 Density approximation methods generally involve two main tasks,
+ 𝛥𝑡 defining the space of candidate densities ̂ ⊆  to approximate 𝑞𝐼𝑆 ∗ (𝐱),
𝜕𝑡 }
[ ( ) ( )] ( ) ( ) and finding a density 𝑞̂𝐼𝑆 ⋄ (𝐱) ∈  ̂ that closely approximates 𝑞 ∗ (𝐱). Re-
𝛥𝑡 𝐼𝑆
+ 𝐁 𝐱̌ 𝑡𝑠 , 𝑡𝑠 𝐁⊺ 𝐱̌ 𝑡𝑠 , 𝑡𝑠 ∶ ∇2 𝜓 𝐱̌ 𝑡𝑠 , 𝑡𝑠 +  𝛥𝜏 2 , call that  is the space of admissible IS densities. The first task restricts
2
the space of candidate densities that the learning algorithm is allowed
(20) ⋄ (𝐱), and the second task requires a learning algorithm
to search for 𝑞̂𝐼𝑆
( ) ⋄ (𝐱) as a function of training data 
{ (𝑚) }
where the second line follows by substituting 𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡𝑠 , … , 𝐮𝑡𝑒 −𝛥𝑡 to find 𝑞̂𝐼𝑆 𝑀 = 𝐱 ∶ 𝑚 = 1, … , 𝑀
sampled from 𝑞𝐼𝑆 ∗ (𝐱). Since ̂ ⊆ , it is implicit in the definition of ̂
with Eq. (19), separating its first term at time 𝑡𝑠 from the rest, and
( ) in the first task that 𝑞̂𝐼𝑆 (𝐱) > 0 for all 𝑞̂𝐼𝑆 (𝐱) ∈ ̂ and 𝐱 ∈ 𝛺𝐹 , unless
using EQ 𝛥𝐰̌ 𝜏 = 0; the third line follows from the definition
( of 𝜓 (⋅, ⋅);
) 𝐼𝛺𝐹 (𝐱) 𝑝 (𝐱) = 0. To clarify the role of each task, we decompose the
and, the last line follows from the Taylor expansion of 𝜓 𝐱̌ 𝑡𝑠 +𝛥𝑡 , 𝑡𝑠 + 𝛥𝑡
( ) incurred error in the learning process as
about 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , and substituting d𝐱̌ 𝑡 with Eq. (14). Letting 𝛥𝑡 → 0 in [ ∗ ⋄
] [ ∗ ∗
] [ ∗ ⋄
]
𝑑 𝑞𝐼𝑆 (𝐱) , 𝑞̂𝐼𝑆 (𝐱) ≤ 𝑑 𝑞𝐼𝑆 (𝐱) , 𝑞̂𝐼𝑆 (𝐱) + 𝑑 𝑞̂𝐼𝑆 (𝐱) , 𝑞̂𝐼𝑆 (𝐱) , (23)
Eq. (20) yields the Hamilton–Jacobi–Bellman equation
[ ] that follows from the triangle inequality [49], where 𝑑 (⋅, ⋅) is a measure
𝜕𝜓 1 ( ⊺)
+ min −𝐮⊺ 𝐮 + (𝐚 + 𝐁𝐮) ⋅ ∇𝜓 + 𝐁𝐁 ∶ ∇2 𝜓 = 0, (21) of the distance between two densities; and 𝑞̂𝐼𝑆 ̂ is the best possi-
∗ (𝐱) ∈ 
𝜕𝑡 𝐮 2
ble density in ̂ to approximate 𝑞𝐼𝑆 ∗ (𝐱) ∗ (𝐱)
(i.e., 𝑞̂𝐼𝑆
where ∇ and ∶ are the gradient and contraction operators. We dropped [ ∗ ]
= arg min𝑞̂ ∈̂ 𝑑 𝑞𝐼𝑆 (𝐱) , 𝑞̂𝐼𝑆 (𝐱) .) The first term on the right-hand
𝐼𝑆
the arguments and indices of functions in Eq. (21) for the brevity of side of Eq. (23), i.e., the distance between 𝑞𝐼𝑆 ∗ (𝐱) and 𝑞̂∗ (𝐱), is the
𝐼𝑆
notation. It can be shown that 𝐮{∗𝑡 that
[ (satisfies the
)]}Hamilton–Jacobi– approximation error that depends on the complexity of the search
Bellman equation subject to EQ exp 𝑣 𝐱̌ 𝑡𝑠 , 𝑡𝑠 , 𝐮𝑡 ≥ 𝑃𝐹2 (𝒯 ) will be space .̂ The second term on the right-hand side of Eq. (23), i.e., the

4
A. Tabandeh et al. Structural Safety 97 (2022) 102216

∗ (𝐱) and 𝑞̂⋄ (𝐱), is the estimation error that depends

distance between 𝑞̂𝐼𝑆 importance sampling is an effort to reduce the estimation error while
𝐼𝑆
on the learning algorithm, training data 𝑀 , and the complexity of managing the computational [ cost. In adaptive
] importance sampling,
̂ The overall performance of a learning algorithm depends on the
. the evaluation of E𝑝 𝐼𝛺𝐹 (𝐱) ln 𝑞̂𝐼𝑆 (𝐱, 𝜣) undergoes several rounds of
interplay between these two sources of error. In general, for a given refinement to draw sufficient samples from the failure domain 𝛺𝐹 such
learning algorithm and training data 𝑀 , expanding ̂ can reduce the that a convergence criterion is met (e.g., based on the CoV of the failure
approximation error at the cost of increasing the likelihood of larger probability estimate.) If the computational cost of evaluating the limit-
estimation errors. state function 𝑔 (𝐱) is 𝑐𝑔 , the total computational cost of estimating
Next, we discuss parametric and nonparametric methods to define 𝑃𝐹 based on this IS method will become (𝑀 + 𝑁) 𝑐𝑔 , where 𝑀 is the
̂ and to develop the learning algorithm. Parametric methods usually number of training data 𝑀 required ⋄
( ) to estimate 𝜣 and 𝑁 is the
define ̂ based on a finite mixture model, a convex combination ⋄
number of samples 𝑁 from 𝑞̂𝐼𝑆 𝐱, 𝜣 required to estimate 𝑃𝐹 based
of probability distributions from a parametric family. Alternatively, on Eq. (9). For the desired level of accuracy, the numbers of ( 𝑔 (𝐱))
the (joint) IS density 𝑞̂𝐼𝑆 (𝐱) in ̂ might be designed as 𝑞̂𝐼𝑆 (𝐱) = evaluations 𝑀 and 𝑁 are dependent, implying that a refined 𝑞̂𝐼𝑆 𝐱, 𝜣 ⋄
[ ( ) ( ) ] ( ) ( )
𝒯 𝑞̂𝐼𝑆 𝑥1 , … , 𝑞̂𝐼𝑆 𝑥𝑑 ; 𝝍 , where 𝑞̂𝐼𝑆 𝑥1 , … , 𝑞̂𝐼𝑆 𝑥𝑑 are paramet- can reduce the number of samples 𝑁 in Eq. (9), and vice versa.
ric marginal densities and 𝒯 (⋅) is a parametric function with a vector of The broader literature of the IS technique also includes several
parameters 𝝍 to model the dependence structure of 𝑞̂𝐼𝑆 (𝐱). Examples of variants of adaptive methods that are less explored in the context of
density approximation methods with this design are copula models [50] reliability analysis. Notable examples are Adaptive Multiple IS [55,61]
and generative models [51,52] based on neural networks [53]. Non- and Adaptive Population IS [62,63] methods. In the Adaptive Multiple
parametric methods, however, allow the functional form of densities in IS method, 𝑞̂𝐼𝑆 (𝐱, 𝜣) is a deterministic mixture model with a grow-
̂ to grow indefinitely with training data and, hence, significantly ex- ing number of components. ( ) The adaptive process starts with a single
pand the search space .̂ A notable example of nonparametric methods, parametric PDF 𝑞 [1] 𝐱, 𝜽[1] and the number of components grows with
discussed in this section, is the kernel density and its adaptive variants. each adaptive step.
) After 𝐽 steps, the ( IS density becomes 𝑞̂𝐼𝑆 (𝐱, 𝜣) =
∑𝐽 1 [𝑗] ( )
𝑗=1 𝐽 𝑞 𝐱, 𝜽[𝑗] , where each 𝑞 [𝑗] 𝐱, 𝜽[𝑗] generates the same fixed
3.1. Importance sampling using finite mixture models (say, 𝑀) number of samples (i.e., 𝑞̂𝐼𝑆 (𝐱, 𝜣) is a deterministic mixture
′
model.) At each Step 𝑗 ′ (∈ {1, …), 𝐽 }, the vector of parameters 𝜽[𝑗 ] of the
[𝑗 ′
] [𝑗′ ]
3.1.1. Formulation added component 𝑞 𝐱, 𝜽 is estimated using all the sampled data
[ ( )]
For parametric importance sampling methods (e.g., [10,54–59]), we up to Step 𝑗 ′ (i.e., evaluating E𝑝 𝐼𝛺𝐹 (𝐱) ln 𝑞 [𝑗 ] 𝐱, 𝜽[𝑗 ]
′ ′
in Eq. (26)
may
{ define a search space in terms of finite}mixture models as ̂ = ∑𝑗 ′ −1 1 [𝑗] ( )
∑ ( ) ( ) using the IS estimator in Eq. (9) with 𝑞̂𝐼𝑆 (𝐱) ≡ 𝑗=1 𝑗 ′ −1 𝑞 𝐱, 𝜽[𝑗] .)
𝑞̂𝐼𝑆 (𝐱, 𝜣) = 𝐾𝑘=1 𝑤𝑘 𝑞𝑘 𝐱, 𝜽𝑘 ∶ 𝜣 ∈▵𝐾 ×
𝐾 , where 𝜣 = 𝐰, 𝜽
1∶𝐾
The Adaptive Population IS method follows ) a similar idea with the
are
{ model parameters; } 𝐾 is the vector of mixture weights;
𝐰 ∈▵ ▵ = ∑𝐾 1 (
∑ ( ) 𝐾 difference that 𝑞̂𝐼𝑆 (𝐱, 𝜣) = 𝑞 𝐱, 𝜽 𝑘 is a deterministic mix-
𝐰 ∈ [0, 1]𝐾 ∶ 𝐾 𝑘=1 𝑤𝑘 = 1 is a probability simplex; 𝑞𝑘 𝐱, 𝜽𝑘 is a 𝑘=1 𝐾 𝑘
ture model with a given number of components 𝐾 that is not evolv-
mixture component, a parametric PDF with parameters 𝜽𝑘 ∈ ; 
ing with the adaptive steps. As before, the deterministic (part )im-
denotes the space of all possible values of 𝜽𝑘 ; and 𝐾 is the prescribed
( ) plies that the number of samples from each component 𝑞𝑘 𝐱, 𝜽𝑘 is
number of mixture components. The selected 𝐾 and form of 𝑞𝑘 𝐱, 𝜽𝑘
fixed. At adaptive Step 𝑗 ∈ {1, … , 𝐽 }, we( can update ) the estimate
control the approximation error.
of 𝜽𝑘 using the sampled data from 𝑞𝑘[𝑗−1] 𝐱, 𝜽[𝑗−1] (i.e., evaluating
We then need to equip ̂ with a distance measure, required to define [ ( )]
𝑘

convergence. A typical distance measure is the relative entropy (also E𝑝 𝐼𝛺𝐹 (𝐱) ln 𝑞𝑘 𝐱, 𝜽𝑘 in Eq. (26) using the IS estimator in Eq. (9) with
( )
known as the Kullback–Leibler (KL) divergence) [60], which is defined 𝑞̂𝐼𝑆 (𝐱) ≡ 𝑞𝑘[𝑗−1] 𝐱, 𝜽[𝑗−1] .) The 𝐾 components of the mixture model are
𝑘
for two densities 𝑞1 (𝐱) and 𝑞2 (𝐱) as treated as separate IS densities in the adaptive process; however,
∑ ( )the
[ ] [ ] mixture model in its complete form (i.e., 𝑞̂𝐼𝑆 (𝐱) ≡ 𝐾 1
𝑞𝑘 𝐱, 𝜽𝑘 ) is
𝐷𝐾𝐿 𝑞1 (𝐱) ∥ 𝑞2 (𝐱) = 𝑞1 (𝐱) ln 𝑞1 (𝐱) − ln 𝑞2 (𝐱) d𝐱, (24) 𝑘=1 𝐾
∫𝒳 used in Eq. (9) to estimate the failure probability. A review of these
where 𝐷𝐾𝐿 (⋅ ∥ ⋅) is the relative entropy or KL divergence. Strictly methods and their performances in the context of signal processing
speaking, 𝐷𝐾𝐿 is not a proper distance measure since it is not symmetric can be found in [64,65]. The consistency of the adaptive IS methods
[ ] [ ] when 𝑁, 𝑀 → ∞ with a fixed number of adaptive steps 𝐽 follows from
(i.e., 𝐷𝐾𝐿 𝑞1 (𝐱) ∥ 𝑞2 (𝐱) ≠ 𝐷𝐾𝐿 𝑞2 (𝐱) ∥ 𝑞1 (𝐱) ) and does not satisfy the
triangle inequality. Nonetheless, 𝐷𝐾𝐿 provides useful information to the same argument discussed in Section 2.2. However, evaluating the
∗ (𝐱, 𝜣) ∈ .
find the optimal IS density 𝑞̂𝐼𝑆 ̂ Finding 𝑞̂∗ (𝐱, 𝜣) ∈ ̂ then consistency of the estimator when 𝐽 → ∞ with fixed 𝑁 and 𝑀 is more
𝐼𝑆
nuanced since the estimator at each adaptive step is usually biased (see
amounts to solving the following optimization problem:
[ ∗ ] the discussion in [60,63].)
𝜣 ∗ = arg min 𝐷𝐾𝐿 𝑞𝐼𝑆 (𝐱) ∥ 𝑞̂𝐼𝑆 (𝐱, 𝜣) ∗
𝜣∈▵𝐾 × 𝐾 (For dynamical)systems, one idea is to approximate 𝐮𝑡 by replacing
(25) 𝑃𝐹 𝐱𝑡𝑖 = 𝐱̌ 𝑡 , 𝑡𝑖 = 𝑡 in Eq. (22) with the 𝑃𝐹 (⋅) of an equivalent linear
∗
= arg max 𝑞𝐼𝑆 (𝐱) ln 𝑞̂𝐼𝑆 (𝐱, 𝜣) d𝐱, system [66,67]. This method can yield reasonable approximations for
𝜣∈▵𝐾 × 𝐾 ∫𝒳
mildly nonlinear systems, but the results become unsatisfactory with
where the transition to the second line follows from the definition of the increasing level of nonlinearity [68]. A viable solution to this
∗ (𝐱) ∝
𝐷𝐾𝐿 and retaining only the terms that involve 𝜣. Substituting 𝑞𝐼𝑆 limitation is based on the work of Tanaka [5], where 𝐮∗𝑡 is approximated
𝐼𝛺𝐹 (𝐱) 𝑝 (𝐱) from Eq. (11) into Eq. (25) then yields by a design-point excitation — the most likely sample path of 𝐰̇ 𝑡
(𝐰̇ 𝑡 d𝑡 = d𝐰𝑡 ) in Eq. (5) out-crossing the failure boundary at a given
𝜣 ∗ = arg max 𝐼𝛺𝐹 (𝐱) ln 𝑞̂𝐼𝑆 (𝐱, 𝜣) 𝑝 (𝐱) d𝐱 time 𝑡 = 𝑡𝑘 . The idea is first to cast the problem of approximating 𝐮∗𝑡
𝜣∈▵𝐾 × 𝐾 ∫𝒳
[ ] (26) as a time-invariant reliability analysis and then use FORM to find the
= arg max E𝑝 𝐼𝛺𝐹 (𝐱) ln 𝑞̂𝐼𝑆 (𝐱, 𝜣) , design-point excitation. The time-invariant reliability analysis is based
𝜣∈▵𝐾 × 𝐾
[ ] on the discrete representation of d𝐰𝑡 in Eq. (5) in terms of a finite set
where E𝑝 𝐼𝛺𝐹 (𝐱) ln 𝑞̂𝐼𝑆 (𝐱, 𝜣) is estimated based on the training data of random vectors, leading to the discrete governing equation
𝑀 , using the Monte Carlo estimator (c.f. Eq. (2)) or, more effi- ( ) ( )
𝐱𝜏+𝛥𝑡 = 𝐱𝜏 + 𝐚 𝐱𝜏 , 𝜏 𝛥𝑡 + 𝐁 𝐱𝜏 , 𝜏 𝛥𝐰𝜏 , (27)
ciently, the importance sampling estimator (c.f. Eq.
[ (9)). The selected] √
estimator, number of samples, landscape of E𝑝 𝐼𝛺𝐹 (𝐱) ln 𝑞̂𝐼𝑆 (𝐱, 𝜣) , for 𝜏 = 𝑡𝑠 , … , 𝑡𝑒 − 𝛥𝑡, with the initial condition 𝐱𝑡𝑠 , and 𝛥𝐰𝜏 = 2𝜋𝛥𝑡𝐳𝜏 ,
and optimization algorithm collectively control the estimation error; where 𝐳𝜏 is the vector of independent and identically distributed stan-
hence, the optimization problem may yield 𝜣 ⋄ instead of 𝜣 ∗ . Adaptive dard Gaussian random variables at time 𝜏. The time-integration in

5
A. Tabandeh et al. Structural Safety 97 (2022) 102216

Eq. (27) is the Euler–Maruyama scheme. A good introduction to differ- 3.1.2. Characteristics, challenges, and recent developments
ent time-integration schemes for stochastic differential equations can A common finite mixture model is the Gaussian mixture, where
( )
be found in [69]. the mixture components are Gaussian distributions. i.e., 𝑞𝑘 𝐱, 𝜽𝑘 ≡
( ) 𝑑
The design-point excitation at time 𝑡 = 𝑡𝑘 is the result of the 𝑘 𝐱, 𝝁𝑘 , 𝜮 𝑘 , where 𝝁𝑘 ∈ R is the component mean vector, and
𝜮 𝑘 ∈ R𝑑×𝑑 is the component covariance matrix. Gaussian mixture
following time-invariant reliability analysis [70,71]: ( )
with a free parameter 𝐾 is dense in 𝐿2 𝛺𝐹 (e.g., [73]), the space
⎧ ⎫ of square-integrable densities; thus, by letting 𝐾 grow indefinitely, the
( ) ⎪ ∑ ⊺ [ ( )] ⎪ ∗ (𝐱) as close as
∗
𝐳 𝑡𝑘 = arg min ⎨ 𝐳𝜏 𝐳𝜏 ∶ 𝑔 𝐳 𝑡𝑘 ≤ 0⎬ , (28) Gaussian mixture model can in principle approach 𝑞𝐼𝑆
⎪𝜏∈{𝑡𝑠 ,…,𝑡𝑒 −𝛥𝑡} ⎪ desired (i.e., it reduces the approximation error.) However, the number
⎩ ⎭ of unknown model parameters rapidly increases with 𝐾, as does the
[( ) ]
( ) likelihood of a larger estimation error, unless the number of training
that is solved using FORM, where 𝐳∗ 𝑡𝑘 = vec 𝐳𝑡∗ , … , 𝐳𝑡∗ −𝛥𝑡 is a data 𝑀 increases accordingly. The number of unknown model param-
𝑠 𝑒 𝑡=𝑡𝑘
column vector [with( operator vec)] (⋅) stacking columns into a vector, and eters also rapidly increases with the dimensionality of the uncertain
[ ( )]
𝑔 𝐳 𝑡𝑘 = 𝑔 𝐱𝑡𝑘 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 . The design-point excitation yields state variables (a Gaussian mixture model with 𝐾 components for
( ) √ ∑ state variables 𝐱 of dimension 𝑑 includes (𝐾 − 1) + 𝐾𝑑 + 𝐾𝑑 (𝑑 + 1) ∕2
the control 𝐮̂ ∗𝑡 𝑡𝑘 = 2𝜋∕𝛥𝑡 𝜏∈{𝑡𝑠 ,…,𝑡𝑒 −𝛥𝑡} 𝐳𝜏∗ 𝛿 (𝑡 − 𝜏). Substituting
( ) unknown model parameters in 𝐰, 𝝁1∶𝐾 , and 𝜮 1∶𝐾 .) The rapid growth
∗
𝐮̂ 𝑡 𝑡𝑘 into Eq. (14), we can find the response of the system under the ( )
( ) rate of parameters  𝑘𝑑 2 (also known as the curse of dimensionality)
effect of 𝐮̂ ∗𝑡 𝑡𝑘 as
of Gaussian mixture models limits their use to estimate small failure
[ ( ) ( ) ( )] ( ) probabilities for high-dimensional problems (i.e., 𝑑 ≳ 100.)
𝐱̌ 𝜏+𝛥𝑡 = 𝐱̌ 𝜏 + 𝐚 𝐱̌ 𝜏 , 𝜏 + 𝐁 𝐱̌ 𝜏 , 𝜏 𝐮̂ ∗𝑡 𝑡𝑘 𝛥𝑡 + 𝐁 𝐱̌ 𝜏 , 𝜏 𝛥𝐰̌ 𝜏 , (29)
The current literature includes several efforts to overcome the curse
for 𝜏 = 𝑡𝑠 , … , 𝑡𝑒 − 𝛥𝑡. The first-passage failure event is not restricted to of dimensionality problem while maintaining the general flexibility of
finite mixture models in approximating 𝑞𝐼𝑆 ∗ (𝐱). These efforts exploit
a single out-crossing event at the specific time 𝑡 = 𝑡𝑘 . Instead, we need
( ) [ ] ̂ In
to find 𝐮̂ ∗𝑡 𝑡𝑘 for all 𝑡𝑘 ∈ 𝑡𝑠 , 𝑡𝑒 . The out-crossing times 𝑡𝑘 and their the specific properties of 𝛺𝐹 in high-dimensional space to define 𝑄.
( ) high-dimensional standard Gaussian probability space, the
associated controls 𝐮̂ ∗𝑡 𝑡𝑘 are not equally likely, but have a probability √ probability
distribution [38]. Following Bucher [72], we can express the first-order density concentrates about the surface of a ball of radius 𝑑 (e.g., [74,
75]). Leveraging this property, Wang and Song [58] proposed a von
approximation of the out-crossing time’s PDF as:
[ ( )] Mises–Fisher mixture model for importance sampling whose samples
( ) 𝛷 −𝛽 𝑡𝑘 d𝜏 are on the surface of a ball in R𝑑 . This method reduces the growth
𝑤𝑘 = 𝑓 𝑡𝑘 = 𝑡 , ( )
∫𝑡 𝑒 𝛷 [−𝛽 (𝜏)] d𝜏 rate of parameters from  𝑘𝑑 2 in Gaussian mixtures to  (𝑘𝑑); though,
𝑠
[ ∗ ( )] (30) it requires a transformation from the original probability space to the
( ) ∇𝐳(𝑡𝑘 ) 𝑔 𝐳 𝑡𝑘
∗
( ) standard Gaussian probability space. The von Mises–Fisher mixture
𝛽 𝑡𝑘 = − [ ( )]‖ 𝐳 𝑡 ,
‖ 𝑘
model is exclusively designed for high-dimensional importance sam-
‖∇𝐳(𝑡𝑘 ) 𝑔 𝐳∗ 𝑡𝑘 ‖
‖ ‖ pling since the required density concentration property does not hold
( )
where 𝛽 𝑡𝑘 is the reliability index of the out-crossing event at time in low-dimensional space. Alternatively, the variants of dimensionality
| ( )| reduction techniques (e.g., [76–79]) can be used to first identify a
𝑡 = 𝑡 (the magnitude of the reliability index simplifies to |𝛽 𝑡𝑘 | =
√ 𝑘 | |
𝑡 ∗⊺ low-dimensional subspace of 𝒳 in which the training data 𝑀 re-
∫𝑡 𝑒 𝐳𝜏 𝐳𝜏∗ d𝜏), and 𝛷 (⋅) is the standard Normal (Gaussian) probability
𝑠 { } side, and then develop the finite mixture model for the projected
distribution function. Letting 𝑡𝑘 ∈ 𝑡𝑠 , … , 𝑡𝑒 − 𝛥𝑡 , we replace the inte- 𝑀 on the identified low-dimensional subspace. The presented IS
∑ [ ( )] ( )
grand in the definition of 𝑤𝑘 with 𝑡𝑘 ∈{𝑡𝑠 ,…,𝑡𝑒 −𝛥𝑡} 𝛷 −𝛽 𝑡𝑘 𝛿 𝜏 − 𝑡𝑘 , method for dynamical systems also offers a solution for academic type
leading to a probability mass function for the out-crossing time. high-dimensional problems (i.e., idealized dynamical systems driven
Accordingly, we can express the IS estimate of the failure probabil- by stochastic processes.) The computational cost of finding design-
ity as point excitations for many out-crossing times is a significant challenge
( ) to implement this IS method for more realistic nonlinear dynamical
( ) 𝑝 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 systems. There have been some recent efforts to facilitate the computa-
𝑃𝐹 = 𝐼 𝐱̌ ( ) tion of design-point excitations (see, for example, [40].) However, the
∫R𝑑×𝐾 𝛺𝐹 𝑡 (31)
𝑞𝐼𝑆 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 controls defined based on the design-point excitation generally carry
( )
the limitations of FORM, discussed earlier. Other methods of designing
× 𝑞𝐼𝑆 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 d𝐳𝑡𝑠 … d𝐳𝑡𝑒 −𝛥𝑡 ,
such (stochastic) controls require an advanced level of knowledge on
( ) ∏ ∏ ( ) the stochastic control theory, making any possible solutions even less
where 𝑝 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 = 𝜏∈{𝑡𝑠 ,…,𝑡𝑒 −𝛥𝑡} 𝑑𝑖=1 𝜙 𝑧𝑖,𝜏 is the base joint
convenient.
PDF, ( in which ) 𝜙 (⋅) is the standard
( Normal ) (Gaussian) PDF; and
∑
𝑞𝐼𝑆 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 = 𝐾 𝑘=1 𝑤𝑘 𝑞𝑘 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 is the IS density, a mix- 3.2. Importance sampling using kernel densities
ture of standard Normal (Gaussian) densities ( centered
) at∏design-points
{ ∗( ) }
𝐳 𝑡𝑘 ∶ 𝑘 = 1, … , 𝐾 , in which 𝑞𝑘 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 = 𝜏∈{𝑡𝑠 ,…,𝑡𝑒 −𝛥𝑡} 3.2.1. Formulation
∏𝑑 ( )
∗ with the bijective mapping {1, … , 𝐾} ↔ For nonparametric importance sampling methods (e.g.,
𝑖=1 𝜙 𝑧𝑖,𝜏 − 𝑧𝑖,𝜏 ; 𝑡𝑘 {
{ } [8,9,80–83]), we may define the search space as ̂ = 𝑞̂𝐼𝑆} (𝐱, 𝜃) = 1∕
𝑡𝑠 , … , 𝑡𝑒 − 𝛥𝑡 . ( ) ∑ [( ) ]
𝑀 (𝑚) ∕𝜃 ∶ 𝐾 (𝐱) ≥ 0, ∫ 𝐾 (𝐱) d𝐱 = 1 , where 𝐾
We can retrieve the discrete counterpart of the Radon–Nikodym 𝑀𝜃 𝑑 𝑚=1 𝐾𝑞 𝐱 − 𝐱 𝑞 𝒳 𝑞 𝑞
( ) is a kernel density, a non-negative function that integrates to one; 𝜃 > 0
derivative in Eq. (15) by setting 𝐮̂ ∗𝑡 ≡ 𝐮̂ ∗𝑡 𝑡𝑘 and 𝑞𝐼𝑆 (⋅) ≡ 𝑞𝑘 (⋅) in
is a model parameter, called bandwidth. A common kernel density is
Eq. (31) [38]. Each sample from 𝑞𝐼𝑆 (⋅) yields a particular control 𝐮̂ ∗𝑡 = ( )
( ) based on the Gaussian kernel, defined as 𝐾𝐺 (𝐱) ∝ exp −1∕2𝐱𝜮 −1 𝐱⊺ ,
𝐮̂ ∗𝑡 𝑡𝑘 with probability 𝑤𝑘 . Associated with the selected control is a
where 𝜮 can be taken as the covariance matrix of the sampled data 𝑀
sample path of 𝐱̌ 𝑡 , obtained
( from the
) numerical solution of Eq. (29). to capture the spread of data in different directions. We may use 𝐿1 -
For each realization 𝐳𝑡𝑠 , … , 𝐳𝑡𝑒 −𝛥𝑡 ∼ 𝑞𝐼𝑆 , finding the sample path norm to measure the distance between 𝑞̂𝐼𝑆 (𝐱, 𝜃) ∈ ̂ and 𝑞𝐼𝑆∗ (𝐱) for the

𝐱̌ 𝑡(𝑛) amounts to solving a first-order deterministic initial value problem. given 𝑀 . We gain insight into the overall performance of the kernel
( ) ( )
Given a set of sampled pairs 𝐮̂ ∗𝑡 𝑡𝑘 and 𝐱̌ 𝑡(𝑛) , we can estimate the failure density estimator by evaluating the behavior of its 𝐿1 -error  𝑀 =
‖ ∗ (𝐱)‖
probability using the IS estimator in Eq. (16) (or, equivalently, Eq. (9).) ‖𝑞̂𝐼𝑆 (𝐱, 𝜃) − 𝑞𝐼𝑆 ‖ 1 (i.e., error defined based on the 𝐿1 -norm.) As
‖ ‖𝐿

6
A. Tabandeh et al. Structural Safety 97 (2022) 102216

( ) ∗ (𝐱). It can
before,  𝑀 is( a random ) function of samples 𝑀 ∼ 𝑞𝐼𝑆 together with the sensitivity factor 𝛼 (i.e., the unknown model parame-
( )
be shown that  𝑀 has a bounded difference (i.e., if we change ters in the optimization problem in Eq. (34) become 𝜣 = 𝛼, 𝜃1 , … , 𝜃𝑑 .)
the value of any 𝐱(𝑚) in the definition ( of )𝑞̂𝐼𝑆 (𝐱, 𝜃) while keeping all The broader literature includes more variants of adaptive methods for
the others fixed, then the value of  𝑀 will not change by more nonparametric IS density that are not explored in the context of reli-
than
( (a finite value); accordingly, ) the McDiarmid’s inequality yields ability analysis. A notable example is the Standard Population Monte
| ) [ ( )]| ( )
P | 𝑀 − E𝑞 ∗  𝑀 | > 𝜀 ≤ 2 exp −𝑀𝜀2 ∕2 [84]. This result Carlo method [87] that caused a resurgence of interest in adaptive IS
| |
explains how quickly the 𝐿1 -error decays with the number of training methods after earlier contributions by, for example, Oh and Berger [48]
data 𝑀 . (see [64,65] for more background.) In this adaptive method, 𝑞̂𝐼𝑆 (𝐱, 𝜣)
The task of finding 𝑞̂𝐼𝑆 ∗ (𝐱, 𝜃) ∈  ̂ amounts to finding 𝜃 ∗ such is a deterministic mixture with 𝑀 components, where each 𝐱(𝑚) ∈ 𝑀
( )
∗
that a discrepancy measure between 𝑞̂𝐼𝑆 (𝐱, 𝜃) and 𝑞𝐼𝑆 ∗ (𝐱) is minimized. is drawn from a specific density 𝑞̂𝑚 𝐱, 𝜽𝑚 . The mixture components
Examples of such discrepancy measures include the KL divergence and can all belong to a given family of probability distributions (e.g., all
‖ ∗ (𝐱)‖ . A common discrepancy measure is the 𝐿2 -error,
‖𝑞̂𝐼𝑆 (𝐱, 𝜃) − 𝑞𝐼𝑆 ‖ 1 Gaussian) with different parameters, or each component can have its
( )
‖ ‖𝐿
which yields own parametric form. In updating the estimates of 𝜣 = 𝜽1 , … , 𝜽𝑀 ,
‖ ‖ the adaptive process involves a re-sampling step that aims to address
𝜃 ∗ = arg min ‖𝑞̂𝐼𝑆 (𝐱, 𝜃) − 𝑞𝐼𝑆 ∗
(𝐱)‖ 2
𝜃∈R+ ‖ ‖𝐿 the degeneracy problem arising due to samples with small IS weights
(32) ( ) ( )
| ∗ |2 (i.e., samples 𝐱(𝑚) with 𝑝 𝐱(𝑚) ∕𝑞̂𝑚 𝐱(𝑚) , 𝜽𝑚 ≪ 1.) The interested
= arg min |𝑞̂𝐼𝑆 (𝐱, 𝜃) − 𝑞𝐼𝑆 (𝐱)| d𝐱,
𝜃∈R+ ∫𝒳 | | reader is referred to [47] (Chapter 5) for the schematic illustration of
the degeneracy problem and the solution offered by the re-sampling
where R+ indicates positive real numbers. The 𝐿2 -error in the above
step in the context of particle filtering.
optimization problem assigns equal weights to small and large differ-
ences between 𝑞̂𝐼𝑆 (𝐱, 𝜃) and 𝑞𝐼𝑆∗ (𝐱), leading to poor tail estimate of
3.2.2. Characteristics, challenges, and recent developments
𝑞̂𝐼𝑆 (𝐱, 𝜃). However, the accuracy of the tail estimate is the most relevant
to failure probability. Introducing a weighting function can help avoid It is known that the adaptive kernel density in Eq. (36) may suffer
the dominance of large error values in regions closer to the density from the curse of dimensionality, where the number of required train-
mode(s). Accordingly, we may rewrite the optimization problem as ing data 𝑀 rapidly increases with the number of dimensions 𝑑. One
idea to overcome the curse of dimensionality is to focus on the most
1 | |2
𝜃 ∗ = arg min ∗
|𝑞̂ (𝐱, 𝜃) − 𝑞𝐼𝑆 (𝐱)| d𝐱, (33) influential or important random variables and develop the IS density
( )
𝜃∈R+ ∫𝒳 𝑞̂𝐼𝑆 (𝐱, 𝜃) | 𝐼𝑆 |
for those random variables (i.e., focus on optimizing 𝑞̂𝐼𝑆 𝐱𝑢 , 𝜣 , where
where the weighting function 1∕𝑞̂𝐼𝑆 (𝐱, 𝜃) captures the importance of the 𝐱𝑢 is a sub-vector of 𝐱 indexed by 𝑢 ⊆ {1, … , 𝑑}.) Jia and Taflanidis
tail estimate by inflating small error values in the tail. [88] proposed a probabilistic sensitivity analysis method to identify 𝐱𝑢 ,
Minimizing the weighted 𝐿2 -error in Eq. (33) is equivalent to mini- a sub-vector of random variables that contribute the most to the failure
mizing the variance of the failure probability estimator in Eq. (7) using probability estimate.
𝑞̂𝐼𝑆 (𝐱, 𝜃) as the IS density (see [85] for the proof.) Substituting Eq. (8) Another idea to overcome the curse of dimensionality is to de-
into Eq. (7) and using the estimator of E𝑞 [⋅] (c.f. Eq. (6)) yields [8] velop efficient sampling algorithms for generating 𝑀 . The adaptive IS
[ ( ) ] method in [9] uses the Markov Chain Monte Carlo (MCMC) simulation
1 ∑
𝑀
∗ 𝑃𝐹 𝑝 𝐱(𝑚)
𝜃 = arg min ( ) − 𝑃𝐹 , (34) algorithm to generate 𝑀 , which is an improvement with respect to
𝜃∈R+ 𝑁 𝑀 𝑚=1 𝑞̂𝐼𝑆,∼𝑚 𝐱(𝑚) , 𝜃
earlier contributions that used the standard MC simulation (e.g., [8]).
( ) [ ] ∑𝑀 [( (𝑛) ) ]
where 𝑞̂𝐼𝑆,∼𝑛 𝐱(𝑛) , 𝜃 = 1∕ (𝑀 − 1) 𝜃 𝑑 − 𝐱(𝑚) ∕𝜃 . However, the MCMC algorithm (with a low acceptance rate) may gen-
𝑚=1,𝑚≠𝑛 𝐾𝑞 𝐱
The above expression can be further simplified, retaining only the erate many repeated samples, leading to a reduced number of distinct
terms that involve the unknown parameter 𝜃. The selected discrepancy samples for kernel density estimation. For this, the idea that Jia et al.
measure, estimators, number of samples, and optimization algorithm [89] proposed can be applied, where the adaptive kernel density with
collectively control the estimation error; hence, the optimization prob- an accept-reject simulation algorithm is used to efficiently generate
lem may yield 𝜃 ⋄ instead of 𝜃 ∗ . The number of training data 𝑀 and 𝑀 , rather than using the kernel density only for the failure probability
number of samples 𝑁 from 𝑞̂𝐼𝑆 ⋄ (𝐱, 𝜃) = 𝑞̂ (𝐱, 𝜃 ⋄ ) to estimate 𝑃 in estimation. Recent algorithmic advances like in Metropolis adjusted
𝐼𝑆 𝐹
Eq. (6) can be increased if the estimator’s variance from Eq. (7) exceeds Langevin diffusion algorithm (e.g., [90,91]) and Hamiltonian Monte
the desired acceptable level. As before, the total computational cost of Carlo (e.g., [92,93]) made it possible to improve the acceptance rate of
estimating 𝑃𝐹 based on this IS method is (𝑀 + 𝑁) 𝑐𝑔 . MCMC algorithm and accelerate the exploration of the failure domain
A large value of 𝜃 ⋄ may lead to over-smoothed 𝑞̂𝐼𝑆 (𝐱, 𝜃 ⋄ ), whereas ∗ (𝐱) is transformed
𝛺𝐹 . In these algorithms, the task of sampling from 𝑞𝐼𝑆
a small value of 𝜃 ⋄ may lead to spurious noises in the tail of 𝑞̂𝐼𝑆 (𝐱, 𝜃 ⋄ ) into simulating from a dynamical system, governed by an over-damped
due to sparse samples [9]. Adaptive kernel density estimate [8,9] is Langevin equation, whose response is a Markov process with 𝑞𝐼𝑆 ∗ (𝐱) as

an effort to address these issues by adjusting the bandwidth according the density of its stationary distribution (e.g., [83].)
to the samples’ sparsity. The strategy is to introduce a local correction
factor 𝜆𝑛 for 𝜃 associated with 𝐱(𝑛) ∈ 𝑀 as [8] 4. Limit-state approximation methods
[ ( (𝑚) )]1∕𝑀 ⎫𝛼
⎧ ∏𝑀
⎪ 𝑚=1 𝑝 𝐱 ⎪ 4.1. Formulation
𝜆𝑛 = ⎨ ( ) ⎬ , (35)
⎪ 𝑝 𝐱(𝑛) ⎪
⎩ ⎭ The objective of limit-state approximation methods (e.g., [11,24,
where 𝛼 ∈ [0, 1] is the sensitivity factor, for which a value of 𝛼 = 0.5 28,94–97]) is to develop a fast-to-evaluate surrogate 𝑔̂ ⋄ (𝐱) that closely
is suggested based on experience [86]. Setting 𝛼 = 0 or equivalently approximates the computationally demanding 𝑔 (𝐱). We can then write
𝜆𝑛 = 1 leads to the fixed-bandwidth kernel density. We then write the ⋄ (𝐱) ∝ 𝐼 ̂⋄ ⋄
the IS density as 𝑞̂𝐼𝑆 𝛺̂ 𝐹⋄ (𝐱) 𝑝 (𝐱), where 𝛺𝐹 = {𝐱 ∈ 𝒳 ∶ 𝑔̂ (𝐱) ≤ 0}
general form of the adaptive kernel densities in the search space ̂ as is the approximated failure domain. Since ̂ ⊆ , the surrogate 𝑔̂ ⋄ (𝐱)
( ) of a well-defined IS density 𝑞̂⋄ (𝐱) should satisfy 𝛺̂ ⋄ ⊇ 𝛺𝐹 . The
1 ∑
𝑀
1 𝐱 − 𝐱(𝑚) 𝐼𝑆 𝐹
𝑞̂𝐼𝑆 (𝐱, 𝜃) = ( )𝑑
𝐾𝑞 . (36) development of 𝑔̂ ⋄ (𝐱) involves two main tasks, defining the space of
𝑀 𝑚=1 𝜆 𝜃 𝜆𝑚 𝜃
𝑚 candidate surrogates ̂ to approximate 𝑔 (𝐱), and finding a surrogate
The adaptive method 𝑔̂ ⋄ (𝐱) ∈ ̂ that closely approximates 𝑔 (𝐱). The first task restricts the
( ) might be further refined to consider separate
bandwidths 𝜃1 , … , 𝜃𝑑 for different coordinates of 𝐱 and optimize them space of candidate surrogates that the learning algorithm is allowed to

7
A. Tabandeh et al. Structural Safety 97 (2022) 102216

[ ( )]⊺
search for 𝑔̂ ⋄ (𝐱), and the second task requires a learning algorithm to 1, … , 𝑀; 𝐠 = 𝑔 𝐱(𝑚) is the column vector of limit-state functions
[ ( )]⊺
find 𝑔̂ ⋄ (𝐱). We can bound the total error ‖𝑔̂ ⋄ (𝐱) − 𝑔 (𝐱)‖𝐿2 (𝑝) as evaluated at training data 𝑀 ; 𝐇 = 𝐡 𝐱(𝑚) is the matrix that collects
the basis functions values evaluated at training data 𝑀 ; and 𝐑 =
‖𝑔̂ ⋄ (𝐱) − 𝑔 (𝐱)‖ 2 ≤ ‖𝑔̂ ⋄ (𝐱) − 𝑔̂ ∗ (𝐱)‖ 2 + ‖𝑔̂ ∗ (𝐱) − 𝑔 (𝐱)‖ 2 , (37)
‖ ‖𝐿 (𝑝) ‖ ‖𝐿 (𝑝) ‖ ‖𝐿 (𝑝) 𝐡 (𝐱) − 𝐇𝐊−1 𝐤⊺ (𝐱). It can also be shown that the maximum likelihood
√ ( )−1
estimate of the unknown model parameters is 𝜽⋄ = 𝐇𝐊−1 𝐇⊺ 𝐇𝐊−1 𝐠
where ‖⋅‖𝐿2 (𝑝) = ∫ |⋅|2 𝑝 (𝐱) d𝐱 is the 𝐿2 (𝑝)-norm; and 𝑔̂ ∗ (𝐱) ∈ ̂ (e.g., [99]).
( )
is the surrogate with the minimum 𝐿2 (𝑝)-error in ̂ (i.e., 𝑔̂ ∗ (𝐱) = The covariance function 𝐾 𝐱, 𝐱′ of the Gaussian process also in-
arg min𝑔(𝐱)∈
̂ ̂ ‖𝑔̂ (𝐱) − 𝑔 (𝐱)‖𝐿2 (𝑝) .) The overall performance of a learn- cludes some unknown hyperparameters that need to be estimated.
ing algorithm depends on the interplay between the estimation error Hence, the results presented so far are conditioned on the estimates
‖𝑔̂ ⋄ (𝐱) − 𝑔̂ ∗ (𝐱)‖𝐿2 (𝑝) and the approximation error ‖𝑔̂ ∗ (𝐱) − 𝑔 (𝐱)‖𝐿2 (𝑝) . of these hyperparameters. It is the estimation of these hyperparame-
We further explain the error analysis through a general regression ters that controls the estimation error and may cause achieving 𝑔̂ ⋄ (𝐱)
{ }
problem. Let ̂ = 𝑔̂ (𝐱) ∈ 𝐾 (𝒳 ) ∶ ‖𝑔̂ (𝐱)‖𝐾 ≤ 𝜌 be the search space, instead of 𝑔̂ ∗ (𝐱). The estimation of the unknown model parameters
where 𝐾 (𝒳 ) is a reproducing kernel Hilbert space, equipped with a often entails an iterative two-step process between the estimation of
Mercer kernel 𝐾 ∶ 𝒳 × 𝒳 → R (e.g., [98]); and 𝜌 is the regularization ( )
𝜽⋄ and the hyperparameters in 𝐾 𝐱, 𝐱′ until a convergence criterion
constant, with a similar role as a prior distribution in Bayesian infer- is met. We finally remark that the mean function 𝝁⋄ (𝐱) of the esti-
ence (e.g., [99]). For every function 𝑔̂ (𝐱) ∈ 𝐾 (𝒳 ), there exists some
∑ ( ) mated Gaussian process in Eq. (36) resembles typical functions in a
𝑠 ∈ N, 𝜉1 , … , 𝜉𝑠 ∈ R, and 𝐱1 , … , 𝐱𝑠 ∈ 𝒳 such that 𝑔̂ (𝐱) = 𝑠𝑖=1 𝜉𝑖 𝐾 𝐱𝑖 , 𝐱 reproducing kernel Hilbert space; to help see the analogy, we rewrite
(e.g., [84].) We can then express the kernel-induced norm as ‖𝑔̂ (𝐱)‖𝐾 = ∑ ( (𝑚) )
√ ( ) the mean function as 𝜇 ⋄ (𝐱) = 𝐡⊺ (𝐱) 𝜽⋄ + 𝑀 𝑚=1 𝜉𝑚 𝐾 𝐱, 𝐱 , where
∑𝑠 −1
( ⊺ ⋄
)
̂ 𝝃=𝐊 𝐠−𝐇 𝜽 .
𝑖 ,𝑖 =1 𝜉𝑖1 𝜉𝑖2 𝐾 𝐱𝑖1 , 𝐱𝑖2 . The defined search space  is general and
1 2
closely related to the search space of the Gaussian process regression Predictions based on 𝑔̂ ⋄ (𝐱) should ideally consider the statistical
(see, for example, [99,100].) We also assume that 𝑔̂ (𝐱) is bounded with uncertainty arising from the estimates of model parameters and model
probability one (i.e., |𝑔̂ (𝐱)| ≤ 𝐵 for some constant 𝐵 < ∞.) Using the uncertainty captured by 𝝈 ⋄ (𝐱). The current methods in the litera-
least-square algorithm, we obtain 𝑔̂ ⋄ (𝐱) from ture, however, typically use a point estimate of the model parameters
(e.g., maximum a posterior estimate) and set 𝑔̂ ⋄ (𝐱) = 𝜇 ⋄ (𝐱). Though,
1 ∑ | ( (𝑚) )
𝑀
( )|2 the approach in [24] uses the predictive estimate of 𝐼𝛺̂ ⋄ (𝐱) in the
𝑔̂ ⋄ (𝐱) = arg min |𝑔̂ 𝐱 − 𝑔 𝐱(𝑚) | , (38) 𝐹
𝑔(𝐱)∈
̂ ̂ 𝑀 | | definition of 𝑞̂⋄ (𝐱) ∝ 𝐼 ̂ ⋄ (𝐱) 𝑝 (𝐱). The predictive estimate 𝐼̃ ̂ ⋄ (𝐱)
𝑚=1 𝐼𝑆 𝛺𝐹 𝛺𝐹
{ } incorporates model uncertainty as
where the training data 𝑀 = 𝐱(𝑚) ∶ 𝑚 = 1, … , 𝑀 are sampled from [ ⋄ ]
[ ] ( ) 𝜇 (𝐱)
𝑝 (𝐱). Hajek and Raginsky [84] showed that with confidence 1 − 𝛾, the
𝐼̃𝛺̂ ⋄ (𝐱) = E 𝐼𝛺̂ ⋄ (𝐱) = P 𝐱 ∈ 𝛺̂ 𝐹⋄ = 𝛷 − ⋄ . (41)
least-square result 𝑔̂ ⋄ (𝐱) satisfies 𝐹 𝐹 𝜎 (𝐱)
( )2 In the point estimate of 𝐼𝛺̂ ⋄ (𝐱), the random function 𝑔̂ ⋄ (𝐱) is
𝐵 + 𝐶𝐾 𝜌
‖𝑔̂ ⋄ (𝐱) − 𝑔 (𝐱)‖ 2 ≤ ‖𝑔̂ ∗ (𝐱) − 𝑔 (𝐱)‖ 2 + 16 √
𝐹
‖ ‖𝐿 (𝑝) ‖ ‖𝐿 (𝑝) replaced by its mean function 𝜇 ⋄ (𝐱) in the definition of 𝛺̂ 𝐹⋄ . The point
𝑀 (39)
√ estimate is only an approximation of the predictive estimate that can
( 2 ) 8 ln (1∕𝛾) be obtained from the Taylor expansion of a smoothed version of 𝐼𝛺̂ ⋄ (𝐱)
+ 𝐵 + 𝐶𝐾2 𝜌2 ,
𝑀 around 𝜇⋄ (𝐱). Using the predictive estimate, we can then write 𝑞̂𝐼𝑆 ⋄𝐹 (𝐱)
√
where 𝐶𝐾 = sup𝐱∈𝒳 𝐾 (𝐱, 𝐱) < ∞. We learn from the above expres- as
̂ 𝐼̃𝛺̂ ⋄ (𝐱) 𝑝 (𝐱)
sion that the estimation error for the √ considered search space  and
⋄ 𝐹
least-square algorithm decays with 𝑀. 𝑞̂𝐼𝑆 (𝐱) = , (42)
𝑃𝐹⋄
The distinction among available limit-state approximation methods
is arising from the design of the search space ̂ and the learning where 𝑃𝐹⋄ = ∫𝒳 𝐼̃𝛺̂ ⋄ (𝐱) 𝑝 (𝐱) d𝐱 is the base failure probability estimate by
𝐹
algorithm to find 𝑔̂ ⋄ (𝐱). Examples of surrogates with different designs of the mere replacement of 𝐼𝛺𝐹 (𝐱) with 𝐼̃𝛺̂ ⋄ (𝐱) (i.e., before applying the
̂ and learning algorithms include the variants of response surface [11– IS modification.) Substituting 𝑞𝐼𝑆 (𝐱) = 𝑞̂𝐼𝑆 ⋄𝐹 (𝐱) in the failure probability
15], support vector regression [16–19], neural network [20–23], Gaus- integral in Eq. (8) yields
sian process [24–26], and polynomial chaos expansion [27,28]. More
𝑝 (𝐱) ⋄
recently, importance sampling based on the Gaussian process surrogate 𝑃𝐹 = 𝐼𝛺𝐹 (𝐱) ⋄ (𝐱) 𝑞̂𝐼𝑆 (𝐱) d𝐱
∫𝒳 𝑞̂𝐼𝑆
has received increasing attention; hence, the rest of this section mainly
𝐼𝛺𝐹 (𝐱) [ ] (43)
focuses on this limit-state approximation method.
=𝑃𝐹⋄ 𝑞̂⋄ (𝐱) d𝐱 = 𝑃𝐹⋄ 𝐷𝐼𝑆 𝑔 (𝐱) , 𝑔̂ ⋄ (𝐱) ,
Gaussian process regression builds on the premise that the ac- ∫𝒳 𝐼̃ ̂ ⋄
𝛺 (𝐱) 𝐼𝑆
𝐹
tual limit-state function 𝑔 (𝐱) is a realization of an underlying Gaus-
sian process; hence, the generated search space ̂ consists of random where 𝐷𝐼𝑆 (⋅, ⋅) ≥ 0 is the correction factor of applying importance
functions 𝑔̂ (𝐱) = 𝐡⊺ (𝐱) 𝜽 + 𝜀 (𝐱), where 𝐡⊺ (𝐱) 𝜽 is the mean func- sampling (a measure of distance between the actual and approximated
tion, in which 𝐡 (𝐱) is the vector of basis functions; 𝜽 is the vector limit-state functions.)
( ( )) Replacing the computationally demanding 𝑔 (𝐱) with a fast-to-
of model parameters; and 𝜀 (𝐱) ∼  0, 𝐾 𝐱, 𝐱′ is a zero-mean
( ′) evaluate 𝑔̂ ⋄ (𝐱) enables evaluating 𝑃𝐹⋄ and 𝐷𝐼𝑆 using standard MC]
Gaussian process with covariance function 𝐾 𝐱, 𝐱 . It can be shown [
that the optimization problem in Eq. (38) for the designated ̂ and ⋄ ̃
estimators. Specifically, the standard MC estimator of 𝑃 = E𝑝 𝐼 ̂ ⋄ (𝐱)
{ } 𝐹 𝛺𝐹
training data 𝑀 = 𝐱(𝑚) ∶ 𝑚 = 1, … , 𝑀 sampled from 𝑝 (𝐱) yields is
𝑔̂ (𝐱) ∼  (𝜇 (𝐱) , 𝜎 (𝐱)) (e.g., [99]), where  (𝜇 ⋄ (𝐱) , 𝜎 ⋄ (𝐱)) is a Nor-
⋄ ⋄ ⋄
( ) 𝑁1
mal (Gaussian) distribution with mean 𝜇 ⋄ (𝐱) and standard deviation 1 ∑ ̃ ( (𝑚) )
𝑃̂𝐹⋄ 𝑁1 = 𝐼 ̂⋄ 𝐱 , (44)
𝑁1 𝑚=1 𝛺𝐹
𝜎 ⋄ (𝐱) defined as
( )
𝜇 ⋄ (𝐱) =𝐡⊺ (𝐱) 𝜽⋄ + 𝐤⊺ (𝐱) 𝐊−1 𝐠 − 𝐇⊺ 𝜽⋄ , where 𝐱(1) , … , 𝐱(𝑁1 ) ∈ 𝑁1 are statistically independent samples from
√ (40)
( )−1 𝑝 (𝐱).[ Likewise, the ] standard MC estimator of 𝐷𝐼𝑆 =
𝜎 ⋄ (𝐱) = 𝐾 (𝐱, 𝐱) − 𝐤⊺ (𝐱) 𝐊−1 𝐤 (𝐱) + 𝐑⊺ 𝐇𝐊−1 𝐇⊺ 𝐑, E𝑞̂⋄ 𝐼𝛺𝐹 (𝐱) ∕𝐼̃𝛺̂ ⋄ (𝐱) is
[ ( )]⊺ 𝐼𝑆 𝐹
in which 𝐤 (𝐱) = 𝐾 𝐱, 𝐱(𝑚) is the column vector of covariances ( (𝑛) )
( (𝑚) ) [ ( )] ( ) 𝑁2
⋄
between 𝑔̂ (𝐱) and 𝑔̂ 𝐱 ⋄ , for 𝑚 = 1, … , 𝑀; 𝐊 = 𝐾 𝐱(𝑛) , 𝐱(𝑚) is ̂ 1 ∑ 𝐼𝛺𝐹 𝐱
( ) ( ) 𝐷𝐼𝑆 𝑁2 = ( ), (45)
the matrix of covariances between 𝑔̂ ⋄ 𝐱(𝑛) and 𝑔̂ ⋄ 𝐱(𝑚) , for 𝑛, 𝑚 = 𝑁2 𝑛=1 𝐼̃𝛺̂ ⋄ 𝐱(𝑛)
𝐹

8
A. Tabandeh et al. Structural Safety 97 (2022) 102216

where 𝐱(1) , … , 𝐱(𝑁2 ) ∈ 𝑁2 are statistically independent samples from
⋄ (𝐱). The number of samples 𝑁 and 𝑁 for each estimator can be
𝑞̂𝐼𝑆
1 2
decided according to the desired accuracy level of accuracy captured
by the CoV of the estimator. In the end, the failure probability can be
estimated from
( ) ( ) ( )
𝑃̂𝐹 𝑁1 , 𝑁2 = 𝑃̂𝐹⋄ 𝑁1 𝐷̂ 𝐼𝑆 𝑁2 , (46)
√ ( ⋄) ( ) ( )
with a CoV of 2
𝛿𝑀𝐶 𝑃̂𝐹 + 𝛿𝑀𝐶
2 𝐷̂ 𝐼𝑆 , holds for 𝛿𝑀𝐶 𝑃̂𝐹⋄ ,
( ) ( ⋄) ( )
𝛿𝑀𝐶 𝐷̂ 𝐼𝑆 ≪ 1 [24], where 𝛿𝑀𝐶 𝑃̂𝐹 and 𝛿𝑀𝐶 𝐷̂ 𝐼𝑆 are the CoVs of
the estimators in Eqs. (25) and (26).
The sampling algorithm that generates the training data 𝑀 to find
𝑔̂ ⋄ (𝐱) plays a crucial role in controlling the computational cost and in
bounding the estimation error. As before, the total computational cost
( )
of estimating 𝑃𝐹 based on this IS method is 𝑁1 𝑐𝑔̂ + 𝑀 + 𝑁2 𝑐𝑔 , where
𝑐𝑔̂ is the computational cost of evaluating the surrogate 𝑔̂ ⋄ (𝐱). Selecting
more informative training data 𝑀 can help reduce this computational
cost. Adaptive methods using active learning techniques offer a solution
to select such informative data points. From a small set of training data,
a sequential strategy is followed, where each step provides the next
best (set of) training data point(s) to be included in 𝑀 that would
help improve the surrogate, IS density, or failure probability estimate.
In the context of IS, a perfect surrogate only needs to correctly predict
the sign of 𝑔 (𝐱) for every 𝐱 ∈ 𝒳 , or equivalently, correctly classify
each 𝐱 ∈ 𝛺𝐹 . Thus, active learning techniques usually select the next
best (set of) training data point(s) from the subsets of 𝒳 in which
the surrogate has the highest misclassification likelihood (i.e., data
points for which 𝜇 ⋄ (𝐱) is close to zero and 𝜎 ⋄ (𝐱) is large.) There have
been many efforts to improve the classification accuracy of different
surrogates based on adaptive methods (e.g., [94,101–103].) A recent
account of available adaptive methods in the literature to improve
𝑔̂ ⋄ (𝐱) can be found in [104].
4.2. Characteristics, challenges, and recent developments
analysis. These techniques, however, have been barely explored in the
context of limit-state approximation methods for importance sampling.
A recent development can be found in [109].
A series of hybrid methods have also been developed that leverage a
low-fidelity surrogate 𝑔̂ ⋄ (𝐱) to generate a large set of training data 𝑀
that are then used to estimate a parametric or a nonparametric IS den-
sity (e.g., [53,95,110–112]). These methods are distinguished by their
employed surrogate and density approximation methods. For example,
the design of the IS density in [112] avoids the usual optimization
step to estimate the unknown parameters of the IS density. Instead,
⋄ (𝐱) is a weighted empirical density designed as follows: a large set
𝑞̂𝐼𝑆
of training data sampled from 𝑝 (𝐱) are partitioned into failure 𝛺̂ 𝐹⋄ =
{𝐱 ∈ 𝒳 ∶ 𝑔̂ ⋄ (𝐱) ≤ 0} and safe 𝛺̂ 𝑆⋄ = {𝐱 ∈ 𝒳 ∶ 𝑔̂ ⋄ (𝐱) > 0} subsets. The
( )
⋄ (𝐱) = ∑𝑀 𝑤 𝛿 𝐱 − 𝐱(𝑚) is then developed,
empirical IS density 𝑞̂𝐼𝑆
𝑚=1 𝑚 ∑ ( )
where the weights are determined such that 𝑚∶𝐱(𝑚) ∈𝛺̂ ⋄ 𝑤𝑚 𝛿 𝐱 − 𝐱(𝑚) =
∑ ( ) 𝐹
(𝑚) . Instead of using active learning techniques
⋄ 𝑤𝑚 𝛿 𝐱 − 𝐱
𝑚∶𝐱(𝑚) ∈𝛺̂ 𝑆
to improve the performance of 𝑔̂ ⋄ (𝐱) in regions close to the limit-
state surface 𝑔 (𝐱) = 0, the actual limit-state function 𝑔 (𝐱) is used for
estimating 𝑃𝐹 in Eq. (9) when |𝑔̂ ⋄ (𝐱)| ≤ 𝜅 for a positive real 𝜅. This
is because, under specific conditions, the mere use of 𝑔̂ ⋄ (𝐱) to estimate
𝑃𝐹 can lead to erroneous results regardless of 𝑔̂ ⋄ (𝐱) accuracy [27,110].
The hyperparameter 𝜅 is a key factor in controlling the computational
cost of the IS estimator in Eq. (9). Refs. [27,110,112] have developed
iterative algorithms to select 𝜅 based on heuristics.
5. Performances of importance sampling methods
This section discusses the performance of the reviewed IS methods
in terms of their accuracy and computational cost, considering five
benchmark reliability problems. These problems serve to illustrate
some of the key characteristics of the reviewed IS methods based on
their standard implementations. Though it might be possible to improve
the standard implementation of each method with extra efforts, it is not
pursued herein.

In evaluating the failure probability, the importance of misclassifi- 5.1. Benchmark problem 1: Component with a parabolic limit-state function
cation is more prominent for those 𝐱’s that are in the vicinity of the
design-point(s) (i.e., the point(s) with the highest failure probability.) The first example is a component reliability problem with two
Limited research has considered the importance of data in the adaptive design-points. The limit-state function is a parabola, defined as [113]
improvements of 𝑔̂ ⋄ (𝐱). For example, Dubourg et al. [24] considered ( )2
the importance of data by sampling the next best set of training 𝑔 (𝐱) = 5 − 𝑥2 − 0.5 𝑥1 − 0.1 , (47)
data points from the current estimate of 𝑞̂𝐼𝑆⋄ (𝐱). In a slightly different
where 𝑥1 and 𝑥2 are statistically independent and identically distributed
context, Breitung [105] proposed a novel approach that reduces the random variables with standard Gaussian distributions. The optimal IS
computational cost of sampling by first finding the design-point(s) ∗ (𝐱) ∝ 𝐼
( ) ( )
density is 𝑞𝐼𝑆 𝜙 𝑥1 𝜙 𝑥2 in which the failure domain is
through a global optimization method. In the standard Gaussian space, {( 𝛺𝐹 (𝐱)
) ( )2 }
defined as 𝛺𝐹 = 𝑥1 , 𝑥2 ∈ R2 ∶ 5 − 𝑥2 − 0.5 𝑥1 − 0.1 ≤ 0 .
the computed design-point indicates that 𝛺𝐹 stays outside the sphere
The functional form of the IS density according to the considered
𝑆𝛽 (0) centered at the origin and has radius 𝛽 (reliability index). A sam-
{ } approximation methods are
pling algorithm is then used to explore for 𝛺𝐹 ⊆ 𝒳 ⧵ 𝑆𝛽 (0) , starting
from the vicinity of the design-point(s). More recently, Kim and Song ∑
𝐾
( )
[106] proposed an adaptive method that combines misclassification Gaussian mixture: 𝑞̂𝐼𝑆 (𝐱, 𝜣) = 𝑤𝑘 𝑘 𝐱, 𝝁𝑘 , 𝜮 𝑘 ,
uncertainty with a data importance measure defined in terms of the 𝑘=1
[ 𝑑 ( )]
Euclidean distance from the design-point(s) in the standard Gaussian 1 ∑ ∏ 1
𝑀
𝑥𝑖 − 𝑥(𝑚)
𝑖
space. The estimation of the design-point(s) is based on the current Kernel density: 𝑞̂𝐼𝑆 (𝐱, 𝜣) = 𝐾 ,
𝑀 𝑚=1 𝑖=1 𝜆𝑚 𝜃𝑖 𝐺 𝜆𝑚 𝜃 𝑖
estimate of 𝑔̂ ⋄ (𝐱).
𝐼̃𝛺̂ (𝐱) 𝑝 (𝐱)
Limit-state approximation methods can significantly reduce the Gaussian process: 𝑞̂𝐼𝑆 (𝐱, 𝜣) = 𝐹
.
computational cost of evaluating the failure probability. However, ∫𝒳 𝐼̃𝛺̂ (𝐱) 𝑝 (𝐱) d𝐱
𝐹
as for the density approximation methods, the curse of dimension-
(48)
ality can limit the use of surrogates for high-dimensional problems
( )
(i.e., problems with 𝑑 ∼  102 .) The variants of dimensionality We compare the performances of these methods (Gaussian mixture,
reduction techniques can help overcome this issue by mapping the Kernel density, and Gaussian process) in terms of their computational
high-dimensional 𝐱 into a lower dimensional space such that specific cost and estimation accuracy. We use the number of 𝑔 (𝐱) evaluations
statistical properties are preserved. The distinction among different di- as the proxy of the computational cost. The convergence criterion
mensionality reduction techniques arises from the applied mapping and of simulations in all reliability analyses is based on the CoV of the
( )
the considered statistical properties. Kernel dimension reduction [107] estimator 𝑃̂𝐹 𝑁 , which is set to 0.05. Fig. 1 shows the optimal IS
and gradient-based kernel dimension reduction [108] are two examples ∗
density 𝑞𝐼𝑆 (𝐱) together with the estimated IS densities according to
that implemented dimensionality reduction techniques in regression the three IS methods. Each subfigure shows the contour plot of the

9
A. Tabandeh et al.
Fig. 1. The contour plots of estimated IS densities for the component reliability problem with a parabolic limit-state function.
estimated IS density, superimposed on the limit-state surface 𝑔 (𝐱) =
( ) ( )
0 and the base PDF 𝑝 (𝐱) = 𝜙 𝑥1 𝜙 𝑥2 . The figure enables the
qualitative comparison of the three IS methods in terms of capturing
the general shape of 𝑞𝐼𝑆∗ (𝐱). The estimated IS densities based on all
the three approximation methods have concentrated around the two
design-points on 𝑔 (𝐱) = 0. However, 𝑞̂𝐼𝑆 (𝐱, 𝜣) based on the Gaussian
process approximation of 𝑔 (𝐱) captures the general shape of 𝑞𝐼𝑆 ∗ (𝐱)
more closely. An improved IS density can significantly facilitate the
estimation of the failure probability.
Table 1 summarizes the performances of the three IS methods. The
Monte Carlo estimate of 𝑃𝐹 with 𝛿𝑀𝐶 = 0.05 is 3.02×10−3 . To implement
these methods, we use the Python toolbox from https://www.bgu.
tum.de/era/software/ for the Gaussian mixture IS method [114], our
own Matlab® codes for the kernel density IS method, and the Matlab-
based uncertainty quantification toolbox, called UQLab, from https:
//www.uqlab.com/ for the Gaussian process IS method [115]. The
specific settings of the three IS methods used in this example are as
follows: (1) The Gaussian mixture model consists of two components
(i.e., 𝐾 = 2), and we use the adaptive algorithm developed in [114]
to estimate its unknown model parameters. The algorithm converges
in four steps with 2000 training data per step (i.e., 2000 evaluations
of 𝑔 (𝐱) per step.) (2) For the kernel density method, to establish
the initial failure samples needed to build the kernel density, we use
the adaptive sampling algorithm developed in [89] within the Subset
10
Structural Safety 97 (2022) 102216
Simulation [116]. Three subset levels (with level probability 0.(1) and
a total of 2500 simulations are needed to generate the 𝑀 = 50
initial failure samples. (3) For the Gaussian process regression, we
initially select a set of 10 = max {10, 2𝑑} training data points using
Latin Hypercube Sampling [117]. We then use the adaptive algorithm
based on the active learning technique developed in [94] to select
additional training data that help improve the model performance. The
( )
convergence criterion is based on 𝛿𝑀𝐶 𝑃̂𝐹⋄ (see Eq. (46)), set to 0.03.
In this example, we use the ordinary Gaussian process regression with
an unknown constant mean (i.e., 𝑔̂ (𝐱) = 𝜃0 + 𝜀 (𝐱).)
The obtained results indicate that the estimated failure probabilities
from different methods are comparable for the selected convergence
criterion. However, there are significant differences in their computa-
tional costs. For each method, the table reports the number of 𝑔 (𝐱)
evaluations for the training of the respective model and for IS simula-
tions. For example, 6000 + 636 in the first row implies that we use 6000
evaluations of 𝑔 (𝐱) to train the Gaussian mixture and conduct addi-
tional 636 evaluations of 𝑔 (𝐱) for IS simulations. A close approximation
∗ can significantly reduce the computational cost of the IS simu-
of 𝑞𝐼𝑆
lations. In this example, the limit-state approximation method based
on the Gaussian process is computationally superior to the two density
approximation methods. It follows that the Gaussian process regression
can closely approximate the smooth parabolic limit-state function in
this example with only a few 𝑔 (𝐱) evaluations (i.e., 41). Also, the IS
A. Tabandeh et al. Structural Safety 97 (2022) 102216

Table 1 Table 2
The performances of three IS methods to solve the component reliability problem with The performances of three IS methods to solve the component reliability problem with
a parabolic limit-state function. a metaball limit-state function.
Method Number of 𝑔 (𝐱) evaluations Failure probability Method Number of 𝑔 (𝐱) evaluations Failure probability
Gaussian mixture 6000 + 636 3.08 × 10−3 Gaussian mixture 7000 + 359 1.60 × 10−8
Kernel density 2500 + 300 2.70 × 10−3 Kernel density 9700 + 200 2.11 × 10−8
Gaussian process 41 + 100 3.05 × 10−3 Kernel density (MCMC) 135 + 2500 1.24 × 10−5
Gaussian process 29 + 100 1.07 × 10−5

based on MCMC with multiple chains starting from points uniformly

Fig. 2. The landscape of the metaball limit-state function, its level-sets, and the search
path to find the design-point on the limit-state surface. (For interpretation of the
references to color in this figure legend, the reader is referred to the web version
of this article.)
∗ . However,
density in this method has the same functional form as 𝑞𝐼𝑆
in the density approximation methods, the training of 𝑞̂𝐼𝑆 (𝐱, 𝜣) requires
samples from the failure domain 𝛺𝐹 that, in turn, requires many 𝑔 (𝐱)
evaluations. Also, the functional forms of 𝑞̂𝐼𝑆 (𝐱, 𝜣) are different from
∗ and their training involves a highly non-convex optimization. These
𝑞𝐼𝑆
∗ with a
factors control the quality of 𝑞̂𝐼𝑆 (𝐱, 𝜣) in approximating 𝑞𝐼𝑆
limited number of 𝑔 (𝐱) evaluations.
5.2. Benchmark problem 2: Component with changing topological structure
The second example is a component reliability problem with the
changing topological structure of its level-sets {𝐱 ∈ 𝒳 ∶ 𝑔 (𝐱) = 𝑐} as the
constant 𝑐 approaches 0 from above (i.e., 𝑐 ↓ 0). Adaptive methods that
gradually move towards the design-point(s) can break down due to the
changes in the topological structure of the level-sets (see [118,119] for
more discussion.) The limit-state function of this example is a metaball,
defined as [118]
30
𝑔 (𝐱) = [ ]2
( )2
4 𝑥1 + 2 ∕9 + 𝑥22 ∕25 + 1
(49)
20
+ [ ]2 −5
( )2 ( )2
𝑥1 − 2.5 ∕4 + 𝑥2 − 0.5 ∕25 + 1
where 𝑥1 and 𝑥2 are statistically independent and identically distributed
random variables with standard Gaussian distributions. Fig. 2 illus-
trates the changing topological structure of the level-sets, where the
path of the points on the level-sets with the shortest distance to the
origin has a discontinuity. Fig. 2 shows this path as 𝑐 in the level-set
{𝐱 ∈ 𝒳 ∶ 𝑔 (𝐱) = 𝑐} varies from 20 to 0. The top plot in the figure also
shows the limit-state surface (curve herein) in red, which is the level-set
with 𝑐 = 0.
As in the first example, we compare the performances of the three IS
methods in terms of their computational cost and estimation accuracy.
However, in this example, we use two different algorithms to generate
the initial samples needed to build the kernel density. One is based
on the adaptive sampling algorithm developed in [89] used within the
Subset Simulation [116] (labeled kernel density), and the other one is
generated in the plane [−6, 6]2 (labeled kernel density (MCMC).) The
convergence criterion in all reliability analyses is based on the CoV of
( )
the estimator 𝑃̂𝐹 𝑁 , set to 0.05. Fig. 3 shows the optimal IS density
∗ (𝐱) together with the estimated IS densities 𝑞̂ (𝐱, 𝜣) according to
𝑞𝐼𝑆 𝐼𝑆
the three approximation methods. The description of the plots is the
same as those in Fig. 1. Because of the changing topological structure
of the level-sets, 𝑞̂𝐼𝑆 (𝐱, 𝜣) based on the two adaptive density approxi-
mation methods concentrated around a point on 𝑔 (𝐱) = 0 that is farther
away from the origin than the design-point (see Figs. 3b and 3c). Failing
to explore the design-point neighborhood causes underestimating 𝑃𝐹 .
However, as illustrated in Fig. 3(d), a non-adaptive sampling method
can help overcome the challenge of the changing topological structure.
Fig. 3(e) shows that 𝑞̂𝐼𝑆 (𝐱, 𝜣) based on the Gaussian process represen-
tation of 𝑔 (𝐱) concentrates around the design point and, hence, yields
∗ (𝐱).
a close approximation of 𝑞𝐼𝑆
Table 2 summarizes the performances of the three IS methods. The
Monte Carlo estimate of 𝑃𝐹 with 𝛿𝑀𝐶 = 0.05 is 1.02 × 10−5 . The settings
of the three IS methods are similar to those in the previous example.
The adaptive algorithm of the Gaussian mixture model converges in
eight steps with 1000 training data per step. Applying the usual changes
to the algorithm, like the number of components and the number
of samples per step, does not help find the actual design-point. As
expected, adaptive algorithms lead to the underestimation of 𝑃𝐹 since
𝑞̂𝐼𝑆 (𝐱, 𝜣) concentrates around a point that is far from the design-
point. Even small under- or over-estimation of the design-point can
significantly affect the failure probability estimate since the tail of the
standard Gaussian PDF decays with a squared exponential rate. The
adaptive algorithm of the kernel density based on the Subset Simulation
also converges to a small region (see Fig. 3c) and cannot overcome
the discontinuity of the path to the actual design-point, leading to the
significant underestimation of 𝑃𝐹 . The changing topological structure
also challenges the convergence of adaptive algorithms like the Subset
Simulation. The algorithm will ‘‘think’’ that the problem has a small
failure probability and will run many Subset Simulation levels unless
some additional checks stop the algorithm. Instead, the algorithm based
on MCMC with multiple chains can generate many samples in the
neighborhood of the design-point (see Fig. 3d), leading to the improved
estimate of 𝑃𝐹 . The comparison of the results based on the two sam-
pling algorithms explains that once the training samples are generated
properly, the idea of using kernel density estimate to establish the IS
density still works. The adaptive algorithm of the Gaussian process
regression is the same as before. The performance of this IS method
has to do with the adaptive algorithm conducting an implicit stochastic
optimization to find the design-point. Unlike its counterparts in the den-
sity approximation methods, the adaptive algorithm in the limit-state
approximation method does not gradually move toward the design-
point. Instead, the selected active learning technique determines the
search space by favoring training data that are close to the limit-state
surface and yield 𝑔̂ ⋄ (𝐱) predictions with high uncertainty (i.e., training
data with small |𝜇 ⋄ (𝐱)| and large 𝜎 ⋄ (𝐱) values in Eq. (40).) The selected
active learning technique has been successful in this example. However,
its performance can generally be improved by further considering the
importance of candidate training data on the limit-state surface based
on their distance to the origin in the standard Gaussian space (see, for
example, the active learning technique developed in [103].)

11
A. Tabandeh et al. Structural Safety 97 (2022) 102216

Fig. 3. The contour plots of estimated IS densities for the component reliability problem with a metaball limit-state function.

5.3. Benchmark problem 3: Series system with two components of the two components, defined as [9]
( ) ( )4
𝑔1 (𝐱) =3 − 𝑥2 + exp −𝑥21 ∕10 + 𝑥1 ∕5 ,
(50)
The third example is the reliability analysis of a series system with 𝑔2 (𝐱) =8 − 𝑥1 𝑥2 ,
two components. The limit-state function of the system is 𝑔 (𝐱) = in which 𝑥1 and 𝑥2 are statistically independent and identically dis-
{ }
min 𝑔1 (𝐱) , 𝑔2 (𝐱) , where 𝑔1 (𝐱) and 𝑔2 (𝐱) are the limit-state functions tributed random variables with standard Gaussian distributions. The

12
A. Tabandeh et al.
Fig. 4. The contour plots of estimated IS densities for the system reliability problem with two components in series.
limit-state function 𝑔1 (𝐱) features a single design point(at√(0, 4)√and
) the
limit-state function 𝑔2 (𝐱) features two design points at 2 2, 2 2 and
( √ √ )
−2 2, −2 2 .
As in the previous examples, we compare the performances of the
three IS methods in terms of their computational cost and estimation
accuracy. The convergence criterion in all reliability analyses is based
( )
on the CoV of the estimator 𝑃̂𝐹 𝑁 , set to 0.05. Fig. 4 shows the
optimal IS density 𝑞𝐼𝑆 ∗ (𝐱) together with the estimated IS densities
according to the three IS methods. The descriptions of the plots are the
same as those in Fig. 1. All the three methods successfully identified the
three design points on 𝑔 (𝐱) = 0 and their estimated IS densities have
concentrated around the design points. However, as in Example 1, we
observe that 𝑞̂𝐼𝑆 (𝐱, 𝜣) based on the Gaussian process representation of
𝑔 (𝐱) yields a closer approximation of 𝑞𝐼𝑆 ∗ (𝐱).
Table 3 summarizes the performances of the three IS methods. The
Monte Carlo estimate of 𝑃𝐹 with 𝛿𝑀𝐶 = 0.05 is 8.70 × 10−5 . The general
settings of the three IS methods are similar to those in the previous
examples. The Gaussian mixture model in this example consists of three
components, and the adaptive algorithm converges in six steps with
3500 training data per step. To establish the initial samples for the ker-
nel density, we use the adaptive sampling algorithm developed in [89]
used within the Subset Simulation. Six subset levels (with level proba-
bility 0.2) with a total of 9500 simulations are needed to generate the
𝑀 = 100 initial failure samples. The adaptive algorithm of the Gaussian
13
Structural Safety 97 (2022) 102216
process regression is the same as before. The obtained results indicate
that the estimated 𝑃𝐹 based on the three IS methods are comparable
for the selected convergence criterion. However, compared to the first
example, the differences in their computational costs have significantly
increased. The geometry of the failure domain and its small probability
is responsible for the increased gap in the computational costs (i.e., the
( )
order of( failure
) probability has decreased from  10−3 in Example
1 to  10−5 in the current example.) Specifically, the geometry of
the failure domain affects the generation of required samples for the
training of the IS density. For example, the sampling algorithm for
the training of the Gaussian mixture requires more adaptive steps to
eventually draw samples ( from
√ the
√ failure
) domain 𝛺𝐹 . The separation
of the design-point at −2 2, −2 2 from the other two design-points
also affects the performance of the sampling algorithm. The geometry
of the failure domain affects the approximation methods in different
ways. The density approximation methods can only learn from samples
in the failure domain (see Eqs. (26) and (36)), whereas the limit-state
approximation methods can learn from samples in both failure and safe
domains. In general, the limit-state function’s behavior in regions far
from the design-points barely affects the failure probability estimate.
However, the sampled data from the failure or safe domains far from
the design-points may adversely impact the limit-state approximation
methods’ performance. The sampling algorithm and the considered
estimation error can help incorporate training data’s importance in
developing the limit-state function’s surrogate.
A. Tabandeh et al. Structural Safety 97 (2022) 102216

Table 3 Table 4
The performances of the three IS methods to solve the system reliability problem with The performances of three IS methods to solve the high-dimensional component
two components in series. reliability problem with a linear limit-state function.
Method Number of 𝑔 (𝐱) evaluations Failure probability Method Number of 𝑔 (𝐱) evaluations Failure probability
Gaussian mixture 17, 500 + 432 8.97 × 10−5 von Mises–Fisher mixture 4500 + 1255 2.39 × 10−4
Kernel density 9500 + 400 8.61 × 10−5 Kernel density 3300 + 10, 000 2.23 × 10−4
Gaussian process 48 + 100 8.91 × 10−5 Gaussian process 386 + 100 2.38 × 10−4

5.4. Benchmark problem 4: Component with a high-dimensional linear number of 𝑔 (𝐱) evaluations. However, the clock time of training 𝑔̂ ⋄ (𝐱)
limit-state function is much longer that of training 𝑞̂𝐼𝑆 ⋄ (𝐱) for the two density IS methods.

The fourth example is a component reliability problem with a
high-dimensional limit-state function, defined as [3]
√ highlighted with the increased dimensionality of the problem, where
∑
𝑑
𝑔 (𝐱) = 𝛽 𝑑 − 𝑥𝑖 ,
𝑖=1
where 𝑥1 , … , 𝑥𝑑 are statistically independent and identically distributed
random variables with standard Gaussian distributions. The optimal
∏𝑑 ( )
∗ (𝐱) ∝ 𝐼
IS density is 𝑞𝐼𝑆 𝛺𝐹 (𝐱) { 𝑖=1 𝜙 𝑥𝑖 in which the failure domain
( ) √ ∑
is the closed halfspace 𝛺𝐹 = 𝐱⊺ = 𝑥1 , … , 𝑥𝑑 ∈ R𝑑 ∶ 𝛽 𝑑 − 𝑑𝑖=1 𝑥𝑖
≤ 0}. The exact failure probability is 𝑃𝐹 = 𝛷 (−𝛽), regardless of the
problem dimension 𝑑.
In this example, we compare the performances of the three IS
methods for the case in which 𝛽 = 3.5 and 𝑑 = 20. The convergence
criterion in all reliability analyses is based on the CoV of the estimator
( )
𝑃̂𝐹 𝑁 , set to 0.05. The curse of dimensionality in this problem
prevents implementing the IS density based on the Gaussian mixture
that can achieve the desired CoV of 0.05. Instead, we implement the IS
density based on the von Mises–Fisher mixture to overcome the curse
of dimensionality.
Table 4 summarizes the performances of the three IS methods. The
actual failure probability is 𝛷 (−3.5) = 2.32 × 10−4 . The von Mises–
Fisher mixture model in this example consists of a single component,
and the adaptive algorithm converges in four steps with 1500 training
data per step. To establish the initial samples for the kernel density,
we use MCMC within the Subset Simulation instead of the adaptive
sampling algorithm in [89]. This is because the adaptive sampling algo-
rithm in [89] works well for problems with low-dimensional dominant
variables, where we can build the adaptive kernel sampling density
for the subset of low-dimensional dominant variables to achieve good
sampling efficiency. However, there are no low-dimensional dominant
variables for the current problem, while building the kernel sampling
density for relatively high-dimensional variables creates challenges
that render the adaptive sampling algorithm with the accept-reject
algorithm inefficient. Therefore, we use MCMC instead of the accept-
reject algorithm. This also highlights some potential challenges in
generating samples needed to build the IS density. Four subset levels
(with level probability 0.1) with a total of 3300 simulations are needed
to generate the 𝑀 = 100 initial failure samples. The adaptive algorithm
of the Gaussian process regression is the same as before. Notable
insights about the performances of the three IS methods in a high-
dimensional problem are as follows: (1) We observe that in the case
of the von Mises–Fisher mixture, a proper design of the approximating
IS density based on the specific conditions of the problem can make
an otherwise infeasible method amenable to accurate estimates. (2)
Also, as can be seen, for the kernel density it needs a large number
of samples to estimate 𝑃𝐹 . This highlights the challenge of building
high-dimensional IS densities, which actually exists in general [120]
and is not unique to the kernel density. But for the kernel density, the
curse of dimensionality also comes into the play, and even with the
optimization of the bandwidth and the use of adaptive algorithms, the
established IS density still requires a large number of evaluations to
reach a low CoV. (3) Similar to the previous example, the limit-state
IS method based on the Gaussian process yields 𝑃̂𝐹 that is comparable
to that from the density IS methods but with a significantly smaller
In general, for a simple analytical 𝑔 (𝐱), like the one in this problem,
the computational cost of training a model generally dominates that of
evaluating 𝑔 (𝐱). In Gaussian process regression, this issue is particularly
(51) more training data is required to achieve the desired level of accuracy.
However, the dimensionality of the covariance matrix 𝐊 in Eq. (40)
increases with the number of training data, which in turn increases
the computational cost of estimating the unknown hyperparameters.
The repeated estimations of the hyperparameters, required in active
learning techniques, further increases the computational cost. Nuanced
basis functions 𝐡 (𝐱) in Eq. (40) would be necessary to implement the
Gaussian process regression for 𝑑 ≥ 20. Finally, since the estimators in
Eqs. (44) and (45) include the uncertainty 𝜎 ⋄ (𝐱) in the definition of
𝐼̃𝛺̂ ⋄ , the convergence criterion of the active learning technique should
𝐹
account for the convergence of 𝜎 ⋄ (𝐱) in addition to 𝜇 ⋄ (𝐱) (see, for
example, [121]).
5.5. Benchmark problem 5: Component with a high-dimensional nonlinear
limit-state function
In the last example, we consider a Duffing oscillator defined by the
stochastic differential equation [67]
( ) √
𝑦̈𝑡 + 2𝜁 𝜔0 𝑦̇ 𝑡 + 𝜔20 𝑦𝑡 + 𝜀𝑦3𝑡 = 𝑠0 𝑤̇ 𝑡 , (52)
with initial conditions 𝑦0 = 0 and 𝑦̇ 0 = 0, where 𝑦̈𝑡 , 𝑦̇ 𝑡 , and 𝑦𝑡 are,
respectively, the acceleration, velocity, and displacement responses;
𝜁 ∈ (0, 1) is the damping ratio; 𝜔0 is the natural frequency of the
oscillator; 𝜀 is a positive constant that controls the level of nonlinearity
√
(𝜀 = 0 yields a linear oscillator); and 𝑠0 𝑤̇ 𝑡 is the Gaussian white-noise
excitation with power spectral density 𝑠0 . Introducing the state vector
⊺ ( ) ( )
𝐱𝑡 = 𝑥1,𝑡 , 𝑥2,𝑡 = 𝑦𝑡 , 𝑦̇ 𝑡 , we can rewrite Eq. (52) in the state-space
form as
( ) ( )
𝑥2,𝑡( ) 0
d𝐱𝑡 = 2 3 d𝑡 + √ d𝑤𝑡 , (53)
−2𝜁 𝜔0 𝑥2,𝑡 − 𝜔0 𝑥1,𝑡 + 𝜀𝑥1,𝑡 𝑠0
where the discrete representation of the white-noise in the frequency
∑𝑑∕2 {√ [ ( ) ( )]}
domain d𝑤𝑡 ≅ 𝑖=1 2𝛥𝜔 𝑧𝑖 sin 𝜔𝑖 𝑡 + 𝑧𝑑∕2+𝑖 cos 𝜔𝑖 𝑡 d𝑡 is based
on the vector of independent and identically distributed standard Gaus-
( )
sian random variables 𝐳⊺ = 𝑧1 , … , 𝑧𝑑 [122].
The quantity of interest is the probability of the first-passage failure,
defined by the limit-state function
𝑔 (𝐳) = 𝑥𝑐 − sup 𝑥1,𝑡 (𝐳) , (54)
𝑡∈[0,𝑡𝑒 ]
where 𝑥𝑐 is the prescribed deformation capacity. The limit-state func-
tion describes the event where the displacement response 𝑥1,𝑡 (𝐳) ex-
[ ]
ceeds the threshold 𝑥𝑐 at any time in the interval 0, 𝑡𝑒 .
In this example, in addition to the three IS methods considered
earlier, we evaluate the performance of the IS method for dynamical
systems, discussed in Section 3.1. For numerical illustrations, we use
the following values of model parameters: 𝜁 = 0.25, 𝜔0 = 1, 𝜀 = 1,
𝑠0 = 1, 𝑥𝑐 = 4.15, 𝑡𝑒 = 5, and 𝑑 = 50. We also use a band-limited
representation of the Gaussian white-noise with the power spectral
density 𝑠 (𝜔) = 𝑠0 for |𝜔| ≤ 4𝜋 and 𝑠 (𝜔) = 0, otherwise. The convergence
criterion in all reliability analyses is based on the CoV of the estimator

14
A. Tabandeh et al.
( )
𝑃̂𝐹 𝑁 , set to 0.1 in this example. As in the previous example, we
implement the IS density based on the von Mises–Fisher mixture to
overcome the curse of dimensionality.
Table 5 summarizes the performances of the four IS methods. The
Monte Carlo estimate of 𝑃𝐹 with 𝛿𝑀𝐶 = 0.05 is 6.35×10−4 . The approach
developed in [70] facilitates estimating the design-point excitations
( )
𝐮̂ ∗𝑡 𝑡𝑘 as the optimal controls in Eq. (16). It is shown that the design-
point excitation is identical to the excitation that generates the mirror
⊺
image of the free-vibration response with the initial condition of 𝐱0 =
( )
𝑥𝑐 , 0 . We use this method to compute the design-point excitations at
equally spaced times 𝑡𝑘 in the interval [0.25, 5] with the increments
of 0.25 [s]. After some adjustments, we found that the von Mises–
Fisher mixture model with ten components and 12,500 training data
per step yields 𝑃̂𝐹 with the target CoV level. We can compare the
number of components with the 20 components in the Gaussian mixture
model of the IS method for dynamical systems. To establish the initial
samples for the kernel density, we use the adaptive sampling algorithm
developed in [89] used within the Subset Simulation. Four subset levels
(with level probability 0.1) with a total of 22,000 simulations are
needed to generate the 𝑀 = 50 initial failure samples. The adaptive
algorithm of the Gaussian process regression is the same as before.
The IS method based on the controls with design-point excitations
involves 20 evaluations of 𝑔 (𝐳) to estimate the design-point excitations
and another 50,000 to estimate 𝑃𝐹 using Eqs. (16) and (31). The perfor-
mance of this method primarily depends on the accuracy of estimating
the controls. The mirror image excitation approach [70] used in this
example is based on the premise of having zero displacement and
velocity responses at the end of the free-vibration (i.e., 𝑥1,𝜏 = 𝑥2,𝜏 = 0
[ ]
for each up-crossing time 𝜏 ∈ 0, 𝑡𝑒 .) Since the considered time interval
and damping ratio do not allow us to satisfy this condition, we had to
approximate the design-point excitations based on the stored energy
in the system at the end of the free-vibrations (more details on the
approximation method can be found in [70].) The density approxi-
mation method using the von Mises–Fisher mixture has a comparable
performance but with fewer components. In the first-passage problem,
each component captures the probability of a dominant up-crossing
[ ]
event in a sub-interval of 0, 𝑡𝑒 . In the approximation method based on
the kernel density, we develop the IS density for the top six important
dimensions based on a probabilistic sensitivity analysis while the rest
are at their base probability distribution [89]. In sensitivity analysis,
we use the failure samples and kernel density to estimate the relative
entropy between the optimal IS density and the base PDF as the impor-
tance measure of each variable [88]. We use this approach because it is
challenging to build the kernel density for high-dimensional variables
(this is a general challenge and is not unique to the kernel density.) If
kernel IS density is built for all the dimensions, the failure probability
estimates would have large errors. Even with building the kernel den-
sity for the subset of important variables, optimizing the bandwidth,
and using an adaptive algorithm, the established IS density still requires
a large number of evaluations to reach a low CoV. The results from this
example and the previous one highlight the challenges in building IS
density for high-dimensional problems, especially when there are no
dominant low-dimensional subsets of important variables. Finally, the
discussion on the performance of the limit-state approximation method
based on the Gaussian process for the high-dimensional linear limit-
state function still holds in this problem. However, the clock time
of training 𝑔̂ ⋄ (𝐱) and the computational demand has significantly in-
creased with the increase in the problem dimension and the limit-state
function nonlinearity.
6. Summary of challenges and future directions
In this section, we summarize the challenges of the reviewed IS
methods and briefly discuss their future directions. The main challenges
and future directions generally focus on two main aspects. The design
of ̂ for high-dimensional problems, and sampling algorithms that
15
Structural Safety 97 (2022) 102216
Table 5
The performances of the four IS methods to solve the high-dimensional component
reliability problem with an implicit nonlinear limit-state function.
Method Number of 𝑔 (𝐱) evaluations Failure probability
Control with design-point 19 + 50, 000 6.02 × 10−4
excitation
von Mises–Fisher mixture 37, 500 + 11, 200 6.27 × 10−4
Kernel density 22, 000 + 10, 000 6.22 × 10−4
Gaussian process 1100 + 851 6.46 × 10−4
can effectively explore 𝛺𝐹 at a manageable computational cost. A
systematic testing of any new solution approach is crucial since often
there is no rigorous mathematical proof that can show when and how
a new solution approach would work or break down. Though, testing
a new solution approach with diverse examples can be beneficial in
establishing its limitations and revealing where it needs improvement
(e.g., [118,123]).
Two general approaches have been pursued to address the curse of
dimensionality in density approximation methods. The first approach
consists of the variants of the dimensionality reduction technique. The
main idea is that the high-dimensional 𝐱 ∈ 𝒳 is embedded in a
low-dimensional subspace of 𝒳 that should be identified. The low-
dimensional subspace can be achieved through a projection or finding
a small number of state variables that control 𝑃𝐹 . For example, mani-
fold learning (e.g., [79,124–126]) techniques offer a general means to
identify such embedded low-dimensional subspaces, as do the results
of importance measures in FORM. Once a low-dimensional subspace
is identified, the usual density approximation methods would be ap-
plicable. The second approach consists of designing IS densities that
are amenable to high-dimensional problems. This includes IS densities
that are exclusively designed for high-dimensional problems like the
von Mises–Fisher mixture and those that suffer less from the curse
of dimensionality. Examples of the latter case include recent efforts
that integrate marginal or factorized densities of state variables with a
parametric dependence structure like Copula or Generative Adversarial
Network (GAN) [53,127].
The current literature also includes several treatments for the curse
dimensionality in limit-state approximation methods. One idea is to
focus on a few important state variables while accounting for the
impacts of unimportant state variables on the statistics of 𝑔 (𝐱) by
treating the statistical information of 𝑔 (e.g., mean and variance) as
outputs for the surrogate [128,129]. Others (e.g., [130]) have ex-
plored the idea of decomposing high-dimensional problems into many
low-dimensional ones and then develop multiple surrogates for the low-
dimensional problems. Also, a combination of different surrogates can
be used to address some of the challenges with high-dimensional 𝐱
(e.g., polynomial chaos and Gaussian process in [121,131]). Different
approaches have also been proposed to build surrogates in a reduced
latent space. For example, Principal Component Analysis (PCA) has
been used to reduce the dimension of state variables for topology
optimization, where a surrogate is built based on low-dimensional
latent state variables [132]. Likewise, the so-called active subspace
method has been used to find the direction with strongest variability in
𝑔 (𝐱) and then build a surrogate in a low-dimensional subspace [133].
The starting point of sampling algorithms and their ability to rapidly
approach and explore 𝛺𝐹 are determinant factors to the computational
cost of model training. Sampling algorithms usually waste computa-
tional resources, to different degrees, before reaching the important
regions in 𝒳 that control the estimation of 𝑃𝐹 . This issue is partic-
ularly pronounced in problems with a high-dimensional 𝐱 due to the
curse of dimensionality. One idea to reduce the computational cost
is to find such important regions through an optimization problem
like that in FORM. The sampling algorithm can then take over from
the identified important regions to explore 𝛺𝐹 . Besides MCMC and
rejection sampling, recent developments in machine learning like GAN
A. Tabandeh et al.
can also be used to generate training data that populate 𝛺𝐹 . The
attractive feature of GAN is that based on existing samples, it can
learn an implicit model of the underlying distribution and then uses
the generator (in GAN) to directly generate samples from the learned
model instead of relying on the further use of stochastic sampling algo-
rithms. It is also effective for learning high-dimensional distributions.
It was recently used in [134] to generate samples in Subset Simulation
for a high-dimensional problem. Dimensionality reduction techniques
have also been explored to facilitate the stochastic sampling in high
dimension (e.g., active subspace has been used to accelerate MCMC in
high-dimensional space [135]).
For the density approximation methods, due to the way that the
densities are established, they cannot consider the boundary of 𝑔 (𝐱) or,
equivalently, the bounds of the samples; thus, the established density
generates many samples in the safe domain, which contribute to the
relatively higher number of samples needed for the IS estimation of the
failure probability. This limitation can be seen in the first two bench-
mark examples compared with the limit-state approximation method,
which establishes IS density that considers the boundary of 𝑔 (𝐱). The
performance of the sampling algorithm can be improved by taking into
account the bounds of the samples, either through boundary correction
techniques (e.g., the multivariate boundary corrected kernel density
used in [136]) or through combination with a limit-state approximation
method that can approximately check whether the samples generated
by the IS density are failure samples or not.
7. Conclusions
This paper presented a critical review of importance sampling meth-
ods for reliability analysis. After presenting the mathematical formu-
lation of the importance sampling for reliability analysis, the paper
discussed failure probability estimators, their statistical properties, and
computational complexities. Accordingly, a closed-form solution is de-
rived for the optimal importance sampling density, leading to a zero-
variance estimator for failure probability (i.e., only one sample is
required to estimate the failure probability.) For the time-variant reli-
ability analysis of dynamical systems, a closed-form solution is derived
for the optimal stochastic control that induces the optimal importance
sampling probability measure. However, the dependence of the optimal
solution (i.e., optimal importance sampling density or stochastic con-
trol) on the failure probability prevents its implementation. The paper
reviewed two classes of methods that try to approximate the optimal
solution with a near-optimal importance sampling density or stochastic
control that is implementable. The paper discusses two general com-
peting sources of error in developing the importance sampling density.
The first source, called the approximation error, is related to the search
space’s richness for approximating the optimal solution. The richer the
search space, the smaller the approximation error. The second source,
called the estimation error, is related to the learning algorithm that
selects a search space member with the minimum distance from the op-
timal solution. The richness of the search space increases the likelihood
of larger estimation errors. In the first class of approximation methods,
the search space is defined by a family of parametric or nonparametric
probability densities. The learning algorithm aims to find a member of
the search space that has the minimum distance from the optimal so-
lution. Typical distance measures include Kullback–Leibler divergence
and mean squared error. The IS density of dynamical systems is also a
mixture of standard Gaussian probability densities, each centered at a
point defined by an associated control function. Each control function
represents the most likely excitation that causes the system to out-
crossing the failure boundary at a specific time. The second class of
approximation methods follows the optimal solution’s functional form
but replaces the computationally demanding limit-state function with a
fast-to-evaluate surrogate. Thus, the search space is defined by the class
of approximating surrogates (e.g., neural network, polynomial chaos, or
Gaussian process.) The sampling algorithm that generates the required
16
Structural Safety 97 (2022) 102216
data for training the importance sampling density in the first class and
surrogate in the second class controls the computational cost. The paper
evaluated the performance of methods from the two classes through
benchmark problems. The obtained results indicate that the overall
performance of the first class of methods mainly depends on the magni-
tude of the failure probability, whereas the performance of the second
class of methods mainly depends on the general shape of the limit-
state function and its smoothness. The obtained results also highlighted
the prominent role of the defined density approximation space and
selected sampling algorithms in addressing the curse of dimensionality
in high-dimensional problems. Finally, the paper presented a summary
of important challenges and future directions of IS methods.
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