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Module # 04 Lecture 5
Course Format: Web

Instructor: Dr. Arunasis Chakraborty Department of Civil Engineering Indian Institute of Technology Guwahati

5. Lecture 05: Adaptive Sampling

Adaptive Sampling As in important sampling technique, sampling concentration increased within the region close to the failure domain. So, it is very important to identify the failure region to get a good sampling density function. To determine the sampling density function () in important sampling technique, a new algorithm adaptive sampling approach can be used. As there is no prior knowledge about , the optimal sampling density must be somehow approximated to effectively use the important sampling method. In adaptive sampling, knowledge about failure increases with sampling even if it started with a poor choice. In first iteration, the sampling density function is taken as an enlarge density function, where the variance of the original function is multiplied by a factor between 1 and 3 in order to have more samples within the failure domain. After the first iteration a new sampling density function is determined. In the new function, the first and second moments coincide with the ones of the samples, which are within failure domain as given in Eq. 4.5.1. = 0 4.5.1

In this technique a problem may arise for robust estimation of the covariance matrix given in Eq. 4.5.2. The problem is the covariance matrix is often not positive definite. This may happen because of the number of samples within the failure domain is small.


To avoid this problem a minimum number of samples can be followed. The expression for minimum sample number is given in Eq. 4.5.3. 0 > 3 4.5.3

In Eq. 4.5.3, 0 denotes the number of samples in the failure domain for the th iteration and stands for the number of random variables. This means to reduce the statistical uncertainty within the calculation of the covariance matrix of the adaptive joint probability function there need at least 3 samples. Example Ex#06. Course Instructor: Dr. Arunasis Chakraborty 1

Lecture 05: Adaptive Sampling A cantilever steel beam of span = 2 is subjected to a point load = 100 at the free end. For this section, resisting moment capacity is 1 2 . For collapse prevention condition limit state defined as below

() = 1 2

Table 4.5.1 Random Variable () 1 (kN/m2) 2 (m3)

Random variables

S. No. 1 2

250 103 1.2 103

25 103 6.0 105

Solution: In this case sample size taken in incremental way. It is clearly observe that with the increment of sample size the and values are also converging. In Figure 4.5.1, it is shown that in each iteration how the associated changes. Table 4.5.2 with different number of samples Number of Samples 600
900 1500

S. No.

0.003064 0.0009103

2.7409 3.1180

This example also solve in response surface method in following module. For conformation this result may be compared. As discussed before, by this method with the of small number sample we can obtain a good result compare to MCS. Thus it is computationally efficient than MCS and LHS.

Course Instructor: Dr. Arunasis Chakraborty 2

Lecture 05: Adaptive Sampling

Figure 4.5.1 Change of with each iteration for sample size

Course Instructor: Dr. Arunasis Chakraborty 3