Proceedings of the

The 33rd European Safety and Reliability Conference (ESREL 2023)
3 – 8 September 2023, Southampton, UK

Computing Upper Probabilities of Failure Using Optimization Algorithms Together with Reweighting and Importance Sampling

Thomas Fetza and Michael Oberguggenbergerb

Unit of Engineering Mathematics, University of Innsbruck, Austria.


The presentation addresses efficient computation of the upper probability of failure of engineering structures, when the uncertainty is modelled by a family of probability densities. We develop an algorithm significantly reducing the sample sizes required in the optimization algorithm by adopting a recursive importance sampling scheme.

Keywords: Upper probability, Global optimization, Importance sampling, Reweighting, Imprecise probability.

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