Subset simulation for non-Gaussian dependent random variables given incomplete probability information

• Published in: Structural safety Vol. 67; pp. 105 - 115
• Main Authors: Wang, Fan, Li, Heng
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.07.2017
• Subjects: Incomplete probability information; Parameter sensitivity; Rosenblatt transformation; Subset simulation; Vine copula; Subset simulation; Rosenblatt transformation; Parameter sensitivity; Vine copula; Incomplete probability information

•We propose a novel method to generate correlated random variables under incomplete probability information.•We propose an extension of the subset simulation to any dependence structure.•We investigate the impact of dependence structure on subset simulation results.•There can be optimal values of de...