APPROXIMATIONS OF 1ST-PASSAGE TIMES FOR DIFFERENTIABLE PROCESSES BASED ON HIGHER-ORDER THRESHOLD CROSSINGS

被引:0
|
作者
EGELUND, S
RACKWITZ, R
LANGE, C
机构
[1] TECH UNIV MUNICH,LEHRSTUHL MASSIVBAU,ARCISSTR 21,D-80290 MUNICH,GERMANY
[2] HSCH TECH & WIRTSCHAFT DRESDEN,FACHBEREICH INFORMAT ANGEW MATH,D-01069 DRESDEN,GERMANY
关键词
D O I
暂无
中图分类号
TH [机械、仪表工业];
学科分类号
0802 ;
摘要
Methods for calculating approximations of the first-passage probability of differentiable non-narrow band processes based on higher-order threshold crossings are discussed. Two of them use factorial moments of the number of crossings into the failure region, including a new method based on a Gram-Charlier series expansion of the distribution of the number of exits. Several numerical schemes for the evaluation of factorial moments are investigated. The methods are studied for three examples. The examples show that the Gram-Charlier series expansion converges faster towards the exact solution than Rice's ''in- and exclusion'' series. However, it is difficult to quantify the error made by the proposed method. Further, it is shown that for engineering applications, the Poisson assumption as modified by Ditlevsen such that the initial conditions are taken into account, provides excellent results in almost all cases.
引用
收藏
页码:53 / 60
页数:8
相关论文
共 50 条