Geometric insight into the challenges of solving high-dimensional reliability problems

In this paper we adopt a geometric perspective to highlight the challenges associated with solving high-dimensional reliability problems. Adopting a geometric point of view we highlight and explain a range of results concerning the performance of several well-known reliability methods. We start by investigating geometric properties of the N -dimensional Gaussian space and the distribution of samples in such a space or in a subspace corresponding to a failure domain. Next, we discuss Importance Sampling (IS) in high dimensions. We provide a geometric understanding as to why IS generally does not work in high dimensions [Au SK, Beck JL. Importance sampling in high dimensions. Structural Safety 2003;25(2):139–63]. We furthermore challenge the significance of “design point” when dealing with strongly nonlinear problems. We conclude by showing that for the general high-dimensional nonlinear reliability problems the selection of an appropriate fixed IS density is practically impossible. Next, we discuss the simulation of samples using Markov Chain Monte Carlo (MCMC) methods. Firstly, we provide a geometric explanation as to why the standard Metropolis–Hastings (MH) algorithm does “not work” in high-dimensions. We then explain why the modified Metropolis–Hastings (MMH) algorithm introduced by Au and Beck [Au SK, Beck JL. Estimation of small failure probabilities in high dimensions by subset simulation. Probabilistic Engineering Mechanics 2001;16(4):263–77] overcomes this problem. A study of the correlation of samples obtained using MMH as a function of different parameters follows. Such study leads to recommendations for fine-tuning the MMH algorithm. Finally, the MMH algorithm is compared with the MCMC algorithm proposed by Katafygiotis and Cheung [Katafygiotis LS, Cheung SH. Application of spherical subset simulation method and auxiliary domain method on a benchmark reliability study, Structural Safety 2006 (in print)] in terms of the correlation of samples they generate. c © 2007 Elsevier Ltd. All rights reserved.