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Abstract: A variance reduction technique for randomly excited nonlinear dynamic systems is proposed. Utilizing the measure transformation method an importance sampling scheme for Ito stochastic differential equations is established which allows -- at least theoretically -- to construct unbiased zero-variance estimators of functionals of the system response. Applying approximate solution techniques as e.g. statistical linearization or cumulant-neglect closure, sub-optimal estimators can be constructed.... (Update)
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BibTeX entry: (Update)
@misc{ macke-variancereducing,
author = "Michael Macke",
title = "Variance-Reducing Simulation of Nonlinear Dynamic Systems",
url = "citeseer.ist.psu.edu/403254.html" }
Citations (may not include all citations):13 Numerical Solution of Stochastic Di#erential Equations (context) - Kloeden, Platen - 1992
7 Probabilistic Structural Dynamics: Advanced Theory and Appli.. (context) - Lin, Cai - 1995
2 Numerical Integration of Stochastic Di#erential Equations (context) - Milstein - 1995
1 Numerical Solution of Stochastic Di#erential Equations with .. (context) - Chang - 1987
1 Variance Reduction for Simulated Di#usions (context) - Newton - 1994
1 Monte Carlo Evaluation of Functionals of Solutions of Stocha.. (context) - Wagner - 1988
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