Improved Adaptive Importance Sampling Algorithm

Structural reliability analysis requires an accurate and efficient evaluation for failure probability. A new scheme is proposed to identify the optimal importance sampling center, based on weighing samples by their probability density functions (PDF). By incorporating the scheme into the adaptive importance sampling method ISAG (adaptive Importance Sampling based on Active Guiding technology), an improved adaptive importance sampling method is proposed. The accuracy and efficiency of the proposed method is demonstrated and verified by two numerical experiments.