Extensions of Stochastic Optimization Results to Problems with System Failure Probability Functions

Abstract

We derive an implementable algorithm for solving nonlinear stochastic optimization problems with failure probability constraints using sample average approximations. The paper extends prior results dealing with a failure probability expressed by a single measure to the case of failure probability expressed in terms of multiple performance measures. We also present a new formula for the failure probability gradient. A numerical example addressing the optimal design of a reinforced concrete highway bridge illustrates the algorithm.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 2007
Accession Number
ADA486690

Entities

People

  • E. Polak
  • J. O. Royset

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Accuracy
  • Algorithms
  • Computer Science
  • Concrete
  • Estimators
  • Failure Mode And Effect Analysis
  • Mechanical Structure
  • Normal Distribution
  • Operations Research
  • Optimization
  • Probability
  • Probability Density Functions
  • Probability Distributions
  • Random Variables
  • Reinforced Concrete
  • Sampling
  • Test And Evaluation

Fields of Study

  • Engineering

Readers

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