Rare events probabilities estimation by “ Russian Roulette and Splitting ” simulation technique

Abstract

An advanced Monte Carlo Simulation (MCS) technique—namely, “Russian Roulette and Splitting” (RR & S) technique is applied for the reliability assessment of mechanical systems under stochastic excitations. The basic features of the algorithm are described and discussed. As a numerical example the technique is used for the numerical solution of the first passage problem in the low probability range. Results are compared with available solutions, obtained by another variance reduction technique—“Double and Clump”(D & C) procedure.