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grammatical and notation edits to make documentation more consistent …
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…with literature references
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connor-krill committed Aug 17, 2023
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15 changes: 8 additions & 7 deletions docs/source/reliability/index.rst
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Expand Up @@ -2,19 +2,20 @@ Reliability
===========

Reliability of a system refers to the assessment of its probability of failure (i.e the system no longer satisfies some
performance measures), given the model uncertainty in the structural, environmental and load parameters. Given a vector
of random variables :math:`\textbf{X}=\{X_1, X_2, \ldots, X_n\} \in \mathcal{D}_\textbf{X}\subset \mathbb{R}^n`, where
:math:`\mathcal{D}` is the domain of interest and :math:`f_{\textbf{X}}(\textbf{x})` is its joint probability density
function then, the probability that the system will fail is defined as
performance measure), given the model uncertainty in the structural, environmental and load parameters. Given a vector
of random variables :math:`\textbf{X}=[X_1, X_2, \ldots, X_n]^T \in \mathcal{D}_\textbf{X}\subset \mathbb{R}^n`, where
:math:`\mathcal{D}_\textbf{X}` is the domain of interest and :math:`f_{\textbf{X}}(\textbf{x})` is its joint probability density
function, then the probability that the system will fail is defined as


.. math:: P_f =\mathbb{P}(g(\textbf{X}) \leq 0) = \int_{D_f} f_{\textbf{X}}(\textbf{x})d\textbf{x} = \int_{\{\textbf{X}:g(\textbf{X})\leq 0 \}} f_{\textbf{X}}(\textbf{x})d\textbf{x}
.. math:: P_f =\mathbb{P}(g(\textbf{X}) \leq 0) = \int_{\mathcal{D}_f} f_{\textbf{X}}(\textbf{x})d\textbf{x} = \int_{\{\textbf{X}:g(\textbf{X})\leq 0 \}} f_{\textbf{X}}(\textbf{x})d\textbf{x}


where :math:`g(\textbf{X})` is the so-called performance function. The reliability problem is often formulated in the
where :math:`g(\textbf{X})` is the so-called performance function and :math:`\mathcal{D}_f=\{\textbf{X}:g(\textbf{X})\leq 0 \}` is the failure domain.
The reliability problem is often formulated in the
standard normal space :math:`\textbf{U}\sim \mathcal{N}(\textbf{0}, \textbf{I}_n)`, which means that a nonlinear
isoprobabilistic transformation from the generally non-normal parameter space
:math:`\textbf{X}\sim f_{\textbf{X}}(\cdot)` to the standard normal is required (see the :py:mod:`.transformations` module).
:math:`\textbf{X}\sim f_{\textbf{X}}(\cdot)` to the standard normal space is required (see the :py:mod:`.transformations` module).
The performance function in the standard normal space is denoted :math:`G(\textbf{U})`. :py:mod:`.UQpy` does not require this
transformation and can support reliability analysis for problems with arbitrarily distributed parameters.

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24 changes: 12 additions & 12 deletions docs/source/reliability/subset.rst
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Expand Up @@ -2,27 +2,27 @@ Subset Simulation
-------------------

In the subset simulation method :cite:`SubsetSimulation` the probability of failure :math:`P_f` is approximated by a product of probabilities
of more frequent events. That is, the failure event :math:`G = \{\textbf{x} \in \mathbb{R}^n:G(\textbf{x}) \leq 0\}`,
of more frequent events. That is, the failure event :math:`G = \{\textbf{X} \in \mathbb{R}^n:g(\textbf{X}) \leq 0\}`,
is expressed as the of union of `M` nested intermediate events :math:`G_1,G_2,\cdots,G_M` such that
:math:`G_1 \supset G_2 \supset \cdots \supset G_M`, and :math:`G = \cap_{i=1}^{M} G_i`. The intermediate failure events
are defined as :math:`G_i=\{G(\textbf{x})\le b_i\}`, where :math:`b_1>b_2>\cdots>b_i=0` are positive thresholds selected
such that each conditional probability :math:`P(G_i | G_{i-1}), ~i=2,3,\cdots,M-1` equals a target probability value
are defined as :math:`G_i=\{g(\textbf{X})\le b_i\}`, where :math:`b_1>b_2>\cdots>b_M=0` are non-negative thresholds selected
such that each conditional probability :math:`P(G_{i+1} | G_{i}),\ i=1,2,\cdots,M-1` equals a target probability value
:math:`p_0`. The probability of failure :math:`P_f` is estimated as:

.. math:: P_f = P\left(\cap_{i=1}^M G_i\right) = P(G_1)\prod_{i=2}^M P(G_i | G_{i-1})
.. math:: P_f = P\left(\bigcap_{i=1}^M G_i\right) = P(G_1)\prod_{i=1}^{M-1} P(G_{i+1} | G_{i})

where the probability :math:`P(G_1)` is computed through Monte Carlo simulations. In order to estimate the conditional
probabilities :math:`P(G_i|G_{i-1}),~j=2,3,\cdots,M` generation of Markov Chain Monte Carlo (MCMC) samples from the
conditional pdf :math:`p_{\textbf{U}}(\textbf{u}|G_{i-1})` is required. In the context of subset simulation, the Markov
probabilities :math:`P(G_{i+1}|G_i),~i=1,2,\cdots,M-1` generation of Markov Chain Monte Carlo (MCMC) samples from the
conditional pdf :math:`p_{\textbf{X}}(\textbf{x}|G_i)` is required. In the context of subset simulation, the Markov
chains are constructed through a two-step acceptance/rejection criterion. Starting from a Markov chain state
:math:`\textbf{x}` and a proposal distribution :math:`q(\cdot|\textbf{x})`, a candidate sample :math:`\textbf{w}` is
generated. In the first stage, the sample :math:`\textbf{w}` is accepted/rejected with probability
:math:`\textbf{X}` and a proposal distribution :math:`q(\cdot|\textbf{X})`, a candidate sample :math:`\textbf{W}` is
generated. In the first stage, the sample :math:`\textbf{W}` is accepted/rejected with probability

.. math:: \alpha=\min\bigg\{1, \frac{p(\textbf{w})q(\textbf{x}|\textbf{w})}{p(\textbf{x})q(\textbf{w}|\textbf{x})}\bigg\}
.. math:: \alpha=\min\bigg\{1, \frac{p_\textbf{X}(\textbf{w})q(\textbf{x}|\textbf{W})}{p_\textbf{X}(\textbf{x})q(\textbf{w}|\textbf{X})}\bigg\}

and in the second stage is accepted/rejected based on whether the sample belongs to the failure region :math:`G_j`.
:class:`.SubSetSimulation` can be used with any of the available (or custom) :class:`.MCMC` classes in the
:py:mod:`sampling` module.
and in the second stage is accepted/rejected based on whether the sample belongs to the failure region :math:`G_i`.
:class:`.SubsetSimulation` can be used with any of the available (or custom) :class:`.MCMC` classes in the
:py:mod:`Sampling` module.

SubsetSimulation Class
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
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