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Stochastic Integration Methods: Comparison and Application to Reliability Analysis

[+] Author Affiliations
M. Paffrath, U. Wever

Siemens AG, Munich, Bavaria, Germany

Paper No. GT2012-68973, pp. 383-396; 14 pages
  • ASME Turbo Expo 2012: Turbine Technical Conference and Exposition
  • Volume 7: Structures and Dynamics, Parts A and B
  • Copenhagen, Denmark, June 11–15, 2012
  • Conference Sponsors: International Gas Turbine Institute
  • ISBN: 978-0-7918-4473-1
  • Copyright © 2012 by ASME


A central part of stochastic computations (e.g. of moments or of failure probabilities) is the evaluation of multi-dimensional integrals. The crude Monte-Carlo method is often too expensive in terms of computation time. In this paper a comparison of methods is made for a collection of test examples. The considered methods are numerical sparse grid methods either known from literature or some further development of known methods. Apart from some academic test examples, the performance of the methods is studied for integrals arising in the area of stochastic crack growth.

Copyright © 2012 by ASME



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