An Investigation into an Alternative Transition Criterion of the Transitional Markov Chain Monte Carlo Method for Bayesian Model Updating

Adolphus Lye, Luca Marino

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

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Abstract

One of the advanced Monte Carlo techniques employed to perform Bayesian model updating on the epistemic model parameter(s) is the Transitional Markov Chain Monte Carlo sampler. A key characteristic in its sampling approach involves the use of "transitional" distributions to allow samples to converge iteratively from the prior to the final posterior. Hence, the selection of the transition step size becomes of critical importance. Currently, the selection criterion is such that the optimal transition step size is one that realizes a 100% Coefficient of Variation in the statistical weights of the samples in a given iteration. The work presented here considers an alternative selection criterion on the transition step size involving the use of the Effective Sample Size as a metric. The optimal step size considered in this work is one which achieves an effective sample size equal to half the total sample size. To provide a comparative study, the standard Transitional Markov Chain Monte Carlo sampler, along with the modified Transitional Markov Chain Monte Carlo sampler imbued with the alternative selection criterion, are implemented to infer the friction force and the natural frequency of a single-storey frame structure with a metal-to-metal contact, whose dynamics is described by a non-linear differential equation. From there, the sampling performance is compared on the basis of the evolution of the tempering parameter, and the standard error of the estimates.
Original languageEnglish
Title of host publicationProceedings of the 33rd European Safety and Reliability Conference
EditorsMário P. Brito, Terje Aven, Piero Baraldi, Marko Čepin, Enrico Zio
PublisherResearch Publishing
Pages3556-3563
ISBN (Electronic)978-981-18-8071-1
DOIs
Publication statusPublished - 2023
EventThe 33rd European Safety and Reliability Conference (ESREL 2023): The Future od Safety in a Reconnected World - University of Southampton, Southampton, United Kingdom
Duration: 3 Sept 20237 Sept 2023
https://www.esrel2023.com/

Conference

ConferenceThe 33rd European Safety and Reliability Conference (ESREL 2023)
Abbreviated titleESREL 2023
Country/TerritoryUnited Kingdom
CitySouthampton
Period3/09/237/09/23
Internet address

Bibliographical note

Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care
Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.

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