Year: 2012
Type: preprint
Abstract: We consider a reduced order model of an air-breathing hypersonic engine with a time-dependent stochastic inflow that may cause the failure of the engine. The probability of failure is analyzed by the Freidlin-Wentzell theory, the large deviation principle for finite dimensional stochastic differential equations. We compute the asymptotic failure probability by numerically solving the constrained optimization related to the large deviation problem. A large-deviation-based importance sampling suggested by the most probable inflow perturbation is also implemented to compute the probability of failure of the engine. The numerical simulations show that the importance sampling method is much more efficient than the basic Monte Carlo method.
Source: arXiv (Cornell University)
Authors: Papanicolaou, George, West, Nicholas, Yang, Tzu-Wei
Institution: Stanford University
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2158514946