Subset Simulation: Use existing data

Hey there,

I happen to have a large set of samples for a simulation problem and I want to compare different UQ methods. I used MC and PCE before and was able to use my existing data without having to draw new samples and solve the limit state function. Now I’d like to apply a Subset Simulation. How do I integrate my existing data into SuS? For PCE I did it like this:

MetaOpts.ExpDesign.X = inVec;
MetaOpts.ExpDesign.Y = outVec;

Is there some something similar in SuS?


Dear Lucas

Unfortunately you cannot use subset simulation with pre-computed data: the whole point of this method is to compute conditional probabilities that are multiplied. Each conditional probability is obtained through Markov chain Monte Carlo simulation, so it is dependent on the previous step / samples of the analysis.

If you are interested in reliability analysis with surrogate models, you may have a look at the new active learning module developed by @moustapha, which was released in UQLab V.1.4 on February 1st, 2021.

Good luck!

Dear Bruno,

thanks for your reply! Alright, this makes perfect sense now. I didn’t deep dive into the fundamentals of subset simulation yet but I surly will, now.

I’m going to have a look at it, thank you.