A Method for the Combination of Stochastic Time Varying Load Effects

The problem of evaluating the probability that a structure becomes unsafe under a combination of loads, over a given time period, is addressed. The loads and load effects are modeled as either pulse (static problem) processes with random occurrence time, intensity and a specified shape or intermittent continuous (dynamic problem) processes which are zero mean Gaussian processes superimposed 'on a pulse process. The load coincidence method is extended to problems with both nonlinear limit states and dynamic responses, including the case of correlated dynamic responses. The technique of linearization of a nonlinear limit state commonly used in a time-invariant problem is investigated for timevarying combination problems, with emphasis on selecting the linearization point. Results are compared with other methods, namely the method based on upcrossing rate, simpler combination rules such as Square Root of Sum of Squares and Turkstra's rule. Correlated effects among dynamic loads are examined to see how results differ from correlated static loads and to demonstrate which types of load dependencies are most important, i.e., affect' the exceedance probabilities the most. Application of the load coincidence method to code development is briefly discussed.National Science Foundation Grants CME 79-18053 and CEE 82-0759

Fluctuations in glassy systems

We summarize a theoretical framework based on global time-reparametrization invariance that explains the origin of dynamic fluctuations in glassy systems. We introduce the main ideas without getting into much technical details. We describe a number of consequences arising from this scenario that can be tested numerically and experimentally distinguishing those that can also be explained by other mechanisms from the ones that we believe, are special to our proposal. We support our claims by presenting some numerical checks performed on the 3d Edwards-Anderson spin-glass. Finally, we discuss up to which extent these ideas apply to super-cooled liquids that have been studied in much more detail up to present.Comment: 33 pages, 7 figs, contribution to JSTAT special issue `Principles of Dynamical Systems' work-shop at Newton Institute, Univ. of Cambridge, U

Sequential Monte Carlo EM for multivariate probit models

Multivariate probit models (MPM) have the appealing feature of capturing some of the dependence structure between the components of multidimensional binary responses. The key for the dependence modelling is the covariance matrix of an underlying latent multivariate Gaussian. Most approaches to MLE in multivariate probit regression rely on MCEM algorithms to avoid computationally intensive evaluations of multivariate normal orthant probabilities. As an alternative to the much used Gibbs sampler a new SMC sampler for truncated multivariate normals is proposed. The algorithm proceeds in two stages where samples are first drawn from truncated multivariate Student $t$ distributions and then further evolved towards a Gaussian. The sampler is then embedded in a MCEM algorithm. The sequential nature of SMC methods can be exploited to design a fully sequential version of the EM, where the samples are simply updated from one iteration to the next rather than resampled from scratch. Recycling the samples in this manner significantly reduces the computational cost. An alternative view of the standard conditional maximisation step provides the basis for an iterative procedure to fully perform the maximisation needed in the EM algorithm. The identifiability of MPM is also thoroughly discussed. In particular, the likelihood invariance can be embedded in the EM algorithm to ensure that constrained and unconstrained maximisation are equivalent. A simple iterative procedure is then derived for either maximisation which takes effectively no computational time. The method is validated by applying it to the widely analysed Six Cities dataset and on a higher dimensional simulated example. Previous approaches to the Six Cities overly restrict the parameter space but, by considering the correct invariance, the maximum likelihood is quite naturally improved when treating the full unrestricted model.Comment: 26 pages, 2 figures. In press, Computational Statistics & Data Analysi