ABSTRACT
The computation of multivariate failure probability is an important aspect in reliability analysis. An effective method for calculating the failure probability is presented. By using the importance sampling technique, the method is based on the idea to simulate directly the high order statistics of a variable along the gradient of the limit state hypersurface at the beta point. Newly developed results in extreme value theory are introduced to avoid the significant amount of arbitrariness involved in the choice of the sampling distribution. The proposed procedure described in this paper is based on the assumption that the multivariate structure has a small probability content.
