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Fatigue and Stochastic Loads Author(s): Igor Rychlik Source: Scandinavian Journal of Statistics, Vol. 23, No. 4 (Dec., 1996), pp. 387-404 Published by: Wiley on behalf of Board of the Foundation of the Scandinavian Journal of Statistics Stable URL: . Accessed: 08/07/2013 09:50
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? Board of the Foundation of the Scandinavian Journal of Statistics 1996. Published by Blackwell Publishers Ltd., 108 Cowley Road, Oxford OX4 IJF, UK and 238 Main Street, Cambridge, MA 02142, USA. Vol. 23: 387-404, 1996

Fatigue and Stochastic

University of Lund


ABSTRACT. We give a general introduction to fatigue and discuss a simple model of fatigue damage accumulation in metals under variable loading conditions. Loads are modelled as stochastic processes and important characteristics of loads' variability, relevant for fatigue, are presented. We also discuss methods to generate loads for fatigue tests. Key words: crossings, fatigue, local extremes, oscillation measures, rainflow cycles

1. Introduction Fatigue is a process of "ageing" or "degrading" of materials, mostly metals, in components and structures subjected to time-variable external loading conditions. The fatigue process causes the deterioration of the material's ability to carry the intended load. It is a common opinion among reliability engineers that failure of mechanical components in most cases is caused by fatigue. Fatigue has been the subject of numerous research studies conducted by mechanical engineers, material scientists, physicists, chemists, structural engineers and mathematicians over more than 150 years. The complexity of the fatigue process and related reliability problems requires development of new statistical tools for analysing fatigue data, design of experiments and tests. One also needs reliable stochastic models for materials properties, environment variability and for uniaxial and multiaxial loads. At present such models use i.a. random morphology, integral geometry, point processes, Gaussian processes and stochastic differential equations. In this paper we review an approach to fatigue under random loading conditions based on a concept of a macroscopic damage accumulations in the material, see also Sobczyk (1987) and Miller (1993). Modelling of crack development is not considered and we refer to a monograph by Sobczyk & Spencer (1992). 2. Fatigue The fatigue phenomenon is a very complicated process which can be defined as a process of nucleation (or crack initiation) and crack growth when some cracks stop growing while others collapse and create long cracks. The growth rate increases with the crack length, even under small variable loading. Due to surface imperfections, inclusions, grain boundaries etc., initiation of cracks usually takes place at the surface of the metallic body at spots of high stress concentration. Depending on the magnitude of the load, the properties of the material, and the smoothness of the surface, the crack nucleation phase may constitute the main part of the total fatigue life or, in other cases, it may be completely absent. This means that fatigue failure is directly a result of the crack growth process. Summarizing, the fatigue damage process is very complicated and depends on many factors:

* This paper was presented as an Invited Lecture at the 15th Nordic Conference on Mathematical Statistics, Lund, Sweden, August 1994.

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Scand J Statist 23

(a) the micro-structure of the material: the crystal size and geometry distribution of inclusions, surface finish, etc.; (b) the variability of applied loads as well as the geometry and dimensions of the object, notches, etc.; and (c) the environmental conditions, such as aggressive chemical environment leading to corrosion, large temperature variations, etc., see Miller (1993) for more detailed discussion. It is obvious, from the complexity of the fatigue phenomena that observed life times to failure have a considerable variation. The first systematic and quantitative investigation of fatigue damage was performed by August Wohler in 1858 and resulted in the widely known Wohler curve, or S-N diagram, which shows the relationship between the amplitude (S) of the applied (approximatively sinusoidal) stress function and the number (N) of periods to fatigue failure. The S-N diagram is an important measure of material strength for fatigue. Assume that we have a set of test specimens produced so that maximal homogeneity of the specimens' shape and surface is achieved. Let all the specimens be subjected to an oscillatory load y, where y may represent a stress or elongation function. For simplicity we assume that the function y is a sinusoid function, S y, = m + - sin (27rAt), 0 <t <,, where r is the time of failure. In practical tests one sometimes uses other shapes of the periodic "cycles" constituting y than the sinusoidal. However, it has been observed that the particular shape of the function is of secondary importance compared to the period, maximum and minimum value of the oscillatory load. Thus the parameters u = max y, and v = min yt can be used as parameters of the simple oscillatory load, also called constant amplitude load. Although the specimens are almost identical and the loading function y is the same for all specimens, one often observes a large variability in life times T, which is due to randomness of material properties. In fatigue analysis one equivalently uses sn(v, u) = T i, the number of cycles to failure or time to failure T, as a measure of materials strength. In order to identify the properties of sn(v, u) one has to perform fatigue tests for different values of (v, u). It is a common experience that the values of sn(v, u) closely follow a log normal distribution. Further, one often assumes, in contrast to most observations, that the variance of ln (sn(v, u)) is independent of (v, u). Consequently, a simple regression model for the strength process sn(v, u) is the following one:
sn(v, u) = K SN(v, u),

K = exp (aX)


where X e N(O, 1) and SN(v, u) is a deterministic strength function, which is equivalent to the S-N diagram. In practical codes (or specifications) one often fits a simple form for SN(v, u)

-J -v) SN(v, u) = SN(u -v) = {k(u {k (u - v)

if u-v >,so, if u - v < so,


where /B a t 1 and kI = k(so) - if ,B< oo. If ,B= oo the amplitude so is called the fatigue limit and means that a load with amplitude u - v < so does not cause any fatigue damage. Relatively standard techniques from regression analysis can be used to estimate the parameters k, a, fJ,so and a. However, since fatigue experiments are very expensive, one usually has rather small sets of data and hence the design of experiment is important. ?
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Scand J Statist 23

Fatigue and stochastic loads


2.1. Fatigue damage In the previous section we have used a simple constant amplitude load y (for example a sinusoidal function). Obviously real loads are seldom so regular. Consequently we need to find methods to characterize variability of a load relevant for fatigue life prediction. The approach presented here is based on a concept of accumulation of damage in a material due to fatigue phenomena. Although it is difficult to define how to measure (physically) fatigue damage, the concept of damage has physical meaning and should be related to the collection of cracks in the material. This is indicated by experiments where a thin layer of the surface was periodically removed from a fatigued specimen (thereby eliminating the early stages of short crack growth). Tests of such renovated specimens at the same stress-strain level indicate that no damage has been introduced into the bulk of the material, neglecting the changes in the response to a load, because full life time has been restored. Here we shall present a linear damage accumulation model proposed by Palmgren (1924) and Miner (1945). This approach is commonly used in engineering practice. We begin with the damage intensity for a constant amplitude load function y, i.e. a periodic function, with frequency i, and such that in a period it has only one local minimum with height v and one local maximum with height u. On a unit scale, a damage intensity is defined as d, = A/SN(v, u), where SN(v, u) is a standard strength of a specimen obtained from the S-N diagram. The total damage accumulated in the interval [0, T] is defined as



and the fatigue failure time - has distribution given by P(T S t) = P(Dt > K), where K is a random critical level; see (1). Before we give a general form of the Palmgren-Miner damage accumulation model we present a physical motivation for the method. It is generally accepted that elastoplastic deformations cause damage to material. A large enough deformation destroys a given piece of material immediately, while smaller deformations lead to eventual destruction if they are applied repeatedly. Thus a single hysteresis loop in the stress-strain plane constitutes a basic event for damage assessments. In the simplest models the order of the hysteresis loops is neglected and damage is attached to each single hysteresis loop. Then the total damage is defined as a sum of damages attached to all closed hysteresis loops. The hysteresis loops can be easily identified in a graph of the (stress, strain)-function. The (stress, strain)-functions are sometimes measured in fatigue experiments, particularly if there are regions where plastic deformations can be significant, e.g. in notched components. However, it is a common situation in the design stage of a construction or in a fatigue life prediction that only external loadings are known and that the stress/strain-relations need to be approximated using numerical algorithms. Consequently, the stress function alone is often used both to identify hysteresis cycles and to attach damages to cycles. Let v, u be the lowest and highest points of a hysteresis loop on a stress axis and let the damage attached to the loop be denoted byf(v, u). The total damage DT accumulated in the time interval [0, T] is then a sum of damages attached to all closed hysteresis loops {(vi, ui) }, say, in [0, T], i.e.

= Z f(vi, ui).


Using a constant amplitude fatigue life data (S-N curve) we can calibrate the total damage ?
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I. Rychlik

Scand J Statist 23

and obtain the general Palmgren-Miner linear damage accumulation law



P(T < t) =P(Dt > K).


The remaining problem is to identify the lowest and highest points of a hysteresis loop on a stress axis of closed hysteresis loops {(vi, ui) } given the stress function y. The so-called rainflow method is a method to do this, as described in the following section. The most critical assumption in the Palmgren-Miner model is that the damage of the ith cycle is independent of the magnitudes of other cycles. There are many experiments disclosing sequential effects, e.g. the fact that the crack grows slower after an overload. However, there is no general damage accumulation method which can take into account all sequential effects and which is uniformly better than other approaches. Consequently, if the sequential effects are not dominating the damage accumulation process, the simplest approach of Palmgren and Miner is still frequently used in engineering practice. In addition, some engineers interpret the rainflow count as a method to introduce sequential effects (through hysteresis memory of a material) into the Palmgren-Miner damage accumulation model. This is then used to explain the relatively good accuracy in fatigue life prediction based on the rainflow method and the Palmgren-Miner damage, i.e. using equations (4). Furthermore, note that in material science, there is and has been an intensive discussion on whether and how the energy dissipated in a material during elastoplastic loading and the accumulated fatigue damage are related to each other. Brokate et al. (1994) showed that both energy dissipated in the material and the Palmgren-Miner fatigue damage (4) can be described using the so-called hysteresis operators with a set of rainflow cycles as a basic component. Consequently the energy dissipated in a material can be well-approximated by formula (3) with (may be) a different function f than in (4).

3. Rainflow count, basic properties The rainflow method was introduced by Endo in the late sixties, the first paper in English being Matsuishi & Endo (1968). The original paper in Japanese has been reprinted in Murakami (1992). His definition was a complicated recursive algorithm identifying the closed hysteresis loops in the strain-stress plane. Endo described the method using a model of rain flowing from a pagoda roof (which explains the name). The first non-recursive definition of the method was given in Rychlik (1987). Definition 1 Let CT, 0 < T < oo, be a space of continuous real functions defined on [0, T]. For y E CT, define a real function x by the following procedure: For any fixed t E [0, T] let t -, t + be the following time points
_ u fsU C-[ 0, t):Y S>Yt }o


if ys < yt for all s E [0, t),

if ys <y for all s e (t, T)

Jinf Is E (t, T): ys > y, },


and let x , x + be the lowest points in the intervals [t-, t], [t, t +], respectively, i.e.
Board of th ti- < s < te,xS nyd: + = inf Jyr: t < sta+t < (6)

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Scand J Statist 23

Fatigue and stochastic loads


Xt =t


~ ~t


Fig. 1. Definitionof rainflowcycle.

then x, is given by Smax(x,<x+) lx= ift+ < Toryt =YT and t < T, otherwise, (7)

see Fig. 1. A function rfc = (rfc, = (xt, yt), t E [0, T]), will be called a rainflowfunction of y and a pair (xt, yt) such that xt <Yt is called a rainflow cycle originating at t, with top yt, bottom x,. We turn now to the damage DT defined by (4); for a positive function f(v, u) > 0, v < u, a damage functional is given by y -+DT(f)
t e [0, T]



where lA(X) = 1 if x c A and zero otherwise. In what follows we shall equivalently use the or D(f; y). In practice ft(v, u) = 1/N(v, u), where N(v, u) is a S-N notation DT, DT(f) curve. Using the S-N curve (2) with ,B= oo and fatigue limit s0 >0 the total damage becomes

=k Dt

Xt -> So



Yt -

where a and k are material dependent constants (k is usually very large). Given an observed load y and a S-N curve it is a straightforward task to compute the total damage DT using the rainflow algorithm, given in definition 1, and (8). However, let e.g. y be a measurement of a stress at a fixed point of a truck travelling between locations A and B, say. Obviously, y can not be reproduced by a new measurement and it seems natural to model y as a sample path of a stochastic process. Now, if y is modelled by a stochastic process the important question is how to compute expected damage, its variance or a distribution function given the law of y. Since the rainflow function rfc depends in a very complicated way on y, (8) is not very convenient for stochastic analysis of DT. In the following two subsections we shall represent a rainflow function as a point process in R2 and describe it using a counting distribution, i.e. a number of points in a suitable class of subsets of R2. Next the total damage DT will be written in a form of an integral of the counting distribution. Since the counting distribution is equal to a number of upcrossings of an interval by y (the same as used in Doob's upcrossing lemma for supermartingales) the computation of expected damage is more tractable. 3.1. Counting distribution We begin with a simple lemma.
Journalof Statistics1996. ? Boardof the Foundationof the Scandinavian

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Lemma 1 For y E CT, T < ?O, the number of times the rainflow amplitude is at least e > 0, i.e.
NT(E) = #{t E [0, T]:y yt-xt > },


is finite. By lemma 1, the set rfc(y) = {(x,, yt): Yt > xt, t E [0, T]} is countable (and measurable), hence it is a point process in {(v, u): v < u}. The set will be called a rainflow count. A rainflow count can be uniquely defined using its counting distribution
NT(V, U) = # {t E [O, T]: v, uE [xt, y,]},

v < u.


Example 1. Low frequency Gaussian white noise process. Let Y, be a zero-mean Gaussian process with the spectrum S(i)

if JA I 2<

and 0 otherwise.


In Fig. 2(a) we show a part of the simulated process and in Fig. 2(b) we present a point process of rainflow cycles rfc(Y) with its counting distribution NT(V,u) defined by (10). In the following theorem we give an integration by parts formula. The formula will be used repeatedly to compute or estimate DT (8), given the counting distribution NT(V, u). The theorem is proved under some assumptions on the smoothness of the function f(v, u), specified in the following definition assumed for simplicity throughout. Definition 2 Let f(v, u), v < u, be a positive real function such that, for all u, f(u, u) = 0 (assumed for simplicity only), with the indicated derivatives:

af(v, u)
afu) Au =f2(v, u)


(v U) a02f av Au A=f2(v,u).



>0 -100; -2 -2 lS tdyX 0 BR!

curves at: ~~~~~~~~~~~~~~~~

0~~~~~~~~~~~2 -1~~~~~~~~~~5


~ ~ ~ ~ ~~~~~~~~~~~~~~3-



40 t





0 trough (v)

Fig. 2. (a) Part of a simulated sample path of a zero mean Gaussian process Y, t E [0, T], with spectrum S(i) (11). (b) Rainflow count rfc(Y) (dots) and isolines of the counting distribution NA(V U).

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Scand J Statist 23

Fatigue and stochastic loads


Assume that for all u e R, f2(u, u) ) 0 is a continuous function of u, and for all v < u, f12(v, u) < O. If for all x < z


Cz ru


I2(V, U)I dvdu


then f will be called a damage function. The following theorem gives an integration by parts formula to compute the total damage

Theorem 1 For y E CT, let NT(V, u) be its rainflow counting distribution, defined by (10), and let f be a damage function (see definition 2). Then the total damage DT is given by DT

NT(V, u)fI2(V,

u) dvdu +


NT(U, u)f2(u, u) du.


Note that in the proof of (12) only the integrability of the second derivativef12 is needed. The additional assumptions that f2(u, u) > 0 and that f12(v, u) s< 0, imposed in definition 2, ensure that the damage DT is a non-decreasing function of T for any continuous y. The continuity of DT will be discussed in subsection 3.5. The case when f(v, u) = (u - v)c, a ? 1, is of special interest. We then refer to DT(ft) as the oc-damage.From the last theorem it follows that
DT(f') =

N U(u, u) du, DT(f)



NT(V, u) dv du.

For c-damage, the integration by parts formula (12) can be simplified by considering NT(h), defined by (9), instead of NT(V, U), since then


NT(h) dh.


3.2. Rainflow count and oscillation measure In the previous subsection we have defined a rainflow function (t, y) -+ rfc5, and used it to evaluate the damage functional DT through (8). Since the rainflow function depends in a complicated way on y, this approach is inconvenient if one wishes to study the dependence of DT on time T. An alternative way is to use integration by parts formulas (12) or (13) to compute DT and determine how NT(V, u) and NT(h) depend on T. This approach is only meaningful if one can find an alternative way to compute NT(V, u) and NT(h) than by (10) and (9), respectively. A proof of the following characterization of NT(V, U), V < u, can be found in Rychlik (1993),
NT(V, U) = number of passages from v to u by y in [0, T],

which is made precise in the following lemma. Scheutzow (1994) proves this relationship for regular functions, e.g. cadlag functions. The relationship between crossings and rainflow counting distribution has been worked out independently by a research team from TECMATH in Kaiserslautern and the author, see papers 3 and 4 in Murakami (1992). ?
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Scand J Statist 23


v----I TO= O i S1 i

Ii S2


Fig. 3. Illustration of the first passage times Si, Ti, in lemma 2.

Lemma 2 For y E CT and any fixed levels v < u, define the sequence of first passage times, see Fig. 3, To=0 and S1 =inf{t

,0:yt =v},
> T,:yt

T1 =inf{t >S1:y,
T2=inf {t


with the convention that inf {0}= + oc. Then

NT(V, U) = max {n: Tn < T}. (14)

The function NT(V, U) = max {n: Tn < T} is called an oscillation measure. The formulas (14) and (12) form the basis for computation of expected damage due to rainflow cycles. In the special case of a-damage, i.e. f/(v, u) = (u - v) , a > 0, the simpler formula (13) can be used. However, we need a computationally more convenient characteristic of NT(h) than the defining relation NT(h) = the number of rainflow cycles in [0, T] with amplitude at least h. In Rychlik (1994) we gave a characterization of NT(h) similar to (14). 3.3. Rainflow cycles and a sequence of turningpoints As mentioned in section 1, usually, cycles with small amplitudes do not cause any damage, e.g. so > 0 and ,B= oo in (2). Consequently, all cycles with small amplitude are often removed from the observed load and the values of y are discretized. The procedure is called hysteresis filtering. We shall now formalize this procedure mathematically. For a fixed h > 0, let = f{y0 + ih: i = .. ., -1, 01, 2, . . .} be a set of levels. Define by induction a sequence of first passage times {Tj }: let T0= 0 and given Tj, let u =inf{z E : z >y,j}, then

v =sup {z E1: z <yj4,

=inf {t > tj:y, =u or Yt = v},

as before inf {0} = + oo. Consequently, zj,j > I, are the time points when y, passes the discrete levels in W. Obviously, if T < oo then K = sup {j: Tj< T} < oo, since y is continuous. Let 9 be an approximation of y obtained by drawing straight lines between points {(TO, YT 0) . * (rK, YTK), (T, YT) } Further data reduction is obtained by deleting from {(To'YT (T Y) } all 0).(TKZYTK), points (zi, y,,) which are not points of strict local extremes in y. The remaining sequence is called the sequence of turning points, see the following definition. ?
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Scand J Statist 23

Fatigue and stochastic loads


Definition 3 Let {(ti, Mi)} I1, Mi = y.t, be the sequence of local maxima in 9. (If YTK < YT, (T, YT) is consideredas a point of local maximum.)Let to= 0 and definemi = inf {9t: ti -l < t <ti } The sequence of pairs {(mi, Mi) lm is called a sequence of discretized turningpoints in y.

Applyingthe rainflow methodto the sequenceof turningpointswe obtainthe sequenceof

M rainflow cycles {(mrfc, Mi)}iM

Since T < oo and y is a continuousfunction, sequencesof turningpoints and rainflow cyclestake finitelymanyvaluesfromthe set 1. Consequently, they can be uniquelydescribed by means of bivariate histogramsof (mi, Mi) and (mrfc, Mi) called in fatigue practice and whichare a commonway of savingthe observed Markov-respectively rainflow-matrices loads. Denote by NT(V, u) an oscillationmeasureof 9. (Obviously, AT(V, u) can be obtainedfrom rainflowmatrix(and vice-versa) by a simplealgebra.)The followinglemmajustifiesthe use the rainflow of rainflow matricesto approximate damageDT(Y) for a continuousfunctiony.
Lemma 3 Let y E CT and 9 be its approximation defined in this subsection. Denote by NT(V, u) an oscillation measure of 9, defined by (14) and let NT(V, u) be an oscillation measure of y. Then: (a) For any u > v, NT(V, U) < NT(V, U) with equality when v, u E 1, (v < u). (b) The number NT(h) of rainflow amplitudes at least h counted in y is boundedfrom below by M, the number of local maxima in 9, and NT(2h) < M < NT(h). (c) For a damage function f, Dr(f; 9) T DT(f; y), (h - 2-n) as n -, oo. 3.4. Finiteness of rainflow damage

If y has finitelymany extremesthen the total damageDT is finite for any damagefunction. Examplesof such regularloads are samplesof Gaussianlow frequencywhite noise process in example1. Obviously,functionsy of finitevariationmay have infinitenumbers presented of local extremesin [0, TI, see example2, but f, NT(U, U)dUiS finiteby Banach'stheorem, (see Freedman,1983,p. 209), and since it is assumedthatf(u, u) = 0, for all u, the rainflow damageis finite for all damagefunctions f, definedas in definition2. Example2. Linear oscillator. Let Y, be the solution of a damped harmonicoscillator equationdrivenby a Gaussianwhite noise process,i.e. let
Y','+2Yt + Y, = Wt, t >,0, (15)

where W,is a Gaussianwhite noise process.Assumea' = 4Cand (Y0, Y0) = (XI, X2), where N(0, 1) variables.Then Y, is a zero-meanstationaryGaussianprocess Xi are independent with spectraldensity Ry(A)=(1

-(2,%)2)2 + (2C)2(2ir))2

For the process Yt we have (U2= U2, = 1. Consequently, almost all sampleshave finite 2variation.However,since a2,oo, the processhas infinitelymany local extremes. For the constantC= 0.01, in Fig. 4(a) we presenta part of a simulated,sampledprocess are markedas stars.The plot on Fig. 4(b) . d whered = 0.005. The first 100 local extremes Yk shows the rainflowcount rfc(Y) and we can see that most of the cycles are along the line wheredamageis negligible. y = x, i.e. have very small amplitudes,
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I. Rychlik
(a) (b)

ScandJ Statist23

15 .
1. . ..


0 -1


-1.5 5 10 t 15 20

-f3 -2 -1 0 trough 1 2

samplepath of a zero meanGaussianprocess Yt,t E [0, 500],definedby (15), with Fig. 4. (a) Part of a simulated the first 100 local extremesmarkedas stars.(b) Rainflowcount rfc(Y) (dots).

If the function y has infinite variation then f NT(U, u) du = oo and, in order to avoid pathological cases, we assume that f2(u, u) = 0 for all u E R. Under this assumption, using the integral representation (12), the total damage is given by
"b "ba







-h, u) dh du,

where b = max, E [0 T] yt, a = mintE [OTj y,. Hence, in order to check if the total damage DT iS finite we need to describe properties of the damage function f(v, U) for v close to u more precisely, and limit the class of functions y. For simplicity consider f(v, u) = (U - v) , o > 1. Then by ( 13) the total damage



ho a INT(h)dh,

and NT(h) is the number of rainflow cycles in [0, T] with amplitudes at least h. Obviously, the finiteness of DT depends on the growth rate of NT(h) as h tends to zero. This is exactly the rate the number of local maxima M in lemma 3(b) grows as h tends to zero. Theorem 2 Let Yt, t e [0, T], fl(v, u) = (u - v) ", 2 finite for oc> 2.

be a continuous Brownian motion starting at zero and 1. Then the rainflow damage DT( P; Y) is a.s. infinitefor cx< 2 and a.s.

Example 3. Ornstein-Uhlenbeck process. Let Y, be a zero mean stationary Gaussian process with covariance function r(t) = E[Yo Yt] = a2(2c) 1 exp { -c|t|}, c > 0. The Ornstein-Uhlenbeck process Y is extremely irregular, almost all samples have infinite variation and the set of local maxima is countable and dense in [0, T], see also Fig. 5(a). Furthermore, NT(h) = O(h-2) as h tends to zero, and the oc-damageis infinite for ac< 2. (In the simulation 6 = 0.002, where X is a we used Y,t+ = Ytexp {-ck31} + X cr[(l -exp { -2c 6j})I(2c)]1/2, standard Gaussian variable independent of Y_,s < t.)

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Scand J Statist 23

Fatigue and stochastic loads (a) (b)




2 -::.





1 t




0 trough

Fig. 5. (a) Part of a simulatedsamplepath of an Ornstein-Uhlenbeck process Y, 0 ? t ?200, with c = 0.5, a = 1. (b) Rainflowcount rfc(Y) (dots). parameters

3.5. The rainflow damage process Let Yt, t E [0, + oo) be a continuous function. Obviously, for any finite T > 0 the function y restricted to [0, T] is in CT and we can define the rainflow damage DT(f; y). Let DO= 0 and let f be a damage function such that DT(f; y) < oo for all finite T then: (i) DT is a continuous non-decreasing function. (ii) DT is a Lipschitz continuous function, if yt is Lipschitz continuous (f(u, u) = 0 for all u E R). Furthermore

D'dt =jf2(x, yt)1{x x>o}(YD)Y;dt, (16)

DT ={0

where x- is defined as in definition 1. Note that in the case when f(v, u) = G(u) - G(v) the total damage can be written in = dt. particularly simple form DT f-TG'(yt)1{x >o}(y)y 4. Expected rainflow damage Let Yt, t > 0, be a random process with a.s. continuous sample paths, f a damage function (as in definition 2) and DT(f; Y) a rainflow damage process. In this section we study the
expectation E[DTI.

From (12), using Fubini's theorem, the necessary condition for finiteness of expected damage is finiteness of measure
+ 00 nT (V, u) =

E[NT(V, U)] =

n= I

P(Tn < T),

( 17)

where the oscillation measure NT and first passage times Tnare defined in lemma 2. Then the ?
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expected damage is given by





u) dvdu + J'nT(u

u)f2(u, u) du.


Since Tnare rather complicated first passage times we can not expect to find explicit forms for nT(v, u) except for some special cases. Hence approximation methods are often used, see Rychlik (1988). We begin with two important classes of processes when explicit forms do exist.

4.1. Diffusion processes Let Y,, t > 0, be a regular diffusion process on R with diffusion coefficient a(z) > 0 and drift coefficient b(z). (The sample paths of Y are a.s. continuous and have infinite variation.) For arbitrary x0 define S(x)=


T'byr 2b(z) dz dy, exp -I

{ Jx0 a(z) }

the so-called scale function. We assume that 2b(z)/a(z) is locally integrable and that S(- oo) = - oo, S( + oo) = + oo and S(x) is finite, for all x E R, i.e. all points are accessible by Yt except -oo and + oo. Then




exp{ -x


is the density of speed measure. We assume that M of the stationary distribution of Y is given by f(x) = M-'m(x).

dx < Jft m(x)

cc, and then the density

If the density of Y0 is f(x) then Y is strictly stationary, which we assume. We turn now to the measure nT(v, u) defined by (17). For fixed v < u, let Ti be the first passage times defines in lemma 2, and the oscillation measure NT(V, U) = max {n: Tn < T}. The variables {Ti - Ti 1}, i > 2, are i.i.d. with finite expectation E[T

Ti I] = 2M(S(u) -S(V)),

where M = J i0 m(x) dx < co. Although the diffusion process Yt is strictly stationary, T1 and T2- T, have different distributions. (This is a technical complication caused by the fact that the rainflow function begins at a fixed time point (zero).) Since T1, T2- T1, T3- T2 are independent variables then, by the elementary renewal theorem,

lim NAv,u)
T-+ o

t- cx

E[NT(V,u)] T

1 2M(S(u) - S(v))n(,u,19

say. We call n(v, u) the oscillation intensity. Example 3 continued. Let Y, be a zero mean stationary Gaussian Ornstein-Uhlenbeck process. The process Y is a diffusion with diffusion coefficient a(z) = U2 and drift coefficient
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Fatigue and stochastic loads 3



-2 -1 0 1 2

curves at:



~~~~~~~~~~~5 10
20 50 100

-2 -3 -3



1 0 trough (v)

rainflow countrfc(Y)(dots), where Y, 0 < t < 200, is an Ornstein-Uhlenbeck Fig. 6. Simulated process c = 0.5, a = 1; and isolinesof the intensity200 if(v,u) definedby (20). with parameters b(z) =

cz. The scale function is given by

exp {cz



A stationary intensity ,u(v,u), say, of the point process of maxima and rainflow minima rfc(Y) is obtained from (19);
2n(v, u)

yu(v, u) =

= S'(u)S'(v) -@ aD(eU )a =M(S(u) S(v))3 =





since M = a it/C. In Fig. 6 we present the intensity ,u(v,u) with simulated sample of the point process of maxima and rainflow minima rfc(Y).

4.2. A Markov chain of turningpoints For a stationary continuous process Yt, let {(mi, Mi) } be a discretized sequence of turning points, see definition 3. Assume that {(mi, Mi) } is a time-homogeneous irreducible Markov chain. If the intensity of local maxima Mi and the transition matrices from minimum to maximum and maximum to minimum are given, then the oscillation intensity n(v, u) defined by (19) can be computed using simple matrix algebra. The algorithm was first proposed in Rychlik (1988) and is given in a fatigue toolbox FAT, see Frendahl et al. (1993). Here we face the fact that the exact joint distribution of maxima and minima is unknown for almost every stationary process with specified distribution. However, specification of a process distribution is always made under the understanding that it represents a sufficiently good approximation of the real process in study. Measured loads are often saved in a form of Markov matrices, which give empirical estimators of the transition matrices, and hence a natural stochastic model for a load, based on this information, is a Markov chain. For several real loads and theoretical Gaussian and non-Gaussian processes we have observed a ?
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0-1 -1 -2
-o 0


~ ~ ~ ~ ~ ~ ~ ~ ~~~~50 100







Fig. 7. (a) Part of a simulatedsample path of the Duffing oscillatorwith Gaussianwhite noise input Y. (b) Rainflowcount rfc(Y) (dots). very good agreement between observed (simulated) and computed oscillations intensities based on Markov turning points approximation. Example 4. Duffing oscillator. Consider a simple mechanical system with non-linear spring, the so-called Duffing oscillator, Ytt+2SY'_yt t
at t =

+cY3 =UrWt

t )0, ttO,

where W, is a Gaussian white noise process. Assume that the differential equation is started
o and hence Yt is a zero-mean stationary process.

We have simulated Yt with parameters C = 0.4, c present a part of a simulated sample path of Yt. 4 32-

0.2, and a2

1.6 and in Fig. 7(a) we



-3 -2 -4-4~~~~~~~~ 0 trough (v) 2 4

Fig. 8. Isolines of the observed counting distribution NT(V,

U) of the rainflow count rfc(Y), where Y is the solution to the Duffing oscillator (dashed lines) compared with the expected counting distribution nT(v, u) computed approximately using Markov chain of turning points (solid lines).

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Fatigue and stochastic loads


We have extracted from Y, the sequence of turning points and estimated the transition matrices from minimum to maximum and maximum to minimum. Next using the assumption that the sequence of turning points forms a Markov chain, with the estimated transition matrices, we have computed nT(V, u). The isolines of nT(v, u) are presented in Fig. 8 (solid lines). In order to check the accuracy of the approximation, we have found the rainflow count rfc(Y), see Fig. 7(b) and computed its counting distribution NT(V, u). The isolines of NT(V, u) are presented in Fig. 8 (dashed lines). We can see that agreement between nT(V, u) and NT(V, U) is very good.

4.3. Processes with absolutely continuous sample paths Let Y, be a random process with a.s. absolutely continuous sample paths. For simplicity we shall assume that Yt is a strictly stationary and ergodic process. Similarly as for diffusions, the assumption that one starts to count rainflow cycles at time zero causes some technical complications. This can be resolved by considering the process Yt, t E R, defining rainflow function rfct for t > S and letting S go to - oc. Then the derivative of the damage process at time t goes to Dt(f; Y) =(Y)+f2(Xk, where x +



max (0, x) and

k7 is defined by
t- = sup {s e (-ce, t): Y, > Yt}, (22)

X- =inf {Ys: t- A s A t}, where sup {0}


Now, we can define a stationary expected damage intensity by Yo)]. (23)

d(f; Y) =E[(Yo)+f2(k,x

Computation of d(f; Y) is an important problem in fatigue life prediction under random loading. However the distribution of XO is hard to compute exactly, and hence approximation methods are often used. If the joint density of minimum and the following maximum is known (estimated or approximated in a suitable way), then the sequence of turning points of Y can be approximated by a Markov chain for which expected damage intensity (or n(v, u)) can be easily computed and then used as an approximation of d(f, Y). This approach is used in example 1. Assume that Yt is a stationary and ergodic Gaussian process with absolutely continuous paths. Then one can prove that
T--+ oc

= lim



| Yo= ulfyo(u) = n(v, u),


say. (The formula (24) can be extended to some non-Gaussian processes.) As before we can define an intensity of maxima and rainflow minima by


2n(v, u) au

For v =u, n(u, u) = E[( Y0) + I Yo=


which is Rice's formula for the intensity of upcrossings of level u by Yt. Hence (24) is an extension of Rice's formula to the intensity of excursions from the level u with the global minimum smaller than v (see Leadbetter et al., 1983). ?
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A useful conservative bound for the oscillation intensity n(v, u), and hence also for the damage intensity (23), is the following one n(v,u) <inf{n(z,z): v <z <u},

see Rychlik (1993) for examples and more detailed discussion. Example I (continued). Finally we give an example of intensity y(v, u) for a more regular < 3//27r and 0 otherwise. zero mean Gaussian process with the spectrum S(A) = /3/3 if J2A There is no explicit expression for the joint density of the minimum and the following maximum (m1, Ml) known at present. However, there are accurate algorithms to compute numerically, based on Slepian model processes and regression methods, see Lindgren & fmM Rychlik (1991) and Rychlik & Lindgren (1993). In Fig. 9 (left figure) the isolines of computed f(mM are plotted. The dots mark simulated pairs of minima and maxima for the load Y. Since higher order densities, e.g. of (ml, Ml, IM2) are practically impossible to compute and hence the oscillation intensity n(v, u) is unknown, we use the Markov chain of turning points with transition matrices defined byfmM to approximate the distribution of the sequence of local extremes in Y. The oscillations intensity for the Markov chain of turning points n(v, u) is computed and by numerical differentiation we obtain
,u(v, u) = a2(V, U)
av au

In Fig. 9 (right figure) we have compared fi(v, u) (the approximation for P,(v,u)) with simulations.

4.4. Variance of rainflow damage The variance of DT is extremely hard to compute even if theoretical formulas can be written down. In the special case when the damage function f(v, u) = G(u) - G(v) for some absolutely continuous non-decreasing function G we have that DT = G'(Y)1{X x o} (Yt) Yt dt

3 2

3 2-





-3-2 0 trough (v) 2 4





0 trough (v)

Fig. 9. Gaussianexamplewith observed pairsof minimaand maxima(left figure)and rainflowpairs(rightfigure) togetherwith isolinesof the calculateddensities. ?
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Fatigue and stochastic loads


and the variance of DT can be numerically computed for stationary Gaussian process Y. Further in Rychlik et al. (1995) and Piterbarg & Rychlik (1994) we discuss variance of DT and the CLF for DT(Y), Y is Gaussian, as T goes to infinity. However, often the variabiilty of material quality, described by a random critical level K, dominates the variability of the damage DT and hence for reliability statements, the expected damage E[DT] is the most important parameter. 5. Generation of loads for fatigue testing In previous sections we presented a simple mathematical model for fatigue life time variability. The material quality was described by a simple random variable K while the load was represented as a rainflow count or oscillation measure. The method is mostly used at the design stage when the accuracy of fatigue life time predictions is less important but the experiments have to be relatively cheap. However, if the material strength has to be better defined one needs to perform fatigue tests on components or whole constructions under variable amplitude stress or elongation processes. To perform "variable-amplitude" fatigue tests one needs suitable methods to generate stress functions y. Often one uses so-called standard load spectra, which are deterministic functions created from measurements of the loads and considered as representative for particular service conditions. Simulated sample paths of random processes have been also used, giving some statistical properties (estimated in real loads) relevant for fatigue. We shall briefly discuss three approaches. 1. The simplest important characteristic of the load is the intensity of upcrossing n(u, u), u E R and some measure of irregularityof a load, e.g. the proportion of intensities of local maxima and upcrossings of a mean level. An algorithm generating a sample path of a random process with predescribed crossing intensity and irregularity factor was presented by Holm & de Mare (1985). It should be noted that the crossing intensity is a very weak restriction and the class of processes with given crossing intensity is very wide. However, the algorithm proposed simulates a load from a relatively narrow subclass of stochastic processes. 2. A more complete information on the structure of the load is given by the Markov matrix, i.e. the histogram of local minima and the following maxima in the sequence of turning points. (Such matrices are often calculated from real loads.) From a Markov matrix one can obtain crossing spectrum n(u, u) by simple algebra. Since the higher dimensional distributions of the sequence of turning points is unknown one uses a Markov chain with transition matrices estimated from the Markov matrix (after suitable removals of small oscillations) to simulate inputs to fatigue tests. 3. It is commonly believed that the rainflow count is an important characteristic of the load, particularly relevant for fatigue analysis and hence the real loads are often described in terms of rainflow matrices. Consequently, in fatigue tests one wishes to invert the rainflow matrix and obtain the sequence of turning points. In statistical terms one wants to simulate the load with given oscillations intensity n(v, u). Such an algorithm was proposed by Kruger et al. (1985). Their algorithm chooses, with equal probability, a sequence of turning points which gives exactly the required rainflow matrix. Acknowledgements I would like to thank Professor Georg Lindgren for his support and encouragement in my research on random fatigue. The paper is based directly on an invited talk at the 15th Nordic
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Conference on Mathematical Statistics in Lund 1994. I am also very grateful to Professor Dag Tjostheim for discussion and valuable comments improving the manuscript. References
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Applic.20, 149-156.
Kruger, W., Scheutzow, M., Beste, A. & Petersen, J. (1985). Markov- und Rainflowrekonstruktion stochastischer Beanspruchungszeitfunktionen, VDI-Report, series 18, No. 22. (In German). Leadbetter, M. R., Lindgren, G. & Rootz&n, H. (1983). Extremes and related properties of random sequences and processes. Springer, New York. Lindgren, G. & Rychlik, I. (1991). Slepian models and regression approximations in crossing and extreme value theory. Int. Statist. Rev. 59, 195-225. Matsuishi, M. & Endo, T. (1968). Fatigue of metals subject to varying stress. Paper presented to Japan Society of Mechanical Engineers, Jukvoka, Japan. Miller, K. J. (1993). Materials science perspective of metal fatigue resistance. Mater. Sci. Technol. 9, 453-462. Miner, M. A. (1945). Cumulative damage in fatigue. J. Appl. Mech. 12, A159-A164. Murakami, Y. (ed.) (1992). The rainflow method in fatigue. Butterworth-Heinemann, Oxford. Palmgren, A. (1924). Die Lebensdauer von Kugellagern. VDI-Zeitschrift 68, 339-341. Piterbarg, V. & Rychlik, I. (1994). Central limit theorem for wave-functionals of Gaussian processes. Univ. of Lund Statis. Res. Rep. No. 1994: 4, 1-26. Rychlik, I. (1987). A new definition of the rainflow cycle counting method. Int. J. Fatigue, 9, 119-121. Rychlik, I. (1988). Rainflow cycle distribution for ergodic load processes. SIAM J. Appl. Math. 48, 662-679. Rychlik, I. (1993). Note on cycle counts in irregular loads. Fatigue Fract. Engng Mater. Struct. 16, 377-390. Rychlik, I. (1994). Extremes, rainflow cycles and damage functionals in continuous random processes. Univ. of Lund Statis. Res. Rep. No. 1994: 9, 1-28. Rychlik, I. & Lindgren, G. (1993). CROSSREG-a technique for first passage and wave density analysis. Probab. Engng Informational Sci. 7, 125-148. Rychlik, I., Lindgren, G. & Lin, Y. K. (1995). Markov based correlations of damage cycles in Gaussian and non-Gaussian loads. Probab. Engng Mech. 10, 103-115. Scheutzow, M. (1994). A low of large numbers of upcrossing measures. Stochast. Process. Applic. 53, 285-305. Sobczyk, K. (1987). Stochastic models for fatigue damage of materials. Adv. Appl. Probab. 19, 652-673. Sobczyk, K. & Spencer, B. F. Jr. (1992). Random fatigue: from data to theory, Academic Press, New York. Received November 1994, in final form November 1995 Igor Rychlik, Department of Mathematical Statistics, University of Lund, Box 118, S-22100 Lund, Sweden.

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