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3. RELIABILITY ANALYSIS 38
3.1 General 38
3.1.1 Variables 38
3.1.2 Events 39
3.1.3 Event Probability 41
3.1.4 The Reliability Index 41
3.1.5 The Design Point 42
3.1.6 Transformation of Variables 42
3.2 Analytical Methods 44
3.2.1 The First Order Reliability Method, FORM 44
3.2.2 The Crude First Order Reliability Method, CRUDEFORM 48
3.2.3 The Second Order Reliability Method, SORM 48
3.3 Simulation Methods 49
3.3.1 MonteCarlo Simulation 49
3.3.2 Directional Simulation 50
3.3.3 AxisOrthogonal Simulation 53
3.4 Choice of Method 56
3.4.1 FORM 56
3.4.2 CRUDEFORM 57
3.4.3 SORM 58
3.4.4 MonteCarlo Simulation 59
3.4.5 Directional Simulation 59
3.4.6 AxisOrthogonal Simulation 60
3.5 Evaluation of Analysis Results 60
3.5.1 General 60
3.5.2 Interpretation of Analysis 61
3.5.3 Analysis Models 61
3.5.4 Analysis Methods 62
3.5.5 Distribution 62
3.5.6 Interpretation of Calculated Reliability Measures 63
3.5.7 Fulfillment of Assumptions for Analysis 63
3.5.8 Conditional Probability 63
3.5.9 Parametric Sensitivity Factor 66
3.5.10 The Uncertainty Importance and Omission Sensitivity Factors 66
3.6 Time Dependent Reliability Analysis 67
3.6.1 Introduction 67
3.6.2 First Passage Failure Probability 69
3.6.2.1 Random Process Simulation 69
3.6.2.2 Outcrossing Rate 70
3.6.2.3 Application 73
3.7 Response Surface Methods 74
3.7.1 Introduction 74
3.7.2 Classical Response Surface 74
3.7.3 Adaptive Response Surface 75
REFERENCES 76
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3. Reliability Analysis
3.1 General
The basic problem in Structural Reliability Analysis (SRA) may be formulated as the problem of
calculating the small probability that
g( ) X < 0 (3. 1)
where X is a vector of basic variables (cfr. Section 3.1.2). g( ) X is referred to as the limit state
function. In most cases in SRA, g( ) X may be split into a load term l and a strength term s such
that
g s l ( ) ( ) ( ) X X X = (3. 2)
and failure is defined by the event of loads exceeding the strength, implying g( ) X < 0 , which is
the convention for definition of failure. The failure event may be a combination of several events.
3.1.1 Variables
A stochastic model is defined through variables. The variables describe functional relationships
in the physical model and the randomness of parameters in the model. A parameter of a variable
may be a function of coordinates of other variables so that a network structure for dependencies
between variables can be defined. Additional statistical dependence between the variables can be
modeled through correlations. A variable X may be a vector of dimension n and coordinates
X i n
i
, ,..., =1 .
A variable in a probabilistic model can be assigned:
a numeric constant
a probability distribution
a function
Numeric Constant
The variable is a constant value, for example 0.5.
A variable with this type attribute may be assigned to parameters of every other variable. It
permits sensitivity factor calculations and parameter studies for parameters which enters the
physical model more than one place.
Probability Distribution
The variable is assigned a probability distribution (e.g., the exponential distribution, the normal
distribution etc.). The distribution describes the randomness of a parameter in the physical
model. For further details see Chapter 4. A variable which has this type attribute may be assigned
to parameters of any other variable.
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Function
The variable can be a user defined function of other variables (numeric constants, distributions,
etc.).
More advanced calculations may need variables to be defined as event probabilities (in nested
reliability analysis) or generated distributions. See Tvedt (1993) for more details.
3.1.2 Events
An event, E( ) X , is a subset of the sample space for the stochastic process involved, i.e., a subset
of all the possible outcomes of the stochastic process.
An event may be defined through a functional relationship
{ } E g ( ) ; ( ) X x x = 0 (3. 3)
The event identifies the outcomes of interest while the random variables X defines the nature of
the stochastic process. The following types of events are described
single event
union of events (series system)
intersection of events (parallel system)
conditional event
Single Event
The purpose of the single event is to define a functional relationship which identifies a
subdomain of the state space. The single event E
SE
( ) X is defined by
} { E g
SE
( ) ; ( ) X x x = (3. 4)
where g( ) x is a function in the functions library and is the threshold value. The event is an
inequality event which identifies a volume in the ndimensional xspace.
Alternatively the event is defined as
{ } E g
SE
( ) ; ( ) X x x = = (3. 5)
The event is an equality event which identifies an (n 1)dimensional surface in the n
dimensional xspace. To be meaningful the definition of an equality event requires the definition
of a limit process. If a measurement variable is assigned to the event, the limit process is on the
measured value. If not, the limit process is on , i.e., on the threshold value.
The event function is
g g
SE
( , ) ( ) x x = (3. 6)
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In structural reliability the function g
SE
( , ) x is denoted as a limit state function. The domain of
Eq. (3. 4), excluding the boundary, is denoted the failure domain. The boundary itself is denoted
the failure boundary. The domain of E
SE
C
( ) X is the complement of E
SE
( ) X and is denoted the
safe domain.
A simple single event function is the loadresistance function g r l r l ( , ) = shown in Figure 3. 1.
Failure
Surface
SAFE
DOMAIN
FAILURE
DOMAIN
r
l
Figure 3. 1 LoadResistance Limit State Function
Union of Events
The union of m events E
i
( ) X is the collection of outcomes which are in at least one subevent
E
i
( ) X .
E E
U
i
m
i
( ) ( ) X X =
=1
(3. 7)
The subevent E
i
( ) X may be a single event, a union of events or an intersection of events. In
structural reliability the union of single events is used to model series systems.
Intersection of Events
The intersection of m events E
i
( ) X is the collection of outcomes in the sample space which are
common to all the subevents.
E E
I
i
m
i
( ) ( ) X X =
=1
(3. 8)
A special case is the intersection of single events
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E E
ISE
i
m
SE i
( ) ( )
,
X X =
=1
(3. 9)
The significance of this event is that it is the only intersection system for which the probability
can be calculated directly using FORM or SORM.
In structural reliability the intersection of single events is used to model parallel systems.
Conditional Event
The conditional event E
C
( ) X is the collection of outcomes in E
1
( ) X conditioned on the
occurrence of event E
2
( ) X .
E E E
C
( ) (  )( ) X X =
1 2
(3. 10)
The subevent E
1
( ) X or E
2
( ) X is either a single event, a union of single events or an intersection
of single events. The complexity of the subevent depends on the calculation method used. If the
FORM is used, the intersection of E
1
( ) X and E
2
( ) X must be an intersection of single events.
In structural reliability the conditional event is used to model inspection nofind situations (in
equality events) and together with the measured value variable (involves equality events) to
model inspection find situations (Section 3.6).
3.1.3 Event Probability
The event probability, P
E
, is the probability that an outcome of the stochastic process X yields
the event E,
P P E
E
= ( ( )) X (3. 11)
3.1.4 The Reliability Index
The reliability index
R
is defined to be the argument of the standard normal distribution which
yields one minus the event probability, i.e.,
R E E
P P = =
1 1
1 ( ) ( ) (3. 12)
see Madsen et al. (1986). It is customary to distinguish between
the FORM reliability index,
FORM
, where P
E
is obtained through a FORM approximation
method,
the SORM reliability index,
SORM
, where P
E
is obtained through a SORM approximation
method and
the Generalized reliability index,
R
, where P
E
is the exact event probability.
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While the event probability is most often a rapidly changing nonlinear function of the
distribution parameters, , the reliability index
R
is most often a more "linear" function of .
This implies that the parametric sensitivity factors of
R
(Section 3.5.2) most often are predictive
in a wider range of than those of P
E
.
The other reason for using the reliability index is historically motivated. In early structural
engineering applications the safety was measured in terms of an index, Cornell (1969), Hasofer
and Lind (1974), Ditlevsen (1979a), corresponding to
R
for special cases.
3.1.5 The Design Point
In the transformed space of standard normally distributed variables, see Section 3.1.6, the design
point is defined as the point on the failure surface with the smallest distance from the origin.
Reference is made to Figure 3. 2. The design point corresponds to the most probable combination
of the stochastic variables causing a failure.
u
1
u
2
FAILURE
SET
SAFE
SET
u
*
Design
Point
Figure 3. 2 The Design Point
3.1.6 Transformation of Variables
This basic problem may be transformed into an equivalent problem where the basic stochastic
variables are transformed into a standardnormalspace, i.e. the space of decorrelated normally
distributed variables with zero mean and unit standard deviation. This transformation
(Rosenblatt,1952) is
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u F x
u F x x x x
u F x x x x
i i i
n n n
1
1
1
1
1 2 1
1
1 2 1
=
=
=
( ( ))
...
( (  , ,...., ))
....
( (  , ,...., ))
(3. 13)
where x= ( , ,..., ,..., ) x x x x
j n 1 2
is the basic vector and u = ( , ,...., ,... ) u u u u
i n 1 2
is the
transformed vector, is the standardnormal distribution.
It is customary to use the term xspace for the space of random basic variables and the term u
space for the space of independent standard normal random variables.
The usefulness of this mapping is due to
Rotational symmetry: The probability content of domains in the uspace is invariant with the
rotation of the domains about the origin u= 0.
Exact results: The probability content in uspace can be obtained exactly for the linear
domain, the elliptic and the hyperbolic domains, Rice (1980) and Hellstrom (1983), the
parabolic domain, Tvedt (1988) and the domain obtained through a secondorder Taylor
expansion of the event function, Tvedt (1990).
Approximations: The probability content in uspace can be obtained approximately for a
convex domain bounded by linear surfaces, i.e. a domain defined by a parallel system of
single events with linear event functions. The method used is the approximation method for
the cumulative multinormal distribution, Hohenbichler (1984), and Gollwitzer and Rackwitz
(1988).
If the intersection of the single event yields a parabolic surface in directions orthogonal to the
subspace spanned by the gradients of the active constraints (see below), the probability content of
the corresponding domain is approximated by a split of the linear parallel system and the
parabolic domain, Hohenbichler (1984).
Asymptotic justification: Breitung's theorem, Breitung (1984a), states that the domain limited
by a parabolic approximation to the single event boundary obtained by fitting the curvatures
at the design point (the approximation point closest to the origin), asymptotically, i.e., as
= u
*
, yields the true probability of the event. A similar result is valid for a small
intersection parallel system, Hohenbichler (1984). The rapid decay of the standard normal
distribution away from the origin implies that the asymptotic approximations are useful also
for moderate , say 2 .
.
It follows from this that, if an event can be approximated by one of the above mentioned
domains, or a composition of such domains, then an approximation of the probability content of
the domain can be derived.
Simulation methods: The unbiased Directional simulation method, Bjerager (1988) and the
AxisOrthogonal importance sampling method, Schall et al. (1988), require a formulation in
terms of uspace variables.
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3.2 Analytical Methods
3.2.1 The First Order Reliability Method, FORM
The basic idea of FORM is to approximate the system event boundary by linear surfaces at a
selected set of points. The computational methods available for linear and piecewise linear event
are then applied to obtain an estimate (possibly in terms of bounds) of the event probability. The
selection of linearisation points depends on the system configuration.
Theoretical support for the FORM is offered by Breitung (1984a) and Hohenbichler (1984).
Their theorems state that the system reliability index obtained using the FORM, asymptotically
(i.e., as the norm of each design point u
*
tends to infinity) yields the true reliability index
FORM R
,
*
u (3. 14)
under certain restrictions on the curvatures.
Single Event
The principles are illustrated in Figure 3. 3 for two stochastic variables. The boundary of the
single event is linearised at the point of maximum likelihood in uspace, the design point u
*
.
u
*
=
g( ) u = 0
FORM
g( ) u > 0
g( ) u < 0
= u
*
=
g
g
( )
( )
*
*
u
u
u
1
u
2
Figure 3. 3 Linearisation of single event boundary in uspace
The FORM reliability index is
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FORM
sign g = u
*
( ( )) 0 (3. 15)
The corresponding probability of failure is
P
FORM FORM
= ( ) (3. 16)
Intersection (Parallel System) of Single Events
The term small intersection denotes an intersection of single events where the event function is
nonnegative at u= 0. The linearisation of small intersection is illustrated in Figure 3. 4. Three
limit state functions g u u u u u u
h i j
( , ), ( , ), ( , )
1 2 1 2 1 2
g g define three boundary curves for the failure
domain (g( ) u = 0).
u
*
g
h
( ) u = 0
g( ) u < 0
h
i
j
j
u
h
*
g
j
( ) u = 0
g
i
( ) u = 0
u
1
u
2
Figure 3. 4 Linearisation of small intersection in uspace
The steps in the linearisation procedure are:
Step 1, Active constraints: The first linearisation point is the point of maximum
likelihood, the design point u
*
, on the event boundary of the
event function. The single events which have zero valued
functions at this point are denoted active.
Step 2, Inactive single events: The single events which are not active, are denoted inactive.
The inactive single events are linearised in succession, if
possible. The linearisation point of an inactive single event is
the point of maximum likelihood on the part of its event
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boundary that intersects the event defined by the previous
linearisations. If a single events boundary does not intersect
this event, it is deleted from the further calculations.
The term large intersection denotes an intersection of single events where the event function is
strictly negative at u= 0. The linearisation of small intersection is illustrated in Figure 3. 5.
Three limit state functions g u u u u u u
h i j
( , ), ( , ), ( , )
1 2 1 2 1 2
g g defines three boundary curves for the
failure domain (g( ) u = 0).
u
1
u
2
g
h
( ) u = 0
h
i
j
j
g
j
( ) u = 0
g
i
( ) u = 0
u
j
*
u
i
*
u
h
*
Figure 3. 5 Linearisation of large intersection in uspace
The steps in the linearisation procedure are:
Step 1, Active single events: The single events are first linearised at their separate design
points. The single events that have design points on the event
boundary of the linearised large intersection are denoted
active.
Step 2, Inactive single events: The single events which are not active, are denoted inactive.
The inactive single events are linearised in succession, if
possible. The linearisation point of an inactive single event is
the point of maximum likelihood on the part of its event
boundary that intersects the event defined by the previous
linearisations. If a single events boundary does not intersect
this event, it is deleted from the further calculations.
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Denoting the linearisation of single event no. i
g
i i i
T
( ) u a u = + (3. 17)
the linear surfaces defines a point, , on the cumulative multivariate normal distribution, with
mean 0, standard deviation 1 and correlations R= = ( ) ( )
ij i
T
j
. Thus
P
FORM
= ( ; ) R (3. 18)
where the correlation matrix is denoted R. The corresponding reliability index is
FORM FORM
P =
1
( ) (3. 19)
Union (Series System) of Single Events
Rather than computing the union of single events, one may choose to solve the complementary
problem which is an intersection of single events. The relation is
{ } { } P g P g
i
m
i
i
m
i
( ; ( ) ) ( ; ( ) ) =
= = 1 1
0 1 0 u u u u (3. 20)
The intersection of single events is computed using the methods described above.
The second alternative is to use bounds for the failure probability. Each single event is linearised
separately. An upper bound ( P
U
) and a lower bound ( P
L
) to the event probability of the linearised
system is computed making use of simple bounds or Ditlevsen bounds.
Simple bounds: First orders bounds using the individual event probabilities ( P s
i
' )
P P
L
i
n
i
=
=
max
1
(3. 21)
P P
U i
i
n
=
min ,
1
1 (3. 22)
Ditlevsen bounds: Second order bounds (Ditlevsen (1979b), Kounias (1968)) that also
uses the intersection probabilities P P E E
ij i j
= ( )
P P P P
L i ij
j
i
i
n
= +
=
1
1
1
2
0 max , (3. 23)
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{ }
P P P P
U i
j
i
ij
i
n
= +
=
=
1
1
1
2
max (3. 24)
The bounds on the reliability index are
FORM L U
P
,
( ) =
1
(3. 25)
FORM U L
P
,
( ) =
1
(3. 26)
3.2.2 The Crude First Order Reliability Method, CRUDEFORM
The CRUDEFORM method replaces the event functions by their separate FORM linearisations
prior to the computation of the event probability. The original event functions are again used
with the calculation of sensitivity factors.
The motivation for using the CRUDEFORM method is that a single event which is a member of
more than one subsystem is linearised only once. The computational effort using the CRUDE
FORM is thus generally less than the computational effort using the FORM.
If the system is a union of single events for which the bounds option is used or if the system is
one single event, the FORM and the CRUDEFORM gives identical results. If the system is an
intersection of single events, the difference in the reliability estimates using the FORM and the
CRUDEFORM could be considerable.
3.2.3 The Second Order Reliability Method, SORM
The basic idea of the Second Order Reliability Method, SORM, is to approximate a single event
boundary in uspace by a quadratic surface and an intersection of single events by a
linear/parabolic surface. In each case the quadratic approximation is made at the design point.
The computational methods available for quadratic forms and for linear and piecewise linear are
then applied to obtain an estimate of the event probability (possibly in terms of bounds). The
SORM for unions makes use of the SORM for single events and intersections of single events.
The SORM extends significantly the class of problems that can be treated by approximation
methods because even highly curved event boundaries can be well represented by such methods.
Theoretical supports for the SORM are offered, in the case of a single event and a union of single
events, by Breitung (1984a), and in the case of intersections of single events and unions of
intersections of single events, by Hohenbichler (1984). Their theorems state that the event
probability obtained using the SORM, asymptotically, i.e. as the norm of each design point u
*
tends to infinity, under certain restrictions on the curvatures, yields the true event probability.
Below, only the essential differences from the FORM are included.
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Single Event
Three methods for approximating the boundary of the single event are:
Parabolic approximation of the main curvatures of the boundary at u
*
. The exact result for the
probability of the parabolic domain is available, Tvedt (1988) and (1990), together with an
asymptotic result by Breitung (1984a).
Approximation derived from the second order Taylor expansion of the event function at u
*
. The
event is either a parabolic quadratic form, an elliptic quadratic form or a hyperbolic quadratic
form, Fiessler et al. (1979). The exact result for the quadratic form is available, Rice (1980),
Hellstrom (1983), Tvedt (1990).
Parabolic approximation derived from the diagonal of G u ( )
*
. G u ( )
*
is the matrix of the second
derivatives of the event function evaluated at the design point u
*
. The SORM event probability is
computed using the exact results for the parabolic quadratic form, Tvedt (1989). The
approximation is a modified version of a suggestion by Der Kiureghian et al. (1987).
Intersection (Parallel System) of Single Events
Small Intersection: The SORM approximation is here used to derive a correction factor to
the FORM probability of failure, Hohenbichler (1984). The intersection
of the active constraints describes a nonlinear surface. This surface is
approximated by a parabolic surface. The SORM probability of failure
is in this case an asymptotic result for the parabolic/linear failure
domain
P P
Q
SORM FORM
SORM
=
( )
(3. 27)
where Q
SORM
is the separate probability of the parabolic quadratic form
and is the design point reliability index.
Large Intersection: The single events are linearised separately. The linearised version of a
single event is as in FORM, however, in SORM the distance parameter
is scaled to account for the second order probability.
3.3 Simulation Methods
3.3.1 MonteCarlo Simulation
The MonteCarlo simulation method samples from the joint distribution of the n random basic
variables X. The indicator function I x ( )
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I x ( )
( )
( )
=
>
1 0
0 0
for g
for g
x
x
(3. 28)
is evaluated at each sampled point and the probability is estimated as
( ) P
N
I x
E i
i
N
=
=
1
1
(3. 29)
An advantage of the method is that it makes use of point values of the event function only. Thus,
the event function is not required to be a smooth function of its variables. Also, the estimate on
the event probability is unbiased. The disadvantage is the long computational time for small
probabilities (see Section 3.4.4). An illustration of the MonteCarlo method is given in Figure 3.
6.
x
i
x
j
0
0
g( ) x < 0
g( ) x > 0
Figure 3. 6 The MonteCarlo Method
3.3.2 Directional Simulation
The idea of directional simulation was put forward by Deak (1980) who used it to sample the
multinormal cumulative probability function. The method is a conditional expectation simulation
method that samples directions uniformly distributed on the surface of the ndimensional unit
sphere centered at the origin of the uspace, Figure 3. 7.
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u
i
u
j
g( ) u > 0
g( ) u < 0
q
f
A
( ) a
a
r
1
2 2
q
r ( )
Figure 3. 7 Directional Simulation in uspace
The method assembles the contributions to the probability integral conditioned on the sampled
directions. A number of variance reducing methods, i.e., sampling of random orthogonal sets of
directions were proposed.
Application of the method to general systems with nonlinear event boundaries was suggested by
Bjerager (1988).
The motivation for the method is that in many cases it allows unbiased and efficient sampling of
small probabilities, provided that n is not too large.
The probability of the event can be formulated as
P f v dvd
E
g va
n
=
2
0
( )
( )
(3. 30)
where v is a
n
2
distributed random variable, a is a unit vector and d is the surface element of
the ndimensional unit sphere. The unit directions a are sampled and the function
n
v
2
( )
conditioned on a is integrated. This may be done by identifying the upper bounds v u
i
( ) and the
lower bounds v l
i
( ) of the intervals where g v ( ) a < 0 and to sum up the contributions to the
integral
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{ }
P v u v l
n i n i
i
m
( ) ( ( )) ( ( )) a =
=
2 2
1
(3. 31)
assuming there are m such intervals. The estimator for the probability is:
( ) P
N
P
E i
i
N
=
=
1
1
a (3. 32)
where a
i
i N , ,.., =1 are the simulated directions.
The simplest method that reduces the variance of the sampled set is to replace P( ) a by
( ) P P P
1
1
2
( ) ( ) ( ) a a a = (3. 33)
A further reduction of the variance of the sampled set is obtained through sampling of a
randomly oriented orthonormal system of vectors b b
1
,..,
n
. A new system of vectors is formed as
follows: To each set { } b b b
i i ik 1 2
, ,.., of k out of n vectors, there are m
n
k n k
=
!
!( )!
such sets, the
following 2
k
vectors, a b
i
( ), are formed
( ) a b b b b
i i i k ik
k
s s s ( ) = + + +
1
1 1 2 2
(3. 34)
with s j i i i
j k
= = 1
1 2
, , , ..., . One point is sampled as
{ }
O
m
P
k
k
i
s s j k i
m
j
=
= = =
1
2
1 1 2 1
( ( ))
; , , ,...,
a b (3. 35)
The estimator of the probability based on sampling of N orthonormal systems of vectors, is now
, ,
P
N
O
E k k j
j
N
=
=
1
1
(3. 36)
Taking advantage of symmetry, the number of actual calculations is half the amount indicated by
the above methods. Thus
r
n
k n k
k
=
!
!( )!
2
1
(3. 37)
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The number of evaluations of the event function is thus approximately rn
a
, where n
a
is the
average number of event function calls needed to perform the summation of Eq. (3. 31).
The following estimators are recommended dependent on the number of stochastic variables n:
n or n 2 16 50 Use
( )
,
P
E 1
a
n or n = 3 11 15 Use
( )
,
P
E 2
a (3. 38)
4 10 n Use
( )
,
P
E 3
a
n > 50 Use
( ) P
1
a
3.3.3 AxisOrthogonal Simulation
Importance sampling around the design point has been suggested by Shinozuka (1983) and also
by Harbitz (1983). The recommended method is, however, based on the ideas of Hohenbichler
and Rackwitz (1988) and Schall et al. (1988).
The idea is to define an axis for a small intersection domain, i.e., an intersection of single events
where the uspace origin is in the complementary event, and to define the sampling density in a
plane orthogonal to this axis. The method assumes that the true boundary of the event is suitably
approximated by a set of linear surfaces obtained using the FORM linearisation procedure for a
small intersection domain. The idea is to calculate the probability of the linearised domain by
methods available for the cumulative multinormal integral and to obtain an estimate on the
probability of the difference of the true event and the linearised event using the AxisOrthogonal
sampling method. The principles are illustrated in Figure 3. 8.
g( ) u < 0
g( ) u > 0
v
v
i
u
*
u
n
1 ( ) u
n
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Figure 3. 8 Axis Orthogonal Simulation in uspace
Selection of Axis
Let a
i
i n , , ,..., =1 2 be the set of normalised gradients of the single events active at the design
point of the parallel system. The axis is the direction of the averaged gradient, pointing into the
interior of the linearised event at the design point.
a
a
a
a
i
i
i
i
i
i
=
=
=
1
1
(3. 39)
The coordinate system is rotated so that the new coordinate u
n
is in the direction of the axis
while
~
( , ,..., ) u =
u u u
n 1 2 1
is the coordinates normal to u
n
. The axis is now defined as
a u e = +
0
u
n n
(3. 40)
where e
n
is a unit vector in the direction of u
n
.
Sampling of a Multiplicative Correction Factor
The sampling density, H
M
, is in this case as follows:
a) In the space spanned by the gradients of the m single events active at the design point, the
mdimensional standard normal density, conditioned on the linearized event, is used,
Bjerager (1988).
b) In the directions normal to this space, and normal to the axis, n m 1 independent
standard normal random variables centered on the axis are sampled from.
Thus
( )
P P
P
u
H d PC
E L
A
n g
M L
=
(
~
)
(
~
)
~
( )
u
u
u
u
0
(3. 41)
where P
L
is the probability of the linearised domain, u
n
(
~
) u is the intersection of the linearised
domain and the line
l u e = +
~
u
n n
(3. 42)
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P
A
(
~
) u is the true probability of the event conditioned on the line defined by l . The estimator of
C is
(
~
)
( (
~
))
C
N
P
u
A i
n i i
N
=
1
1
u
u
(3. 43)
Sampling of an Additive Correction
The density function sampled from is in this case the (n 1)dimensional standard normal
density function(
~
) with
~ ~ ~
u u = +
0
, i.e., with center on the axis a. The linearised domain is
bounded by the linear approximations of the single events active at the design point and the linear
approximations of the constraints having a positive a a
i
T
. The difference of the probability of the
true event and the probability of the linear approximation of the event is estimated. Thus
{ }
P P P u d P A
E L A n
g
L
= + +
(
~
) ( (
~
))
(
~
)
(
~
)
~
( )
u u
u
u
u
0
= (3. 44)
with
~ ~ ~
u u = +
0
, and the other symbols explained above. The estimator of A is:
(
~
) ( (
~
))
(
~
)
(
~
)
A
N
P u
A n
i
N
=
=
1
1
u u
u
i i
i
i
(3. 45)
Computation of P
A
(
~
) u
The line integral
P u du
A n n
g u
n
(
~
) ( )
(
~
, )
u
u
=
0
(3. 46)
is evaluated once for each simulation of
~
u. Because this is the timeconsuming part of the
calculations, a number of options are made available to reduce the effort in the simple cases.
The general integration method is to search for the points u i
n l
( ) and u i
n u
( ) denoting the lower
and upper bounds of the intervals where g u
n
(
~
, ) u is less than zero, and then sum up the
contributions using the formula
{ } P u i u i
A n u n l
i
m
(
~
) ( ( )) ( ( )) u =
=
1
(3. 47)
assuming there are m such intervals.
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3.4 Choice of Method
The applicability of a particular method depends, as in all mathematical modelling, on the
problem at hand and on the objective of the analysis. In the following some important
characteristics of the methods are tabulated to assist the user to choose the method appropriate to
the problem at hand. The following issues are important to the selection of a method:
The objective of the analysis.
The number of random variables involved.
The computational cost of evaluating the event (e.g. limit state) function.
The properties of the event function, e.g. existence, continuity and differentiability.
The reliability level of interest.
3.4.1 FORM
The motivations for using the FORM are:
Almost linear event boundary. It is often found that the distributions used to model random
basic variables are narrow, i.e., the coefficients of variation have small values. In such cases, the
event boundary in uspace is often significantly less curved than the event boundary in xspace.
Because of this, the desired results can be obtained by the FORM with a quality sufficient for the
intended application.
Comparison of probabilistic models. An interesting application of probabilistic methods is to
compare probabilistic models under variation of the model assumptions. In such cases the
accuracy required is one that permits comparison rather than exact results.
Computational efficiency. In many applications in engineering, the calculation of a variable
may require computationally costly subroutines, e.g., the value of the variable may require use of
the finite element method. In such cases, the use of other methods, e.g., simulation methods, may
be computationally prohibitive for small failure probabilities.
Systems: The method is applicable to single events, union and intersections of single
events and union of intersections of single events.
Event function: In principle the event function must be continuously differentiable.
However, in practical applications it may be sufficient that this is the case
near the design point.
Results: Probability, parametric sensitivity factors and uncertainty importance
factors.
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Applicability: The method is particularly useful for the high reliability problems often
encountered in engineering. The method assumes that each single event
boundary is linear or nearly linear in the neighborhood of the
approximation points. The method is also quite useful if qualitative
statements about the model are sufficient, e.g., if the results are used to
compare models.
Check: If the applicability of the FORM to a specific model is uncertain, the
FORM results should be compared for selected cases with the results
obtained using simulation or SORM. In many cases a comparison with
SORM results suffices.
Computation cost: The cost of a FORM calculation is essentially the cost of solving a number
of optimisation problems, one for each subsystem in the model. Assume
that the system is composed of m subsystems, that subsystem no. i is
composed of k
i
single events and that single event no. j of subsystem no. i
to have n
ij
random variables. If solving the optimisation problem of
subsystem no. i requires r
i
iterations, then the computational effort is of
the order r n
i
i
m
ij
j
k
i
= =
+
1 1
1 ( ) . This implies that the solution time is not a
function of the probability. It is linear in number of stochastic variables
and events. n
ij
+1 refers to the calculation of gradients g( ) x . In some
cases gradients may be derived analytically or by efficient numerical
algorithms (e.g. Adjoint method in FEM). In such cases FORM will be
particularly efficient.
3.4.2 CRUDEFORM
The CRUDEFORM linearises each single event boundary separately prior to the probability
calculation. Then the FORM is applied to the linearised system. The applicability of the method
is as follows:
Systems: The method is applicable to single events, union and intersections of single
events and union of intersections of single events.
Event function: In principle the event function must be continuously differentiable.
However, in practical applications it may be sufficient that this is the case
near the design point only.
Results: Probability, parametric sensitivity factors and uncertainty importance
factors.
Applicability: The method is identical to the FORM for single event and union of single
events systems (if bounds are used). For intersection of single events and
union of intersections systems, the method assumes that the boundaries of
the event are well approximated by the independent linearisation
procedure for the single events. Thus, care should be exercised when using
this method. Note that the computational cost is in the order of a FORM
computation.
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Check: If the applicability of the CRUDEFORM to a specific model is uncertain,
the CRUDEFORM results should be compared with the results obtained
using FORM.
Computation cost: The cost of a CRUDEFORM calculation is essentially the cost of
computing the approximation point of each single event separately.
Assume there are m single events, that single event no. i has n
i
random
variables and that the computation of the approximation point needs r
i
iterations. Then the computational effort is of the order r n
i i
i
m
( ) +
=
1
1
3.4.3 SORM
In the case of a single event, the SORM method fits a quadratic surface to the boundary of the
event. In case the system comprises more than one single event, the parabolic SORM is used. The
SORM is used to compute a correction factor to the FORM. The applicability of the method is as
follows:
Systems: The method is applicable to single events, union and intersections of single
events and union of intersections of single events.
Event function: In principle the event function must be two times continuously
differentiable. However, in practical applications it may be sufficient that
this is the case near the design point.
Results: Probability, parametric sensitivity factors and uncertainty importance
factors.
Applicability: The method assumes that the boundary of the event is closely
approximated by a quadratic surface in the neighbourhood of the
approximation point. The invariance property of the parabolic quadratic
form makes it generally applicable. The diagonal fit is generally applicable
if the event function can be written as g h x
i i
i
n
( ) ( ) x =
=
1
and the random
variables X
i
are mutually independent. It is also applicable if the
curvatures of a full parabolic approximation have small values. The lack of
invariance implies that care has to be exercised whenever the second order
Taylor expansion is used.
Check: If the applicability of the SORM to a specific model is uncertain, the
SORM results should for selected cases be compared with the results
obtained using simulation.
Computation cost: The cost of the SORM is the cost of the FORM plus the cost of deriving
the quadratic approximation. If the event function has n random variables,
the number of extra computations is:
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Parabolic:
n
n
2
1 ( )
Second order Taylor:
n
n
2
1 ( ) + (3. 48)
Diagonal: 2n
If n is large, say 100, the simulation methods become competitive also for
small probabilities, say 10
3
. For small intersection: If there are k active
single events in the intersection system, the number of computations of the
event functions to establish the parabolic approximation is
k
n k n k
2
1 ( )( ) . For large intersection: number of single events
single event SORM.
3.4.4 MonteCarlo Simulation
The Monte Carlo simulation method samples from the joint distribution of the random basic
variables.
Systems: All systems except systems involving equality events.
Event function: The calculation of the event function should be possible at all valid
realizations of the basic variables, i.e. all the points where the joint density
distribution has a positive value. If the event function cannot be calculated
at some point x, then the point contributes zero to the probability.
Results: Probability. (Sensitivities may be calculated at extra costs.)
Applicability: The Monte Carlo simulation method gives an unbiased estimate of the
probability. The method is efficient for the simulation of the central part of
the distribution, i.e., probabilities in the range from 0.1 to 0.9, say.
Computation cost: The number of points (evaluations of the gfunction) required to obtain a
reasonable reliable estimate of the probability P
E
is approximately 100/P
E
.
3.4.5 Directional Simulation
The directional simulation method samples directions uniformly distributed on the surface of the
ndimensional unit sphere in uspace and accumulates a weighted sum of the event probabilities
conditional on the simulated directions.
Systems: All systems.
Event function: The event function should be calculable at each point where the density
distribution of the random basic variables X is positive.
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Results: Probability and parametric sensitivity factors.
Applicability: The directional simulation method gives an unbiased estimate of the
probability. The method is recommended for the simulation of
probabilities below 0.1 and above 0.9.
Computation cost: The computational effort is proportional to the proportion of the area of
the surface of the ndimensional unit sphere that generates directions
intersecting the event. As this proportion tends to be reduced with
increasing number of random variables, the Monte Carlo method becomes
competitive if the number of random variables is large. The Monte Carlo
simulation method should be used for large n, n 100, say.
3.4.6 AxisOrthogonal Simulation
The AxisOrthogonal simulation is an importance sampling method that samples a correction to a
FORM approximation of a single event or an intersection of single events. The number of
samples to obtain the correction is small if the intersection system is closely approximated by the
FORM.
Systems: Single events and intersection of single events (small intersection only).
Event function: The event functions should be calculable at each point u. If the event
function cannot be calculated at some point u, it is assigned the value zero
at u.
Results: Probability, reliability index.
Applicability: The AxisOrthogonal simulation method gives an unbiased estimate of the
probability in the case there is one local design point only. The method is
recommended for the simulation of probabilities smaller than 0.1 and
greater than 0.9.
Computation cost: The computational effort depends on how well the event boundary is
approximated by a (set) of linear surfaces. If well approximated, the
number of samples may be down to 50.
3.5 Evaluation of Analysis Results
3.5.1 General
The basic results of a probabilistic analysis are
a set of design point values of the random values
the probability of an event
the conditional probability of an event
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parametric sensitivity factors
uncertainty importance factors.
Results which are specific for time dependent reliability analysis, i.e., crossing rate and crossing
probability, are described in Section 3.6. The event probability and the reliability index are
described in Sections 3.1.3 and 3.1.4.
3.5.2 Interpretation of Analysis
Reliability analysis should be performed and interpreted with a critical mind. The analysis results
should be interpreted critically as the results and corresponding conclusions will significantly
depend on
analysis model and associated bias
distribution types
target reliability level
An essential result of a structural reliability analysis is the reliability measure. The measure may
depend on a number of assumptions adopted by the analyst. The reliability measures shall be
interpreted as an engineering factor expressing the current knowledge/information about the
structure and its environment under the types assumptions set forth in the analysis (for example
assumptions regarding probability distribution types and the structural models adopted). The
reliability measure introduces thereby an ordering of the considered structures with respect to
reliability that can be used in comparative studies.
The reliability measure is often taken as the reliability index defined as a monotone function of
the failure probability. There are several reasons for using the reliability index instead of
probability directly; the index has a historical significance, it has a clear geometrical
interpretation in a number of basic cases, it is an essential component in first order reliability
methods and it has certain simple relationships to common partial safety factors.
Additional results which may be obtained from the reliability analysis are:
sensitivity factors (parameter sensitivities, importance factors)
estimation point (most likely failure point).
As a guideline for a critical interpretation of analysis the following items are listed:
It is important that the selected analysis model reflects the actual failure mode in an
appropriate way.
The selected distributions should be representative for the considered analysis.
It should be assured that assumptions made for reliability analysis of problems in design and
inservice life are fulfilled through performance of, e.g., fabrication or inservice inspection.
The analysis method should give correct results based on the limit state function and the
distributions given as input to the analysis.
Calculated probabilities of failure are nominal values. The use of relative values from
reliability analysis are preferred above that of absolute values.
3.5.3 Analysis Models
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Analysis models that reflect the actual failure mode should be selected. Wherever possible, bias
and model uncertainty should be estimated and included in the analysis models. Bias and model
uncertainty may for example be obtained from comparison of experimental and theoretical
values. Bias and model uncertainty can be represented by a model uncertainty factor defined as
the ratio between experimental (true) values and theoretical (predicted) values. Bias is defined as
the expected estimation error and will therefore be reflected in terms of a nonunity mean of the
model uncertainty factor. Variability in the model will be reflected in terms of the standard
deviation of the model uncertainty factor.
3.5.4 Analysis Methods
It should be checked that a solution of the limit state function is achieved with sufficient
accuracy. This may be checked using the data for the estimation point calculated. For special
problems (e.g., if the limit state function is not monotonic in all basic variables, or if one or more
distributions are bimodal) it should be checked that a right estimation point is obtained. This
may be checked using alternative starting points for the optimisation algorithm for finding the
most likely failure point. For problems with limit state surfaces possessing several local minima
(of similar magnitude) special care is needed in estimating P
F
, and FORM/SORM results should
be verified by simulation, e.g., by directional simulation.
FORM/SORM results are generally highly accurate for practical purposes: i.e., for the small
range probabilities, say P
F
<
10
3
, and smooth limit state surface typical of most problems.
However they do not directly yield results indicating the accuracy of the reliability estimates.
Confidence intervals for the reliability measures may be established by simulation, in particular
importance sampling (using the FORM estimation point as the center of the sampling directly)
may be efficient for this purpose.
If it is difficult to achieve a solution for a limit state function, a reformulation should be
considered. Use of logarithms may have a "linearising effect" on the limit state function which
may improve FORM/SORM solutions. This is achieved by rewriting the limit state function from
g R S ( ) ( ) ( ) x x x = (3. 49)
to
g R S ( ) ln ) ln ( ) x (x x = (3. 50)
3.5.5 Distribution
It should be checked that the distributions selected for the analysis are representative. Whenever
the type of distribution is uncertain, another analysis with a more conservative distribution (a
sensitivity study) may be performed for comparison. It is important to have a realistic distribution
for the parameters contributing most to the failure probability. The importance of a distribution
may be dependent on the estimation point which again is dependent on the reliability level. For
example the tails of the distributions becomes more important as the reliability level is increased.
An evaluation of appropriate distributions should therefore be performed at a relevant reliability
level. Both the distribution type and the parameters describing the distribution should be
considered.
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3.5.6 Interpretation of Calculated Reliability Measures
It should be kept in mind that is is difficult to work with absolute values of probability of failure
as indicated in Chapter 2 of this Guideline. The calculated reliability measures depend on
subjective assessments by the analysts and, as such, should be considered as nominal values.
Whenever possible, it is recommended to base conclusions on relative values or comparisons
with results from alternative analyses of "well known cases" as recommended in Chapter 2.
3.5.7 Fulfillment of Assumptions for Analysis
The calculated reliabilities will be dependent on the assumptions made for the analysis. It is
important that these assumptions are fulfilled when going from theoretical considerations on
safety to that of design, fabrication, and inservice life. I.e. it is important that assumptions on
material properties, fabrication tolerances, probability of detecting defects etc. are fulfilled in
order to obtain the target safety level for the built structure. This can be achieved through a
proper development of specifications for design and fabrication and through a proper
development of procedure for inservice inspection.
3.5.8 Conditional Probability
In many cases it is of interest to compute the probability that an event occurs conditioned on the
occurrence of another event. The event that a structure fails within a specified number of years
may, for example, be conditioned on the detection or nondetection of a number of cracks of given
size. This is useful for updating of failure probabilities.
If the problem at hand involves no single equality events, then the law of conditional
probabilities is used. The probability of event A conditioned on event B is
P
P
P
E E
E E
E
A B
A B
B

=
(3. 51)
If the event E
B
involves the single equality event, SE, as { } E E G
B B SE
= = ~ ; ( ) x x 0 then
P
P E E G
P E G
E E
A
B
SE
B
SE
A B

~
~
( )
( )
=
+
+
=
=
0
0
0
0
(3. 52)
where is an artificial zerovalued variable added to the single equality event function.
If the event E
B
involves the single equality event SE as a measured value of some quantity, e.g., a
measured crack size, then
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P
P E E G
P E G
E E
A
B
SE
B
SE
A B

~
~
( ( ) )
( ( ) )
=
=
=
0
0
0
0
(3. 53)
where is an artificial zerovalued variable added to the measured value. Note that most
structural reliability textbooks, including those referenced in this document, contain an error
(relative to Eq. (3. 53)) in the formulation of P
E E
A B

for the case that the single equality event SE
is defined as a measured value of some quantity such as a crack size.
One of the most useful applications of SRA is for inspection, maintenance planning, remaining
life assessment and life extension. For this purpose it is necessary to calculate conditional
probabilities, e.g., (1) probability of fatigue failure conditioned on a crack of a given uncertain
size found, or (2) probability of fatigue failure given that no cracks were found in a number of
inspections with a certain inspection method.
In the first case it is required to calculate
P g h a
P g h a
P h a
D
D
D
( ( )  ( , ) )
( ( ) ( , ) )
( ( , ) )
x x
x x
x
< = =
< + =
+ =
=
=
0 0
0 0
0
0
0
(3. 54)
in which h a
D
( , ) x + is the event margin corresponding to detection of a crack a
D
, where a
D
may be stochastic due to measurement uncertainties, and g( ) x is the limit state function
corresponding to failure. This means that the probabilities can be calculated as the partial
sensitivity factors of a parallel system with respect to the observed quantity a
D
, the detected
crack size, which can be a uncertain quantity.
In the second case it is required to calculate
P g h
P g h
P h
( ( )  ( ) )
( ( ) ( ) )
( ( ) )
x x
x x
x
< > =
< >
>
0 0
0 0
0
(3. 55)
This means that the conditional probability can be calculated by any software that can handle
parallel systems, if due considerations are given to the correlation between the variables in the
failure event formulation g( ) x < 0 and the inspection event formulation h( ) x > 0.
Example 3.1: Example Based on Linear Elastic Fracture Mechanics
The motivation for describing the fatigue process as stochastic may be illustrated by Figure 3. 9, where the crack depth
in identical specimens as a function of the number of load cycles are plotted. The tests are from the same laboratory,
with identical initial crack geometries. In addition the loads, response analysis, local stress analysis, initial crack size
are stochastic in a realistic application.
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Figure 3. 9 Crack depth as a function of time for identical specimens
In linear elastic fracture mechanics, the increase in a crack depth a in a load cycle is described by
da
dN
C K
m
= ( ) (3. 56)
where ( , ) C m are material parameters estimated from laboratory tests. K is the stress intensity factor usually
expressed as
K aY a = ( ) (3. 57)
where is the farfield stress and Y a ( ) is the geometry function accounting for the stress concentration due to the
presence of the crack, and local geometry effects.
This may be reformulated as a limit state function as
g
da
aY a
C
m
i
i
a
a
c
( )
( ( ))
x =
0
(3. 58)
if cycle ordering effects can be neglected. The stochastic variables in a typical case would be represented by
x = ( , , , , , ) a a Y C m
c 0
, the initial crack distribution, critical crack distribution, local geometrical effects, material
parameters and far field stress. The calculation of the far field stress may be broken down to a model of random
variables representing environmental and other loads, response analysis and local stress analysis. For this illustration
we will not focus on these further details, reference is given to Skjong and Torhaug (1991).
The inspection event that a crack is found with an uncertain crack size a
D
, due to the sizing inaccuracy may be
formulated as the event
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h
da
aY a
C h
m
i
i
i I
a
a
D
( )
( ( ))
, ( ) x x = =
=
=
0
0
0 (3. 59)
The reliability may be updated based on this observation according to the formulas given earlier in this chapter.
The inspection event that a crack of size a
POD
is not found, may similarly be formulated as
h
da
aY a
C h
m
i
i
i I
a
a
POD
( )
( ( ))
, ( ) x x = >
=
=
0
0
0 (3. 60)
where POD means Probability Of Detection, see Section 7.6.2 for more details, which is equivalent to the distribution
of the smallest detectable crack size. The time of inspection is represented by the stress cycle index i I = . The
reliability may thus be updated based on this observation according to the formulas given in the previous chapter.
Based on information from inspections the remaining safe life will be estimated, this will also in case of nofinds be a
function of the inspection method, and this effect will be quantified by SRA, since a partial sensitivity factor will
contain this information.
It is important in both updating examples to account for which of the stochastic variables are the same or correlated
between the failure event (limit state) and the inspection events.
3.5.9 Parametric Sensitivity Factor
The parametric sensitivity factor, f
=
R
(3. 61)
and similarly for the probability P. The parametric sensitivity factor can be used to estimate the
change in the reliability measure due to a change in the parameter. Thus
R R
( ) ( ) + = + (3. 62)
The method used to compute the parametric sensitivity factors depends on the calculation method
for the main result. If an approximation method (FORM/SORM) is used, then an asymptotic
result and a result consistent with the FORM approximation are available. If the directional
simulation method is used, then the parametric sensitivity factors are simulated simultaneously.
3.5.10 The Uncertainty Importance and Omission Sensitivity Factors
The geometrical sensitivity factor,
=
R
(3. 63)
The uncertainty importance factor is defined as the square of the geometrical sensitivity factor.
The uncertainty importance factor indicates the importance of modeling the random variable X as
a distributed variable rather than as a fixed valued variable, the median of the distribution being
the fixed value. In other words, the uncertainty importance factor of the ith variable roughly gives
the fraction of the total uncertainty which is caused by uncertainty in this variable.
The geometrical sensitivity factors and the uncertainty importance factors are available when the
approximation methods (FORM/SORM) or the directional simulation method are used.
In the sequel, let the vector
is simply
=
( )
,
/
1
2 1 2
i
(3. 65)
The new reliability index is
R new R old , ,
= (3. 66)
If the random variable X
i
is one out of a number m of mutually independent random variables,
the effect on the reliability index of representing the random variables X i m
i
, , ,.., =1 2 , by their
successive median, is
=
=
( )
,
/
1
2
1
1 2
i
i
m
(3. 67)
3.6 Time Dependent Reliability Analysis
3.6.1 Introduction
Upon developing a detailed and organised reliability model all kinds of aleatory and epistemic
uncertainties must be considered and included in the model. These are uncertainties relating to
the capacity, the environmental description, the load effects as well as uncertainties owing to
imprecise knowledge of the applied analysis models. In many cases (see Chapter 7) the capacity
functions require the combination of load effects which are timedependent stochastic processes,
with different characteristic periods. For Ultimate Limit States, the extreme combined effects of
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these stochastic processes, in a reference time period, is required for the reliability evaluation.
This poses a difficult load combination problem. To solve this problem a nested reliability
analysis may be applied. The nesting ensures that the partition between timedependent and
timeindependent variables is given proper consideration.
The same method also applies to limit states where degradation occurs with time. When applied,
the distinction between FLS and ULS vanishes, see Hagen and Sigurdsson (1994).
Failure of a structure which is subjected to random excitation can occur when a load effect at
critical locations exceeds boundary of the safe domain for the first time. An example can be a
high stress value during an extreme sea state condition. Failure may also occur due to structural
deterioration caused by damage such as fatigue, in which the individual load fluctuations
themselves are not large enough to cause failure, but the structural damage occurs when the
accumulated damage reaches a critical limit. The failure event can then be defined as a first
passage event of a damage indicator for the first time the critical value is reached.
In the case of one load only, the maximum extreme load within the time interval can be modelled
as a stochastic variable with a given extreme value distribution function. For several, possibly
correlated, timedependent load processes the extreme value distribution is in general unknown.
A convenient and commonly applied solution strategy for determination of the first passage
failure probability is then provided by the mean outcrossing rate of a vector process from the
safe region. This approach is described in Section 3.6.3.
If the outcrossing events are dependent, e.g., the crossings occur in a clustered manner, a
solution in terms of the outcrossing rate may in some cases be too crude or even not valid. Also
calculation of the mean outcrossing rate of a stochastic process at a point in time t requires the
joint probability distribution of the process and its derivative process at time t, which, e.g., for
nonlinear problems might not be available. The response statistics and the first passage failure
probability can then be estimated by recourse to stochastic process simulation techniques, see
Section 3.6.2. These techniques are useful for timestep integration of nonlinear problems, and
several formulations reflecting differing levels of modelling detail are available.
A failure event for a timedependent reliability problem is shown in Figure 3. 10, in which failure
is defined as a first crossing of a stochastic vector process from the safe region into a failure
region.
g < 0
s
1
s
2
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Figure 3. 10 Random vector process outcrossing the boundary of safe domain
3.6.2 First Passage Failure Probability
In the general reliability problem a structure is exposed to one or more time varying load
processes. The structure itself is described by a set of stochastic variables and deterministic
parameters, which may also be timedependent, e.g., due to crack growth or wearing. The task at
hand is thus to calculate the reliability of a possibly timedependent, uncertain system under the
action of stochastic vector processes.
The first passage failure probability of stochastic process outcrossings through an uncertain
failure surface can be determined by first calculating the first passage failure probability
conditional on an outcome of the stochastic variables, and then perform a deconditioning of the
uncertain behaviour.
Let the randomness be described in terms of a time independent, stochastic vector S and a time
dependent stochastic vector process Z( ) t . Typically the timedependent vector can be a load
effect process. The timeindependent vector may describe system parameters (mass, damping,
stiffness), but may also contain distribution parameters for Z( ) t . The probability P T
f
( ) that
the first passage failure occurs in the time interval (0,T), becomes
[
] P T P G t t f P d E P
f
T
f f
S
( ) (min ( , ( ), ) ) ( ) ( ) ( )
( , )
= = =
0
0 S Z s s s S
S S
(3. 68)
where the last term denotes the expectation value. A key step in this procedure is to determine the
conditional failure probability
P P G t t
f
( ) ( ( , ( ) , ) ) s s Z = 0 (3. 69)
Determination of P T
f
( ) is a first passage problem, for which exact solutions in general are
difficult to obtain. In the following the emphasis will be put on the determination of the
conditional failure probability P
f
( ) s . The unconditional failure probability P T
f
( ) then follows
from Eq. (3. 68) by integration, e.g., carried out by the formulation owing to Wen and Chen
(1987). In general this leads to a nested reliability problem (as discussed in more detail in
Chapter 6).
3.6.2.1 Random Process Simulation
The goal here is to identify general methods to simulate random processes. The basic
characteristic is a repeated sampling from the statistical population of functions by Monte Carlo
Simulation methods. After each simulation, the realisation is treated deterministically and the
"response" statistics are finally calculated from the sample of responses.
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The prime challenge often remains at the modelling stage; that is, to determine an appropriate
random process model. To specify a general stochastic process Z t ( ) , information about the
probabilistic structure of { ( ), .., ( )} Z t Z t
n 1
is required for all individual values, and for all
combinations of values for t
k
. A typical simplification is to fit analytical models over intervals
within which the process may be considered to be stationary. For stationary processes the
complexity of the required modelling may be significantly reduced.
There is a basic tradeoff between accuracy and cost, and the accuracy needs should reflect the
level of modelling detail. As might be expected, greater detail requires greater cost. Many
simulation techniques may be said to be simultaneous methods that require the entire history to
be generated and stored simultaneously. Examples are direct vector simulation and Fast Fourier
Transform (FFT) techniques. In contrast, sequential simulation methods store only a subportion
of the history; for example, only the last or last few time points of a random time history.
Examples are time domain Autoregressive Moving Average (ARMA) simulation techniques, see
for example Shinozuka (1971, 1987).
3.6.2.2 Outcrossing Rate
The first passage failure probability can be approximately given in most cases for high thresholds
and not too narrowbanded processes. For this purpose, the statistics of the outcrossing rate
should be known and the hypothesis of independent outcrossings adopted. This method requires
the calculation of the expected number of outcrossings per time unit from the safe region at time
t, i.e. the mean outcrossing rate ( , ) t s . An upper bound for the conditional probability of
failure in the time interval (0,T) can then be determined as
P P t dt
f f
T
( ) ( ) ( , ) s s s +
0
0
(3. 70)
where P
f 0
( ) s is the instantaneous failure probability. In the narrowband case the upcrossings
tend to cluster, and the upper bound of Eq. (3. 70) may then be quite conservative.
As an alternative, the first passage failure probability can be approximately given in many cases,
e.g., for high thresholds and not too narrowbanded processes, by adopting the Poisson
hypothesis of independent failure surface crossings (Ditlevsen 1971, Vanmarcke 1975). This
yields
P P
t
P
P
T
P
f f
T
f
f
f
( ) ( ( ))
( , )
( )
} ( ( ))
( )
( )
} s s
s
s
s
s
s
1 1
1
1 1
1
0
0
0
0
0
exp{ 
dt
exp{ 
(3. 71)
where the latter equality is valid for stationary conditions.
It may be convenient to introduce a process Q( ) t of slowly varying seastate variables, typically
wind velocity, significant wave height, wave period, and current velocities. The following set of
bounds can then be established, Schall et al. (1990), Wen and Chen (1989a, 1989b), and Wen
(1990):
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[
[ { }]]
E E t dt P T
E E t dt
E E t dt
T
f
T
T
S Q
S Q
S Q
S Q
S Q
S Q
( exp ( , , ) ( )
exp ( , , )
exp ( , , )
1
1
1
0
0
0
1
]
1
1
]
1
1
1
]
1
1
]
1
1
(3. 72)
where, for simplicity, the instantaneous failure probability has been ignored. Here E
S
[] denotes
expectation over S, and E
Q
[] denotes expectation over Q. It should be noted that the assumption
of independence between outcrossings is inherent in the formulations of the type of Eq. (3. 72).
If this assumption is not valid, the two upper bounds of Eq. (3. 72), in particular the uppermost
one, may give crude results for the failure probability.
For stationary crossing problems, Nss (1984b) shows that
[ ]
[ ]
P T E T
f
( ) exp ( , ) }
S Q
S Q 1 {  E (3. 73)
where again the instantaneous failure probability has been ignored.
The conditional mean crossing rate ( , ) t s can be calculated from the generalised Rice's formula
(Rice, 1944, Belyaev 1968), e.g., in terms of exact or asymptotically closed form results
(Breitung 1984b). Alternatively, the mean outcrossing rate may be calculated as a particular
parametric sensitivity factor of a suitably modelled parallel system, a formulation which allows
the use of methodologies and software developed for timeindependent problems (Hagen and
Tvedt, 1991). The calculation of the mean outcrossing rate is addressed in the forthcoming.
By an extension of Rice's formula owing to Belyaev, the mean outcrossing rate = ( , ) s t can
be expressed as an integral of local outcrossing rates by the generalised Rice's formula (Belyaev,
1968; Belyaev and Nosko, 1969),
= =
>
(
) ( , ) ( ) ( )
z G f z z d f d
z G G
local
G
n n
Z
n n Z
n n
n
z z z z z d
Z
(3. 74)
in which
local
z G
z G f z z ( ) (
) (  )

z z
n n
Z z
n n
n n
n
=
>
=
d
Z
(3. 75)
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Here
local
( ) z is the local mean outcrossing rate, f z
Z

(  )
n
Z z
n
z
=
is the conditional probability
density function (pdf) of
( ) Z t
n
given Z z ( ) t = at time t, and f z
Z
n
n
z
Z
( ) Z
n
t .
For a scalar process Z t ( ) upcrossing a threshold ( ) t Eq. (3. 74) reduces to Rices formula
(
) ( , )
z f z dz
ZZ
(3. 76)
where f z z
ZZ
=
1
2
( )
Z
Z
Z
Z
(3. 77)
The mean outcrossing rate is in the generalised Rice's formula expressed as a surface integral,
which in principle can be calculated exactly by a numerical integration scheme. However, in the
multidimensional case, say for N > 3, the required computer effort may be prohibitively large.
This problem will be even more apparent in the analysis of uncertain systems, i.e., for reliability
problems with both stochastic processes and stochastic variables.
Directional importance sampling can be used to determine the mean outcrossing rate of a vector
process from an arbitrarily convex safe set. The rate is estimated by transforming the surface
integral in the generalised Rices formula into an expectation value of a stochastic variable, for
which the probability distribution is concentrated on the surface (Ditlevsen et al., 1988; Ditlevsen
and Madsen, 1996). The sampling density for the unit directional vector may be uniform, or a
directional preference can be introduced, e.g., based on a prior FORM analysis.
In general, closed form expressions are available only for some few, simple geometric
configurations. For a general surface, analytical solutions are more difficult to obtain.
Approximate results may be obtained by fitting more simple geometries, like linear or second
order surfaces, to the general surface, and calculating the outcrossing of the approximating
surfaces. For closed form solutions, reference is made to the literature, e.g., Cramer and
Leadbetter (1967), Ditlevsen (1983), Lindgren (1984), Breitung (1984b), Hohenbichler and
Rackwitz (1986a), Breitung (1989), Plantec and Rackwitz (1989), and Hagen (1993).
For timeindependent FORM/SORM calculations, an approximate failure surface is fitted at the
design point. Also for an isotropic time dependent process this will be a natural linearisation
point for a first order approximation to the general surface. But for a nonisotropic process there
is no uniquely optimal linearisation point, and various choices are suggested in the literature. The
design point choice does not take into account the nature of the time variation of the stochastic
process. E.g., transformation of a Gaussian process to the standard space leads to a derivative
process that is normally not rotationally invariant.
Breitung and Rackwitz (1982) argue that the point of maximum local outcrossing rate may be
considered as the timedependent analogue of the most central point, which is the time
independent point of maximum probability mass. Pearce and Wen (1985) suggest that stationary
points of the mean crossing rate, as the tangent point of the hyperplane is varying over the limit
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state surface, could be applied. Ditlevsen (1987) states that a simplicity principle favours the
point closest to the origin in standard space, i.e., the design point. For reasonably flat surfaces
the failure rates are expected to be fairly accurate regardless of choice of linearisation point.
The curvature of the failure surface at the expansion point can be taken into account by second
order methods. Specifically, the true failure surface might be approximated by a parabola
(Breitung 1984b).
A new methodology for calculation of the mean outcrossing rate of a vector process Z ( ) t from
a safe region has been developed at DNV, see Madsen (1990), Hagen and Tvedt (1991), and
Hagen (1992). The rate is expressed as a sensitivity measure of the failure probability for an
associated parallel system domain,
= < + < P G G G (
) 0 0 1 (3. 78)
where G t G t t ( ) ( , ( ) , ) = s Z , and
( )
( )
( )
G G t t
t
= + Z
G
t
is the time derivative of
the failure function.
The method is applicable to Gaussian and nonGaussian, stationary as well as nonstationary,
random vector processes, and to timedependent failure surfaces. Notice that the parametric
sensitivity factor formulation can be applied for any distribution model for twice differentiable
continuous variables.
If there are m single event functions G i m
i
, , ..., = 1 , corresponding to the events E
i
, then the
crossing rate for the intersection of the events is
( , )
t P G G G G
i
j i
m
j i i i i
i
m
i
X
1
1
0
0 0 0 = +
=
=
(3. 79)
with an analogous expression for a union of single events (series system).
The formulation given in Eq. (3. 78) is convenient, because the mean outcrossing rate can be
calculated as a parametric sensitivity factor using methods and software from timeindependent
reliability theory. In principle, any method (and software) that enables calculation of parametric
sensitivity factors of parallel systems may be used to calculate the crossing rate. Applicable
methods are, for example, FORM, SORM and directional simulation, see Sections 3.2 and 3.3.
As shown by Hagen (1992), the parametric sensitivity factor methods allows an efficient
calculation of the ensemble averaged rate E
Q
S Q ( ( , , )) t .
The calculation of Eq. (3. 78) has been automated in, e.g., PROBAN4, see Tvedt (1993).
3.6.2.3 Application
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In Mathisen et al. (1994), details of such an analysis are outlined. One of the capacity criteria was
developed by Das et al. (1991a, 1991b) for buckling of a stiff plate, in which the panel itself
buckles while the stiffeners remain stable. The limit state function was a typical interaction
formula
g r s c s k s s s
c xy x xy x y y
( , , ) ( , ) q r s q r =
2 2 2 2
(3. 80)
where s
x
is the normal stress applied to the shorter edge of the plate, s
y
is a function of the
normal stress applied to the longer edge, r
c
is the capacity model uncertainty factor, s
xy
is a
function of the applied shear stress, c( , ) q r is a function of the uniaxial stress capacity and the
applied lateral pressure, and k
xy
is an interaction coefficient. Further details may be found in
Chapman et al. (1991). The vector process is here fourdimensional, i.e., stress on the shorter
side, stress on the longer side, shear stress, and pressure, expressed as components of s.
Comparisons between results by interaction formulas, such as Eq. (3. 80), and results by
vector process methods are useful to demonstrate the convenience and importance of vector
process methods.
3.7 Response Surface Methods
3.7.1 Introduction
It is an assumption behind the use of the simulation methods and the analytical methods in
Sections 3.3 and 3.2, respectively, that the reliability software has direct control of the evaluation
of the limit state function g( ) x . In many cases this may be impractical, in particular when the
evaluation of the limit state function involves extensive calculations, such as FEM response
calculations. This may lead to numerically noisy results, in particular when gradients are
calculated by numerical differentiation. Furthermore, direct coupling between FEM codes and
reliability software may involve excessive computation time. The solution to such problems may
be to use response surface methods.
There are a wide variety of different response surface formulations available in the literature.
Here, the concept refers to alternative methods of representing the limit function. The methods
are broadly divided into classical response surfaces and adaptive response surfaces. The most
important aspects of use of response surfaces will be described in the following. Further details
may be found in Myers (1971).
3.7.2 Classical Response Surface
The idea is to generate g
i i
( ) x for i I ( , ) 1 , according to a predefined strategy, and from these
values of g
i i
( ) x to establish a surface that is fitted to these values. In the reliability calculations
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the fitted function, R( ) x , the response surface, is then used instead of g( ) x . A large number of
variants to this fitting procedure are available. The response surface may be fitted to the closest
points during the iteration by a linear surface, by a second order surface with or without the x x
i j
terms, or by higher order surfaces. The number of points used may also vary, and the response
surface may be smoothed by regression methods and use of extra points to estimate the
coefficients in the response surface, e.g., R a ( ) x bx x Cx
T
= + + . The principles are illustrated
in Figure 3. 11.
x
1
x
2
g x c ( ) =
g x a ( ) =
g x b ( ) =
g x d ( ) =
~
( ) g x
Figure 3. 11 Illustration of classic response surface method
In general it is recommended not to use a highorder polynomial, since highorder polynomials
have many extreme values and may imply multiple design points. The important property of the
response surface is that it represents a good estimate of g( ) x at the design point. A verification
should therefore always be made that g( )
*
x 0 for the design point found by using R( ) x .
3.7.3 Adaptive Response Surface
In an adaptive response surface method the reliability software has access to g( ) x and the
iteration process therefore controls which new point x
i
are used to update the response surface.
As for the classical response surface different approximations may be made and the
recommendations are the same. One important difference is that, in the case of adaptive response
surfaces, the convergence criterion may be decided in advance and the algorithm therefore should
ensure that g( )
*
x 0. For an example of an adaptive response surface, see Tvedt (1993). For
more details and examples of both classical and adaptive response surfaces, see Mathisen (1993).
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Industrial Applications, Chapman and Hall, Inc., New York, N.Y.
A
Accumulated damage, 68
Active constraints, 43, 49
ARMA, 70
B
Bias, 62
Breitung's theorem, 43
Buckling, 74
C
Conditional expectation method, 50
Constraints
active, 43, 49
Crack growth, 69
Crossing rate, 61, 68, 71, 72, 73
Crude FORM, 48
Cumulative probability function, 50
Current, 61, 70
Cycle ordering effects, 65
D
Damage, 68
indicator, 68
Design point, 42, 43, 44, 45, 46, 48, 49, 53, 54, 55,
56, 57, 58, 60, 72, 73, 75
Directional simulation, 50, 59, 60, 62, 66, 67, 73
Ditlevsen bounds, 47
E
Ensemble
averaged rate, 73
Ergodicity, 79
Estimator, 52, 55
Event
boundary, 43, 44, 45, 46, 48, 56, 57, 60
equality, 39, 41, 59, 63
failure, 38, 64, 66, 68
function, 39, 40, 43, 45, 46, 48, 49, 50, 53, 56, 57,
58, 59, 60, 63, 73
inactive single, 45, 46
inequality, 39
intersection, 39, 40
probability, 41, 42, 44, 47, 48, 49, 50, 61
union, 39, 40
Exponential distribution, 38
F
Failure domain, 40, 45, 46, 49
Failure function, 73
Failure mode, 61, 62
Failure probability, 47, 61, 62, 68, 69, 70, 71
conditional, 69
instantaneous, 70, 71
unconditional, 69
Failure rate, 73
Failure surface, 42, 69, 70, 72, 73
Fast Fourier Transform, 70
Fatigue, 64, 68
Firstpassage failure, 68, 69, 70
FORM (Firstorder reliability method), 41, 44, 48, 49,
53, 56, 57, 58, 60, 62, 66, 67, 72, 73, 77
Fracture mechanics, 65
G
Gaussian process, 72
stationary, 72
Geometry function, 65
I
Importance factor, 56, 57, 58, 61, 67
Importance sampling, 43, 60, 62, 72
Inactive single event, 45, 46
Inspection, 41, 61, 63, 64, 65, 66
Intersection, 39, 40, 41, 43, 45, 46, 47, 48, 49, 53, 54,
57, 59, 60, 73
large, 46, 59
small, 43, 45, 46, 53, 59, 60
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L
Large intersection, 46, 59
Limit state, 38, 40, 45, 46, 56, 61, 62, 64, 65, 66, 68,
73, 74
function, 38, 40, 45, 46, 61, 62, 64, 65, 74
surface, 62, 73
Load, 38, 40, 64, 65, 67, 68, 69, 76, 78, 79
Load combination, 68
Load process (Excitation process), 68, 69, 76, 78
LRFD (Load and Resistance Factor Design), 78
M
Model, 38, 40, 41, 56, 57, 58, 61, 62, 65, 67, 70, 73
uncertainty, 62
Monte Carlo simulation, 59, 60
N
Nested reliability analysis, 39, 68
O
Omission sensitivity factor, 67
P
Parametric sensitivity factor, 42, 56, 57, 58, 60, 61,
66, 71, 73
Partial safety factor, 61
Probability of failure, 45, 47, 49, 61, 62, 63, 68, 69,
70, 71
R
Reliability, 40, 41, 61, 79
system, 44
Reliability analysis, 61
nested, 39, 68
Reliability index, 41, 42, 44, 47, 48, 49, 60, 61, 66, 67
Reliability method, 61
firstorder (FORM), 61
Response, 64, 65, 68, 69, 74, 75
Response surface
adaptive, 74, 75
classical, 74, 75
Rice's formula, 71
S
Safe domain, 40, 68, 69
Safe set, 72
Safety factor, 61
partial, 61
Safety index (reliability index), 41, 42, 44, 47, 48, 49,
60, 61, 66, 67
Sea state, 68, 79
Sensitivity factors, 42, 48, 56, 57, 58, 60, 61, 64, 66,
67, 73
omission, 67
parametric, 42, 56, 57, 58, 60, 61, 66, 71, 73
Series system reliability
Ditlevsen bounds, 47
Significant wave height, 70
Simple bounds, 47
Simulation, 43, 49, 50, 55, 56, 57, 58, 59, 60, 62, 66,
67, 69, 70, 73, 74, 79
ARMA, 70
direct vector, 70
directional, 50, 59, 60, 62, 66, 67, 73
importance sampling, 43, 60, 62, 72
Monte Carlo, 59, 60
random process, 69
sampling density, 53, 54, 72
Simulation methods, 43, 49, 50, 56, 59, 60, 66, 67, 70,
74
conditional expectation methods, 50
Small intersection, 43, 45, 46, 53, 59, 60
SORM (Secondorder reliability method), 41, 48, 49,
57, 58, 59, 62, 66, 67, 72, 73, 77
SRA (Structural reliability analysis), 38, 64, 66
State, 38, 39, 40, 44, 45, 46, 48, 56, 61, 62, 64, 65, 66,
68, 70, 73, 74, 79
Stochastic process, 39, 41, 67, 68, 69, 70, 72, 79
normal, 72
Structural reliability analysis, 61
System
parallel, 39, 41, 43, 49, 54, 64, 71, 73
series, 39, 40, 73
System reliability, 44
T
Target safety, 63
U
Unbiased estimate, 59, 60
Updating, 63, 66
V
Vector process, 68, 69, 72, 73, 74
Vector simulation, 70
W
Wave height, 70
significant, 70
Wave period, 70
Wind, 70