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LESSON 7

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MONTE CARLO METHOD

Egidijus R. Vaidogas

Vilnius Gediminas technical university, Lithuania

ERASMUS/SOCRATES program, 2007

What is the principal objective?

you should try to have an accident !

2

To be brief

Structure = organised combination of connected parts,

including fill placed during execution of the construction works,

designed to carry loads and provide adequate rigidity

Foundations

Anchorages

Retaining structures

Embankments

Slopes

Excavations

3

CONTENTS OF LECTURE

I. THEORETICAL PART

2. Reliability & failure probability of structures

3. Estimation of failure probability by means of Monte Carlo

method

II. COMPUTER EXERCISES

2. Stability of slope excavated in a clay layer

3. Variability of load capacity of a ground anchor

4. Reliability of concrete friction pile

5. Reliability of gravity retaining wall

6. Reliability of cantilever retaining wall

4

Introduction to structural reliability

PART I

Introduction to structural reliability

5

I. Structural reliability 1/10

Failures of structures

inadequate serviceability of a structure or structural element

6

I. Structural reliability 2/10

Design situations*

Failure can take place in one of the three situations:

Transient design situations** (construction, repair,

demolition)

Accidental design situations (fire, explosion, impact)

design. Part 1: General rules)

** Only the transient design situations are mentioned in Eurocode 7

7

I. Structural reliability 3/10

The risk of death as a result of structural failure*

Approximate death

Estimated typical Typical risk of

Activity rate 10-9

exposure (hr/year) death 10-6/ year

deaths/hr exposure

Construction work 70...200 2200 150...400

Manufacturing 20 2000 40

Coal mining (UK) 210 1500 300

Building fires 1...3 8000 8...24

Air travel 1200 20 24

Car travel 700 300 200

Train travel 80 200 15

Structural failures 0,02 6000 0,1

Ellis Horwood/Wiley

8

I. Structural reliability 4/10

Why should we be concerned about structural reliability

The risk levels for buildings and bridges are usually associated with involuntary

risk and are much lower than the risk associated with voluntary activities (travel,

mountain climbing, deep see fishing)

stability and continuity of one's surroundings

Society is interested in structural reliability only in the sense that a structural

failure with significant consequences shatters confidence in the stability and

continuity of ones surroundings

construction methods generates interest in safety

Design, construction, and use of new or particularly hazardous systems should

be of particular interest in their safety (new and unique bridge, new off-shore

structure, NPP, chemical plant, liquefied gas depot)

9

I. Structural reliability 5/10

Human errors cause up to 95% of failures

Percentage of cases Percentage of total cost

Phase

(493 cases) damage (493 cases)

Design 37 43

Construction 35 20

Design & construction 18 22

Occupation 5 11

Others 5 4

* Hauser, H. (1979) Lessons from European failures, Concrete international, ACI,

11(12), p. 21-25.

10

I. Structural reliability 6/10

Failures of FORMULA 1 cars

TOP SPEED CHANCE OF

(RELIABILITY)

AERODYNAMIC

PROPERTIES

11

I. Structural reliability 7/10

Structural reliability theory: arguments in favor

12

I. Structural reliability 8/10

Structural reliability theory: arguments against

The need to collect statistical data on structures and

actions (loads)

The need to move outside the safe and customary

area ruled by design codes of practice

Do you know the answer on the question How safe is

safe enough? ?

13

I. Structural reliability 9/10

The need to bridge a gap: how to join quickly?

14

I. Structural reliability 10/10

The textbook

PROBABILISTIC ASSESSMENT OF STRUCTURES USING

MONTE CARLO SIMULATION

Background, Exercises, Software

(P. Marek, J. Brozzetti and M. Gutar, P.Tikalski, editors)

2001.

The textbook with the CD-ROM is the final product of a pilot project sponsored by

the Leonardo da Vinci agency, European commission, Brussels,

"TERECO - Teaching reliability concepts using simulation",

1999 - 2001.

For more information visit the website:

http://www.noise.cz/SBRA

15

Reliability & failure probability

PART II

Reliability & failure probability of structures

16

II. Reliability & failure probability 1/10

Basic definition

Reliability = 1 failure probability

Ps = 1 Pf

Ps + Pf = 1

Failure * : an insufficient load-bearing capacity or inadequate serviceability of a

structure or structural element.

Limit state: a state beyond which the structure no longer satisfies the design

performance requirements.

* ISO 2394: 1998 (E). General principles on reliability for structures. ISO, Geneve,

1998.

17

II. Reliability & failure probability 2/10

Reliability is usually not calculated!

SURVIVAL OF STRUCTURE FAILURE OF STRUCTURE

(fulfillment of specified (exceedance of irreversible or

requirements) reversible limit state)

Ps = P(survival) Pf = P(failure)

P(survival) + P(failure) = 1

Ps + Pf = 1

Structure 2 Ps2 = 0,999 Pf2 = 0,001

Difference 0,05% 200%

18

II. Reliability & failure probability 3/10

How safe is safe enough?

Tolerable failure probabilities given in ENV 1991-1*

Tolerable failure Tolerable failure

Limit state probability probability

(design working life) (one year)

Ultimate 723 10-7 13 10-7

Fatigue 0,0668723 10-7* ---

* Depends on degree of inspectability, reparability, and damage tolerance.

* ENV 1991-1: 1993. Basis of design and actions on structures. CEN, Brussels,

1993. 19

II. Reliability & failure probability 4/10

The way to failure probability

20

II. Reliability & failure probability 5/10

The role of data

Statistical data reflects the ubiquitous uncertainty in

structural parameters and loads.

Statistical data is used to fit probability distributions

of the structural parameters and loads.

Statistical data determine the value of the failure

probability Pf in the end.

Data on geometrical quantities

Data on direct actions (loads) and indirect actions

Data on model uncertainties

21

II. Reliability & failure probability 6/10

Processing the data

Estimation of distri

x1

bution parameters:

x2 =x

x3 x

n

2 = s2

x4 1

x = n xi Fitting a probability

M i =1 distribution

xn 1 1 n 2

s= (i )

x x

xn n 1 i =1

= s (100%)

x x 22

II. Reliability & failure probability 7/10

Vector of basic variables

random variables particular values

Visualisation

Visualisation of

of XX and

and xx

The case n=3 x3

X = (X1, X2, X3)

three-dimensional space

(x1,x2,x3)

x = (x1, x2, x3)

point in the space

x2 x1

23

II. Reliability & failure probability 8/10

Probability density function (PDF)

f(x1) f(x2) f(xn)

x1 x2

... xn

univariate

univariate univariate

univariate univariate

univariate

PDF

PDF of

of XX11 PDF

PDF of

of XX22 ... PDF

PDF of

of XXnn

Joint

Joint PDF

PDF of

of basic

basic variables

variables

in the case that basic variables Xi are independent

24

II. Reliability & failure probability 9/10

It is nothing more than uncertainty propagation!

Limit state function: a function g of the basic variables, which characterizes a limit state

when g(x1, x2, ... , xn) = 0; g > 0 identifies with the desired state and g < 0 with the

undesired state [state beyond the limit state].

Basic variable Xi : a part of a specified set of variables, X1, X2, ... , Xn, representing

physical quantities which characterize actions and environmental influences, material

properties including soil properties, and geometrical quantities.

25

II. Reliability & failure probability 10/10

The problem is an integral, not the reliability itself!

= ... f X ( x ) d x

Df

D f = {x | g ( x ) 0} x1 , x 2 , x 3 , ...

26

Monte Carlo method

PART III

Monte Carlo method

27

III. Monte Carlo method 1/10

The power of Monte Carlo method

MECHANICS STOCHASTICS

(ANALYSIS OF STRUCTURES) (PROBABILITY CALCULUS)

90

LEVEL LINES:

ENERGY OF MISSILE IMPACT

70

50

30

200 600 1000 1400

IMPACT MASS, KG

28

III. Monte Carlo method 2/10

Where can it be useful?

Structural Reliability

Structural aspects of risk analysis

Solving special problems, e.g., sensitivity analysis

29

III. Monte Carlo method 3/10

Only one small detail is necessary to run the business!

u1 = 0.405255

u2 = 0.764611

u3 = 0.041139

u4 = 0.013642

M

30

III. Monte Carlo method 4/10

Only one small detail is necessary to run the business!

31

III. Monte Carlo method 5/10

Only one small detail is necessary to run the business!

3. Generalization to the multidimensional case is beneficial

Evaluating multidimensional

integrals & solving integral

equations

Solving systems of

differential equations

equations

See, e.g., Rubinstein, R. Y. (1981) Simulation and the Monte Carlo method, Willey.

32

III. Monte Carlo method 6/10

How to evaluate multiple integral?

Pf = P( g(X) 0 ) = ... f X ( x ) d x

Df

Exact analytical methods

Classical methods of numerical integration

Approximate analytical methods (FORM/SORM methods)

SIMULATION (MONTE CARLO) METHODS:

Direct Monte Carlo method

33

III. Monte Carlo method 7/10

Failure probability is a mean of random variable

1 if g ( x ) 0 ( failure )

I ( x) =

0 if g ( x ) > 0 ( survival )

= P ( I ( X ) = 1) = ... I ( x ) f X ( x ) d x =

all x

34

III. Monte Carlo method 8/10

Estimate of failure probability

Number of failures N f

P fe =

Number of trials N

1 N

P fe = I(x j )

N j =1

35

III. Monte Carlo method 9/10

Generating values of basic variables: inverse transform

y = FX ( x i ) 1

i xi = F ( y)

Xi

1

xij = FX ( u j )

i

36

III. Monte Carlo method 10/10

Generating values of basic variables: in general

Generating individual values of basic variables

Exponential, Pareto-, Raleigh-,

Inverse transform method

Cauchy-distributions

Normal distribution Composition method, other

USUALLY methods

HIDDEN

Gamma distribution Acceptance-rejection methodCODES

IN COMPUTER

Beta distribution Composition method, other methods

Lognormal distribution Simple transformation from normal

Truncated distributions Acceptance-rejection method

Multi-normal distribution Special method

Non-normal vectors with correlated

Methods based USUALLY

on transformations

HIDDEN from normal

components

IN COMPUTER CODES

Multivariate transformation method, multivariate

General case of dependence

acceptance-rejection method

For more visit, e.g., http://random.mat.sbg.ac.at/literature/

37

Monte Carlo method

38

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