The stochastic finite element method in structural

reliability

Armen Der Kiureghian and Jyh-Bin Ke

Department of Engineering, University of California, Berkeley, CA 94720, USA

First-order reliability and finite element methods are used to develop a methodology for reliability
analysis of structures with stochastically varying properties and subjected to random loads. Two
methods for discretization of random fields are examined and the influence of the correlation
length of random property or load fields on the reliability of example structures are investigated.
It is found that the correlation length of load fields has significant influence on the reliability
against displacement or stress limit states. The correlation length of property fields is significant
for displacement limit states, but may not be significant for stress limit states. Examples studied
include a fixed ended beam with stochastic rigidity and a plate with stochastic elasticity.

INTRODUCTION advantages of that formulation in the context of the

The term stochastic or probabilistic finite element (SFE or
PFE) is used to refer to a finite element method which
accounts for uncertainties in the geometry or material
properties of a structure, as well as the applied loads. Such
uncertainties are usually spatially distributed over the
region of the structure and should be modelled as random
or stochastic fields. The interest in this area has grown
from the perception that in some structures the response
is strongly sensitive to the material properties or
geometry of the structure, and that even small
uncertainties in these characteristics can adversely affect
the structure reliability.
Applications of SFE or similar discrete methods of
analysis appear to have been initiated in the early 1970's.
Early applications used the Monte Carlo simulation
method to investigate the effect of uncertain variability in
structural properties z. Later, first-order Taylor series
expansion or perturbation methods were used to
compute second-moment statistics of response
quantities in structural or geotechnical applications a-5,12.
This method was extended to second-order by Hisada
and Nakagiri, who investigated a variety of structural
problems13 16,23. A similar approach has been used
recently by Liu, Belytschko and Mani with applications
to elasto-plastic and nonlinear dynamics problems zl.
Vanmarcke and Grigoriu used essentially the same
approach and demonstrated the use of spatial averaging
of random fields in SFE with an application to a beam
with randomly fluctuating rigidity 27. Recently,
Lawrence 19 has used basis random variables to describe
random fields and a Galerkin approach to develop a
second-moment SFE procedure. Also, Shinozuka and
N o m o t o 25 and Shinozuka and Dasgupta 24 have used
Neumann expansion in conjunction with Monte Carlo
simulation techniques and have demonstrated
Taken from the Proceedings,US-Austria Joint Seminar on Stochastic
Structural Mecahnics, Florida Atlantic University, Boca Raton,
Florida, May 1987
simulation approach.
The preceding works are all concerned with second-
moment analysis of the response, i.e., computing means,
variances, and covariances. Such a characterization of the
structural response provides useful insight into the
manner structural uncertainties propagate, but it does
not provide adequate information for reliability analysis.
Since most civil engineering structures are designed with
high levels of reliability, one is interested in the tails of the
probability distributions, which are poorly defined by the
first and second moments. SFE methods that aim at
computing the reliability (or the failure probability) have
been proposed by Veneziano et al. 2s and by Der
Kiureghian et al. 6"7"11. The former uses first-order
reliability methods in conjunction with response surface
fitting, experimental design, and simulation techniques to
estimate the probability distribution of a response
quantity. The SFE method for reliability analysis
developed by the authors is based on well established,
first-order reliability methods ~,21 and is, at least
conceptually, applicable to any problem where the failure
criterion is specified in terms of a vector of random
variables.
In this paper, the first-order SFE reliability approach
for linear structures under static loads is presented
together with two example applications. The examples
demonstrate the effects of spatial variability in material
properties or loads on the reliability of structures.
Applications dealing with stochastic dynamics problems
are presented elsewhere ~s. Extension of the methodology
to nonlinear structural problems is currently in progress.
THE FIRST-ORDER RELIABILITY METHOD
Structural reliability problems of interest here are based
on two fundamental assumptions: (1) the state of the
structure is defined in the outcome space of a vector of
random variables; (2) the structure can be in one of two
states, the safe state or the failure state. The boundary

© 1988 Computational Mechanics Publications Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2 83
Stochastic finite element method: A. Der Kiureghian and J-B. Ke
between the two states in the outcome space is known as
the limit-state surface.
Failure criteria in mechanics are normally defined in
terms of load effects, such as stresses and deformations.
Let S denote a vector of such effects and g(s) = 0 denote
the limit-state surface in the outcome space of S. Without
loss of generality, the function g(. ) is formulated such that
9(s) > 0 defines the safe state and g(s) ~<0 defines the failure
state. The probability of failure of the structure, then, is
pf= ( fs(s)ds (1)
g(s) ~ 0
where fs(s)ds denotes the joint probability density
function (PDF) of S. As a simple example of such a
formulation, consider the failure of a structure defined as
yielding at a critical point in accordance with the Von
Mises criterion. The limit-state function, for a plane stress
condition, then is
g(S) = S~ - (S~x + S~y- SxxSyy + 3S~y) (2)
where Sx,,, Syy,and Sxy are the components of stress at the
point and S o is the yield stress, which may all be random
variables due to randomness in loads and/or in material
properties. This formulation of the reliability is not
limited to static problems. For example, for the first-
passage failure of an uncertain structure under
(stochastic) dynamic loads, the limit-state function may
be described by
9(s)=So-S~ (3)
where So is the threshold (possibly a random variable)
and Sin, a random variable, is the maximum of the
stochastic response process over the duration of the
excitation. Applications with this formulation are
reported in Ref. 18.
A fundamental difficulty in reliability analysis is that
the statistics of load effects (i.e., the PDF fs(s)) are not
directly available. This is because measurements and
observations are usually made on basic quantities, such as
loads and material property constants, rather than on
load effects which are derived quantities. This, in fact, is
the chief reason for the need for finite element methods in
reliability.
Let the vector X denote the set of all basic random
variables pertaining to a structure and assume the joint
PDF fx(x) is known. Included in this vector are variables
defining loads, material properties, member sizes, etc. For
spatially varying quantities, discretization in space is
employed, as described later in this paper. In deference
to S, we denote the outcome space of X as the load space.
These two vectors are related through the mechanical
transformation
S=S(X) (4)
For all but trivial structures, this transformation is
available only in an algorithmic sense, e.g., a finite-
element code.
For reliability analysis, it is convenient to transform the
variables X into the standard normal space:
Y=Y(X) (5)
where the elements of Y are statistically independent and
have the standard normal density. Such a transformation,
denoted herein as the probability transformation, always
84 Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2
exists for continuous variables and is specified in terms of
the distribution of X (Refs 17 and 10). The mapping of the
limit-state surface onto the standard normal space is
symbolically described by
g(s) = g(s(x(y))) = G(y)= 0 (6)
The probability of failure, then, is
p¢= ~ (p(y)dy (7)
where ~b(y) denotes the standard normal density of Y.
The reasons for the probability transformation are two
useful properties of the standard normal space. One is
that the probability density in that space is rotationally
symmetric about the origin (the mean point) and decays
exponentially with the square of the distance from the
origin. As a result, most of the contribution to p f in the
integral in equation (7) comes from the neighbourhood of
the point(s) on the limit-state surface which is(are) nearest
to the origin. This is particularly true for civil engineering
structures for which the limit-state surface is far from the
origin. This property suggests that good approximations
to the integral in equation (7) can be constructed by
replacing the integration boundary (i.e., the limit-state
surface) with an approximating boundary which has a
close fit at the point(s) nearest to the origin. The second
useful property of the standard normal space is that the
probability contents for some simple subsets in arbitrary
dimension are available. These two properties are the
bases for the first and second-order reliability methods.
In the first-order reliability method, the limit-state
surface in the standard normal space is replaced with the
tangent plane at the point with minimum distance from
the origin. The first-order estimate of the probability of
failure, then, is
pjl = o ( - f l ) (8)
where fl, denoted reliability index, is the minimum
distance from the origin and (I)(.) denotes the standard
normal cumulative probability. In the second-order
method, the limit-state surface in the standard normal
space is fitted with a second-order surface, usually a
paraboloid 9, and in situations where the limit-state
surface has several local minimum-distance points,
multiple fittings with plane or paraboloid surfaces may be
used to improve the reliability approximation. In the
present paper, only first-order approximations with
single or multiple fittings are employed. Extension to
second-order approximation is relatively straight-
forward, but may require considerable additional
computation (see Ref. 9).
The main effort in the first or second-order reliability
method is in finding the minimum-distance point(s),
denoted y* (x* in X space, s* in S space). This is
formulated as a constrained optimization problem:
minimize ly[ (9)
subject to G(y)=0
Standard solution algorithms for this problem are
available 1°. Starting from an initial point Y0, these
algorithms typically generate a sequence of points Yl, Y2,
. . . . which converge at a minimum-distance point,
provided the algorithm is stable. Experience shows that
 Stochastic finite element method: A. Der Kiureghian and J-B. Ke
for structural engineering applications convergence is
achieved often in less than ten and seldom in more than
fifty steps. Most efficient algorithms utilize the gradient
vector of the limit-state function,
[-t3G(y) t3G(y)]
VyG=LT, ' 3 measures can be extremely useful in design and analysis of
to compute the sequence. By the chain rule of
differentiation, this vector is
Vy a : VsgJs.xJ .,y (10)
where Vsg is the gradient of the limit-state function with
respect to the load effect variables, J,,, is the Jacobian of
the mechanical transformation, and Jx,y = Jy~x1, where Jy,x
is the Jacobian of the probability transformation. The
first vector is easily computed (either analytically or
numerically) for any limit-state function which is
expressed in terms of the load effects. The Jacobian of the
probability transformation and its inverse are also easy to
computer, as the transformations only depends on the
probability distribution of X and usually can be expressed
in a triangular form 1°'17. A major difficulty, however, lies
in computing the Jacobian of the mechanical
transformation, Js,,. The elements of this matrix are the
partial derivatives of load effects with respect to load-
space variables. Such quantities are not computed in
ordinary finite element codes and their formulation and
implementation in an efficient manner is the key to the
SFE reliability method described here.
MEASURES OF SENSITIVITY
An important feature of the first-order reliability method
is the facility to compute reliability sensitivity measures
with respect to any set of desired parameters. The simplest
such measure 1S the unit vector ~t=-VyG/]VyG I
computed at the linearization point y*, which represents
the sensitivity of fl with respect to variations in the
linearization point L22, i.e.,
Vy.fl=~ (11)
The sensitivity vector with respect to the linearization
point in the load space is given by 7
Vx.fl = ctJy,x (12)
where the Jacobian is computed at the linearization point.
Furthermore, let 0 and ~/ denote sets of parameters
defining the probability distribution of X and the limit-
state function, respectively, i.e., fx(X,0) and g(S,t/). (0
might include such parameters as means, standard
deviations, correlation coefficients, etc., and ~/ might
include such parameters as allowable stresses or
deformations, deterministic parameters defining
geometry, etc.) It can be s h o w n 22 that sensitivities of fl
with respect to these parameters are given by:
Vofl=~Jy,o (13)
1 are then assembled using the conventional direct stiffness
V.fl = ~ Vng(s*, F/) (14)
IVUI
where, again, the derivatives are computed at the
linearization point. Finally, for any set of parameters p,
the sensitivities of the first-order probability in equation
Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2 85
(8) are given by
Vap/, = - ~b(fl)Vpfl (15)
where q~(. ) is the standard normal PDF. These sensitivity
measures are easy to compute since they do not involve
the mechanical transformation. It is obvious that these
structures.
FINITE E L E M E N T I M P L E M E N T A T I O N
Implementation of the first-order reliability method in a
finite element code requires two main algorithmic
features. The first is an ability to compute the load effects
for the sequence of points selected in the standard normal
space for solution of the optimization problem, equation
(9). Each point requires a single conventional run of the
finite element code with the load space variables
determined from the inverse of the probability
transformation, equation (5). (As stated earlier, this
transformation is usually in a triangular form, which
facilitates its inversion.) The second is a capability to
effÉciently compute the Jacobian of the mechanical
transformation, Js,x. Since the size of X is usually large, a
straightforward finite-difference approach is obviously
impractical, as it would require repeated runs of the code
for each element of the Jacobian.
For linear elastic structures under static loads, the
conventional finite-element solutions for the nodal
displacements, u, strains, e, and stresses, a, are expressed
by
u=K-1P e=Bu a=De (16)
where K is the stiffness matrix, P is the nodal load vector,
B is the displacement-to-strain transformation matrix,
and D is the elasticity matrix. It is easily verified that the
Jacobians of u, ~, and o with respect to the load-space
variables are 11
Ju,x = K- 1(Je,x- JK,xU) (17)
L,x=BS.,x (18)
J,,x = DIKlu,x + Ja,xBu (19)
where Jp,x and JK.~ are the Jacobians of the load vector
and the stiffness matrix with respect to x, respectively, and
it is assumed that the finite element mesh and shape
functions, and therefore the matrix B, remain fixed. Due
to the linearity of the structure, these Jacobians can be
computed by assembling partial derivative load vectors
and stiffness matrices of all elements. It is important to
note that this procedure requires no additional inversions
Of the stiffness matrix for computing the Jacobians.
Efficient algorithms for solution of these Jacobians are
given, for example, in Ref. 29.
The above procedure is coded in a FORTRAN
program with truss, beam, three-node constant strain,
and four-node quadrilateral elements. The program
includes routines for computing the partial derivative
stiffness matrix and load vector for each element, which
approach to compute the global partial derivative
matrices. The variables X considered are magnitudes of
nodal or distributed loads, material property variables
such as elastic moduli and Poisson's ratio, and geometric
characteristics such as thickness or moment of inertia. In
storage allocation and multiplication of matrices,
Stochastic finite element method: A. Der Kiureghian and J-B. Ke
advantage is taken of the fact that the partial derivative
matrices are highly sparsed.
RANDOM FIELD DISCRETIZATION
Structural properties or loads varying randomly in space
are modelled here as multi-dimensional random
processes, or random fields. For finite element
implementation, it is necessary to discretize such fields
into random vector representations. Two methods of
discretization are investigated here. In one method, the
field value over an element is represented by its value at
the midpoint of the element. In the second method, the
value for an element is represented by the spatial average
of the process over the element, as originally suggested by
Vanmarcke et al. 27. For a two-dimensional process
X(x,y), the above representations for an element i are
X i= X (xi, yi) (20)
and
Xi=~ X(x,y)dAi (21)
i
respectively, where xi, yi are the coordinates of the point
in the element that transforms onto the centroid of the
square element in the normalized coordinate system, and
Ai is the area. The moments (i.e., mean vector and
covariance matrix) of X~ are obtained in terms of the
mean and covariance functions of the process from well
known results in random field theory z6. In particular, the
variance of X~ defined by the midpoint discretization
method (equation (20)) is the same as the point variance
of the process, whereas the variance of Xi defined by the
spatial averaging method (equation (21)) is the point
variance multiplied by the 'variance reduction' factor
which depends on the area A~. In general, the midpoint
discretization method tends to over-represent the
variability within the element, whereas the spatial
averaging method tends to under-represent the same
variability. Therefore, the two methods tend to bracket
the exact result for any given mesh, which provides a
useful means for checking the convergence of the solution
with the mesh size.
If the random field is Gaussian, the joint distribution of
Xi for various elements remains Gaussian for both the
midpoint and spatial averaging methods. However, for
non-Gaussian fields the distribution of X~ defined by
equation (21) is difficult or impossible to obtain. An
approximate description of the distribution for that case
has been suggested elsewhere 8. Here, attention is
restricted to Gaussian random fields so that a fair
comparison between the two methods of discretization
can be made.
An important issue in SFE is the selection of the mesh
size. Two separate factors should be considered for this
selection. One is the expected gradient of the stress field,
and the other is the expected rate of fluctuation of each
random field, as measured, for example, by the
corresponding correlation length. The two requirements
do not necessarily coincide in each region of the structure
and, hence, it is usually necessary to consider two or more
separate meshes. In the present application, the finite
element mesh is selected such that both sets of
requirements in each region of the structure are satisfied.
86 Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2
Then, for each random field, a separate mesh is
considered which is equal to or coarser than the finite
element mesh, such that each random field element is a
block of one or more finite elements. This is done so as to
reduce the number of random variables, and to avoid
near perfect correlation between variables which causes
numerical instability in the probability transformation.
The effect of the random field mesh size is examined in the
following example.
EXAMPLE 1 - BEAM W I T H STOCHASTIC
RIGIDITY
The example is a 32-feet long, fixed ended beam with
stochastic flexural rididity, El(x), which is subject to a
distributed load with stochastic intensity W(x), as shown
in Fig. 1. Both processes are assumed to be homogeneous
and Gaussian with the means and coefficients of variation
listed in Table 1. The autocorrelation coefficient functions
are assumed to be of the form
; IAxl (22)
,ww(Ax)=exp(_l xl) (231
• \ awL/
where Ax is the distance between two points, L = 32 ft is
the beam span, and ae~ and aw are dimensionless
measures of the correlation lengths. Note that aE~ = ~ or
aw = ~ reduces the corresponding process to a random
variable.
The beam is modelled with 32 finite elements, but the
number of random field elements for each process is
varied depending on its correlation length. Two limit-
state criteria are considered: the exceedance of the
midspan deflection above the threshold of 0.6 in, denoted
displacement lmit state, and the exceedance of the left-end
bending moment above the threshold of l l00k-ft,
denoted moment limit state.
Fig. 2 shows the convergence of fl as the number of
random field elements is increased for the two limit-state
functions and for both the midpoint (dashed curves) and
the spatial average (solid curves) discretization methods.
The two methods coincide when the random field mesh is
sufficiently fine in relation to the correlation length. For a
coarse random field mesh, the spatial averaging method
X
Fig. 1. Example 1 - beam with stochastic rigidity
Table 1. Statistics ]br example 1
Variable Mean Coefficient of v a r i a t i o n
W, k/ft 8.0 0.30
EI, k-ft 2 1.125 × l 0 s 0.20
 Stochastic finite element method: A. Der Kiureghian and J-B. Ke
4.2 averaging methods give identical results. For the
aEt = 0.25, a w = oo
displacement limit state, the correlation length of each
/ random field has significant influence on the reliability -
3.B / the reliability decreases with increasing correlation length
/ (i.e., as the random field approaches a random variable).
I ..-- aEt = 1.00,a w = This implies that random fluctuations in the rigidity of the
3.0 /
aw=0.25, aE/=oo
beam or the distributed load tend to decrease the midspan
air = 1.00,act = oo
deflection. The same result is observed for the bending
moment limit state, except that there appears to be a lack
E.4
Displacement L i m i t State of sensitivity to fluctuations in the rigidity.
Reliability sensitivities with respect to the local mean
I I I I I I I |
and standard deviation of each random field element for
i.B
the case with aE1= aw = 0.25 are shown in Fig. 4. These
4.2- measures are scaled by the corresponding standard
Moment L i m i t S t a t e
deviations (i.e., ael or aw of the process) to make them
a w = 0.25, aEI = oo dimensionless. This scaling also has the effect of making
3.B the parameter variations equally likely in a statistical
r
sense. For the displacement limit state, the reliability is
l
I most sensitive to the means and standard deviations of
3.0 l random rigidity elements in the central region as well as
# l the two ends of the beam. Sensitivity to the means and
I standard deviations of random load elements is relatively
E.4 i/~~g. = 1.00, aEi = oO
insignificant and is only visible in the central region of the
/ aEl = 1.00, aw = oo aEi = 0.25, a W, = o o
beam. For the bending moment limit state (for the left end
. . . . . J of the beam), the reliability is most sensitive to the means
t.B and standard deviations of random rigidity elements at
'* i '2 t '8 2'0 2'4 2'0 a'2
the two ends of the beam and to the means and standard
NUMBER OF RANDOM FIELD ELEMENTS
deviations of random load elements in the left-central
Fig. 2. Convergence of [3 with number of random field region of the beam. If sensitivities with respect to the
elements global mean or standard deviation of a random field
(rather than individual element) are desired, they are
provides a better accuracy than the midpoint method. As simply obtained by algebraicly summing the sensitivity
the mesh becomes finer, the two methods tend to bracket values for the individual elements.
the exact result. As indicated before, this is because the The above results are all in concurrence with our
spatial averaging method generally under-represents the intuitive expectations and merely quantify what we
variability within an element, whereas the midpoint already know or can guess. However, for more complex
method tends to over-represent the same variability.
Thus, the two methods provide a useful means for 5.0
checking the convergence of fl with the random field mesh ~ = a , allDisplacement Limit State
size. From the results in Fig. 2, it is apparent that =all.=(/

convergence in fl is effectively achieved when the random 4.0

"=CC
field element size is one-quarter to one-half of the
correlation length parameter, aE~ or aw. Similar results
have been obtained by Hisada et al. 15 for a one- 3.0
dimensional beam, where they numerically investigated # \
the dimensional invariance of fl for the analysis of
2.0
continuum.
As noted earlier, when the correlation length of a
random field is large, a fine random field mesh causes l.O I I I I
numerical instability, as the correlation matrix of the
discretized field tends to be near singular and the inverse 5.0
Moment L i m i t S t a t e
of the probability transformations in equation (5)
becomes unstable. For example, in Fig. 2, the cases with
aE~= 1 or aw = 1 could not be analysed with 16 or more
random field elements. Of course, in these situations a fine
random field mesh is not necessary, and this merely
reiterates the need for a separate mesh for each random #
4.0

3.0
~ 1 =all' =a

field. Such separate meshes are also helpful in reducing

the number of random variables representing each aEi a = ~ °°
2.0
random field. ~aEi =a, all, = c¢
Fig. 3 demonstrates the influence of the correlation
lengths aE~ and aw on the reliability with respect to the 1.0.0
two limit states. The number of random field elements • t7o t:5
used in each case depends on the correlation length, but is CORRELATION LENGTH. a
sufficiently large such that the midpoint and spatial Fig. 3. Influence of correlation length on reliability

Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2 87

Stochastic finite element method." A. Der Kiureghian and J-B. Ke

0.8 Because of the stochastic properties of the plate,

Displocement Limit State
symmetry cannot exist in a strict sense. Nevertheless, for
0.4 simplicity, stochastic symmetry is assumed and only one
quarter of the plate is analysed. The quarter plate is
at~ 0.0 J modelled with 30 elements in the region of material 1 and
9 elements in the region of material 2. The random field
-0.4 and finite element meshes are assumed to be identical.
t
The limit-state criterion for the plate is selected to be the
iL t exceedance of the principal tensile stress at element 32
-O.B t °'El
r above the threshold of 30 ksi.
(o) -. As expected, the reliability of the plate with respect to
-1.2 I I I I I I
the stress criterion is strongly influenced by the difference
between the properties of the two materials. Fig. 6a shows
0.2
Moment Limit Stote the variation of fl with the ratios of the means of the bulk
and shear moduli, r=#r,/~K2=#c,/l~o~, when the
0.1 correlation length a is infinite (i.e., when K I and Gt are
random variables) and the cross correlations p K , K =
po,G = 0 . The reliability is seen to decrease with
~N 0.0 -. ... _. . . . . .-" . . . . . increasing difference between the mean properties of the
two materials. Scaled sensitivities of fl with respect to the
means and standard deviations of the random variables
are shown in Figs 6b and 6c, respectively. The reliability is
(b) most sensitive to the mean and standard deviation of the
-0.2 I I J I I l load intensity, W. Among the property variables,
0 5 I0 15 20 25 30
HORIZONTAL COORDINATE, ft sensitivities to the mean values of K~, G~, and K2 and
standard deviations of Ka and K2 appear to be significant
Fig. 4. Reliability sensitivity measures with respect to for certain values of r.
element means and standard deviations, for aE1= a w ---- 0.25 At around r = 1, a sharp change in the sensitivities of fl
to the material property variables is observed in Figs 6b
structures, the reliability index and the associated and 6c. The reason for this can be inferred from the data in
sensitivity measures provide valuable insight into the Table 3, where the mean values and linearization points
behaviour of the structure and the significance of various for the cases r = 1 and r = 1.25 are listed. In the present
uncertainties, thus providing a resourceful means for
rational decision making in the design or analysis stage.

Y
EXAMPLE 2 - PLATE WITH STOCHASTIC
ELASTICITY
W
The example structure is one quarter of a 1 in thick, 32 ×
32 in / square plate with distributed edge loads, as shown
in Fig. 5. The plate is made of two materials: a 4-inch
diameter core material, and an outside material. The bulk
and shear moduli K1 and G1, respectively, of the outside
material are modelled as homogeneous Gaussian random
fields. The moduli K2 and G2 of the core material and the
load intensity W are considered to be Gaussian random
variables. The assumed means and coefficients of Material 1:
variation are listed in Table 2. The shear and bulk moduli KI I G I /
for each material are assumed to be statistically Elemen 32
independent, but correlation between the same moduli X
for the two materials, i.e., PK,K~ and PG,o:, is considered. Material 2: K 2,
The autocorrelation coefficient functions for the moduli
K1 and G1 are assumed to be identical and of the form --~ 16"
Fig. 5. Example 2 - plate with stochastic elasticity
= exp[ ( ,,x ?_(
(24)
Table 2. Statistics for example 2
where Ax and Ay are the differences between the x and y Variable Mean Coefficient
of variation
coordinates of any two points, L = 1 6 i n is the side
dimension of the quarter plate, and ax and ay are K1, ksi 5000 0.15
dimensionless measures of the correlation length in the Gl, ksi 3750 0.15
Kz, ksi variable 0.15
two directions. For the present analysis a x = a y = a is G2, ksi variable 0.15
assumed, which implies an isotropic correlation W, k/in 16.0 0.20
structure.

88 Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2

 Stochastic finite element method: A. Der Kiureghian and J-B. K e
5.0 where the second fl is much larger than the first) the first-
order reliability estimate in equation (8) is sufficiently
4.0
accurate. However, when the two fl's are nearly equal,
multiple fittings of the limit-state surface are necessary to
3.0
improve the accuracy. Using hyperplane fittings at the
two local minimal-distance points and employing well
2.0
known results for the probability content of polyhedral
sets 22, the generalized fl for various values of r are
1.0
computed and are shown in Fig. 6a as a dashed curve.
(The generalized reliability index is defined as fl=
0.0
• - 1 ( 1 - p ) , where 1 - p is the probability content of the
1.0 polyhedral safe set.) It is observed that the contribution of
the second failure mode is only significant near r = 1.
KI
Fig. 7a shows the variation of/3 with respect to the
0.5
cross-correlation coefficient P = PK,K~ = P~,c~, for
identical mean values, i.e., r = 1, and a = ~ . The reliability
~' a~-uB0,0 is seen to decrease as the properties of the two materials
become independent. In Fig. 7b, scaled sensitivity
-0.5
oi/ ~/°/~ measures of fl with respect to the standard deviations are
shown. It is observed that the reliability is most sensitive
(b) "X__..~.~ to the uncertainty in the load and that the sensitivity to
-1.0 i i 1111111 i i fill,, I I , I;Illl i I J lll,H i the uncertainty in the material properties diminishes with
increasing correlation between the property variables.
1.0 This is expected, as with increasing correlation the plate
becomes statically determinate and the stress distribution
0.0 becomes independent of the moduli.
Fig. 8 shows the variation of fl with the correlation
length parameter a for a deterministic load W= 22, with
a# _ 1.0
r = 1 and p = 0, and for both the midpoint and spatial
averaging discretizations of the random property fields.
-2.0 For the selected value of r, the limit-state surface has two
local minimal distance points, which, for certain values of
a, have nearly equal fl values. Thus, the dashed curves in
-3,0 i i 111111 I i ] i iiiill i i i iiiilj i i i iiiiij

10 -' 10 -' I 10 10 '

RATIO OF M E A N S .
Fig. 6. Influence o f ratio o f mean properties on (a)
reliability index, (b) sensitivities to means, and (c)
sensitivities to standard deviations, for a = ~ and p = 0
the figure show the fl value for the single dominant mode,
r whereas the solid curves show the generalized reliability
5.0

4.5
Table 3. Failure modes f o r example 2 (a= ~ , p =0)

r=l.00 r = 1.25 ~ 4.0

Variable Mean x* Mean x*

3.5
K1 5000 3801 5000 5448
Gl 3750 3685 3750 3990 (o)
Kz 5000 5708 4000 3369 .3.0 i I ] ] i I J I r I
G2 3750 3887 3000 2375
W 16.00 26.76 16.00 25.71
1,0 --

//G1, G2
0.0
K2 /
case with Gaussian variables, the latter coordinates -I.0 K1/
represent the most likely realizations of the random
variables given failure has occurred. It is observed in "a'--g
a# - 2 . 0
Table 3 that the most likely failure mechanism is
-3.0
fundamentally different for the two cases. That is, for r = 1
the most likely mode of failure is with K1 and Ga below -4.0
their respective means and K 2 and G2 above their (b)
respective means (i.e., weak plate, strong core), whereas --5.0 ' I ; I , I , I , I

with r = 1.25 the situation is reversed. In fact, it turns out 0.0 0.2 0.4 0.6 0.8 1.0
CORRFLATION COEFFICENT, p
that for each value of r there are two local minimal
distance points on the limit-state surface in the standard Fig. 7. Influence o f correlation coefficient pK,K2=
space, which are associated with these two modes of po,o=p on (a) reliability index, (b) sensitivities to
failure. In situations where one mode dominates (i.e., standard deviations, for r = 1 and a =

Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2 89

Stochastic finite element method: A. Der Kiureghian and J-B. Ke
Table 4. Results for example 2 (a =0.25, p =0)

W=22 W=N(16,3.2)

fl 3.656 3.4957
Pyl 0.000128 0.000236

Variable x* ~ a x* a a --
9~ 9a ~ 9a

K1 6245 0.027 - 1.71 5882 - 0.083 -0.639

Gl 4458 -0.246 - 0.550 4072 - 0.113 -0.118
K2 3383 0.590 - 1.27 4208 0.276 -0.226
G2 3384 0.178 - 0.116 3590 0.076 - 0.020
W 22.0 25.4 - 0.838 - 2.45

5.0 K1 and G1 than the standard deviations of the variables

Spat]c~l A v e r o g e
ldethod K 2 and G2, respectively.

4.54.0 ~ a ~ - " . . . ~. . . . . . . .- " ' [

3.5
/ System #
3.O
...... Dominont Mode fl
2..5 , I , I
0.0 1.0 2.0
CORRELATION LENGTH, a
Fig. 8. Influence of correlation length on reliability for
W = 2 2 , r = l , and p=O
index considering both failure modes of the system. It is
seen that the second mode of failure is significant only for
0.5~<a~<2.
As stated earlier, the true value of fl usually lies in
between the results based on the midpoint and the spatial
averaging methods, but usually closer to the latter. Thus,
it appears in Fig. 8 that the selected finite element and
random field mesh is adequate for values of the
correlation length parameter a/> 0.25. It is also observed
that the reliability tends to increase with increasing
correlation length of the random property fields. This
result, however, is overshadowed if the uncertainty in the
load is also included, which typically dominates the
reliability with respect to stress limit states.
The significance of uncertainty in the load can be
observed in Table 4, which lists the values of the reliability
index, failure probability, linearization point, and scaled
sensitivity measures with respect to the means and
standard deviations. The results are for both
deterministic and random values of the load and for r = 1,
p = 0 , and a=0.25. For the processes K1 and G~, the
linearization point listed is for element 32 and the
sensitivities are with respect to the process means and
standard deviations rather than those of the individual
element. It is interesting to note that for the selected
values of the parameters the reliability is more sensitive to
the mean o f K 2 than the mean ofK~. This is attributed to
the random fluctuations in K~ and the cancellation of the
sensitivities arising from the various elements of the plate.
Such cancellations do not occur for the sensitivities with
respect to the standard deviation of the process, as they
are negative for all elements. Hence, the reliability index is
more sensitive to the standard deviations of the processes
SUMMARY AND CONCLUSION
A first-order stochastic finite element method for
reliability analysis of complex structures is described. The
method is based on the first-order reliability approach
and is applicable to any limit-state criterion that is
prescribed in terms of random variables. Measures of
, , reliability sensitivity with respect to any set of parameters
3.0 are easily computed. The main effort for finite element
implementation is in computing the gradient of response
variables in terms of basic load, material property or
geometry variables. Such an implementation for linear
elastic structures under static loads is described. Two
alternate methods of random field discretization are
investigated and their respective advantages are
discussed.
Two example applications are described in detail,
which address such issues as the convergence of the
reliability index for the two methods of random field
discretization, the effect of correlation length on the
convergence, the influence of correlation length on
reliability, reliability sensitivity with respect to
distribution parameters, and multiplicity of failure
modes. These examples clearly demonstrate the
applicability and usefulness of the first-order reliability
approach in conjunction with the finite element method
for reliability analysis of complex structures.
ACKNOWLEDGEMENT
The research work presented herein was supported by the
National Science Foundation Grant No. CEE-8205049,
which support is gratefully acknowledged.
REFERENCES
1 Ang, A. H-S. and Tang, W. H. Probability Concepts in
Enoineerin9 Planning and Design - Volume II: Decision, Risk, and
Reliability, John Wiley and Sons, New York, NY, 1984
2 Astill, J., Nosseir, C. J. and Shinozuka, M. Impact Loading on
Structures with Random Properties, Journal of Structural
Mechanics, 1972, 1(1), 63-77
3 Baecher, G. B. and Ingra, T. S. Stochastic F E M in Settlement
Predictions, Journal of the Geotechnical Engineering Division,
April 1981, 107(GT4), 449~,63
4 Cambou, B. Application of First Order Undertainty Analysis in
the Finite Element Method in Linear Elasticity in Proceedings,

90 Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2

 Stochastic finite element method: A. Der Kiureghian and J-B. K e
Second International Conference on Applications of Statistics
and Probability in Soil and Structural Engineering, London,
England, 1971
5 Dendrou, B. A. and Houstis, E. N. Uncertainty Finite Element
Dynamic Analysis, Report CSD-TR 271, Department of Civil
Engineering, Purdue University, West Lafayette, Indiana, July
1978
6 Der Kiureghian, A. Finite Element Methods in Structural Safety
Studies in Proceedings, ASCE Symposium on Structural Safety
Studies, Denver, CO, April-May 1985, 40-52
7 Der Kiureghian, A. Finite Element Based Reliability Analysis of
Frame Structures in Proceedings, Fourth International
Conference on Structural Safety and Reliability, Kobe, Japan,
May 1985, I, 395-404
8 Der Kiureghian, A. Multivariate Distribution Models for
Structural Reliability in Transactions, International Conference
on Structural Mechanics in Reactor Technology, Lausanne,
Switzerland, August 1987
9 Der Kiureghian, A., Lin, H.-Z. and Hwang, S.-J. Second Order
Reliability Approximations, Journal of Engineering Mechanics,
to appear
10 Der Kiureghian, A. and Liu, P-L. Structural Reliability Under
Incomplete Probability Information, Journal of Engineering
Mechanics, January 1986, 112(1), 85 104
11 Der Kiureghian, A. and Taylor, R. L. Numerical Methods in
Structural Reliability in Proceedings, Fourth International
Conference on Applications of Statistics and Probability in Soil
and Structural Engineering, Florence, Italy, June 1983, 769-784
12 Handa, K. and Anderson, K. Application of Finite Element
Methods in the Statistical Analysis of Structures in Proceedings,
Third International Conference on Structural Safety and
Reliability, Trondheim, Norway, June 1981, 409-417
13 Hisada, T. and Nakagiri, S. Stochastic Finite Element Method
Developed for Structural Safety and Reliability in Proceedings,
Third International Conference on Structural Safety and
Reliability, Trondheim, Norway, June 1981, 395-408
14 Hisada, T. and Nakagiri, S. Role of the Stochastic Finite Element
Method in Structural Safety and Reliability in Proceedings,
Fourth International Conference on Structural Safety and
Reliability, Kobe, Japan, May 1985
15 Hisada, T., Nakagiri, S. and Mashimo, M. A Note on Stochastic
Finite Element Method (Part 10) - On Dimensional Invariance
of Advanced First-Order Second-Moment Reliability Index in
Analysis of Continuum, Seisan-Kenkyu, Institute of Industrial
Science, University of Tokyo, Tokyo, Japan, 1985, 37(3), 111
114
16 Hisada, T., Nakagiri, S. and Nagasaki, T. Stochastic Finite
Element Analysis of Uncertain Intrinsic Stresses Caused by
Structural Misfits in Transactions, Seventh International
Probabilistic Engineering Mechanics, 1988, Vol. 3, No. 2
Conference on Structural Mechanics in Reactor Technology,
Chicago, Illinois, August 1983, M, 199-206
17 Hohenbichler, M. and Rackwitz, R. Non-Normal Dependent
Vectors in Structural Safety, Journal of the Engineering
Mechanics Division, December 1981, 107(EM6), 1227-1238
18 Igusa, T. and Der Kiureghian, A. Response of Uncertain Systems
to Stochastic Excitation, Journal of Engineering Mechanics, to
appear
19 Lawrence, M. A. A Basis Random Variable Approach to
Stochastic Structural Analysis, p. Thesis, submitted in partial
fulfillment of the requirements for the degree of Doctor of
Philosophy in Civil Engineering, University of Illinois, Urbana,
Illinois, 1986
20 Liu, P-L. and Der Kiureghian, A. Optimization Algorithms for
Structural Reliability Analysis, Report No. UCB/SESM-86/09,
Department of Civil Engineering, Division of Structural
Engineering and Structural Mechanics, University of California,
Berkeley, California, July 1986
21 Liu, W. K., Belytschko, T. and Mani, A. Probabilistic Finite
Elements for Nonlinear Structural Dynamics, Computer
Methods in Applied Mechanics and Engineering, 1986, (56), 61-86
22 Madsen, H. O., Krenk, S. and Lind, N. C. Methods of Structural
Safety, Prentice-Hall Inc., Englewood Cliffs, NJ, 1986
23 Nakagiri, S. and Hisada, T. A Note on Stochastic Finite Element
Method (Part 6) - An Applic "ion in Problems of Uncertain
Elastic Foundation, Seisan- nkyu, Institute of Industrial
Science, University of Tokyc Fokyo, Japan, January 1983,
35(1), 20-23
24 Shinozuka, M. and Dasgupta, G. Stochastic Finite Element
Methods in Dynamics in Proceedings, ASCE-EMD Specialty
Conference on Dynamic Response of Structure, Los Angeles,
March 1986, 44-54
25 Shinozuka, M. and Nomoto, T. Response Variability Due to
Spatial Randomness, Report No. CU-CEEM-MS-80-1,
Department of Civil Engineering and Engineering Mechanics,
Columbia University, August 1980
26 Vanmarcke, E. Random Fields: Analysis and Synthesis, MIT
Press, Cambridge, Mass., 1983
27 Vanmarcke, E. and Grigoriu, M. Stochastic Finite Element
Analysis of Simple Beams, Journal of Engineering Mechanics,
October 1983, 109(5), 1203-1214
28 Veneziano, D., Casciati, F. and Faravelli, L. Method of Seismic
Fragility for Complicated Systems in Proceedings,Second CSNI
Speciality Meeting on Probabilistic Methods in Seismic Risk
Assessment for Nuclear Power Plants, Livermore, California,
May 1983
29 Arora, J. S. and Huag, E. J. Methods of Design Sensitivity
Analysis in Structural Optimization, AIAA Journal, 1979, 17,
970-974
91