Extended Polynomial Dimensional Decomposition

for Arbitrary Probability Distributions

Sharif Rahman, M.ASCE1

Abstract: This paper presents an extended polynomial dimensional decomposition method for solving stochastic problems subject to
independent random input following an arbitrary probability distribution. The method involves Fourier-polynomial expansions of com-
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ponent functions by orthogonal polynomial bases, the Stieltjes procedure for generating the recursion coefficients of orthogonal polyno-
mials and the Gauss quadrature rule for a specified probability measure, and dimension-reduction integration for calculating the expansion
coefficients. The extension, which subsumes nonclassical orthogonal polynomials bases, generates a convergent sequence of lower-variate
estimates of the probabilistic characteristics of a stochastic response. Numerical results indicate that the extended decomposition method
provides accurate, convergent, and computationally efficient estimates of the tail probability of random mathematical functions or
reliability of mechanical systems. The convergence of the extended method accelerates significantly when employing measure-consistent
orthogonal polynomials.
DOI: 10.1061/共ASCE兲EM.1943-7889.0000047
CE Database subject headings: Uncertainty principles; Stochastic processes; Reliability; Polynomials.

Introduction reference point and surrounding sample points 共Xu and Rahman
2005兲 and 共2兲 Fourier-polynomial expansions employing ortho-
The dimensional decomposition is a promising concept for solv- normal polynomial bases 共Rahman 2008兲. Both methods require
ing complex stochastic problems entailing high-dimensional the same computational effort in providing convergent approxi-
input-output mapping 共Rahman 2008; Xu and Rahman 2005; Xu mations of the component functions. However, the latter method,
and Rahman 2004兲. The decomposition, also known as analysis of coined as polynomial dimensional decomposition 共Rahman 2008兲,
variance 共ANOVA兲 共Efron and Stein 1981兲 or high-dimensional has one major advantage: the need for sample points in the former
model representation 共HDMR兲 共Li et al. 2002; Rabitz and Alis method, often selected arbitrarily, has been cleverly avoided.
1999; Sobol 2003兲, represents a finite, hierarchical, and conver- When input random variables follow well-known probability dis-
gent expansion of a multivariate output function 共Rahman 2008兲 tributions, classical orthogonal polynomials can be employed for
approximating the component functions. It is worth noting that a
N N
decomposition, known as random sampling-HDMR, adopting
y共x兲 = y 0 + 兺
i=1
y i共xi兲 + 兺
i1,i2=1;i1⬍i2
y i1i2共xi1,xi2兲 shifted Legendre polynomials of scaled variables as the orthonor-
mal basis has been available for some time 共Li et al. 2002兲.
N
For input random variables with arbitrary probability measures
+ 兺
i1,i2,i3=1;i1⬍i2⬍i3
y i1i2i3共xi1,xi2,xi3兲 + . . . 共distributions兲, several possibilities exist in defining a complete
set of orthogonal polynomials for the polynomial dimensional
N
decomposition. An indirect approach is to transform all original
+ 兺
i1,. . .,iS=1;i1⬍. . .⬍iS
y i1. . .iS共xi1, . . . ,xiS兲 + . . . random variables into new random variables for which classical
orthogonal polynomials are readily available. For instance, if non-
+ y 12. . .N共x1, . . . ,xN兲 共1兲 Gaussian variables are transformed into all-Gaussian or all-
uniform variables, Hermite or Legendre polynomials can be used
in terms of input variables with increasing dimensions, where y 0 to approximate the mapped performance function in the Gaussian
is a constant and y i1. . .iS : RS → R, 1 ⱕ S ⱕ N, is an S-variate com- or uniform variable space. However, such transformation, albeit a
ponent function quantifying the cooperative effects of S input standard practice in the stochastic mechanics community, is still
variables xi1 , . . . , xiS. A central task is to generate component func- arbitrary. Alternative transformations of original random variables
tions embedded in the decomposition, for which there are basi- into other types of random variables are quite possible. In con-
cally two methods: 共1兲 Lagrange interpolations derived from a trast, a direct approach is to construct from scratch a set of or-
thogonal polynomials that is consistent with an arbitrarily defined
1
College of Engineering, The Univ. of Iowa, Iowa City, IA 52242. probability measure of the random input. Therefore, methods
E-mail: rahman@engineering.uiowa.edu need to be developed for generating nonclassical orthonormal
Note. This manuscript was submitted on October 31, 2008; approved
polynomials, including cases when a random input comprises
on March 31, 2009; published online on May 2, 2009. Discussion period
open until May 1, 2010; separate discussions must be submitted for indi- both discrete and continuous probability measures. Using these
vidual papers. This paper is part of the Journal of Engineering Mechan- nonclassical orthonormal polynomials, one will then be able to
ics, Vol. 135, No. 12, December 1, 2009. ©ASCE, ISSN 0733-9399/ determine how a choice of transformation in the indirect approach
2009/12-1439–1451/$25.00. affects the smoothness of a performance function and evaluate the

JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009 / 1439

J. Eng. Mech. 2009.135:1439-1451.

 accuracy and convergence properties of a stochastic solution ⬁ ⬁ S

against those obtained from the direct approach. y i1. . .iS共xi1, . . . ,xiS兲 = 兺 ... 兺 Ci1. . .iS j1. . .jS 兿 ␺i j 共xi 兲
k k k
共3兲
This paper presents an extended polynomial dimensional de- jS=1 j1=1 k=1
composition method for solving stochastic problems subject to with
independent random input following an arbitrary probability dis-

冕
tribution. The method is based on 共1兲 Fourier-polynomial expan- S
sions of component functions by orthonormal polynomial bases;
共2兲 the Stieltjes procedure for generating the recursion coeffi-
Ci1. . .iS j1. . .jS =
RS
y i1. . .iS共xi1, . . . ,xiS兲 兿
k=1
␺i j 共xi 兲f i 共xi 兲dxi
k k k k k k
共4兲
cients of orthonormal polynomials and a Gauss-type quadrature
rule for a specified probability measure; and 共3兲 dimension- representing the expansion coefficient for the S-variate compo-
reduction integration for calculating the expansion coefficients. nent function. By minimizing an error functional associated with
The following section formulates the extended decomposition a given y共x兲 and the joint probability density of 兵Xi1 , . . . , XiS其T,
method, including generation of recursion coefficients and the the coefficients y 0 and Ci1. . .iS j1. . .jS can be expressed by the
Gauss quadrature rule for an arbitrary probability measure. Sub- N-dimensional integrals 共Rahman 2008兲
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sequently, a numerical evaluation of the expansion coefficients

incorporating dimension-reduction integration is described. Five
numerical examples illustrate the Stieltjes procedure and examine
the accuracy, convergence, and computational efficiency of the
y0 = 冕 RN
y共x兲f X共x兲dx 共5兲

extended method. The conclusions and future work are presented and
at the end.

冕
S

Ci1. . .iS j1. . .jS =

RN
y共x兲 兿
k=1
␺i j 共xi 兲f X共x兲dx
k k k
共6兲
Extended Polynomial Dimensional Decomposition
Since the right hand side of Eq. 共3兲 is an infinite series, it must be
Let 共⍀ , F , P兲 be a complete probability space, where ⍀ is a truncated, say, by m terms in each variable, yielding a Fourier-
sample space, F is a ␴-field on ⍀, and P : F → 关0 , 1兴 is a prob- polynomial approximation
ability measure. With BN representing the Borel ␴-field on RN,
consider an RN-valued independent random vector 兵X m m S
= 兵X1 , . . . , XN其T : 共⍀ , F兲 → 共RN , BN兲其, which describes statistical
uncertainties in all system and input parameters of a given sto-
y i1. . .iS共xi1, . . . ,xiS兲 ⬵
jS=1
兺 ... 兺
j1=1
Ci1. . .iS j1. . .jS 兿
k=1
␺i j 共xi 兲
k k k
共7兲

chastic problem. The probability law of X is completely defined

which approaches y i1. . .iS共xi1 , . . . , xiS兲 in Eq. 共3兲 in the mean square
by the joint probability density function f X共x兲 = ⌸i=1 i=N
f i共xi兲, where
sense as m → ⬁.
f i共xi兲 is the marginal probability density function of Xi defined on
The Fourier-polynomial approximation is valid for any finite-
the probability triple 共⍀i , Fi , Pi兲. Let L2共⍀i , Fi , Pi兲 be a Hilbert
dimensional Hilbert space L2共⫻k=1 k=S
⍀ik , ⫻k=1
k=S
Fik , ⫻k=1
k=S
Pik兲 with
space that is equipped with a set of complete orthonormal bases
1 ⱕ S ⱕ N. In other words, Eq. 共7兲 can represent all component
兵␺ij共xi兲 ; j = 0 , 1 , . . .其, which is consistent with the probability
functions of the multivariate function decomposition in Eq. 共1兲. In
measure of Xi. For example, classical orthonormal polynomials,
particular, when S = 1, 2, and 3, Eq. 共7兲 reduces to
including Hermite, Legendre, and Jacobi polynomials, can be
used when Xi follows Gaussian, uniform, and Beta probability m
distributions, respectively, 共Abramowitz and Stegun 1972兲.
y i共xi兲 ⬵ 兺
j=1
␣ij␺ij共xi兲 共8兲

Fourier-Polynomial Expansion
m m
Let y共x兲, a real-valued, measurable transformation on 共⍀ , F兲,
define a relevant performance function of interest for a given y i1i2共xi1,xi2兲 ⬵ 兺 兺 ␤i i j j ␺i j 共xi 兲␺i j 共xi 兲
j2=1 j1=1
12 1 2 1 1 1 2 2 2
共9兲
stochastic problem. Defined on the product probability triple
共⫻k=1
k=S
⍀ik , ⫻k=1
k=S
Fik , ⫻k=1
k=S
Pik兲, denote the space of square integrable and
S-variate component functions of y by
m m m

L2共⫻k=1
k=S
⍀ik,⫻k=1
k=S
Fik,⫻k=1
k=S
P ik兲 y i1i2i3共xi1,xi2,xi3兲 ⬵ 兺 兺 兺 ␥i i i j j j ␺i j 共xi 兲␺i j 共xi 兲␺i j 共xi 兲

再
123 1 2 3 1 1 1 2 2 2 3 3 3
j3=1 j2=1 j1=1

ª y i1. . .iS共Xi1, . . . ,XiS兲: 冕 y 2i1. . .iS共xi1, . . . ,xiS兲

共10兲

冎
RS where

冕
S

兿
k=1
f i 共xi 兲dxi ⬍ ⬁
k k k
共2兲 ␣ij ª y共x兲␺ij共xi兲f X共x兲dx 共11兲
RN

which is also a Hilbert space. Since the joint probability density

of 兵Xi1 , . . . , XiS其T is separable 共independence兲, the tensor product
兵兿k=1
S
␺ik jk共xik兲其 constitutes an orthonormal polynomial basis in ␤ i1i2 j 1 j 2 ª 冕 RN
y共x兲␺i1 j1共xi1兲␺i2 j2共xi2兲f X共x兲dx 共12兲
L2共⫻k=1
k=S
⍀ik , ⫻k=1 k=S
Fik , ⫻k=1
k=S
Pik兲. Therefore, there exists a Fourier-
polynomial expansion and

1440 / JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009

J. Eng. Mech. 2009.135:1439-1451.

 ␥ i1i2i3 j 1 j 2 j 3 ª 冕
RN
y共x兲␺i1 j1共xi1兲␺i2 j2共xi2兲␺i3 j3共xi3兲f X共x兲dx
where
␲−1共x兲 = 0, ␲0共x兲 = 1 共16兲

共13兲
共x␲ j,␲ j兲dF
are the corresponding expansion coefficients. Applying Eqs. aj = , j = 0,1,2, . . . 共17兲
共␲ j,␲ j兲dF
共7兲–共13兲 into an S-variate approximation of Eq. 共1兲 yields
and
N m

兺 兺 ␣ij␺ij共Xi兲
冦 冧
ỹ S共X兲 ⬵ y 0 + 共␲0,␲0兲dF , j=0
i=1 j=1 bj = 共␲ j,␲ j兲dF 共18兲
, j = 1,2, . . .
N m m 共␲ j−1,␲ j−1兲dF
+ 兺 兺 兺 ␤i i j j ␺i j 共Xi 兲␺i j 共Xi 兲 + . . .
i1,i2=1;i1⬍i2 j2=1 j1=1
12 1 2 1 1 1 2 2 2 are the recursion coefficients uniquely determined by the measure
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N m m S
+ 兺 兺
i1,. . .,iS=1;i1⬍. . .⬍iS jS=1
... 兺
j1=1
Ci1. . .iS j1. . .jS
which, for S = N, converges to y共X兲 in the mean square sense as
m → ⬁. Once the embedded coefficients y 0, ␣ij, ␤i1i2 j1 j2, and
Ci1. . .iS j1. . .jS are calculated, as described in a forthcoming section,
Eq. 共14兲 furnishes an approximate but explicit map ỹ S : RN → R
that can be viewed as a surrogate of the exact map y : RN → R,
which describes the input-output relation from a complex numeri-
cal simulation. Therefore, any probabilistic characteristic of y共X兲,
including its statistical moments and rare event probabilities, can
be easily estimated by performing Monte Carlo simulation of
ỹ S共X兲 rather than of y共X兲. The simulation of ỹ S共X兲, which entails
evaluation of simple analytical functions, can be performed for an
arbitrarily large sample size. In contrast, the simulation of y共X兲,
referred to as crude Monte Carlo simulation in this paper, requires
expensive numerical calculations and can therefore be prohibitive
when estimating higher-order moments or small failure probabili-
ties.
Orthogonal Polynomials and Three-Term Recurrence
Relation
The Fourier-polynomial expansions in extended polynomial di-
mensional decomposition require orthonormal polynomial bases
consistent with a specified probability measure of the random
input. For an arbitrary probability measure, classical orthogonal
polynomials do not exist; therefore, the three-term recurrence re-
lation needs to be examined to generate from scratch measure-
consistent orthogonal polynomials.
Let f共x兲 be the probability density function of a random vari-
able X, which has finite moments of orders up to 2m, m 苸 N. Let
P be the space of real polynomials and Pm 傺 P the space of poly-
nomials of degreeⱕ m. For any pair u共x兲 , v共x兲 in P, define an
inner product
dF共x兲. The index range is infinite 共j ⱕ ⬁兲 or finite 共j ⱕ m − 1兲,
depending on whether the inner product is positive definite on P
兿
k=1
␺i j 共Xi 兲
k k k or Pm, but not on Pm⬘, m⬘ ⬎ m. Therefore, the first m recursion
coefficient pairs are uniquely determined by the first 2m moments
共14兲 of X that must exist. In fact, much of the classical theory of
orthogonal polynomials is based on moments. Table 1 presents
exact recursion coefficients of orthogonal polynomials for select
continuous measures, including a few classical ones 共Fernandes
and Atchley 2006; Gautschi 2004兲. A similar list exists for dis-
crete measures and can be found elsewhere 共Gautschi 2004兲. Un-
fortunately, obtaining these coefficients from moments in general
becomes severely ill conditioned and thus is not useful even for
well-behaved measures for which there are no classical orthogo-
nal polynomials. As an alternative, approximate methods based
on discretization of an arbitrary measure − for instance, the Stielt-
jes procedure 共Stieltjes 1884兲 − can be employed to obtain the
recursion coefficients.
Stieltjes Procedure
The Stieltjes procedure for generating recursion coefficients com-
prises three simple steps: 共1兲 approximate the given measure dF
by a discrete M-point measure dF M such that 共1 , 1兲dFM ª 兰RdF M
= 1; 共2兲 compute the recursion coefficients a j,M ª a j共dF M 兲 and
b j,M ª b j共dF M 兲 of the discrete measure dF M ; and 共3兲 increase M
and iterate calculations of the discrete versions of the recursion
coefficients until a desired accuracy is achieved. If the discretiza-
tion is done in a meaningful manner, the process should converge
in the sense that, for fixed j, limM→⬁ a j,M = a j and limM→⬁ b j,M
= b j.
If ␲ j,M 共x兲, j = 0 , 1 , 2 , . . ., denote the monic orthogonal polyno-
mials for the discrete measure dF M , Eqs. 共17兲 and 共18兲 yield
共x␲ j,M ,␲ j,M 兲dFM
a j,M = , j = 0,1,2, . . . 共19兲
共␲ j,M ,␲ j,M 兲dFM
and

冦 冧
共␲0,M ,␲0,M 兲dFM , j=0

共u, v兲dF ª 冕 R
u共x兲v共x兲dF共x兲 = 冕 R
u共x兲v共x兲f共x兲dx 共15兲
b j,M = 共␲ j,M ,␲ j,M 兲dFM
共␲ j−1,M ,␲ j−1,M 兲dFM
, j = 1,2, . . .
共20兲

and an associated norm 储u储dF ª 冑共u , u兲dF with respect to the prob-
ability measure dF共x兲 = f共x兲dx. Let ␲ j共x兲 , j = 0 , 1 , 2 , . . ., be a set of
monic orthogonal polynomials with respect to the measure dF共x兲.
Since the inner product fulfills the shift property, 共xu , v兲dF
= 共u , xv兲dF, for all u , v 苸 P, they satisfy the three-term recurrence
relation 共Gautschi 2004兲
␲ j+1共x兲 = 共x − a j兲␲ j共x兲 − b j␲ j−1共x兲, j = 0,1,2, . . .
providing a natural framework for computing the recursion coef-
ficients. All inner products appearing in Eqs. 共19兲 and 共20兲 are
finite sums and therefore trivial to compute. Gautschi 共2004兲
gives further details on how these inner products are evaluated by
an interpolatory quadrature rule, known as the Fejér quadrature
rule. The only problem is the appearance of the polynomials ␲ j,M
and ␲ j−1,M themselves, which are not known. However, they can
be built up successively, and in tandem with the recursion coef-

JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009 / 1441

J. Eng. Mech. 2009.135:1439-1451.

 Table 1. Exact Recursion Coefficients a j and b j for a Few Continuous Measures dF共x兲 = f共x兲dx
1442 / JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009

a
Names of measure 共polynomials兲 Probability density function f共x兲 Support of f a j, j ⱖ 0 b j b, j ⱖ 1
Gaussian 共Hermite兲
1
冋 册
1 2
冑2␲ exp − 2 x
关−⬁ , +⬁兴 0 j
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1 1
Uniform number 1 共Legendre兲 关⫺1,1兴 0
2 共4 − j−2兲

1 1
Uniform number 2 1 关0,1兴
共Shifted Legendre兲 2 4共4 − j−2兲

Exponential exp共−x兲 关0 , ⬁兴 2j + 1 j2
共Laguerre兲 x␣ exp共− x兲
Gamma ; ␣⬎−1 关0 , ⬁兴 2j + ␣ + 1 j共j + ␣兲
共Gen. Laguerre兲 ⌫共␣ + 1兲

Betac 共Jacobi兲 ⌫共␣ + ␤ + 2兲共1 − x兲␣共1 + x兲␤ 关⫺1,1兴 共␤2 − ␣2兲 4j共j + ␣兲共j + ␤兲
;
⌫共␣ + 1兲⌫共␤ + 1兲2␣+␤+1 共2j + ␣ + ␤兲共2j + ␣ + ␤ + 2兲 共2j + ␣ + ␤兲2
␣ ⬎ −1 , ␤ ⬎ −1 共j + ␣ + ␤兲
⫻
关共2j + ␣ + ␤兲2 − 1兴

Lognormal 共⫺兲d exp −冋 冉 1 ln x − ␮

2 ˜␴
˜
冊册 2

; ˜␴ ⬎ 0
共0 , ⬁兴 冋
exp ␮
1
˜ + ˜␴2共2j − 1兲
2
册 exp关2␮˜ + ˜␴2共3j − 2兲兴
⫻ 关exp共j␴ ˜ 2兲 − 1兴
冑2␲x␴˜ ⫻ exp共j␴
˜ 2兲关exp共␴
˜ 2兲 + 1兴 − 1

Student’s t 共⫺兲d 冉 冊
␯+1 关−⬁ , +⬁兴 j␯共␯ − j + 1兲

冉 冊
⌫ 0
2 x2 −共␯+1兲/2
共␯ − 2j兲共␯ − 2j + 2兲
1+ ; ␯⬎0
冑␯␲⌫共␯/2兲 ␯

Inverse gamma 共⫺兲d ␤␣ 1

⌫共␣兲 x
冉冊 冉 冊 ␣+1
exp −
␤
x
; 共0 , ⬁兴 ␤共␣ + 1兲
共␣ − 2j + 1兲共␣ − 2j − 1兲
␤2 j共␣ − j + 1兲
共␣ − 2j兲共␣ − 2j + 1兲2
␣,␤⬎0 1
⫻
共␣ − 2j + 2兲

共␯1␯2 + 2␯1 + 4j␯2 − 8j2兲 2j共␯1 + 2j − 2兲共␯2 − 2j + 2兲

冑
Fisher’s F 共⫺兲d 关0 , ⬁兴
共␯1x兲␯1␯␯22 ␯2/␯1 共␯2 − 4j兲共␯2 − 4j + 2兲2
共␯1x + ␯2兲␯1+␯2 ⫻
共␯2 − 4j − 2兲共␯2 − 4j + 2兲 共␯2/␯1兲2共␯1 + ␯2 − 2j兲
xB共␯1/2,␯2/2兲; ⫻
共␯2 − 4j + 4兲
␯1 , ␯2 ⬎ 0
a
⌫共r兲 ª 兰⬁0 ␰r−1 exp共−␰兲d␰ and B共r , t兲 ª ⌫共r兲⌫共t兲 / ⌫共r + t兲.
b
b0 ª 共␲0 , ␲0兲dF = 兰RdF = 1.
c
If j = 0, the common factor ␣ + ␤ in the numerator and denominator of a0 should be 共must be, if ␣ + ␤ = 0兲 canceled; if j = 1, the last factors in the numerator and denominator of b1 should be 共must be, if
␣ + ␤ + 1 = 0兲 canceled.
d
Unknown or does not exist.

J. Eng. Mech. 2009.135:1439-1451.

 ficients, by the three-term recurrence relation for the discrete
measure
␲ j+1,M 共x兲 = 共x − a j,M 兲␲ j,M 共x兲 − b j,M ␲ j−1,M 共x兲, j = 0,1,2, . . . ,M − 1
共21兲
Inasmuch as ␲0,M = 1, the coefficient a0,M indeed can be computed
from Eq. 共19兲 with j = 0, and so can b0,M = 共1 , 1兲dFM = 1 from Eq.
共20兲. This allows ␲1,M 共x兲 to be computed by Eq. 共21兲 with j = 0. In
possession of ␲1,M and ␲0,M , Eqs. 共19兲 and 共20兲 now become
applicable, yielding a1,M and b1,M . This, in turn, can be used in
Eq. 共21兲 to generate ␲2,M 共x兲. Therefore, by alternating between
Eq. 共21兲 and Eqs. 共19兲 and 共20兲, all desired recursion coefficients
can be computed. Using these coefficients, the monic orthogonal
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the first component of the normalized eigenvector corresponding
to the ith eigenvalue of Jn.
In summary, the Stieltjes procedure generates the recursion
coefficients, thereby defining orthonormal polynomial bases
兵␺ij共xi兲 , i = 1 , . . . , N ; j = 1 , . . . , m其 for an arbitrary probability
measure of Xi. Furthermore, the recursion coefficients lead to
Gauss quadrature formulas, which can be employed to evaluate
the expansion coefficients, also for an arbitrary measure. Since no
response evaluations are involved, the computational effort asso-
ciated with the Stieltjes procedure is trivial.
Dimension-Reduction Integration for Calculating
Expansion Coefficients

polynomials ␲ j共x兲, j = 0 , 1 , 2 , . . ., and hence their orthonormal ver-

sions ␺ j共x兲 ª ␲ j共x兲 / 储␲ j储dF for any measure dF can be readily gen-
erated. If dF contains also a discrete component 共probability mass
function兲, it suffices to add this component to the discrete ap-
proximation of the continuous part of dF. This does not affect in
any way the convergence properties of the discretization. In other
words, probability measures from mixtures of continuous and dis-
crete random variables can be accounted for by the Stieltjes pro-
cedure.
Gauss Quadrature Formulas
An important application of orthogonal polynomials is approxi-
mating integrals involving a positive measure by Gauss quadra-
ture rules. For a given function g and measure dF with bounded
or unbounded support, there exists, for each n 苸 N, an n-point
quadrature rule
The determination of the expansion coefficients, which involve
N-dimensional integrals over RN, is computationally prohibitive
when N is large. Instead, a dimension-reduction integration, pre-
sented as follows, can be applied to estimate the coefficients ef-
ficiently.
Let c = 兵c1 , . . . , cN其T be the mean value of X and
y共c1 , . . . , ck1−1 , xk1 , ck1+1 , . . . , ckR−k−1 , xkR−k , ckR−k+1 , . . . , cN兲 repre-
sent an 共R − k兲th dimensional component function of y共x兲, where
S ⱕ R ⬍ N and k = 0 , . . . , R. For example, when R = 1, the zero-
dimensional component function, which is a constant, is y共c兲, and
the one-dimensional component functions are
y共x1 , c2 , . . . , cN兲 , y共c1 , x2 , . . . , cN兲 , . . . , y共c1 , c2 , . . . , xN兲. Using the
multivariate function theorem of Xu and Rahman 共2004兲, it can
be shown that a special R-variate approximation of y共x兲, defined
by

冉 冊
R

冕 冕
N−R+k−1
n
ŷ R共x兲 ª 兺 共− 1兲k

R
g共x兲dF共x兲 =
R
g共x兲f共x兲dx = 兺
i=1
w 共i兲 共i兲
g共x 兲 + Rn共g兲 共22兲 k=0 k
N

where the sum on the right provides an approximation to the ⫻ 兺 y共c1, . . . ,ck1−1,xk1,ck1+1, . . . ,
integral on the left involving nodes or points x共i兲, i = 1 , . . . , n and k1,. . .,kR−k=1;k1⬍. . .⬍kR−k

weights w共i兲, i = 1 , . . . , n, and Rn共g兲 is the respective error. The
sum possesses an algebraic degree of exactness 2n − 1, i.e., zero
error Rn共g兲 = 0, when g 苸 P2n−1 is a polynomial of degreeⱕ 2n
− 1. The nodes x共i兲 are zeros of ␲n共x兲, and the corresponding
weights w共i兲 can be expressed in terms of the same orthogonal
polynomials as well 共Gautschi 2004兲. However, there exists a
deeper connection between the Gauss quadrature formula and an
algebraic eigenvalue problem 共Golub and Welsch 1969兲, enabling
the nodes x共i兲 to be cleverly obtained as eigenvalues of an n ⫻ n,
symmetric, tridiagonal Jacobi matrix
ckR−k−1,xkR−k,ckR−k+1, . . . ,cN兲 共24兲
consists of all terms of the Taylor series of y共x兲 that have less
than or equal to R variables. The expanded form of Eq. 共24兲,
when compared with the Taylor expansion of y共x兲, indicates that
the residual error in ŷ R共x兲 includes terms of dimensions R + 1 and
higher. All higher-order R- and lower-variate terms of y共x兲 are
included in Eq. 共24兲, which should generally provide a higher-
order approximation of a multivariate function than equations de-
rived from first- or second-order Taylor expansions. Therefore,
for R ⬍ N, an N-dimensional integral can be efficiently estimated

冤 冥
a0 冑b1 0 0 ¯ 0 0 by at most R-dimensional integrations, if the contributions from
冑b1 a1 冑b2 0 ¯ 0 0
terms of dimensions R + 1 and higher are negligible.
Substituting y共x兲 in Eqs. 共5兲 and 共6兲 by ŷ R共x兲, the coefficients
0 冑b2 a2 冑b3 ¯ 0 0 can be estimated from
冑b3
冉 冊
Jn ª 0 0

0 0 苸 Rn⫻n R N
] ] ]

冑bn−2 0 y0 ⬵ 兺 共− 1兲k
N−R+k−1
兺
k
0 0 0 0 冑bn−2 an−2 冑bn−1 k=0 k1,. . .,kR−k =1;k ⬍. . .⬍k
1 R−k

0 0 0 0 0 冑bn−1 an−1
共23兲
⫻ 冕 RR−k
y共c1, . . . ,ck1−1,xk1,ck1+1, . . . ,ckR−k−1,xkR−k,

R−k
comprising recursion coefficients 兵a j , j = 0 , . . . , n − 1其 and 兵b j , j
= 1 , . . . , n − 1其 of ␲ j共x兲, j = 0 , . . . , n that are associated with a pre- ckR−k+1, . . . ,cN兲 兿
s=1
f k 共xk 兲dxk
s s s
共25兲
scribed n and measure dF. The associated weights, which are all
positive, can be expressed by w共i兲 = b0v2i,1, i = 1 , . . . , n, where vi,1 is and

JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009 / 1443

J. Eng. Mech. 2009.135:1439-1451.

 冉 冊
R N
N−R+k−1
Ci1. . .iS j1. . .jS ⬵ 兺
k=0
共− 1兲k
k
兺
k1,. . .,kR−k=1;k1⬍. . .⬍kR−k
⫻ 冕RR−k
y共c1, . . . ,ck1−1,xk1,ck1+1, . . . ,ckR−k−1,xkR−k,
S R−k
ckR−k+1, . . . ,cN兲 兿
s=1
␺i j 共xi 兲 兿 f k 共xk 兲dxk
s s s
s=1
s s
which require evaluating at most R-dimensional integrals. The
proposed equations, Eqs. 共25兲 and 共26兲, are substantially simpler
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and more efficient than performing one N-dimensional integra-
tion, as in Eqs. 共5兲 and 共6兲, particularly when R  N. Hence, the
computational effort in calculating the coefficients is significantly
lowered using the dimension-reduction integration. When R = 1, 2,
or 3, Eqs. 共25兲 and 共26兲 involve one-dimensional, at most two-
dimensional, and at most three-dimensional integrations, respec-
tively. Nonetheless, numerical integration is still required for a
general function y. The integration nodes and associated weights,
which depend on the probability distribution of Xi, can be ob-
tained from the eigensolution of Jacobi matrix described in the
preceding subsection. In performing the dimension-reduction in-
tegration, the value of R should be selected in such a way that it
is either equal to or greater than the value of S, which defines the
truncation of Eq. 共1兲. Then all expansion coefficients of S- or
lower-variate component functions of y共x兲 will have nontrivial
values.
Computational Effort
The S-variate approximation of the decomposition method re-
quires evaluation of the deterministic coefficients y 0 and
Ci1. . .iS j1. . .jS. If these coefficients are estimated by at most
R-dimensional 共R ⱖ S ⱖ 1兲 numerical integration with an n-point
quadrature rule in Eqs. 共25兲 and 共26兲, the following deterministic
responses 共function evaluations兲 are required: y共c兲, y共c1 , . . . ,
ck1−1 , x共jk 1兲 , ck1+1 , . . . , ckR−1 , xk共jR兲 , ckR+1 , . . . , cN兲 for k1 , . . . , kR = 1 ,
1 R
. . . , N and j 1 , . . . , jR = 1 , . . . , n, where the superscripts on variables
indicate corresponding integration points. Therefore, the total cost
for an S-variate polynomial dimensional decomposition entails a
k=R共 N 兲 R−k
maximum of 兺k=0 R−k n function evaluations. For example, the
univariate 共S = R = 1兲, bivariate 共S = R = 2兲, and trivariate 共S = R
= 3兲 approximations require nN + 1 共linear兲, N共N − 1兲n2 / 2 + nN + 1
共quadratic兲, and N共N − 1兲共N − 2兲n3 / 6 + N共N − 1兲n2 / 2 + nN + 1
共cubic兲 function evaluations, respectively.
Since the decomposition in Eq. 共14兲 is structured with respect
to the degree of cooperativity among a finite number of random
variables, the exponential complexity associated with the curse of
dimensionality has been reduced to a polynomic complexity with
respect to N or n. Nonetheless, the numbers of expansion coeffi-
cients and resulting function evaluations increase rapidly, al-
though not as fast as in response surface methods with
exponential complexity, with higher-variate approximations.
Therefore, the dimension-reduction integration proposed is lim-
ited to stochastic problems with a moderate number, say, less than
a hundred, random variables. For higher-dimensional problems
with hundreds or thousands of random variables, the decomposi-
tion in Eq. 共14兲 is still useful, but more efficient methods are
needed to calculate the expansion coefficients.
1444 / JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009
J. Eng. Mech. 2009.135:1439-1451.
Numerical Examples
Five numerical examples demonstrating the Stieltjes procedure,
the associated Gauss quadrature rule, and the extended polyno-
mial dimensional decomposition method are presented. Classical
orthogonal polynomials and Gauss quadrature formulas, if they
exist, and crude Monte Carlo simulation were employed to evalu-
s
共26兲 ate the accuracy, convergence, and computational efficiency of
the proposed methods. In Examples 2 and 3, the sample sizes for
crude Monte Carlo simulation and the embedded Monte Carlo
simulation of the decomposition method are the same, but they
vary from 106 in Example 2 to 107 in Example 3. The respective
sample sizes are 20,000 and 106 in Example 4 and 1,000 and 106
in Example 5. The expansion coefficients in Example 2 were
exactly calculated by N-dimensional integrations. However, in
Examples 3–5, the coefficients were estimated by dimension-
reduction integration with R = S and n = m + 1, so that an S-variate
decomposition method requires at most S-variate numerical inte-
gration. In Examples 3–5, the computational expense in generat-
ing measure-consistent orthogonal polynomials and associated
Gauss quadrature formulas is negligible compared with the cal-
culation of the expansion coefficients.
Example 1: Stieltjes Procedure
Consider three frequently encountered non-Gaussian probability
density functions
冦 冧
␭ exp共− ␭x兲 on 关0,⬁兴
冋 冉 冊册
1 1 ln x − ␮
˜ 2
exp − on 共0,⬁兴
f共x兲 = 冑 ˜
2␲x␴ 2 ˜␴ 共27兲
冉 冊 冋 冉 冊册
k−1 k
k x x
exp − on 关0,⬁兴
␯ ␯ ␯
under exponential, lognormal, and Weibull probability measures,
respectively, which have the same mean ␮ = 1 and standard devia-
tions ␴ = 1, 0.15, and 0.1, respectively. Based on these second-
moment statistics, ␭ = 1, ˜␴2 = ln关1 + 共␴ / ␮兲兴2 = 0.0223, ␮ ˜ = ln ␮
− ˜␴2 / 2 = −0.0111, k = 12.1534, and ␯ = 1.0430. The objective of
this example is to demonstrate the accuracy of the Stieltjes pro-
cedure in calculating the recursion coefficients of orthogonal
polynomials for the three probability measures. The inner prod-
ucts involved in the Stieltjes procedure were evaluated by decom-
posing the support of f into four subintervals: 关0 , ⬁兴
= 关0 , 3兴 艛 关3 , 6兴 艛 关6 , 9兴 艛 关9 , ⬁兴 and Fejér quadrature rule. Each
subinterval was discretized by a maximum of M max = 400 equally
spaced points. The iteration was terminated when the maximum
relative error in calculating coefficients ⱕ2.2⫻ 10−13.
Table 2 presents calculated values of a j and b j by the Stieltjes
procedure for all three measures and 0 ⱕ j ⱕ 9. Since there exist
classical orthogonal polynomials, known as Laguerre polynomi-
als, for the exponential distribution, the associated recursion co-
efficients can be exactly calculated. No such classical orthogonal
polynomials exist for lognormal and Weibull distributions; how-
ever, the associated recursion coefficients for the lognormal
 Table 2. First Ten Recursion Coefficient Pairs for Exponential, Lognormal, and Weibull Measures
Exponential Lognormal Weibull
共␮ = 1 , ␴ = 1兲 共␮ = 1 , ␴ = 0.15兲 共␮ = 1 , ␴ = 0.1兲
j aj bj aj bj aj bj
共a兲 Stieltjes procedure
0 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000 1.0000000000
1 3.0000000000 1.0000000000 1.0680062500 0.0225000000 0.9284529031 0.0100000000
2 5.0000000000 4.0000000000 1.1396134594 0.0486475528 0.8704450733 0.0226856843
3 7.0000000000 9.0000000000 1.2149968850 0.0788894009 0.8286483233 0.0349016614
4 9.0000000000 16.0000000000 1.2943400152 0.1137212721 0.7985298552 0.0454963084
5 11.0000000000 25.0000000000 1.3778349502 0.1536929503 0.7764914503 0.0544578803
6 13.0000000000 36.0000000000 1.4656828000 0.1994138533 0.7601200722 0.0620102530
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7 15.0000000000 49.0000000000 1.5580941003 0.2515591676 0.7478043520 0.0684058565

8 17.0000000000 64.0000000000 1.6552892478 0.3108765946 0.7384500761 0.0738659701
9 19.0000000000 81.0000000000 1.7574989548 0.3781937677 0.7312985738 0.0785706825
共b兲 Exact
0 1 1 1.0000000000 1.0000000000 —a —a
1 3 1 1.0680062500 0.0225000000 —a —a
2 5 4 1.1396134594 0.0486475528 —a —a
3 7 9 1.2149968850 0.0788894009 —a —a
4 9 16 1.2943400152 0.1137212721 —a —a
5 11 25 1.3778349502 0.1536929503 —a —a
6 13 36 1.4656828000 0.1994138533 —a —a
7 15 49 1.5580941003 0.2515591676 —a —a
8 17 64 1.6552892478 0.3108765946 —a —a
9 19 81 1.7574989548 0.3781937677 —a —a
a
Not available.

distribution can also be exactly determined from moments. Com-
pared with the exact recursion coefficients, listed in Table 1, the
Stieltjes procedure generates convergent and accurate solutions
up to at least 10 decimal points displayed.
Table 3 displays the nodes and weights of the four-point Gauss
quadrature formulas for all three probability measures. They were
obtained from eigensolutions of the corresponding Jacobi matri-
ces with the embedded recursion coefficients from Table 2. A
reference solution, the Gauss-Laguerre formula 共Abramowitz and
Stegun 1972兲, exists for the exponential distribution. The approxi-
mate quadrature results for the exponential distribution in Table 3
match the Gauss-Laguerre formula up to at least 10 decimal
points. For lognormal and Weibull distributions, which do not
have reference solutions, Gauss type quadrature rules are easily
generated by employing the recursion coefficients from the Stielt-
jes procedure. Therefore, the Stiletjes procedure is useful not only
for producing nonclassical orthogonal polynomials, but also for
generating nonstandard Gauss quadrature formulas.
Example 2: Polynomial Function
The second example involves calculating the probability distribu-
tion of a cubic polynomial
y共X兲 = 500 − 共X1 + X2兲3 + X1 − X2 − X3 + X1X2X3 − X4 , 共28兲
where Xi, i = 1 – 4 are four independent and identically distributed
exponential random variables with probability densities f i共xi兲
= exp共−xi兲, means ␮i = 1, and standard deviations ␴i = 1; i = 1 – 4.
The problem was solved by two approaches: 共1兲 a direct approach
employing measure-consistent Laguerre orthonormal polynomials
as bases and the Gauss-Laguerre quadrature rule for calculating
the expansion coefficients and 共2兲 an indirect approach transform-
ing original random variables into Gaussian or uniform random
variables, followed by Hermite or Legendre orthonormal polyno-
mials as bases and the Gauss-Hermite or Gauss-Legendre quadra-
ture rule for calculating the expansion coefficients. Since Eq. 共28兲
represents a third-order polynomial, the Laguerre polynomials

Table 3. Four-Point Gauss Quadrature Nodes and Weights for Exponential, Lognormal, and Weibull Measures
Exponential Lognormal Weibull
共␮ = 1 , ␴ = 1兲 共␮ = 1 , ␴ = 0.15兲 共␮ = 1 , ␴ = 0.1兲
i x共i兲 w共i兲 x共i兲 w共i兲 x共i兲 w共i兲
1 0.3225476896 0.6031541043 0.7524782253 0.1317736148 0.6213077675 0.0094686490
2 1.7457611012 0.3574186924 0.9561381982 0.5878178350 0.8490782330 0.2110077883
3 4.5366202969 0.0388879085 1.1952513180 0.2691273223 1.0157124773 0.5951432207
4 9.3950709123 0.0005392947 1.5187488530 0.0112812278 1.1414478219 0.1843803418

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J. Eng. Mech. 2009.135:1439-1451.

 10 0
Xi ∼ Exp(1)
m = 3, n = 4
10 -1
Monte Carlo
Univariate
10 -2
Bivariate
FY(y)
Trivariate
10 -3
10 -4
10 -5
-3000 -2500 -2000 -1500 -1000 -500 0 500
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y random loads P at Nodes 2 and 3. The truss members, which have
Fig. 1. Tail probability distributions of a polynomial function by
various methods using exponential probability measure
with a value of m = 3 should exactly reproduce y. In that case, the
highest order of integrands for calculating the expansion coeffi-
cients is six. A four-point Gauss-Laguerre quadrature should then
provide the exact values of the coefficients. In the direct ap-
proach, the expansion coefficients were calculated using m = 3 in
Eq. 共7兲 and then numerically integrating Eqs. 共5兲 and 共6兲 with n
= 4. Therefore, the only source of error in a truncated polynomial
dimensional decomposition is the selection of S. In the indirect
approach, the transformation of y leads to nonpolynomials in the
space of Gaussian or uniform variables; therefore, approximations
in a truncated decomposition occur not only due to S, but also due
to m and n. Hence, several values of 3 ⱕ m ⱕ 6 and 3 ⱕ m ⱕ 9
were employed for mappings into Gaussian and uniform vari-
ables, respectively. The coefficients in the indirect approach were
calculated by the n-point Gauss-Hermite or Gauss-Legendre
quadrature rule, where n = m + 1.
Fig. 1 shows the tail probability distributions of y共X兲 calcu-
lated by the direct approach. It contains four plots: one obtained
from crude Monte Carlo simulation and the remaining three gen-
erated from univariate 共S = 1兲, bivariate 共S = 2兲, and trivariate 共S
= 3兲 polynomial dimensional decomposition methods. The tail
distributions, all obtained for m = 3, converge rapidly with respect
to S. Compared with crude Monte Carlo simulation, the univariate
method is less accurate than others. This is due to the absence of
cooperative effects of random variables in the univariate approxi-
mation. The bivariate solution, which captures cooperative effects
of any two variables, is remarkably close to the crude Monte
Carlo results. The results from the trivariate decomposition and
crude Monte Carlo simulation are coincident, as ỹ 3共X兲 is identical
to y共X兲, which itself is a trivariate function.
Using the indirect approach, Figs. 2共a and b兲 present the tail
distributions of y共X兲 by univariate, bivariate, and trivariate de-
composition methods for several values of m, calculated when the
original variables are transformed into standard Gaussian
关N共0 , 1兲兴 and uniform 关U共−1 , 1兲兴 variables, respectively. Accord-
ing to Fig. 2共a兲, the tail probabilities obtained by all three decom-
position methods from the indirect approach converge to the
respective solutions from the direct approach when m and n in-
crease. However, the lowest order of orthogonal polynomials re-
quired to converge in the indirect approach 共Hermite兲 is six, a
number twice that employed in the direct approach 共Laguerre兲.
This is due to higher nonlinearity of the mapped y induced by the
transformation from exponential to Gaussian variables. The non-
linearity becomes too high for the transformation to uniform vari-
1446 / JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009
J. Eng. Mech. 2009.135:1439-1451.
ables. In this case, the tail probabilities in Fig. 2共b兲 fail to
converge even when the order of Legendre polynomials is tripled
from the value of three employed in the direct approach. There-
fore, a direct approach entailing measure-consistent orthogonal
polynomials and the associated Gauss quadrature rule—in this
case, Laguerre polynomials and the Gauss-Laguerre quadrature
rule—is desirable for generating both accurate and efficient solu-
tions.
Example 3: 10-Bar Truss
A linear-elastic, 10-bar truss, shown in Fig. 3共a兲, is simply sup-
ported at Nodes 1 and 4, and is subjected to two concentrated
random cross-sectional areas Ai, i − 1 – 10, are made of an alumi-
num alloy with random Young’s modulus E. The input vector X
= 兵A1 , . . . , A10 , E , P其T 苸 R12 comprises 12 independent random
variables with their statistical characteristics listed in Table 4.
From linear-elastic finite-element analysis 共FEA兲, the maximum
vertical displacement vmax共X兲, which occurs at Node 3, is limited
to v0 = 1.9 in. 共4.826 cm兲. Therefore, the performance function is
y共X兲 = v0 − vmax共X兲 with the corresponding probability of failure
PF ª P关y共X兲 ⬍ 0兴. As in Example 2, orthogonal polynomials con-
sistent with the input probability measure 共direct approach兲 and
Hermite orthogonal polynomials in the Gaussian space of trans-
formed variables 共indirect approach兲 were employed to calculate
the failure probability. The expansion coefficients were estimated
by respective Gauss quadrature rules and dimension-reduction in-
tegration with R = S and n = m + 1. Therefore, an S-variate decom-
position method requires at most S-dimensional numerical
integration for calculating the coefficients.
Since the performance function is nonpolynomial, a conver-
gence study is required to calculate the truss failure probability
accurately. Fig. 3共b兲 presents how the failure probabilities, calcu-
lated using univariate 共S = 1兲, bivariate 共S = 2兲, and trivariate 共S
= 3兲 decomposition methods, vary with respect to order 2 ⱕ m
ⱕ 6. The results of both direct 共proposed兲 and indirect 共Hermite兲
approaches are displayed. All three decomposition methods
adopting either the direct or indirect approach converge, but the
converged 共m = 6兲 failure probabilities from the bivariate 共4.59
⫻ 10−5 for direct, 4.56⫻ 10−5 for indirect兲 and trivariate 共4.69
⫻ 10−5 for direct, 4.66⫻ 10−5 for indirect兲 methods match the
crude Monte Carlo 共107 samples or FEA兲 estimate of 4.64
⫻ 10−5 extremely well. However, bivariate and trivariate methods
employing the direct approach lead to the crude Monte Carlo
result much faster than those using the indirect approach, a trend
also exhibited in Example 2. In other words, the convergence of
decomposition methods can be significantly accelerated when em-
ploying orthogonal polynomials and the Gauss quadrature rule
consistent with the probability measure of the random input.
Table 5 describes the computational effort in terms of numbers
of FEA required to calculate the truss failure probability by vari-
ous decomposition 共direct approach兲 methods. The univariate
method 共S = R = 1兲 is the most computationally inexpensive
method, but it is also the least accurate among the three decom-
position methods. The bivariate 共S = R = 2兲 and trivariate 共S = R
= 3兲 methods are highly accurate, but their computational efforts,
particularly the effort of the trivariate method, are much larger
than that of the univariate method. Nonetheless, all three decom-
position methods are far less expensive than crude Monte Carlo
simulation.
Classical methods, such as the first-order reliability method
共FORM兲 and second-order reliability method 共SORM兲, can also
 10 0 10 0
Univariate Solution Univariate Solution
Ui ~ N(0,1); i=1,4 Ui ~ U(-1,1); i=1,4
10 -1
10 -1

m=9, n=10
10 -2
10 -2
m=6, n=7
Monte Carlo

FY(y)

FY(y)
10 -3 10 -3
m=4, n=5 Monte Carlo
m=5, n=6 m=3, n=4
10 -4
10 -4
m=6, n=7
m=3, n=4
10 -5 10 -5
-3000 -2500 -2000 -1500 -1000 -500 0 500 -3000 -2500 -2000 -1500 -1000 -500 0 500
y y
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10 0 10 0
Bivariate Solution Bivariate Solution
Ui ~ N(0,1); i=1,4 Ui ~ U(-1,1); i=1,4
10 -1
10 -1

10 -2 m=9, n=10
10 -2

FY(y)
FY(y)

m=6, n=7

10 -3 m=4, n=5 10 -3
m=5, n=6 Monte Carlo
m=3, n=4
10 -4 m=6, n=7 10 -4
Monte Carlo m=3, n=4

10 -5 10 -5
-3000 -2500 -2000 -1500 -1000 -500 0 500 -3000 -2500 -2000 -1500 -1000 -500 0 500
y y

10 0 10 0
Trivariate Solution Trivariate Solution
Ui ~ N(0,1); i=1,4 Ui ~ U(-1,1); i=1,4
10 -1 10 -1

10 -2 10 -2 m=9, n=10
FY(y)

FY(y)

m=6, n=7

10 -3 m=4, n=5 10 -3
m=5, n=6 Monte Carlo
m=3, n=4
10 -4 m=6, n=7 10 -4
Monte Carlo m=3, n=4

10 -5 10 -5
-3000 -2500 -2000 -1500 -1000 -500 0 500 -3000 -2500 -2000 -1500 -1000 -500 0 500
y y
(a) (b)

Fig. 2. Tail probability distributions of a polynomial function by various methods using indirect approach; 共a兲 Gaussian measure; 共b兲 uniform
measure

be applied to solve this truss problem. Using gradients from a Example 4: Double-Edged-Notched Tension Specimen
finite-difference approximation, the FORM and SORM estimates
Consider a double-edged-notched tension 关DE共T兲兴 specimen
of the failure probability are 6.2⫻ 10−5 and 4.9⫻ 10−5, respec-
under plane stress with width 2W = 40 in. 共101.6 cm兲, length 2L
tively. These two estimates, requiring 248 and 685 function evalu-
= 200 in. 共508 cm兲, and random crack length a, subject to a ran-
ations, respectively, for a convergence tolerance of 10−4 are
dom far-field tensile stress ␴⬁, as shown in Fig. 4共a兲. The nonlin-
slightly larger than the crude Monte Carlo result, but given the
ear constitutive equation under small-displacement condition is
low magnitude of the failure probability, both are reasonable.
the well-known Ramberg-Osgood relation 共Anderson 2005兲
However, for more complex stochastic problems entailing nonlin-
ear or three-dimensional stress analysis, locating the most prob-
able points, vital for FORM/SORM, can be unwieldy and may not
always succeed. Further complications arise if response gradients
⑀ij =
1+␯
E
sij +
1 − 2␯
3E
␴kk␦ij +
3
2E
␣0
␴e
␴0
冉 冊 m0−1
sij 共29兲

do not exist or their calculations are computationally intensive. where ␴ij and ⑀ij = stress and strain components, respectively; E
Therefore, gradient-free methods, such as the one proposed here, = Young’s modulus; ␯ = Poisson’s ratio; ␴0 = reference stress; ␣0
provide an attractive alternative to classical methods. = dimensionless material coefficient; m0 = strain hardening expo-

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J. Eng. Mech. 2009.135:1439-1451.

 360 in (914.4 cm) 360 in (914.4 cm) Table 5. Numbers of Required FEA by Decomposition Methods for 10-
Bar Truss 共N = 12兲
4 5 5 4 6
m n Univariatea Bivariateb Trivariatec
1 2 25 289 2,049
6 10
2 3 37 631 6,571
8 3 4 49 1,105 15,185
3 360 in
7 9 (914.4 cm) 4 5 61 1,711 29,211
5 6 73 2,449 49,969
1 2 6 7 85 3,319 78,779
a
1 2 3
nN + 1.
b
N共N − 1兲n2 / 2 + nN + 1.
P P c
N共N − 1兲共N − 2兲n3 / 6 + N共N − 1兲n2 / 2 + nN + 1.
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(a)

10 -4 X = 兵a , E , ␣0 , m0 , ␴⬁其T, was calculated by employing FEA-

Monte Carlo (4.64 ×10-5) generated stress and displacement fields in the domain form of the
Trivariate- contour integration.
Proposed
Bivariate- Since the J-integral characterizes a crack-driving force in non-
10 -5 Proposed linear fracture mechanics, consider the probability of fracture ini-
tiation, defined by P关J共X兲 ⬎ JIc兴, where JIc is the Mode-I fracture
PF

Univariate-Proposed toughness of the material at crack initiation. A J-integral-based

Univariate-Hermite
10 -6
Trivariate-Hermite
Bivariate-Hermite
10 -7
1 2 3 4
m rial. The higher the fracture toughness, the lower the probability
(b)
Fig. 3. Reliability analysis of a 10-bar truss: 共a兲 geometry, loading,
and boundary conditions; 共b兲 probability of failure by various meth-
ods
nent; ␦ij = Kronecker delta; sij ª ␴ij − ␴kk␦ij / 3 = deviatoric stress;
and ␴e ª 冑共3 / 2兲sijsij = von Mises equivalent stress. For elastic-
plastic cracked structures, the J-integral uniquely defines the
asymptotic crack-tip stress and strain fields 共Anderson 2005兲. The
crack length a, material constants E, ␣0, m0, and far-field stress
␴⬁ were treated as five independent random variables with their
statistical properties listed in Table 6. The remaining deterministic
parameters are as follows: ␴0 = 22, 450 psi 共154.78 MPa兲, ␯ = 0.3.
Due to the double symmetry in the DE共T兲 problem, Fig. 4共b兲
shows a finite element mesh at mean crack length of the 1/4
model. A total of 114 elements and 393 nodes were used in the
mesh. Second-order elements from the element library of the
ABAQUS commercial code 共2008兲 were employed. Focused sin-
gular elements were deployed in the vicinity of the crack tip 关see
Fig. 4共c兲兴. A 2 ⫻ 2 Gaussian integration rule was employed in the
FEA. The J-integral J共X兲, which depends on the random input
Table 4. Statistical Properties of Random Input for 10-Bar Truss
Random variable Mean
Ai, i = 1 , . . . , 10 关in.2 共cm2兲兴 49 共316.13兲
E 关psi 共Gpa兲兴 107 共68.94兲
P 关lb 共kN兲兴 105 共444.8兲
a
Uniformly distributed over 共105 − 104冑3 , 105 + 104冑3兲 lb or 共444.8
− 44.48冑3 , 444.8+ 44.48冑3兲 kN.
probabilistic analysis is commonly used for fracture evaluation of
aerospace and nuclear engineering structures. Figs. 4共d and e兲
present how the fracture-initiation probability, calculated by the
bivariate decomposition method employing measure-consistent
n = m+1
共direct兲 and Hermite 共indirect兲 orthogonal polynomials, respec-
5 6 tively, varies with respect to the fracture toughness of the mate-
of fracture initiation. The results were generated for several val-
ues of m = 3, 4, 5, and 6, and the expansion coefficients were
estimated by dimension-reduction integration with R = S = 2, re-
quiring at most two-dimensional integrations. From Figs. 4共d and
e兲, the fracture-initiation probabilities from both approaches con-
verge to the crude Monte Carlo estimate, obtained from 20,000
FEA that was feasible for this nonlinear problem. As exhibited in
the previous two examples, measure-consistent orthogonal poly-
nomials again lead to faster convergence of the fracture-initiation
probabilities than Hermite orthogonal polynomials.
The numbers of FEA required by the bivariate decomposition
method in conjunction with either direct or indirect approach are
181, 276, 391, and 526 when m = 3, 4, 5, and 6, respectively.
Therefore, significant savings of the computational effort by
crude Monte Carlo is possible for this and similar other examples.
Application of classical FORM/SORM to solve this problem is
less simple, as calculating analytical gradients of an elastic-plastic
fracture response is not unduly easy, not to mention shape sensi-
tivity analysis required to account for the random crack geometry.
Example 5: Leverarm
The final example illustrates the polynomial dimensional decom-
position method in solving an industrial scale, stochastic mechan-
ics problem. It involves probabilistic analysis of a leverarm in a
wheel loader, depicted in Fig. 5共a兲, commonly used in the heavy
Coefficient Probability construction industry. The loading and boundary conditions of a
of variation distribution single leverarm are shown in Fig. 5共b兲. Fig. 5共c兲 presents an un-
deformed leverarm mesh from the ABAQUS code 共2008兲, which
0.15 Lognormal comprises 48,312 tetrahedral elements. Two random loads PH and
0.1 Weibull PV acting at Pin E can be viewed as input loads due to other
0.1 Uniforma mechanical components of the wheel loader. The essential bound-
ary conditions, sketched in Fig. 5共b兲, define random prescribed
displacements

1448 / JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009

J. Eng. Mech. 2009.135:1439-1451.

 σ∞

crack crack
a a
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2W
crack tip

(c)

σ∞

(a) (b)

JIc, kJ/m2 JIc, kJ/m2

0 650 1300 1950 2600 0 650 1300 1950 2600
10 0 10 0
Bivariate-proposed Bivariate-Hermite
n=m+1 n=m+1
10 -1 10 -1
Monte Carlo Monte Carlo
P[J(X) > JIc]

P[J(X) > JIc]

-2 -2
10 10

10 -3 10 -3
m=4 m=5
m=5 m=6
10 -4 10 -4
m=3 m=4
m=3
10 -5 10 -5
0 5000 10000 15000 0 5000 10000 15000
JIc, lb-in/in2 JIc, lb-in/in2

(d) (e)

Fig. 4. DE共T兲 specimen: 共a兲 geometry and loads; 共b兲 finite-element mesh at mean crack length; 共c兲 singular elements at the crack tip; 共d兲
probability of fracture initiation by direct approach; and 共e兲 probability of fracture initiation by indirect approach

Table 6. Statistical Properties of Random Input for DE共T兲 Specimen

Random variable Mean Coefficient of variation Probability distribution
Crack length 共a兲 关in. 共cm兲兴 10 共25.4兲 0.1 Lognormal
Elastic modulus 共E兲 关psi 共Gpa兲兴 30⫻ 106 共206.83兲 0.1 Lognormal
Ramberg-Osgood coefficient 共␣0兲 10 0.1 Lognormal
Ramberg-Osgood exponent 共m0兲 5 0.1 Lognormal
Far-field tensile stress 共␴⬁兲 关psi 共MPa兲兴 10,000 共68.94兲 0.1 Lognormal

JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009 / 1449

J. Eng. Mech. 2009.135:1439-1451.


Pin E
Pin F
Two lever
arms
Pin G
(a)
uy=uyF, uz=0
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PV uy=uyG, uz=0
y
Pin F
x Pin G
0.3 m
PH
Pin E ux=uxF, uz=0
ux=uxG, uz=0
1.36 m 1.72 m
(b)
(c)
Fig. 5. Structural analysis of a leverarm: 共a兲 two leverarms in a
wheel loader; 共b兲 geometry, loading, and boundary conditions; and
共c兲 undeformed mesh 共48,312 elements兲
uxF and uyF at Pin F and uxG, and uyG at Pin G. The leverarm is
made of cast steel with random Young’s modulus E and random
Poisson’s ratio ␯. The input vector X = 兵PH , PV , E , ␯ , uxF , uyF ,
uxG , uyG其T 苸 R8 includes eight independent random variables with
their statistical properties listed in Table 7. The bivariate decom-
position method with measure-consistent orthogonal polynomials
and the associated Gauss quadrature rule was employed to obtain
the probabilistic characteristics of several elastic responses gen-
erated by linear-elastic FEA of the leverarm. The expansion co-
efficients were estimated by dimension-reduction integration with
R = S = 2, requiring at most two-dimensional integrations.
Figs. 6共a–c兲 present probability densities of maximum von
Mises stress 共␴e,max兲, maximum largest principal strain 共⑀1,max兲,
and maximum distortional energy density 共Ud,max兲, respectively,
of the entire leverarm by the bivariate decomposition method. The
probabilistic characteristics of these elastic responses, commonly
used for examining material yielding or fatigue damage, quantify
the impact of input uncertainty on an output variable of interest.
These probability densities, obtained by setting m = 3 and n = 4,
1450 / JOURNAL OF ENGINEERING MECHANICS © ASCE / DECEMBER 2009
J. Eng. Mech. 2009.135:1439-1451.
Table 7. Statistical Properties of Leverarm Random Input
Random variable Mean Standard deviation Probability distribution
a
PH 共kN兲 507.69 76.15 Lognormal
PV a 共kN兲 1,517.32 227.60 Lognormal
E 共Gpa兲 203 10.15 Lognormal
␯ 0.3 0.015 Lognormal
uxF 共mm兲 ⫺5 5 / 冑3 Uniformb
uyF 共mm兲 5 5 / 冑3 Uniformc
uxG 共mm兲 5 5 / 冑3 Uniformc
uyG 共mm兲 ⫺5 5 / 冑3 Uniformb
a
To be distributed equally 共halved兲 on front and back sides of Pin E.
b
Uniformly distributed over 关⫺10, 0兴 mm; to be applied on both sides.
c
Uniformly distributed over 关0, 10兴 mm; to be applied on both sides.
are judged to be converged responses, as their changes due to
further increases in m and n are negligibly small. Therefore, only
481 ABAQUS-aided FEA were required in generating all three
probability densities by the bivariate method. Due to expensive
FEA, crude Monte Carlo simulation was feasible only up to 1,000
realizations, producing only rough estimates of the histograms.
Given the low sample size, the histograms, plotted in Figs. 6共a–c兲,
are not expected to provide accurate tail characteristics. Nonethe-
less, the overall shapes of all three probability densities generated
by the bivariate method match these histograms quite well. The
accuracy of the decomposition method is further verified in Table
8, which reveals excellent agreement between the second-moment
properties of all three responses obtained by the bivariate method
and crude Monte Carlo simulation. This example demonstrates
the nonintrusive nature of the polynomial dimensional decompo-
sition method, which can be easily integrated with external legacy
codes for solving industrial-scale stochastic problems.
Conclusions
An extended polynomial dimensional decomposition method was
developed for solving stochastic problems subject to independent
random input following an arbitrary probability distribution. The
method is based on Fourier-polynomial expansions of component
functions by orthonormal polynomial bases, the Stieltjes proce-
dure for generating the recursion coefficients of orthogonal poly-
nomials and the Gauss quadrature rule for a specified probability
measure, and dimension-reduction integration for calculating the
expansion coefficients. Compared with the previous development,
the extended method no longer depends on classical orthogonal
polynomials or standard Gauss quadrature rules. Instead, nonclas-
sical orthogonal polynomials for defining basis functions and
non-standard Gauss quadrature rules for calculating the expansion
coefficients are generated for arbitrary probability measures. Due
to nonintrusive evaluation of the expansion coefficients, the
method can be easily adapted to solving complex stochastic prob-
lems requiring external deterministic codes.
Five numerical problems were solved to demonstrate the
Stieltjes procedure and evaluate the probabilistic characteristics of
performance functions, which are simple mathematical constructs
or complex responses from FEA. The Stieltjes procedure yields
highly accurate nonclassical orthogonal polynomials and associ-
ated Gauss quadrature formulas with little additional effort. The
probabilistic results indicate that the extended method developed,
in particular the bivariate and trivariate versions, provides accu-
rate and convergent estimates of the tail distribution of response
 0.004 Table 8. Second-Moment Properties of Leverarm Elastic Responses by
m=3, n=4
Monte Carlo Various Methods

0.003 Bivariate Bivariate Crude Monte Carlo

Response Mean Standard deviation Mean Standard deviation
fσ(σe,max )

0.002 ␴e,max 共MPa兲 510.42 132.86 513.87 134.00

⑀1,max 共%兲 0.253 0.065 0.254 0.065
Ud,max 共MPa兲 0.593 0.291 0.599 0.294
0.001

Future Work
0.000
0 200 400 600 800 1000 For statistically dependent random variables, a direct approach to
(a) σe,max , MPa polynomial dimensional decomposition requires constructing
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multivariate orthogonal polynomials for a general, multivariate

800 joint density function. In that case, the tensor product invoked in
m=3, n=4 Monte Carlo this paper is no longer applicable. New, alternative methods
avoiding nonlinear transformations will need to be developed for
600
generating measure-consistent multivariate polynomials. In addi-
tion, all examples presented in this work consider only time-
fε(ε1,max )

Bivariate
400 invariant stochastic problems. Therefore, an examination or
further extension of the proposed method for solving time-variant
problems encountered in dynamic systems is in order.
200

Acknowledgments
0
0.000 0.001 0.002 0.003 0.004 0.005 The writer acknowledges financial support from the U.S. National
(b) ε1,max , mm/mm Science Foundation under Grant Nos. DMI-0355487 and CMMI-
0653279.
1.8
m=3, n=4
Monte Carlo
Bivariat e References

1.2 ABAQUS user’s guide and theoretical manual; version 6.7. 共2008兲.
fU(Ud,max )

ABAQUS, Inc., Providence, R.I.

0.6
0.0
0.0 0.5 1.0
(c) Ud,max , MPa
Fig. 6. Probability densities of elastic responses by bivariate decom-
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stress 共␴e,max兲; 共b兲 maximum largest principal strain 共⑀1,max兲; and 共c兲
maximum distortional energy density 共Ud,max兲
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