J Braz. Soc. Mech. Sci. Eng.
DOI 10.1007/s40430-017-0815-8
TECHNICAL PAPER
A gradient‑based polynomial chaos approach for risk
and reliability‑based design optimization
A. J. Torii1 · R. H. Lopez2 · L. F. F. Miguel2 
Received: 9 February 2017 / Accepted: 12 May 2017
© The Brazilian Society of Mechanical Sciences and Engineering 2017
Abstract  This paper presents an approach for the solution
of risk and reliability-based design optimization problems
using gradient-based algorithms together with polynomial
chaos expansions (PCE) for probability of failure evalu-
ation and sensitivity analysis. The approach is intended
to alleviate the computational burden required by such
problems with accurate evaluation of probabilities of fail-
ure. Benchmark problems from the literature are solved
to assess the effectiveness of the proposed approach and
the results show that it is able to obtain accurate solutions
with tractable computational effort. The main limitation
of the proposed approach, inherited from the PCE, is that
the computational effort grows very fast for an increasing
number of random variables.
Keywords  Optimization under uncertainty · Risk
optimization · RBDO · Polynomial chaos expansions ·
Sensitivity analysis · Gradient-based algorithms
Technical Editor: Marcelo A. Trindade.
* R. H. Lopez
rafael.holdorf@ufsc.br
A. J. Torii
ajtorii@hotmail.com
L. F. F. Miguel
leandro.miguel@ufsc.br
1
Department of Scientific Computing, Universidade Federal
da Paraíba, Cidade Universitária, João Pessoa, PB, Brazil
2
Department of Civil Engineering, Center for Optimization
and Reliability in Engineering (CORE), Universidade Federal
de Santa Catarina, Rua João Pio Duarte, s/n, Florianópolis,
SC, Brazil
1 Introduction
Several approaches for optimization under uncertainties
have been developed in the past decades. Two of the most
important ones are reliability-based design optimization
(RBDO) and risk optimization (RO) [2, 4, 5, 13, 27, 44,
45, 52].
RBDO involves the minimization of an objective func-
tion, usually given by the initial cost of the structure, sub-
ject to constraints on allowable probabilities of failure.
Thus, it enforces a prescribed safety level defined a-pri-
ori by the designer. We may notice, however, that since
probability of failure is a constraint and not a part of the
objective function, RBDO does not take into account the
trade-off between the competing goals of performance
and safety [5]. One manner to seek for such a trade-off is
given by RO, in which expected costs caused by failures
are explicitly incorporated into the objective function. The
optimization algorithm then searches for the most advan-
tageous safety level for the problem under analysis and it
is not necessary to set the allowable probability of failure
a-priori [4].
The solution of RO and RBDO problems requires the
evaluation of probabilities of failure (or some equivalent
procedure), a step generally called reliability analysis.
However, reliability analysis of computationally demand-
ing problems is known to be cumbersome, and its inclu-
sion within an optimization procedure leads to an enor-
mous computational effort. This occurs especially in the
case of RO, where most available approaches employ
sampling methods for the reliability analysis step [4, 5, 15,
16]. Moreover, the high computational effort also leads to
the utilization of gradient-based optimization algorithms
for the solution of these problems. However, it is worth to
point out that sensitivity analysis of probability of failure
13

with respect to design variables is not a trivial task when
dealing with sampling approaches [21, 35].
Although the literature of approaches to reduce the com-
putational burden of RBDO problems is vast [1, 7, 8, 11–
13, 18, 20, 23, 28, 41–44, 47, 49, 51, 54], these efficient
RBDO approaches cannot be directly applied or adapted to
reduce the computational burden of RO problems for the
following reasons:
• the nature of the problems is different: in RBDO, the
probability of failure is part of the constraints, while in
RO, it is part of the objective function.
• the great majority of these RBDO methods are based on
the first-order reliability method (FORM), that may be
inaccurate in the case of nonlinear limit state functions
and non Gaussian random variables [26, 30].
For these reasons, computationally efficient methods for
RO problems are scarce [15]. Some approaches employed
to alleviate the computational burden of RBDO or RO with
accurate reliabilty analysis are the use of metamodelling
techniques [53] such as artificial neural networks [16], krig-
ing [10], response surfaces [31], support vector machine
[24], and polynomial chaos expansions (PCE) [39]. We also
highlight the work by Gomes and Beck [15] that developed
the design space root finding (DSRF) method for RO.
Considering the discussion above, this paper presents an
approach for RO and RBDO that is both computationally
tractable and accurate (regarding probability of failure esti-
mation). By computationally tractable, we mean that the
computational effort required is of similar order of FORM-
based techniques. By accurate, we mean that the preci-
sion of the reliability analysis can be arbitrarily improved.
To keep the computational cost admissible, the proposed
approach employs gradient-based optimization algorithms.
Besides, evaluation of probabilities of failure and its sen-
sitivities is made using PCE [14, 40, 46, 48] that ensures
accuracy of the results. The concepts regarding sensitivity
analysis of probability of failure have mostly been devel-
oped in previous works [19, 21, 35, 38, 40]. It is worth to
highlight that the limitation of the proposed RO scheme is
closely linked to the limitation of the PCE, i.e., the stochas-
tic dimension of the problem.
The rest of the paper is organized as follows. In
Sect.  2, we present a general statement for RO and
RBDO problems. Expressions for evaluation of probabil-
ities of failure sensitivities are then presented in Sect. 3.
In Sect. 4, we describe a method for building polynomial
expansions for the performance function and its deriva-
tives. Numerical examples are then presented in Sect. 5 to
show the efficiency of the proposed approach. Finally, the
main conclusions of this work are summarized in Sect. 6.
In the appendices, we present some details on numerical
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J Braz. Soc. Mech. Sci. Eng.
quadrature and building of the approximation functions
as employed in this work.
2 Problem statement
RO and RBDO problems can be stated in the following
general form:
Find: d ∈ Rn (1)
that gives
m

min f (d, X) = C0 (d) + Ci (d)Pf i (d, X) (2)
i=1
subject to
Pfi (d, X) ≤ pti , i = 1, 2, . . . , m, (3)
and
li ≤ d i ≤ u i , i = 1, 2, . . . , n, (4)
where d is a deterministic design vector, X is a random
vector, C0 is the deterministic cost (e.g., initial cost), Ci
are the costs related to each failure mode, pti are allow-
able probabilities of failure, and Pfi is the probability of
failure according to each failure mode:
Pfi (d, X) = P(gi (d, X) < 0), i = 1, 2, . . . , m. (5)
We also note that the random variables X may be affected
by the design vector d, e.g., when the expected value of a
random variable is a design variable of the problem.
The classical form of RBDO problems found in litera-
ture can be recovered by taking Ci = 0, i = 1, 2, . . . , m.
On the other hand, the classical form of RO problems can
be recovered by dropping the reliability constraints (e.g.,
by taking pti = 1, i = 1, 2, . . . , m). For the rest of the
paper, we address the general form stated above.
To solve this optimization problem using standard gra-
dient-based optimization techniques, we need to evalu-
ate both the probabilities of failure and its sensitivities,
i.e., Pfi and the derivatives ∂Pf /∂dk , respectively. In some
simple cases, sensitivities can be evaluated using finite
difference schemes, but this generally leads to high com-
putational costs, especially when simulation techniques
are employed in the reliability analysis step. Here, we
evaluate these quantities using the expressions presented
in the next section.
3 Probability of failure sensitivity
In this section, we present the proposed framework
for sensitivity analysis of probabilities of failure. It is
J Braz. Soc. Mech. Sci. Eng.
comprised by the developments presented in [21, 35,
37, 40]. First, assuming that g < 0 indicates failure of
the system under study, the probability of failure can be
defined as follows:

Pf = I(g(d, x))fX (x) = E[I(g(d, X))], (6)
� hand, if fX does not depend on dk (i.e., the design variable
where fX is the joint probability density function (PDF)
of the random vector X with support , E[·] represents
the expected value and I is the indicator function

0, t ≥ 0
I(t) = . (7)
1, t < 0
We then wish to evaluate the sensitivity of Pf according
to design variables dk , i.e., the derivatives ∂Pf /∂dk . The
main difficulty is that I is discontinuous, and thus, its
derivative must be evaluated in the sense of distributions.
One approach to obtain the desired result is to approxi-
mate it by a continuous function that, in the limit, con-
verges to I [21]. Here, we take the approximation
Ih (t) = 1 − �h (t),
where �h (t) is the Gaussian cumulative distribution func-
tion (CDF) with mean 0 and standard deviation h. Note
that the approximation Ih converges to the indicator func-
tion I (in the sense of distributions) as h → 0. The failure
probability can then be approximated by
Pf ≈ Ih (g(d, x))fX (x) = E[Ih (g(d, X))] (9)
� g̃(d, X) =
with arbitrary accuracy as h → 0. Application of the
chain rule to the above expression gives
 
∂Pf ∂fX (x) ∂g(d, x)
≈ Ih (g(d, x)) − φh (g(d, x))
∂dk ∂dk
� �
where φh (t) is the Gaussian PDF with mean 0 and stand-
ard deviation h (known to be the derivative of the CDF).
The expression above can be rewritten as
 
∂Pf ∂g(d, X)
≈ E[Ih (g(d, X))sk (d, X)] − E φh (g(d, X))
∂dk ∂dk
(11)
with
1 ∂fX (x)
sk (d, x) = . (12)
fX (x) ∂dk
The function sk is known in literature as score function.
In some simple cases, the score function can be evaluated
analytically [35–37]. If analytical evaluation is difficult
or impossible, the score function can be evaluated numer-
ically with a little computational effort, since no evalua-
tion of the performance function is involved.
Note that two cases are of particular interest. First, if
dk affects fX but does not directly affect g (e.g., dk is the
expected value or the variance of some random variable),
we have ∂g/∂dk = 0 and only the first part of Eq. (11)
remains. This case is discussed in detail in [35–37], and it
is the case typically addressed in the literature. On the other
dk is not a parameter of the random vector), then we have
sk = 0 and only the second part of Eq. (11) remains. This
case was more recently addressed and it is discussed in
detail in [19, 21, 40]. It is worth to point out that in this
paper, we aim to address both situations described above,
i.e., we address problems in which dk affects and does not
affect fX .
Here, we propose the use of polynomial expansions to
approximate Pf and ∂Pf /∂dk to alleviate the computational
burden required for this purpose. Hence, the details of this
approximation are given in the next section.
4 Probabilistic polynomial expansion
(8)
4.1 Least squares polynomial expansion
In polynomial expansion techniques, the original perfor-
mance function g(d, X) is substituted by a polynomial
approximation g̃ of the form
q
ci (d, X)ψi (X), (13)
i=1
where ψi are basis functions from a polynomial set and ci
are coefficients to be determined. Once the approximation
fX (x), g̃ is built, probabilistic measures can be evaluated approxi-
∂dk
(10) mately with little computational effort. The basis functions
employed in this work are described in Appendix 1.
Here, the polynomial representation is obtained with a
least squares (LS) approximation [6, 29]. In LS representa-
tion, the coefficients can be found from the system of linear
equations [3]
q

Aij cj = bi , i = 1, 2, . . . , q (14)
j=1
where cj are the coefficients of the expansion,
Aij = �ψi , ψj �,
(15)
bi = �ψi , g�, (16)
and the internal product is taken as

�u, v� = u(x)v(x)w(x), (17)
�
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 J Braz. Soc. Mech. Sci. Eng.

with w being some weight function and  its support. The

 
∂bi ∂g(d, X)  
= E ψi (X) + E ψi (X)g(X)sk (d, x) .
most common approach is to take the weight function as ∂dk ∂dk (24)
the PDF of the random variables [48] to get
 Substitution of Eqs. (24) and (23) into Eq. (22) gives
�u, v� = u(x)v(x)fX (x) = E[u(X)v(X)]. (18)
� q  
 ∂cj ∂g(d, X)  
Aij = E ψi (X) + E ψi (X)g(X)sk (d, x)
In this work, internal products are evaluated using full- ∂dk ∂dk
j=1
tensor product Gauss quadrature, as described in Appendix q
2. The resulting number of quadrature nodes is (k + 1)n ,

− E[ψi (X)ψj (X)sk (d, x)]cj , i = 1, 2, . . . , q,
where k is the expansion order and n the number of random j=1
variables. More refined integration schemes (e.g., sparse (25)
quadrature rules [25, 34]) may be capable of improving
computational efficiency but are outside the scope of this that can be written as
work. q  
 ∂cj ∂g(d, X)
Aij = E ψi (X) + rik , i = 1, 2, . . . , q
∂dk ∂dk
j=1
4.2 Sensitivity analysis (26)
with
Efficient evaluation of the probability of failure sensi- q

tivity is a classical difficulty (see the work [21]). In this rik = E[ψi (X)g(X)sk (d, x)] − E[ψi (X)ψj (X)sk (d, x)]cj .
work, this difficulty is avoided using polynomial repre- j=1
(27)
sentations, as described in [40]. In this case, we build
polynomial expansions for both the limit state function In the last term, we identify the summation over cj ψj (X)
and its partial derivatives. Adopting the notation as the polynomial expansion and thus have

g̃(0) = g̃ rik = −E[(g̃(X) − g(X))ψi (X)sk (d, x)]. (28)

∂ g̃ (19) If fX does not depend on dk, we have sk = 0 and the above
g̃(k) = , k = 1, 2, . . . , n, residual vanishes. Besides, as the expansion g̃ asymptoti-
∂dk
cally converges to g, this residual also vanishes.
(where indexes k = 1, 2, . . . , n represent the derivatives Consequently, the coefficients cik can be evaluated
and the index k = 0 represents the performance function approximately by solving the system of linear equations
itself); sensitivity of the expansion g̃(k) can be obtained
q
by differentiation of Eq. (13) according to dk and gives  ∂cj
Aij ≈ bik , i = 1, 2, . . . , q (29)
q
∂dk
 j=1
g̃(k) = cik ψi , k = 1, 2, . . . , n, (20)
with
i=1

where
 
∂g(d, X)
bik = E ψi (X) . (30)
∂ci ∂dk
cik = . (21)
∂dk
From Eqs. (20) and (29), we conclude that the derivatives
The coefficients cik can be obtained by differentiation of of the expansion can be approximated by the expansions
Eq. (14) according to dk and give of the derivatives. We also observe that this approxima-
q q
tion converges to the exact value as g̃ converges to g.
 ∂cj ∂bi  ∂Aij Besides, the approximation is exact if the score function
Aij = − cj , i = 1, 2, . . . , q. (22)
j=1
∂dk ∂dk ∂dk
j=1
sk = 0 in Eq. (28), i.e., if fX does not depend on dk .
We then obtain the derivatives of the expansion
Using the dot product from Eq. (18), differentiation of employing polynomial representations to the derivatives
Eqs. (15) and (16) according to dk gives of the performance function, as previously done in [40].
∂Aij Simulation can then be made using large samples with
= E[ψi (X)ψj (X)sk (d, x)] (23) low computational effort, since it only requires evalu-
∂dk
ation of closed form polynomials. Finally, the accuracy
and of the expansions can be improved by increasing the

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order of the polynomial set used as basis functions. It is PfPCE − PfMCS

important to highlight that the partial derivatives ∂g/∂dk
required can be evaluated numerically, using finite differ-
ence schemes, if necessary.
5 Numerical examples
In this section, several benchmark problems are solved to
show the effectiveness of the proposed approach. Due to
the lack of RO benchmark examples in the literature, after
RBDO results are presented, the same examples are for-
mulated as RO problems and solved with the PCE-based
approach. It is a manner to validate the proposed approach
and also develop RO benchmark problems.
The optimization problems were solved with the inte-
rior point algorithm available in MATLAB. A tolerance of
10−12 was employed for convergence criterion on the con-
straints, objective function, and change in the design vari-
ables. The parameter employed to build the approximate
indicator function was taken as h = 10−3 . Score functions
were evaluated with a central finite difference scheme using
a step size equal to 10−2 .
To evaluate accuracy of the proposed approach, the opti-
mum designs obtained were subjected to reliability analy-
sis using crude MCS with a sample size of 107 . This prob-
ability of failure is assumed to be the reference result and
denoted as PfMCS . The coefficient of variation (c.o.v.) of
PfMCS is also presented, to show convergence of MCS [32,
33]. In RBDO problems, the relative difference between
the probability of failure provided by each approach and
the reference value was evaluated as
PfMCS − pt
ε= , (31)
pt
where pt is the target probability of failure. In RO prob-
lems, the relative difference was evaluated as
ε= , (32)
PfMCS
where PfPCE is the probability of failure of the optimum
design evaluated with PCE. These equations serve as a
measure of the accuracy of the results. Finally, the compu-
tational cost of each approach was measured by the number
of constraint function evaluations (NCE) required to obtain
the optimum design.
5.1 Example 1: highly nonlinear limit state function
The first example aims at analyzing the proposed approach
in the case of a highly nonlinear limit state function. It is a
classical RBDO problem studied by several authors, among
them Lee and Jung [22] and Chen et al. [9]. It has two
design variables that are also the mean values of two inde-
pendent Gaussian variables with standard deviation equal
to 0.1, i.e., Xi ∼ N(di , 0.1). The initial cost function is
C0 (d) = (d1 − 3.7)2 + (d2 − 4)2 , (33)
and the limit state function is
g(d, X) = −X1 sin(4X1 ) − 1.1X2 sin(2X2 ). (34)
In the next subsection, we solve the RBDO version of this
problem and compare the results to the ones available in the
literature. Then, we formulate a RO version of this example
and solve it with the proposed PCE approach.
5.1.1 Reliability‑based design optimization
In this RBDO problem, we employ the same param-
eters as in [9]. Hence, the allowable probability of failure
is taken equal to 0.0228. In addition, bound constraints
0 ≤ d1 ≤ 3.7 and 0 ≤ d2 ≤ 4.0 are imposed. The initial
design vector was taken as the solution of the determinis-
tic optimization (2.97, 3.40). The results obtained with the
proposed approach (employing first-, second-, and third-
order expansions) and results available in literature [9]

Table 1  RBDO results from Approaches NCE ε (%)

C0 d PfMCS (c.o.v.) pt
Example 1
FORM based
­RIAa 1.3038 (2.8163, 3.2769) 1382 0.0317 (0.0018) 0.0228 39.0
­PMAa 1.3038 (2.8163, 3.2769) 574 0.0317 (0.0018) 0.0228 39.0
­ADAa 1.3038 (2.8163, 3.2769) 86 0.0317 (0.0018) 0.0228 39.0
Polynomial
First order 1.3089 (2.9173, 3.1656) 328 0.0369 (0.0016) 0.0228 61.8
Second order 1.3318 (2.8409, 3.2294) 585 0.0215 (0.0021) 0.0228 −5.7
Third order 1.3252 (2.8418, 3.2327) 1392 0.0228 (0.0021) 0.0228 0.3
a
  Results provided in [9]

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are presented in Table 1. In this table, PfMCS stands for the
probability of failure of the design d evaluated by a crude
MCS with 107 samples, and pt is the target probability of
failure of the RBDO problem. Finally, ε is the relative dif-
ference between PfMCS and pt of each approach evaluated
by Eq. (31).
Regarding the probability of failure of the optimum
designs, it is easily seen that the Pf of the optima provided
by the RBDO approaches based on FORM (RIA, PMA,
and ADA) is 39% higher than the target failure probability.
This occurs, because FORM assumptions are inaccurate
in this case, since the limit sate function is highly nonlin-
ear. Indeed, this is exactly one of the issues that we want to
address in this paper: FORM-based algorithms may lead to
very inaccurate results from the probabilistic point of view,
and we want to avoid them for the solution of RO problems.
The proposed approach, on the other hand, allows one
to obtain more accurate results by increasing the order of
the polynomial expansion employed. In this example, we
note that second- and third-order expansions are enough to
obtain accurate results from the probabilistic point of view.
We also note that the design obtained with a third-order
expansion is significantly different from those obtained
with FORM-based approaches. These results indicate
that FORM-based approaches may not be appropriate in
some cases. Finally, we observe that the increase in accu-
racy comes at the cost of an increase in the computational
effort required. However, the computational effort remains
much smaller than what would be required by simulation
schemes (e.g., crude or even importance sampling MCS).
is, the value in parenthesis is the actual objective function
value at d. Finally, in this table, ε is the relative difference
between PfPCE and PfMCS .
The first-order approximation leads the optimization
algorithm to a non-optimal solution due to the inaccuracy
in the estimation of the failure probability. That is, we
see that the value of f evaluated using PCE and MCS is
quite different (1.4301 and 1.5301, respectively). As the
approximation order increases, these values get closer,
since PfPCE converges to the reference value (PfMCS).
Indeed, it is worth to note that the third-order approxi-
mation is able to achieve accurate results regarding the
approximation of the probability of failure. In addition,
the computational cost required for the solution is much
lower than a single run of any given simulation scheme.
The main conclusion, from both RBDO and RO ver-
sions of this problem, is that the proposed PCE-based
approach is able to provide accurate solutions requiring a
reasonable computational effort.
5.2 Example 2: multiple limit states
This section investigates the effectiveness of the proposed
approach in the case of multiple nonlinear limit state
functions. It is originally an RBDO problem and it was
studied by several authors, among them Yi et al. [50]. It
has two design variables that are also the mean values of
two independent Uniform variables with√standard devia- √
tion equal to 0.6, i.e., Xi ∼ U(di − 0.6 3, di + 0.6 3).
The initial cost function is

5.1.2 Risk optimization
C0 (d) = d1 + d2 , (35)
and three limit state functions are
In the RO version of this problem, we set the cost of failure
X12 X2
as a constant and equal to Cf = 10. The starting point of the g1 (d, X) = − 1, (36)
search as well as the bounds on the design variables are the 20
same of the previous section. Solving the RO problem as
(X1 + X2 − 5)2 (X1 − X2 − 12)2
stated in Sect. 2, we obtain the results presented in Table 2 g2 (d, X) = + − 1, (37)
for first-, second-, and third-order polynomial approxima- 30 120
tions. This table also presents the probability of failure at d 80
evaluated using the PCE approach (PfPCE). Moreover, in the g3 (d, X) = − 1. (38)
X12 + 8X2 + 5
column that presents the optimal objective function f,  the
first value is Eq. (2) evaluated using PfPCE , while the value In the next subsections, we first solve it as an RBDO and
in parenthesis employs PfMCS for this computation. That then as an RO problem.

Table 2  RO results from Approaches f NCE ε (%)

d PfMCS (c.o.v.) PfPCE
Example 1
Polynomial
First order 1.4301 (1.5301) (2.8663, 3.1716) 192 0.01490 (0.0025) 0.00491 −67.0
Second order 1.5184 (1.5066) (2.8231, 3.1924) 441 0.00854 (0.0034) 0.00973 13.9
Third order 1.5073 (1.5060) (2.8220, 3.2000) 848 0.00951 (0.0032) 0.00965 1.5

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5.2.1 Reliability‑based design optimization 5.2.2 Risk optimization

Here, we employ the parameters proposed by Yi et al.
[50], i.e., the allowable probability of failure is taken
as pti = 0.0228, the bound constraints 0 ≤ di ≤ 10 are
imposed, and the initial design vector is taken as (5.0, 5.0).
The results obtained with the proposed approach (employ-
ing first- and second-order expansions) and results avail-
able in literature [50] are presented in Table 3, where only
the maximum probability of failure among the three limit
states is presented.
Again, we note that the results obtained with FORM-
based approaches are very inaccurate from the probabil-
istic point of view. In this case, the design obtained with
PMA is very conservative, while the design obtained with
PMA-SAP does not meet the required reliability level. The
results obtained with the second-order polynomial expan-
sion, on the other hand, are very accurate and satisfy the
reliability constraint up to simulation errors. Finally, we
observe again that the proposed approach required more
computational effort when compared to FORM-based
approaches, i.e., this is the price to pay to obtain more
accurate results. It is worth to note that even though the
NCE of the proposed approach was higher (1485 calls of
the constraint functions), it still is much lower than a sin-
gle evaluation of Pf by any simulation method, e.g., crude
MCS, importance sampling MCS, among others. In other
words, we are able to solve an entire optimization under
uncertainty problem requiring a computational cost lower
than a single evaluation of the probability of failure by
simulation approaches.
To construct the RO version of this problem, we set the cost
of failure as a constant and equal to Cf = 10, while we keep
the same starting point and bounds on the design variables
of the previous section. The results obtained employing
first- and second-order expansions are presented in Table 4.
Again, only the maximum probability of failure among the
three limit states is presented.
These results show that once again, the proposed PCE-
based RO approach was able to provide an accurate opti-
mum solution regarding probability of failure approxi-
mation. Furthermore, it was accomplished requiring a
reasonable computational cost, e.g., the second needed only
648 constraint evaluations to reach the optimum design.
5.3 Example 3: several design variables RO problem
This example is intended to evaluate the proposed approach
in the case of increasing number of design variables. In
addition, since this RO benchmark problem is taken from
the literature, we can also show that the proposed approach
is able to drastically reduce the computational effort in
comparison to simulation-based techniques. As commented
in the introduction of this paper, FORM-based approaches
are, in general, not employed for RO, because the cor-
rect representation of the objective function requires an
accurate estimation of the probabilities of failure. Hence,
FORM results are not presented in this section.
This RO example was taken from [15]. The initial cost
is defined as

Table 3  RBDO results from Approaches NCE ε (%)

C0 d PfMCS (c.o.v.) pt
multiple limit states problem
FORM based
­PMAa 7.172 (3.626, 3.545) 604 0.0127 (0.0028) 0.0228 −44.1
PMA-SAPa 6.869 (3.521, 3.348) 132 0.0498 (0.0014) 0.0228 118.9
Polynomial
First order 7.194 (3.627, 3.567) 636 0.0114 (0.0029) 0.0228 −49.7
Second order 7.061 (3.581, 3.479) 1485 0.0229 (0.0020) 0.0228 0.7
a
  Results provided in [50]

Table 4  RO results from f NCE ε (%)

d PfMCS(c.o.v.) PfPCE
multiple limit states problem
Polynomial
First order 7.5386 (7.4126) (3.6178, 3.7488) 336 0.0046 (0.0053) 0.0143 210.9
Second order 7.3749 (7.3738) (3.5222, 3.6167) 648 0.0220 (0.0021) 0.0221 0.5

13
 J Braz. Soc. Mech. Sci. Eng.

approaches while maintaining probabilistic accuracy. It is

 n 

4
C0 (d) = exp di − 1 (39) worth to mention that the computational cost did not dras-
i=1 tically increased with the number of design variables, dif-
and the limit state function is given by ferent from the DSRF method, whose efficiency decreases
 n 2 when the dimension of the design space augments.
n
 1
g(d, X) = X1 X2 + 2.5 di + 0.25 − di − X3 ,
n
i=1 i=1
(40) 6 Concluding remarks

where n is the number of design variables. The random
variables X1 , X2 , X3 are independent √Gaussian variables
with mean 1.0 and standard deviation 0.2. Moreover, the
cost of failure is c1 = 20. Since this is a RO problem, the
probability of failure is multiplied by the cost of failure and
included in the objective function to compute the expected
cost of failure (see Eq. (2)).
To assess the performance of the proposed approach, the
problem was solved for different number of design vari-
ables n = 5, 10, 20 as in the work [15]. Computational effi-
ciency was compared considering the number of constraint
function evaluations (NCE) need to obtain the optimum
solution. In this example, we employed only first-order
expansions, because it was enough to give accurate results.
The results are presented in Table 5. A comparison to the
results obtained in [15] is also presented, but only a num-
ber of limit state function evaluations were available in that
work.
From these results, we note that the proposed approach
allowed a drastic reduction of the computational effort
required for obtaining the optimum design. Besides, the
results obtained are accurate enough from the probabilis-
tic point of view, since the Pf obtained with the first-order
expansion agrees to the one obtained with MCS up to simu-
lation errors. This indicates that the proposed approach is
computationally efficient in comparison to existing RO
This paper presents a gradient-based PCE approach for
the solution RO and RBDO problems. It focuses on the
utilization of gradient-based algorithms for the solution
of these problems. For the required probability of failure
estimation and its sensitivity analysis, PCE techniques
are employed, alleviating the computational burden and
keeping the accuracy of the reliability analysis step. The
proposed approach does not have any limitation regard-
ing the type of design variable. That is, the design vari-
ables can be some statistic of the random variables of the
problem (e.g., mean value) or not.
Several benchmark problems were analyzed to assess
the effectiveness of the proposed approach in different
situations. The results show that the proposed gradient-
based PCE approach is able to obtain accurate solutions
from the probabilistic point of view with tractable com-
putational effort. That is, in all the analyzed cases, third-
order polynomial expansions were able to provide an
accuracy compatible with a crude 107 sample MCS, while
the number of constraint evaluations was kept much
lower than a single probability of failure evaluation by
simulation techniques. This conclusion was true even for
the cases where the number of design variables was high.
Consequently, the proposed approach, in its present form,
is recommended for problems with several design vari-
ables and a few random variables.

Table 5  Results from problem f NCE ε (%)

di PfMCS (c.o.v.) PfPCE
with several design variables
n=5
SMC-Ia – – 35.6 × 106 – – –
a
­DSRF – – 7.12 × 106 – – –
First order 3.3461 0.6566 360 0.0906 (0.0010) 0.0907 0.11
n = 10
SMC-Ia – – 34.2 × 106 – – –
a
­DSRF – – 15.7 × 106 – – –
First order 5.1047 0.5355 392 0.1915 (0.0006) 0.1914 −0.05
n = 20
SMC-Ia – – 36.8 × 106 – – –
a
­DSRF – – 18.3 × 106 – – –
First order 5.7395 0.4344 440 0.2351 (0.0006) 0.2350 −0.04
a
  Results provided in [15]

13
J Braz. Soc. Mech. Sci. Eng.
A potential limitation of the proposed approach is linked
with one of the PCE: the stochastic dimension of the prob-
lem. It happens, because the number of terms of the expan-
sion increases exponentially with the number of random vari-
ables of the problem. However, this issue may be alleviated
with the employment of sparse integration schemes [6, 25,
34] and will be the matter of future studies.
Acknowledgements The authors would like to thank CNPq-Brazil
for financial support of this research.
Appendix 1: Basis functions
Here, the set of one-dimensional basis functions is taken
as
Pk (x) = 1, x, x 2 , . . . , x k−1 , x k , (41)
that form a basis for the space of polynomials or order
until k. In the n-dimensional case, a complete basis for
the space of polynomials of order until k of the vector
x = {x1 , x2 , . . . , xn } can be built as
Pkn = Pk (x1 ) ⊗ Pk (x2 ) ⊗ · · · ⊗ Pk (xn ), (42)
where the dyadic product ⊗ indicates a multiplication
between all members of the two sets. In this work, we
take set of basis functions given by Eq. (42) that has
(k + 1)n elements. We also highlight that other polyno-
mial bases can be employed, but are outside the scope of
this work [48].
Appendix 2: Numerical integration
Evaluation of Eqs. (15), (16), and (30) is made using
Gauss Quadrature rules. Normal, Uniform, and Gamma
distributions can be integrated efficiently employing
Gauss–Hermite, Gauss–Legendre and Gauss–Laguerre
quadrature, respectively [17]. Quadrature rules for other
distributions are also available in the literature.
Considering the one-dimensional case, the polynomi-
als of highest order that appear in Eq. (15) have order 2k, 
where k is the order of the expansion employed. Conse-
quently, k + 1 quadrature nodes ensure exact integration
of this term if Gauss rules are employed [3, 17]. For this
reason, we recommend using at least k + 1 quadrature
nodes for each random variable. Also note that depend-
ing on the shape of g and its derivatives, more nodes may
be necessary to obtain accurate results for integration of
Eqs. (16) and (24).
In this work, quadrature rules for the n-dimen-
sional case are obtained by full-tensor product between
one-dimensional rules. Suppose X1 , X2 , . . . , Xn and
W1 , W2 , . . . , Wn are sets of quadrature nodes and
weights according to variables x1 , x2 , . . . , xn , respec-
tively. Then, the set of quadrature nodes and weights for
x = {x1 , x2 , . . . , xn } can be obtained by
X = X1 × X2 × · · · × Xn
(43)
W = W1 ⊗ W2 ⊗ · · · ⊗ Wn ,
where × and ⊗ represent the cartesian and dyadic prod-
ucts, respectively.
In this case, nodes/weights for n-dimensional quadra-
ture are obtained by all possible products between nodes/
weights from one-dimensional rules. If k + 1 nodes are
employed for each random variable, the final number of
nodes will be (k + 1)n . Note that the computational effort
required grows exponentially according to the number of
random variables n,  this is the reason why authors say
that polynomial expansion suffers from the “curse of
dimensionality”. We point out that more efficient quad-
rature rules are able to alleviate this issue, but are outside
the scope of this work [25, 34].
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