Composite Structures 59 (2003) 155–162

www.elsevier.com/locate/compstruct

A comparison between Monte Carlo and FORMs in calculating

the reliability of a composite structure
M. Di Sciuva *, D. Lomario
Department of Aeronautical and Aerospace Engineering, Politecnico di Torino, Corso Duca degli Abruzzi 24, 10129 Torino, Italy

Abstract
In this paper a brief presentation of five reliability methods taken from literature is given. The methods are successively applied to
two examples, a beam made of isotropic material and a laminated composite plate. Loads, geometries and material properties of
both examples are defined as normal, uncorrelated stochastic variables. The aim of the paper is to compare and discuss the per-
formances of the methods. Furthermore, the utility of the so-called ‘‘Directional Cosines’’ is put in evidence, and its utility in Robust
design is suggested.
Ó 2002 Elsevier Science Ltd. All rights reserved.

Keywords: Reliability; FORMs; Monte Carlo; Robust design

1. Introduction In this paper some of the most common methods are

The need to incorporate uncertainties in an en-
gineering design has long been recognized. The tradi-
tional approach, the so-called ‘‘deterministic design’’ [1],
makes use of safety coefficients in order to prevent un-
predicted failures due to the variability of the data. As a
consequence, it is not possible to quantify the reliability
of the structure, defined as the probability that the
structure does not experience a failure. On the other
side, a relatively new trend, named ‘‘probabilistic de-
sign’’, allowing the estimation of the reliability of the
design, considers the stochastic variability of the data.
The performance is generally evaluated by means of a
variable such as the displacement of a point, the maxi-
mum stress, etc. . . Due to many reasons (e.g., unpre-
dictability of future loading conditions, inability to
express the material properties accurately, simplifica-
tions in the modelling of the behaviour of the structure,
limitations in the numerical methods, human errors or
omissions, etc. . .), the 100% reliability cannot be guar-
anteed. However, the design can be conducted in order
to raise the reliability up to a chosen level.
*  varies stochastically, the performance variable y will
Corresponding author. Tel.: +39-0115-646826; fax: +39-0115-
646899.
E-mail addresses: disciuva@polito.it (M. Di Sciuva), lomario@
athena.polito.it (D. Lomario).
0263-8223/03/$ - see front matter Ó 2002 Elsevier Science Ltd. All rights reserved.
PII: S 0 2 6 3 - 8 2 2 3 ( 0 2 ) 0 0 1 7 0 - 8
applied to two simple examples, in order to compare
their performances. The algorithms employed are the
fast probability integration method (FPIM), the hyper-
sphere method (HSM), the successive approach method
(SAM), the directional cosines method (DCM) and the
Monte Carlo method (MCM). The first four belong to
the first order reliability methods family (FORMs, [2]),
and consist of minimum-distance search procedures.
The latter is a well-known technique, employed in var-
ious fields of science and engineering. FPIM has been
found in Ref. [3], the next three in Refs. [2,4], while
MCM is introduced in Ref. [5].
2. Algorithms used in this work
The starting point for all the methods is a perfor-
mance function, which gives the relation between the
chosen performance and the inputs of the model, i.e.,
g ¼ gðx; x
Þ ¼ y  yðx; x
Þ ð1Þ
where x is the deterministic variables vector, x  the sto-
chastic variable vector, y the performance variable and y
the corresponding limit level. If even only one element of
x
vary in the same fashion, and g can be given as a
probability distribution function (PDF). Eq. (1) can
be expressed analytically only for simple problems;
156 M. Di Sciuva, D. Lomario / Composite Structures 59 (2003) 155–162
Nomenclature
FORMs first order reliability methods
FPIM fast probability integration method
HSM hypersphere method
SAM successive approach method
DCM directional cosines method
MCM Monte Carlo method
LSF limit state function
PF performance function
MPFP most probable failure point
generally it is given numerically, as it happens for in-
dustrial applications, where the finite element method is
largely employed in the analysis of structures. The per-
formance function gives the state (failed/not-failed) of
the structure, hence the reliability can be defined as the
area of the PDF of y that lays below the y level, as
shown in Fig. 2a. Let us define the function /ð xÞ as the
joint probability density function of the stochastic
variables. Therefore, the reliability is mathematically
defined as follows:
Z nominal design configuration. The more the generic
R¼ xÞ  dx1 . . . dxm
/ð
g>0
The integration is performed over the sub-domain on
which the performance function is positive.
Due to the difficulties in solving this integral, a
number of approximate solution methods have been
devised, such as those used in this paper. The simplest
and most intuitive one is the MCM [5], that consists in
calculating Eq. (1) for a great number of combinations
of x. The combinations, called ‘‘trials’’, are randomly
sampled from the probability distribution of each xi Õs,
by means of the standard random-generator functions
implemented on any modern computer. The reliability is
given by the ratio among the number of trials resulted in
a positive performance function and the total number of
trials. The method is valuable because of its ease of
implementation, and because its accuracy depends
mainly on the number of trials that one can afford, re-
sulting from time-consume considerations.
The FORMs [4] can be geometrically represented
on a multidimensional cartesian coordinate system as
minimum-distance search procedures. The coordinate
system is composed by all the stochastic variables x. In
all the FORMs it is assumed that each stochastic vari-
able is described by a Normal PDF, and that it is sta-
tistically uncorrelated from all the others. Under such
hypotheses it becomes useful to transform all the sto-
chastic variables into Standard Normal Distributions,
by means of the following well-known relation:
x deterministic variables vector

x stochastic variables vector
y performance variable
y limit level on the performance variable
uðxÞ joint probability density function of the sto-
chastic variables
R reliability
li , ri mean and standard deviation of the i-th sto-
chastic variable
xi  li
ui ¼ ð3Þ
ri
where xi is the generic non-standard normal variable, li
and ri the corresponding mean and standard deviation,
and ui the resulting standard variable. Following Eq. (3),
the origin of the transformed coordinate system repre-
sents the design that has all the stochastic variables set
to their mean values (i.e., a product having all the
characteristics exactly equal to the nominal values given
in the design); any other point is a deviation from the
ð2Þ point is near the origin, the higher the probability for the
corresponding product to exist is. From now on all the
stochastic variables transformed by means of equation
(3) are grouped in the vector u. The performance func-
tion is now written as
g ¼ gðx; uÞ ð4Þ
FORMs are based on the concepts of limit state func-
tion (LSF), most probable failure point (MPFP) and
reliability index (RI). The first is the surface, in the u
space, given by the intersection between the perfor-
mance function and the plane gðuÞ ¼ 0. The resulting
surface separates the subdomains on which g is positive
from the remainder. The MPFP is the point belonging
to the LSF nearer to the origin of the u coordinate
system and, as the name suggests, it corresponds to the
most probable design configuration that can encounter a
failure. This statement can be motivated by the above
mentioned consideration that the nearer a point to the
origin, the more probable it is to exist.
The RI is a quantity that directly gives a measure of
the reliability of the structure under study. There are
different definitions for this index in literature, see Ref.
[4], and that adopted in this paper is the most common
encountered, i.e., the Hasofer–LindÕs RI:
lg
bHL ¼ ð5Þ
rg
where lg and rg are, respectively, the mean and standard
deviation of the performance function.
 M. Di Sciuva, D. Lomario / Composite Structures 59 (2003) 155–162
The relation between bHL and R is:
Z bHL
R¼ N0;1 ðtÞ dt ¼ UðbHL Þ
1
where N0;1 is the Standard Normal Probability Density
Function, and U is the Cumulative Standard Normal
Distribution Function. From this equation it becomes
clear what FORMs methods do: they transform the
multidimensional integral of Eq. (2) into a monodi-
mensional one, of Eq. (6), see also Fig. 2b. Such a
transformation is possible thanks to the choice of the
Normal distribution for the description of the variables.
In all the FORMs a linearization of the LSF around
the MPFP is made, approximating the LSF by a hy-
perplane in the u space; bHL is equal to the distance of
the hyperplane from the origin. The four FORMs differ
for the different geometrical approach used in calculat-
ing bHL .
The DCM provides also a very useful tool, i.e., the
directional cosines (DC), that allow the designer to es-
teem the proportions of ‘‘responsibility’’ of each sto-
chastic variable in determining the value of R. Such a
tool becomes useful in the Robust design approach.
3. Examples studied
The two examples studied herein presented refer to a
beam made of isotropic material, and a laminated
composite flat plate (Fig. 1). In both cases, a single
output quantity of the model is chosen as a performance
variable, while many of the input variables are stoch-
astically defined. It is assumed that the PDFs of the
inputs are Normal, uncorrelated functions, hence also
the performance variable is a Normal PDF [6]. A limit
level is set on the maximum or minimum value that the
performance variable can take, hence the reliability will
be the area of the PDF of the performance variable that
lies on the ‘‘safe’’ side of the limit value (see Fig. 2a).
Thanks to its analytical simplicity, the first study
example allows to compare the numerical results ob-
tained by MCM and FORMs with those of an analytical
method, well-known in statistics, named generation of
system moments, or also error propagation method [6].
Fig. 1. Structures examined in examples 1 and 2.
157
ð6Þ
β
Fig. 2. (a) Meaning of the limit level on the performance variable; (b)
use of the RI.
In this method a first-order Taylor series expansion of
the performance function around the means of the de-
sign variables and parameters is performed, then the
definitions of mean and standard deviation are applied,
considering all the variables as statistically uncorrelated,
and the corresponding analytical expression are drawn.
Therefore, at least in the first case it becomes possible to
understand some points of the behaviour of the
FORMs.
Though both the GSMM and the FORMs start from
a Taylor series expansion of the performance function,
in the first case the expansion is made about the mean
values of the stochastic variables (origin of the u coor-
dinate system), while in the second it is around the
MPFP.
3.1. Example 1
A cantilever beam made of isotropic material is loa-
ded by a distributed transverse load (Fig. 1). The
quantity that defines the performance function is the
displacement of the free tip, and the stochastic variables
are the length of the beam (l), the moment of area of the
cross-section (J), the Young modulus of the material (E)
and the value of the constant distributed transverse load
acting on the beam (q). The performance function is:
qL4
gðJ ; E; L; qÞ ¼ Dl  ð7Þ
8EJ
Dl represents the maximum displacement allowed to the
free edge of the beam, and the second term is taken from
the Euler–BernoulliÕs theory. The limit value for the tip
displacement is increased stepwise, and for each step the
reliability by means of the MCM, the four FORMs and
158 M. Di Sciuva, D. Lomario / Composite Structures 59 (2003) 155–162

Table 1 considered safe when this ratio is higher than 1, i.e., the
Data for example 1 buckling load is higher than the applied one.
Stochastic variable Mean, l Standard deviation, r
9
J (mm) 1:067  10 100,000 3.3. Convergence criteria in the FORMs
E (N/mm2 ) 73,000 1000
L (mm) 5000 2
Q (N) 10 3 In all the FORMs the convergence criteria adopted is
the following:
ðkÞ ðk1Þ
the GSMM is calculated. Data for this example are gi- jbHL j  jbHL j
ðkÞ
<e ð10Þ
ven in Table 1. jbHL j
i.e., the algorithm stops when the difference between the
3.2. Example 2
last bHL and the previous is smaller than a given e, which
in these calculations has been set to 105 .
A laminated composite rectangular plate, simply
supported on the four sides is loaded by compressive
distributed forces acting in its mid-plane (Fig. 1). The 3.4. Incomplete MCMs
quantity to be checked for defining the performance
function is the buckling load. The stochastic variables Along with the MCM above explained, a series of
are the material properties of the ply (E1 , E2 , G12 ), the ‘‘incomplete’’ MCMs have been launched. These in-
thicknesses and the fibre orientation angles of the plies, complete MCMs are runs during which only one (or a
the value of the loads and the plateÕs dimensions. The few) stochastic variable is sampled, while the others are
data defining this case are listed in Table 2. kept fixed at their mean values. The purpose of this was
The PoissonÕs coefficient is the only deterministic to verify the statement that the DC are indexes of the
variable, and its value is m12 ¼ 0:28. The mean value of degree of participation of the variables in determining
P x is allowed to range from 10,000 to 100,000 N/m, in the reliability level.
order to calculate pointwise the relation R ¼ RðP x Þ. The
performance function is written using the expression of
the buckling load given for the special orthotropic 4. Results and discussion
laminate [7]; though the laminates produced in this work
are not special orthotropic, they satisfy the relations Tables 3 and 4 report the results of MCMs and
D16 D26 FORMs for both the examples, and the corresponding
c¼p ffiffiffiffiffiffiffiffiffiffiffiffiffiffi < 0:2 d¼p ffiffiffiffiffiffiffiffiffiffiffiffiffiffi < 0:2 ð8Þ plots are represented in Figs. 3 and 4. Along with the
4
D311 D22 4
D322 D11
results of the FORMS the number of steps needed to
As a consequence, the buckling load (as well as the achieve convergence are also given. Figs. 5a and 6a
fundamental frequency and the displacement of the represent the DC for the two examples, calculated for
centre of the plate) can be calculated with great accuracy each of the considered displacement and loading con-
by means of the same expression used for orthotropic ditions, and Figs. 5b and 6b give the plots of the results
laminates. The PF is therefore [7]: of the incomplete MCMs. As one can observe, the

( )
p2 ðD11 ðm=aÞ4 þ 2ðD12 þ 2D66 Þðm=aÞ2 ðn=bÞ2 þ D22 ðn=bÞ4 Þ
gðs; h; Nx ; Ny Þ ¼ min 2 2
1 ð9Þ
m;n Px ðm=aÞ þ Py ðn=bÞ

The fraction represents the ratio between the buckling higher the absolute value of the directional cosine of a
load and the external load Px , i.e., Nx;cr =Px . The plate is variable, the nearer the partial MCMÕs result of that

Table 2
Data for example 2
Dimensions of the plate Mechanical properties of a lamina Loads Thickness of
a (m) b (m) E1 (N/m )2 2
E2 (N/m ) G12 (N/m ) 2
Nx (N/m) Ny (N/m) a lamina (m)

Mean, l 1.3 1.5 181eþ9 10.30eþ9 7.17eþ9 Variable 20,000 0.125e)3

Standad 0.1 0.1 1eþ6 1eþ6 1eþ6 8000 8000 0.02e)3
deviation, r
 M. Di Sciuva, D. Lomario / Composite Structures 59 (2003) 155–162 159

Table 3
Results for example 1
Dl (mm) MCM FORMs
FPIM HSM DCM SAM
Val. N° it. Val. N° it. Val. N° it. Val. N° it.
4 2.2528 2.2531 4 2.2531 3 2.2362 3 2.2531 5
5 4.7248 4.7288 4 4.7288 3 4.7111 4 4.7288 6
8 24.9862 24.9828 5 24.9828 3 24.979 3 24.9828 6
9 36.5750 36.5814 4 36.5814 3 36.5808 3 36.5814 6
10.01 49.6913 49.6931 5 49.6931 3 49.6931 3 49.6931 6
10.03 49.9573 49.9579 5 49.9579 3 49.9579 3 49.9579 6
12 74.2922 74.2946 5 74.2946 3 74.2946 3 74.2946 6
14 90.5783 90.5778 4 90.5776 3 90.5776 4 90.5776 6
20 99.9522 99.9512 6 99.9510 4 99.951 5 99.951 8

Table 4
Results for example 2
P x (N/m) MCM FORMs
FPIM HSM DCM SAM
Val. N° it. Val. N° it. Val. N° it. Val. N° it.
10,000 92.2833 100 15 100 6 99.896 2 100 10
20,000 99.3218 100 14 100 6 99.9996 4 100 11
30,000 99.7363 99.9999 12 99.9998 6 100 6 99.9998 11
40,000 99.5865 99.9809 13 99.975 5 99.991 5 99.9749 11
50,000 97.2109 99.2243 14 99.112 4 99.3352 5 99.1113 12
60,000 84.8663 90.1703 14 89.7035 4 90.1531 4 89.6945 14
70,000 55.355 56.5843 13 56.4686 3 56.466 4 – –
80,000 22.3649 16.9513 15 17.4802 4 17.7539 4 17.4754 9
90,000 4.9225 1.9026 18 2.1242 5 2.3529 4 2.1222 11
100,000 0.546 0 60 0.0911 5 0.1225 4 0.0909 11

Fig. 3. Reliability for example 1 calculated by MCM and FORMs.

variable to that of the complete MCM, for a given Dl or
Px (dotted lines). A practical consequence of this infor-
mation is that the MCMs can be performed by sampling
only the most important variables, with a considerable
shortening of the computing time. All the MCMs, both
complete and incomplete, used 106 trials for each point.
A glance to Tables 3 and 4 reveals that the quickest
FORMs are DCM and HSM, because they took an
inferior number of iterations to reach convergence, with
reliabilities that in the first example are almost coinci-
dent, and in the second are very near to one another.
Typically, the variables with greater DC were the
external loads q and P x , in the two cases; this is also due
to the fact that the loadÕs standard deviations (Tables 1
and 2) were taken much greater than those of the other
variables, therefore the importance of the load dis-
persion in determining the reliability was considerable.
In example 2 the best incomplete MCM, i.e., that
160 M. Di Sciuva, D. Lomario / Composite Structures 59 (2003) 155–162

Fig. 4. Reliability for example 2 calculated by MCM and FORMs.

Fig. 5. (a) DC; (b) incomplete MCM for example 1.

Fig. 6. (a) DC; (b) incomplete MCM for example 2.

 M. Di Sciuva, D. Lomario / Composite Structures 59 (2003) 155–162 161

Table 5
Results of the application of the GSMM to example 1
Calc. numb. Dl (mm) lZ bHL RGSM (%)
1 4 )6.035 )2.003 2.2593
2 5 )5.035 )1.671 4.7357
3 8 )2.035 )0.675 24.9711
4 9 )1.035 )0.344 36.5604
5 10.01 )0.025 )0.0083 49.6681
6 10.03 )0.005 )0.0017 49.9329
7 12 1.965 0.652 74.2839
8 14 3.965 1.316 90.5893
9 20 9.965 3.307 99.9529
For all the points rz ¼ 3:013.

incomplete MCM that followed with the best accuracy 5. Conclusions

the complete MCMÕs results, has been that in which the
stochastic variables were P x , P a , a and b. In Fig. 6b it
is indicated with MCM_NxNyab. The SAM applied to
the example 2 showed an oscillatory behaviour when
P x ¼ 70,000 N/m: the bHL oscillated between the values
10.106 and 11.9471, both of which correspond to
R ¼ 100%. Such a behaviour was observed only for that
value of the load, and in its proximity. The role of DC in
the DCM is analogous to that of the contribution ratios
calculated during the statistical analysis of a set of ex-
perimental results [8].
4.1. Application of GSMM to example 1
The application of GSMM produces the mean and
standard deviation of the output variable, which in this
case is the tip displacement D. These statistics are the
same as those regarding the performance function g,
because they are calculated by differentiating g, and Dl is
a constant value. The values of the statistics are:
lD ¼ lg
 
þ 1 l4L lq 2 l4L lq 2 3l2L lq 2
¼D r þ r þ r
2 4l3J lE J 4lJ l3E E 2lJ lE L
¼ 11:91 mm
A comparison between the performances of a number
of reliability methods has been performed. MCM turns
out to be the simplest one to implement, and the most
intuitive to understand, and the precision of the results
depends mainly on the number of trials that the designer
can afford himself.
Beside the MCM, a group of approximated methods
are considered, thanks to their low cost and accuracy of
the approximation. In particular, most interesting of all
is the DCM, which was demonstrated to have the
quickest performance, and which provides sensitivity
information on the stochastic variability of the input
variables. For this reason it can find applications in the
Robust design, where it is important to distinguish
among variables the variability of which is influent on
the performances of the structure, from those for which
the variability can be neglected. The utility of the DC
reveals also when one is interested in estimating the re-
liability by MCM: by looking at the DC of each sto-
chastic variable it is possible to reduce the number of
stochastic variables to be sampled in the calculation,
neglecting those the DC of which is too small. This
strategy leads to a considerable saving of CPU time,
ð11Þ with small influence on the accuracy of the results.

sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
 4 2  4 2  2 2  4 2
lL lq 2
lL lq 2
lL lq 2
lL
rD ¼ rg ¼ 2
rJ þ 2
rE þ rL þ r2q ¼ 3:01 mm ð12Þ
8lJ lE 8lJ lE 2lJ lE 8lJ lE

The ‘‘deterministic’’ displacement of the tip of the beam, Among the four FORMs tested, the faster have been
calculated by setting the four variables to the corre- the DCM and the HSM.
sponding mean values, is

lq l4L References
¼
D ¼ 10:03 mm ð13Þ
8lE lJ
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