Structural Safety 23 (2001) 429–444

www.elsevier.com/locate/strusafe

Effect of response surface parameter variation on

structural reliability estimates
X.L. Guan, R.E. Melchers*
Department of Civil, Surveying and Environmental Engineering, The University of Newcastle,
University Drive, Callaghan, NSW 2308, Australia

Abstract
In the reliability estimation of complex structures, response surface methodology has been suggested as a
way to estimate the actual but implicit limit state function. Typically the response surface is constructed
from a polynomial function and fitted to the implicit function at a number of points. The location of these
points has been noted as being an issue but the effect of varying their location has had little attention in the
literature. In the present paper some simple examples are used to indicate possible effects. It is noted that
the probability can be both under- and over-estimated, depending on the choice of points, but that no clear
guidance for point selection can be given in any one case. A particularly disturbing feature is that for some
types of problems there can be instability in the probability estimate as the location of the points is chan-
ged. This is demonstrated through a previously well-discussed example. # 2002 Elsevier Science Ltd. All
rights reserved.
Keywords: Monte Carlo; Simulation; Response surface; Probability; Instability

1. Introduction

In the reliability analysis of complex structures, the limit state function often can not be
expressed in a closed-form. Typically, it needs to be evaluated implicitly through a numerical
algorithm, such as a finite element method. Although reliability analysis can be carried out using
Monte Carlo Simulation (MCS), a large number of FE executions for structural analysis can
make the computational cost (CPU time) prohibitively high. This is especially true for large and
complex structures with high reliability. In order to reduce the CPU time to an acceptable level,
so-called response surface methods (RSM) have been developed [1–6]. In RSM, the actual limit
state function is approximated, usually by a polynomial function. The FE analysis is used to

* Corresponding author. Tel.: +61-2-4921-6044; fax: +61-2-4921-6991.

E-mail address: rob.melchers@newcastle.edu.au (R.E. Melchers).

0167-4730/02/$ - see front matter # 2002 Elsevier Science Ltd. All rights reserved.
PII: S0167-4730(02)00013-9
430 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

evaluate the actual limit state function at a grid of experimental points in the region where the
design point is expected to be located on the actual (but implicit) limit state function. Often just
sufficient points are selected to completely define the response surface. In other cases, more points
are used and regression analysis must be used to fit the response surface to the limit state surface
at the grid of selected points. The resulting approximate, fitted surface then becomes the explicit
equivalent of the implicit limit state function. It is now possible to apply directly one of the
available methods of reliability analysis requiring an explicit limit state function [7].
Unfortunately, the selection of the grid of experimental design points has no precise guidelines
or theory. In previous work, these points were selected in various ways by different researchers.
For example, Faravelli [2] used experimental design theory [8] with some improvements by
transforming the original random variables into standardised space through their logarithm.
Based on a composite experimental design theory, points were then selected further away from
the central points by adding a simulated spatial variability vector X0j , in which the vector X0j has
the nature of a random vector with a unit central value. Fig. 1 shows the typical central compo-
site design in a two variable case. Bucher and Bourgund [3] proposed an iterative response surface
approach for reliability analysis. A second order polynomial without mixed terms was used as an
approximate response surface function. This means that the function g~ ðxÞ essentially represents
the original function gðxÞ along the coordinate axes xi . The locations of experimental points was
based on selecting the mean (for the first try) and some multiple of the standard deviation of the
random variables, usually an arbitrary parameter, as denoted by ki . A constant value of ki ¼ 3
was employed by Bucher and Bourgund [3] in their numerical examples. In later work, Raja-
shekhar and Ellingwood [4] noted that reducing ki in the later states of iteration can improve the
fit of the response surface. Considering that the failure of a well-designed structure usually occurs
under extreme conditions, a more realistic idea based on selecting the sampling points at upper
tails of the load variables and lower tails of the resistance variables has also been proposed [4].
However, it was found that sampling in the tail regions of the random variables instead of over
the entire region does not lead to significant improvement in the response surface or in the relia-
bility estimates. An improved RSM which used the gradient projection technique for choosing
the sampling points was proposed by Kim and Na [6]. This method can ensure that the sampling
points are located in the region close to the actual limit state surface. It selects the sampling
points in a similar way to the method of Bucher and Bourgund [3] and assumes that the response

pffiffiffi
Fig. 1. Central composite design for a two variable problem with
¼ 2.
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 431

surface function g~ 1 ðxÞ initially is linear. This allows the ‘‘design point’’ X1D to be found on the
surface g~ 1 ðxÞ ¼ 0. The next step is to select a new set of sampling points with X1D as the centre
point. The remaining points are selected in a similar manner as in Bucher and Bourgund [3]
except that they multiply ki i by additional parameters which involve gradients of g~ 1 ðxÞ. Impor-
tantly, the results of the numerical examples showed that the failure probability varied with dif-
ferent values of ki [6].
While response surfaces are an accepted approach for dealing with complex structural
response problems, such as those requiring finite element analysis, difficulties with their appli-
cation have had little airing in the published structural reliability literature. In the present study,
particular attention is given to the arbitrary parameter ki . It is set at different values in order to
study the effect this has on the estimated probability of failure. It will be seen in the examples
to be presented that the estimated failure probability is very much influenced by the value
selected for ki . It will also be shown that this effect depends on the shape of the actual limit
state surface.

2. Basic response surface method

Let the limit state function for a complex structure be an implicit function of the basic random
variables X. Their relationship can only be determined through a numerical algorithm, such as
the finite element technique. In the response surface method, the actual limit state function gðXÞ is
replaced by a polynomial type of function g~ ðXÞ, typically a quadratic polynomial function with-
out mixed terms:
X
n X
n
g~ ðXÞ  a þ bi xi þ ci x2i ð1Þ
i¼1 i¼1

where n is the number of random variables X, and a, bi , and ci are the 2n þ 1 unknown coeffi-
cients. The unknown coefficients are obtained from discrete evaluations of the implicit limit state
function, such as through evaluation of a finite element routine. For this purpose the points Xj
ðj ¼ 1;    ; 2n þ 1Þ are selected.
As shown in Eq. (1), the mixed terms are often neglected. It follows that the function g~ ðXÞ
represents the actual function gðXÞ along the coordinate axes xi . Hence, the points required to
obtain g~ ðXÞ can then be chosen along the axes xi as the point at the mean vector X of the ran-
dom variables xi and points with coordinates xi ¼ i ki i , in which ki is an arbitrary factor
and i and i are the mean and standard deviation of xi respectively [3] (see Fig. 2). Next, the
original limit state function is evaluated at the 2n þ 1 selected points. A set of linear equations is
then formed by using the 2n þ 1 values of function gðXÞ at the selected points. The unknown
coefficients a, bi , and ci are then obtained by solving the resulting simultaneous equations. If there
are more points than 2n þ 1 coefficients in Eq. (1), a least squares, or similar analysis, may need
to be employed to best fit the surface to the points.
Since it is desirable to have a good fit of the response surface to the original limit state surface,
it is necessary to have the selected points lie on or close to the original limit state surface
432 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

Fig. 2. Location of interpolation points for a two variable problem [3].

gðXÞ ¼ 0. This can be achieved in principle in a number of ways. Often the simplest is iterative, as
illustrated by the following steps [3]:

1. find the design point XD of the first estimated response surface g~ðXÞ.
2. use the design point XD to find a new centre point XM for the second interpolation. The new
centre point XM is chosen on a straight line from the mean vector of X, i.e., X to XD so that
gðXÞ ¼ 0 from linear interpolation, i.e.
 
  g X
XM ¼ X þ XD
X   ð2Þ
g X
gðXD Þ

3. repeat the same interpolation to find an updated response surface function g~ðXÞ, as described
above, by using XM as the new centre point.

In some cases, neglecting the mixed terms in a second order polynomial may not allow a suffi-
ciently accurate approximation of the limit state surface. An improvement is to let Eq. (1) be
extended by including the mixed terms, viz:
X
n X
n XX
g~ ðXÞ  a þ bi xi þ ci x2i þ dij xi xj : ð3Þ
i¼1 i¼1 i6¼j

3. Observations through some simple contrived examples

As discussed in the previous section, the locations of the selected points (or interpolation
points) depend on the value of mean and standard deviation of X and parameter ki . Since the
parameter ki is chosen arbitrarily, the question then arises as to how to set the value of ki . Some
light may be thrown on this question using contrived examples. Consider the case where one
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 433

Fig. 3. Response surfaces of a symmetric limit state surface with different ki .

dimensional function gðxÞ ¼ x4 þ 5 is assumed as the actual limit state function but which is
assumed to be known only implicitly, i.e. only through discrete evaluations. Let the response
surface function be g~ ðxÞ  a þ bx þ cx2 . Its coefficients can be evaluated at different values of
ki . This will result in different response surface, as follows. For example, at ki ¼ 0:1 and 0, it
produces g~ ðxÞ  0:01x2 þ 5 and ki ¼ 1 and 0 gives g~ ðxÞ  x2 þ 5 while at ki ¼ 2 and 0; there
is obtained g~ ðxÞ  4x2 þ 5. These functions g~ ðxÞ are shown in Fig. 3. For this special symmetric
shape of limit state surface, Fig. 3 shows that as ki increases the interpolation points clearly move
away from the centre point as would be expected, but also that the fitted response surface changes
shape from nearly flat for low ki to one of high curvature for high values of ki .
For a small value of ki (e.g. ki ¼ 0:1), which means a nearly linear response surface, the failure
probability obtained in a reliability analysis by using the corresponding RSM will be close to that
calculated by the first order reliability (FOR) method. Initially, as ki is increased to some extent,
the response surface will become somewhat closer to the actual limit state surface. Thus the fail-
ure probability would be expected to approach the ‘‘exact result’’, such as calculated from the
MCS method. This is shown by the curves B, C, D in Fig. 3. However as the value ki continues to
increase, the response surface becomes more non-linear, and the inside volume of the response
surface becomes smaller, especially around the design point region. Hence the failure probability
is likely to be underestimated by using the RSM (see curves E–H) when compared with MCS.
In the example discussed above, a smooth and symmetric curve was used for illustration. In a
more complicated case such as where there is an non-symmetric smooth curve and/or there is a
saddle-like shape curve involved, the influence of ki on the final results can become unpredictable.
This can be demonstrated by two further contrived examples. The first involves the non-symmetric

20x3 x 5 0
smooth curve given by the function gðxÞ ¼ 4
. Let the response surface function be
2x x40

g~ ðxÞ  a þ bx þ cx2 . Then in a similar manner to the previous example, the corresponding
response surface functions are shown in Table 1. The corresponding curves are shown in Fig. 4.
Evidently, when the original limit state surface gðxÞ is non-symmetric, the inside content of the
434 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

Table 1
Corresponding response surface functions at different values of ki

Values of ki g~ ðxÞ  a þ bx þ cx2

ki ¼ 0:1 and 0 g~ ðXÞ  0:099x þ 1:01x2

ki ¼ 0:5 and 0 g~ ðXÞ  2:375x þ 5:25x2
ki ¼ 1 and 0 g~ ðXÞ  9x þ 11x2
ki ¼ 2 and 0 g~ ðXÞ  32x þ 24x2
ki ¼ 3 and 0 g~ ðXÞ  63x þ 39x2
ki ¼ 4 and 0 g~ ðXÞ  96x þ 56x2
ki ¼ 5 and 0 g~ ðXÞ  125x þ 75x2
ki ¼ 6 and 0 g~ ðXÞ  144x þ 96x2
ki ¼ 7 and 0 g~ ðXÞ  147x þ 119x2
ki ¼ 8 and 0 g~ ðXÞ 
32x þ 124x2
ki ¼ 9 and 0 g~ ðXÞ  81x þ 171x2
ki ¼ 10 and 0 g~ ðXÞ  200x2

Fig. 4. Response surfaces of a non-symmetric limit state surface with different ki .

response surface tends to fluctuate when ki increases. The final contrived example is where the


cosð3xÞþ x=5 x 5 0
limit state surface has saddle-like shape, such as the surface function g ¼ . If the

cosð3xÞ
x=5 x 4 0

cosð3ki Þþ ki =5
response surface is now chosen as g~ ðXÞ ¼ c1  x2
1, where c1 ¼ is a constant
k2
i

factor in each response surface function, the constant c1 will vary again with different choices of
ki . It is evident from Fig. 5 that irrespective of the choice of ki , the response surface can not be
made to fit the original shape gðxÞ closely. It follows that the failure probability estimated by
using the chosen RSM can be misleading.
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 435

Fig. 5. Response surfaces of a saddle-like limit state surface with different ki .

4. Numerical examples

In this section, four numerical examples are presented to show the effect of the parameter ki on
the failure probability. In order to observe the shape of the actual limit state surface, the first
three examples are chosen to have an explicit limit state function. In each example, different
values of ki are used to establish different response surfaces. Then the failure probability esti-
mated by RSM for different ki is compared with the MCS results assumed as the ‘‘exact result’’
and with the estimate obtained from the FOR method.

4.1. Example 1—linear limit state

Consider a simple problem for which the theoretical result is available. Let the linear limit state
function in the n-dimensional space of standard Gaussian random variables be [9]:
pffiffiffi X n
gðXÞ ¼ 3 n
Xi ð4Þ
i¼1

In this case, the theoretical safety index is =3.0 which corresponds to the failure probability
Pf=1.3510
3, irrespective of the number of dimensions. Table 2 shows results are close to the
exact result. This is because the limit state function is linear in Gaussian space. Therefore FOR
method gives exact results. The response surface generated is also linear, and fits the original limit
state surface exactly, irrespective of the value of ki .

4.2. Example 2—quadratic limit state

Since a second order polynomial function is used to approximate the actual limit state function,
a quadratic limit state as shown in Eq. (5) can be used to check the performance of the RSM.
436 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

4
gðXÞ ¼
ðX1
1Þ2
X2 þ 4 ð5Þ
25

where X1 and X2 are standard normal random variables. The results estimated using the three
methods are shown in Table 3.
As shown in Table 3, the result obtained from FOR is lower than the ‘‘exact result’’ calculated
by using the MCS method. This is because the FOR method uses a linear tangent plane at the
design point instead of the actual limit state surface. On the other hand, the RSM provides highly
accurate results in this case. This is because it is possible to have the response surface fit the actual
limit state surface exactly.

4.3. Example 3—fourth order polynomial limit state

In order to check the RSM in a more general case, consider a fourth order polynomial limit
state,
1 4
gðXÞ ¼ X þ 2X22 þ X3 þ 3 ð6Þ
40 1

where X1 and X2 and X3 are standard normal random variables. The results are shown in Table 4.
As shown in Table 4, there are considerable differences between the results from the FOR and
MCS methods. The results from RSM vary with different values of parameter ki . When ki is

Table 2
Failure probabilities estimated for Example 1

n Theoretical FOR MCS RSM (Pf  10

3 ) (LB, UB)

(Pf  10
3 ) ðPf  10
3 ) (Pf  10
3 ) (LB, UB) ki ¼ 1 ki ¼ 3

2 1.35 1.35 1.34 (1.26, 1.43) 1.34 (1.26, 1,42) 1.34 (1.26, 1,42)
3 1.35 1.35 1.32 (1.23, 1.41) 1.33 (1.26, 1.40) 1.33 (1.26, 1.40)
4 1.35 1.35 1.34 (1.26, 1.41) 1.35 (1.25, 1.44) 1.35 (1.25, 1.44)

Note: Pf denotes the failure probability.

Table 3
Failure probabilities estimated for Example 2

FOR MCS RSM Pf  10

4 (LB, UB)
(Pf  10
4 ) (Pf  10
4 ) (LB, UB)
ki ¼ 1 ki ¼ 3

6.36 8.0 (6.25, 9.75) 8.0 (6.25, 9.75) 8.0 (6.25, 9.75)

Note: Pf denotes the failure probability. LB, UB denote the lower and upper bound of the failure probability, respectively.
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 437

small, such as 0.01, the failure probability is slightly overestimated by using RSM. Theoretically,
with small ki , the failure probability obtained from RSM should be very close to the result cal-
culated by the FOR method. Very small value of ki could not be used owing to numerical
instability. As ki is increases, the failure probability initially becomes closer to the ‘‘exact
result’’. As ki is increased further, RSM provides lower results when compared with those from
the MCS method. These results are similar to those of Fig. 3, except that the actual limit state
surface is slightly non-symmetric and more non-linear than the one shown in Fig. 3. The high
non-linearity is the reason for having large difference of the results between the FOR and MCS
methods.

4.4. Example 4—three bay five story frame structure with implicit limit state

As noted, the central idea behind the use of the RSM is to approximate the actual limit state
function by a function of the polynomial type so as to estimate the probability of failure for
structures with an implicit limit state function, particularly for highly non-linear and structurally

Table 4
Failure probabilities estimated for Example 3

MCS (Pf  10
4 )(LB, UB) 3.44 (3.08, 3.80)
FOR (Pf  10
4 ) 13.5
RSM (Pf  10
4 )(LB, UB)
ki ¼ 0:01 4.01 (3.63, 4.41)
ki ¼ 1 3.66 (3.29, 4.03)
ki ¼ 2 3.05 (2.83, 3.27)
ki ¼ 3 2.48 (2.28, 2.68)
ki ¼ 4 1.95 (1.68, 2.22)
ki ¼ 5 1.62 (1.37, 1.87)
ki ¼ 10 0.78 (0.67, 0.95)

Note: Pf denotes the failure probability. LB, UB denote the lower and upper bound of the failure probability, respectively.

Fig. 6. Structural system and types of elements.

438 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

complex problems. Thus a more realistic structure should be considered. A three bay five story
rigid framed structure, analysed earlier by Liu and Der Kiureghian [10] and Bucher and Bour-
gund [3] is investigated here with respect to its serviceability limit state. This structure is shown in
Fig. 6. It is characterised by 21 basic variables. The structure data and the statistical properties
are shown in Tables 5 and 6, respectively.

Table 5
Frame element properties

Element Young’s Moment of Cross section

modulus inertia area

B1 E4 I10 A18
B2 E4 I11 A19
B3 E4 I12 A20
B4 E4 I13 A21
C1 E5 I6 A14
C2 E5 I7 A15
C3 E5 I8 A16
C4 E5 I9 A17

Table 6
Statistical data of Example 4

Variable Distribution Mean S.D.

P1 Rayleigh 30.00 9.00

P2 Rayleigh 20.00 8.00
P3 Rayleigh 16.00 6.40
E4 Normal 454,000.00 40,000.00
E5 Normal 497,000.00 40,000.00
I6 Normal 0.94 0.12
I7 Normal 1.33 0.15
I8 Normal 2.47 0.30
I9 Normal 3.00 0.35
I10 Normal 1.25 0.30
I11 Normal 1.63 0.40
I12 Normal 2.69 0.65
I13 Normal 3.00 0.75
A14 Normal 3.36 0.60
A15 Normal 4.00 0.80
A16 Normal 5.44 1.00
A17 Normal 6.00 1.20
A18 Normal 2.72 1.00
A19 Normal 3.13 1.10
A20 Normal 4.01 1.30
A21 Normal 4.50 1.50

Note: the units of Pi , Ei , Ii and Ai are kips, kips/ft2 , ft4 , and ft2 , respectively.
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 439

Some of the random variables are assumed to be correlated, as follows. All loadings are corre-
lated by  ¼ 0:5. The cross sectional area and the moment of inertia of each element type are
highly correlated by  ¼ 0:95. Furthermore, all other correlation properties between the cross
section variates are assumed as Ai Aj ¼ Ii Ij ¼ Ii Aj ¼ 0:13. The two types of Young’s modulus are
correlated by  ¼ 0:9. The rest of the correlation properties are set to zero.
The failure criterion with respect to serviceability is assumed as the exceedance of the horizontal
top floor displacement ux above a threshold of 0:2. This criterion is formulated as an implicit limit
state function:
gðuÞ ¼ 0:2
ux ð15Þ

Table 7 shows the results obtained from estimating the probability of failure using Monte Carlo
analysis with the response surface generated for different values of ki . Also shown is the FOR

Table 7
Failure probabilities estimated for Example 4

MCS Pf (LB, UB) 2.91 (2.78, 3.04)

FOR Pf 0.408
RSM Pf (LB, UB)
ki ¼ 0:01 1.02 (0.82, 1.22)
ki ¼ 0:1 1.02 (0.82, 1.22)
ki ¼ 0:5 1.06 (0.86, 1.26)
ki ¼ 1 1.13 (0.92, 1.34)
ki ¼ 1:1 1.16 (0.95, 1.37)
ki ¼ 1:2 1.19 (0.98, 1.40)
ki ¼ 1:3 1.19 (0.98, 1.40)
ki ¼ 1:4 1.29 (1.07, 1.51)
ki ¼ 1:5 1.35 (1.12, 1.58)
ki ¼ 1:6 1.51 (1.27, 1.75)
ki ¼ 1:7 1.62 (1.37, 1.87)
ki ¼ 1:8 1.93 (1.66, 2.20)
ki ¼ 1:9 4.24 (3.84, 4.64)
ki ¼ 2 1.05 (0.85, 1.25)
ki ¼ 2:1 10.46 (9.83, 11.09)
ki ¼ 2:2 0.54 (0.40, 0.68)
ki ¼ 2:3 1.19 (0.98, 1.40)
ki ¼ 2:4 1.29 (1.07, 1.51)
ki ¼ 2:5 1.40(1.17, 1.63)
ki ¼ 2:6 1.53 (1.29, 1.77)
ki ¼ 2:7 8.82 (8.24, 9.40)
ki ¼ 2:8 1.56 (1.32, 1.80)
ki ¼ 2:9 3.55 (3.18, 3.92)
ki ¼ 3 2.22(1.93, 2.51)
ki ¼ 3:5 3.47 (3.10, 3.84)
ki ¼ 4 7.46 (6.92, 8.00)
ki ¼ 5 9458 (9414, 9502)

Note: Pf  10
4 denotes the failure probability. LB, UB denote the lower and upper bound of the failure probability,
respectively.
440 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

estimate of the failure probability. It is seen to be significantly lower in value. This indicates that
the failure probability space defined by the response surface is greater than the failure probability
space defined by the local tangent hyperplane for FOR in 21-dimensional space. Thus the
response surface can be considered to be concave towards the origin of standard normal space.
This is also indicated by the fact that the probability estimated by RSM increases with increasing
values of ki (at least for relatively low values of ki ) which, as was shown in the earlier examples
(for example Fig. 3), is concomitant with greater curvature of the response surface and hence
potentially enclosing a greater failure probability region. This also indicates that for an appar-
ently innocuous problem, with many of the random variables specified as Normal and a simple,
apparently linear limit state function, there can be significant differences between the failure
probability estimated from FOR and RSM, even when low values of ki are used (and hence the
response surface is not high curved) and that this difference grows with greater values of ki . This
has important practical implications.
The most remarkable observation from Table 7 is that at ki about 1.9 the probability estimated
from RSM increases sharply for very small changes in ki . A more detailed breakdown of the
probability estimated around this region is shown in Table 8. It is seen that at ki ¼ 1:96 the
probability estimate becomes very large indeed and that it declines to reasonable values again
when ki is increased to around 2.02. Closer examination of the variation of Pf with ki shows that
this behaviour is not an isolated case, with a number of local extremes occurring as ki increases
(see Fig. 7). Although others have reported on this example, this type of extreme behaviour has
not been reported previously, presumably because no detailed investigation of the effect of vary-
ing ki was undertaken. Interestingly, if the often recommended value of ki ¼ 3:0 is adopted, the
present estimates agree very closely with those reported previously (e.g. [3]).
In attempts to uncover why the above phenomenon is observed, several approaches were tried.
Clearly, with a 21-dimensional space it is not possible to visualise the probability space, but cer-
tain features could be identified. Probably the most useful, simple indicator is the location of the
point of maximum likelihood in standard Normal space and its movement as ki is changed. As is
well-known, the point of maximum likelihood defines the point about which the response surface
would be linearised for FOR estimates. The distance from that point to the origin in standard
Normal space is  and it is therefore an indicator of the whereabouts in 21-dimensional space of
the point of maximum likelihood. It is clear from Table 8 and Fig. 7 that  changes dramatically
when Pf moves to an extreme value. The gradual changes in response surface as exemplified in
Fig. 3 thus tends not to occur, and it would appear that there is a sudden change of fitted
response surface, in the manner of Fig. 4.
As seen from Tables 3–5, the lack of fit of the response surfaces is partly due to the locations of
the experimental points. In an attempt to improve the fitting of the response surface, more
experimental points were employed. Based on the selection of the interpolation points proposed
by Bucher and Bourgund [3], instead of selecting points with one ki , more points can be selected
by using more than one ki (see Fig. 8). The first value of ki is usually chosen as a very small
number, say, 0.01. The subsequent values of ki are calculated as the sum of the previous value of
ki and a constant increment. The results are shown graphically in Fig. 9. Although the fluctua-
tions are much milder than those in Fig. 7, they are still quite significant. The fact that the
instability problem persists even with multiple ki values along each random variable axis strongly
suggests that now the model (1) is an insufficient model for the required response surface.
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 441

An indication that the problem may be due to the use of iteration to remove dependence
between variables and the transformation of non-normal random variables to normal equivalents
so as to obtain a problem posed in standard normal space, is suggested by the following obser-
vations. The probability estimates were repeated for the same problem with combinations of

Table 8
Failure probabilities estimated for Example 4 for ki with given range

ki Pf  10
4  Pf  10
4
from RSM (LB, UB) from FOR

1.81 2.03 (1.85, 2.21) 3.743 0.908

1.82 2.09 (1.90, 2.28) 3.737 0.933
1.83 2.14 (1.95, 2.33) 3.727 0.971
1.84 2.21 (2.02, 2.40) 3.718 1.003
1.85 2.32 (2.13, 2.51) 3.706 1.052
1.86 2.41 (2.21, 2.61) 3.691 1.117
1.87 2.59 (2.27, 2.91) 3.668 1.220
1.88 2.85 (2.52, 3.18) 3.641 1.360
1.89 3.27 (2.92, 3.62) 3.600 1.588
1.90 4.24 (3.84, 4.64) 3.539 2.006
1.91 5.29 (4.84, 5.74) 3.476 2.549
1.92 5.53 (5.07, 5.99) 3.464 2.665
1.93 7.06 (6.54, 7.58) 3.395 3.426
1.94 13.59 (12.87, 14.31) 3.179 7.401
1.95 52.54 (51.12, 53.96) 2.701 34.61
1.96 2201 (2193, 2209) 1.148 1255
1.97 1.17 (0.96, 1.38) 4.321 0.0775
1.98 0.93 (0.74, 1.12) 3.865 0.5563
1.99 1.12 (0.91, 1.33) 4.366 0.0633
2.00 1.05 (0.85, 1.25) 4.448 0.0434
2.01 1.25 (1.03, 1.47) 4.365 0.0634
2.02 4.48 (4.07, 4.89) 3.557 1.879
2.03 2.26 (1.97, 2.55) 3.732 0.948
2.04 2.31 (2.01, 2.61) 3.724 0.982
2.05 2.65 (2.33, 2.97) 3.689 1.127
2.06 2.89 (2.56, 3.22) 3.663 1.245
2.07 3.38 (3.02, 3.74) 3.628 1.427
2.08 4.35 (3.94, 4.76) 3.553 1.903
2.09 6.19 (5.70, 6.68) 3.441 2.896
2.10 10.46 (9.83, 11.09) 3.268 5.409
2.11 21.96 (21.04, 22.88) 2.998 13.60
2.12 71.88 (70.22, 73.54) 2.565 51.63
2.13 69.75 (68.12, 71.38) 2.576 49.91
2.14 535.2 (530.7, 539.6) 1.700 445.3
2.15 3771 (3762, 3781) 0.063 4647
2.16 1.67 (1.42, 1.92) 3.961 0.373
2.17 0.96 (0.77, 1.15) 4.471 0.0389
2.18 0.97 (0.78, 1.16) 4.458 0.0413
2.19 0.85 (0.67, 1.03) 4.585 0.0227
2.20 0.54 (0.40, 0.68) 4.474 0.0384
442 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

Fig. 7. Failure probability as estimated using RSM as functions of ki .

Fig. 8. Increased number of interpolation points employed (for a two variable problem).
 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444 443

Fig. 9. Failure probability as estimated using modified RSM with multiple ki values.

Table 9
Behaviour of Pf with changes input

Random variables Dependence Probability estimate

As Example 5 As Example 5 Fluctuates

As Example 5 All independent Fluctuates
Normal As Example 5 Fluctuates
Normal All independent No fluctuations detected

dependence and independence of random variables and with all variables assumed normal. The
results are summarized in Table 9. It is seen that only in the special case for which no iteration is
required, that is with all variables Normal and fully independent, is the response surface stable
with changes in ki .

5. Conclusion

A parametric study on RSM has been reported in this paper. The parameter ki used in the
response surface equation was set to different values to investigate its effect on the estimated
failure probability. The numerical examples showed that the value of ki could have a considerable
effect. For a simple concave or convex limit state surface, the result obtained from the RSM with
444 X.L. Guan, R.E. Melchers / Structural Safety 23 (2001) 429–444

small value of ki is close to that obtained by FOR. Convergence is only achieved when ki is
around 2 or 3 at least for the examples considered. However, this does depend on the shape of the
limit state surface. For a non-symmetric and/or non-smooth limit state surface, considerable
fluctuation was found to occur in the estimate of the probability of failure.
Problems with implementation of response surfaces are, according to a referee of this paper,
well-known. However, exposition of them and their effects is not clearly evident in the published
literature. The present paper makes a contribution in this regard.

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