This section informs you on the logical, mathematical and functional features of

theSTRUREL Software Family in a concise and table-based form. For more details on
the corresponding programs please use the links embedded in the " " symbols.

Index of Contents

1. Overview of Features of STRUREL Programs

1. COMREL
2. SYSREL
3. STATREL
4. Reliability Analysis & FEM
2. Stochastic Modelling in STRUREL
1. Standard Univariate Distribution Functions
2. Univariate Distribution Functions for Bayesian Analysis
3. Univariate Distribution Functions in Statistical Analysis
4. Multivariate Models
3. Probability Integration Methods in STRUREL
1. Overview of Probability Integration Methods
2. Availability of Probability Integration Methods
3. Starting Solution Strategies to find the ß-point in COMREL
4. Algorithms to find the ß-point in COMREL
5. Solution Strategies to find the ß-point(s) in SYSREL
6. Algorithms to find the ß-point(s) in SYSREL
7. Possible combinations of random processes in COMREL-TV
8. Exceedance measures in COMREL-TV
4. Features of the Symbolic Processor in COMREL & SYSREL
1. Elementary Functions
2. Trigonometric Functions
3. Hyperbolic Functions
4. Logarithmic Functions
5. Probability Functions
6. Bessel Functions
7. Special Functions
8. Differentiation Operators
9. Integration Operators
10. Root Finding Operators
11. Error Handling

1. Overview of Features of STRUREL Programs

1.1 COMREL

COMREL comprises Time-Invariant (COMREL-TI) and Time-Variant (COMREL-TV)

componental reliability analysis. Available products are: COMREL-TI orCOMREL-
TI/TV . Both can be obtained in a version with Symbolic Processoror alternatively in
a Professional version requiring additional Fortran compiler.

Feature Comments
 All distribution functions in
Available stochastic
tables2.1, 2.2 & 2.3
models
All multivariate models in table2.4

Probability integration All methods in table 3.1, but see also

methods table 3.2

Starting solution
See table 3.3
strategies

Algorithms to find the ß-

See table 3.4
point

Combinations of random
processes (COMREL- See table 3.7
TV)

Exceedance measures
See table 3.8
(COMREL-TV)

See tables 4.1 to 4.9

As an alternative to theSymbolic
Features of the
Processor a Fortran interface to user
Symbolic Processor
defined failure functions is available
("Pro-version")

1.2 SYSREL

SYSREL deals with system reliability and conditional reliability evaluation (reliability
updating) in the time-invariant case. SYSREL can be obtained in a version
withSymbolic Processor or alternatively in a Professional version requiring additional
Fortran compiler.

Feature Comments

All distribution functions in

Available stochastic
tables2.1, 2.2 & 2.3
models
All multivariate models in table2.4

Probability integration FORM, SORM, Crude FORM (based on

methods equivalent hyperplanes)

Starting solution
See table 3.5
strategies

Algorithms to find the ß-

NLPQL, Joint3, see also table3.6
point
 See tables 4.1 to 4.9
As an alternative to the Symbolic
Features of the
Processor a Fortran interface to user
Symbolic Processor
defined failure functions is available
("Pro-version")

1.3 STATREL

STATREL deals with statistical analysis. It does not perform probability integration.
STATREL supports all distribution functions in tables 2.1, 2.2 & 2.3.

1.4 Reliability Analysis & FEM

see PERMAS-RA

2 Stochastic Modelling in STRUREL

2.1 Standard Univariate Distribution Functions

These are the standard univariate distribution functions suitable for statistical and
reliability analysis supported by all programs in the STRUREL system.

Table 2.1
Input: Moments M,
Name of Distribution Default Input
Parameters P
Rectangular. (uniform) M or P M
Normal (Gauß) M or P M
Lognormal M or P M
Exponential M or P M
Gamma M or P M
Beta M or P M
Gumbel (max) M or P M
Frechet (max) P P
Weibull (min) M or P M
Shifted Lognormal M or P M
Rayleigh M or P M
Trapezoid P P
Birnbaum/Saunders M or P M
Cauchy P P
 Shifted Gamma M or P M
Inverse Gauß M or P M
Gumbel (min) M or P M
Frechet (min) P P
Weibull (max) M or P M
Pareto M or P M
Laplace M or P M
Logistic M or P M
Halfnormal M or P M
Neville P P
Hermite M or P M
4-Par. Lognormal P P

2.2 Univariate Distribution Functions for Bayesian Analysis

For Bayesian analysis occurring in reliability analysis as well as in statistical applications

the STRUREL programs also support the most important non-normal models.

Table 2.2
Input:
Default
Name of Distribution Moments (M),
Input
Parameters P
Pred.Gumbel (max) P P
Pred.Weibull (min) P P
Pred.Frechet (max) P P
Pred.Exponential P P
Pred.Normal (m unknown) P P
Pred.Normal (sigma
P P
unknown)
Pred.Normal (m | sigma) P P
Post.Gumbel (max) P P
Post.Weibull (min) P P
Post.Exponential P P
Post.Normal (m) P P
Post.Normal (sigma) P P
Post.Normal (m | sigma) P P
Post.Frechet (max) P P
2.3 Univariate Distribution Functions in Statistical Analysis

These models make sense only in statistical analysis but are also supported by
COMREL & SYSREL for special applications.

Table 2.3
Input: Moments (M),
Name of Distribution Default Input
Parameters P
Student (standard) P P
Chi-square P P
Fisher’s F P P
Student P P

2.4 Multivariate Models

The STRUREL programs offer a wide range of modelling dependencies between random
variables which by far exceed capabilities of other programs for reliability analysis. The
multivariate Nataf model is especially well suited for engineering applications. The SCD
to model general dependent vectors is the most powerful tool.

Table 2.4
Type Input (Comments)
Multivariate
Normal- Matrix of correlation coefficients between Normal-
Lognormal Lognormal variables
distribution
Matrix of correlation coefficients between variables
Multivariate of arbitrary type(the Nataf transformation
Nataf model computes an equivalent matrix for the
corresponding standard normal variables)
Matrix of correlation coefficients between Hermite
Multivariate
variables(restrictions on skewness, excess and
Hermite model
correlations)
Distribution parameters can be assigned to
General constants or other variables and even to user-
dependent defined functions thereof(Any dependent vector
vectors can be given in terms of a Sequence
of Conditional Distributions)
3. Probability Integration Methods in STRUREL

3.1 Overview of Probability Integration Methods

A great variety of probability integration methods is offered in the STRUREL programs

COMREL, SYSREL & PERMAS-RA (see also table below). The following table also
provides some hints which method is best suited to which problem.

Table 3.1
Method Comments
Default method, the ß-point must be found,
First Order several algorithms to locate the ß-point are
Reliabilty Method available, reasonable approximation of Pf for all
(FORM) engineering applications, less accurate for
Pf close to 50%
Builds on FORM,asymptotically (for small Pf)
Second Order
exact method, needs the Hessian of the State
Reliabilty Method
Function, very accurate also for Pf close to 50%
(SORM)
due to special integration scheme
Makes probability integration results arbitrarily
Importance
exact at the expense of additional numerical
Sampling on top
effort in terms of evaluations of the State
of FORM/SORM
Function
Cheapest (in terms of State Function
Mean Value First evaluations) option, needs the gradient of the
Order Method State Function but no ß-point, in general rather
(MVFO) inaccurate estimation of Pf except for nearly
linear State Functions
Most robust option, needs only State Function
Crude Monte evaluations, independent of Basic space
Carlo Sampling dimension, not suited for small Pf , effort grows
with 1/Pf , can not produce sensitivity measures
Also a robust option, needs only State Function
evaluations, effort independent of Pf but strongly
Adaptive Monte growing with Basic space dimension, can not
Carlo Sampling produce sensitivity measures, can be trapped in
a local minimum like all methodss requiring the
ß-point
Comments for Adaptive Sampling apply here as
Spherical well but this option is robust against local
Sampling minima, useful also to generate starting solution
for FORM/SORM
Sampling around a pre-specified design point.
Design Point-
Useful if this point (i.e. the ß-point) is known a-
Sampling
priori at leat approximately. It can be seen as
 Crude Monte Carlo Sampling with a starting
solution.

3.2 Availability of Probability Integration Methods

Some methods are not suited e.g. for system reliability evaluation, some are too
inefficient for reliability analysis coupled with FEM. STATREL deals with estimation and
general statistical analysis but not with probability integration.

Table 3.2
STRUREL Module Available Methods
COMREL-TI (time-invariant
All
component reliability)
COMREL-TV (time-variant
FORM, SORM
component reliability)
FORM, SORM, Crude FORM (based
SYSREL (system reliability)
on equivalent hyperplanes)
FORM, SORM, Importance Sampling
Reliability Analysis & FEM
(other sampling options too
see PERMAS-RA
inefficient)

3.3 Starting Solution Strategies to find the ß-point in COMREL

Like any non-linear procedure also the various algorithms problem to find the ß-point
(see table below) may profit from a suitable starting solution.

Table 3.3
Strategy Comments
User defined starting solution in standard space (U-
space), alows also to specify bounds on U-space
User
variables, default is to start from origin in standard space
(yields median values for Basic variables)
Random starting solution in U-space, alows also to
Random
specify bounds on U-space variables
Starting solution in direction of gradient at origin or at
Gradient user defined starting solution, allows also to specify
bounds on U-space variables
3.4 Algorithms to find the ß-point in COMREL

COMREL offers several algorithms to solve this non-linear optimisation problem.

Table 3.4
Algorithm Comments
Gradient based "Rackwitz-Fiessler" algorithm with
improved step-width control (Abdo, Rackwitz, 1991),
RFLS
Default algorithm in COMREL, good also for problems
with a large dimension of the Basic space
Sequential Quadratic Programming Method to solve
Non Linear Optimisation Problems (K. Schittkowski,
NLPQL
University. Bayreuth), best suited for highly curved
failure surfaces in not too high dimensional Basic space
The standard Hasofer-Lind, Rackwitz-Fiessler
HLRF (Rackwitz, Fiessler, 1978) gradient based algorithm
without line searches, efficient for simple problems.
The gradient free COBYLA (Powell, 1994) search
COBYLA algorithm will find the ß-point for the FORM method
also for non-differentiable state functions.

3.5 Solution Strategies to find the ß-point(s) in SYSREL

Like any non-linear procedure also the various algorithms problem to find the ß-point(s)
(see table below) may profit from a suitable starting solution.

Table 3.5
Strategy Comments
By default, start from origin in standard space
(yields median values for Basic variables) or user
Origin or U-
defined starting solution in standard space (U-
start
space), allows also to specify bounds on U-space
variables
Find the individual ß-points of all components in the
system (from origin or user defined starting solution)
Individual before searching the joint ß-points of the Cut-Sets,
Linearisation this option makes SYSREL much more robust when
computing Pf of parallel systems or conditional
probabilities
Allows to preset main diagonal of the Hessian
Presetting of
matrix, improves convergence of the NLPQL
Hessian
algorithm in case of highly curved failure surfaces
 Individ. Lin. + Combination of the 2 options above for the NLPQL
Presetting algorithm
During iteration, add extra constraints to the
problem whenever the current iterate is out of the
admissible domain, makes SYSREL robust also in
Extra
cases of failure criteria with very restricted
Constraints
physically admissible domain as e.g. encountered in
Fracture Mechanics, this option can be combined
with above options

3.6 Algorithms to find the ß-point(s) in SYSREL

Also SYSREL offers several algorithms to solve the non-linear optimisation problems to
find the joint ß-point and the so-called "inactive ß-points in system reliability analysis.

Table 3.6
Algorithm Comments
NLPQL See comments above
Joint3 Multi-constraint version of RFLS, see comments above

3.7 Possible combinations of random processes in COMREL-TV

The combinations of processes available at present are given below. Differentiable

processes are processes with continuous and differentiable sample path such as
Gaussian or translation processes (Nataf or Hermite processes). Rectangular wave
renewal jump processes are denoted simply by jump processes. Both types of processes
can have intermittencies. For several intermittent processes the computational effort can
be quite large.

Table 3.7

Possible combinations of random processes Feasible

Jump Process + Jump Process Yes

Differentiable Process + Differentiable Process Yes

Jump Process + Differentiable Process Yes

Intermittent Jump Process + Intermittent Jump Process Yes

 Intermittent Differentiable Process + Intermittent
Yes
Differentiable Process

Intermittent Jump Process + Intermittent Differentiable

Yes
Process

Intermittent Jump or Differentiable Processes +Non-

Yes
intermittent Processes Jump or Differentiable Processes

3.8 Exceedance measures in COMREL-TV

Several informative exceedance measures as defined in the literature (see

Cramer/Leadbetter, 1967) and elsewhere can be calculated by COMREL-TV in addition
to the mean number of outcrossings.

Table 3.8

Exceedance
Comments
measure
Identical to the lower probability bound and
Point-in-time non-
constant in the stationary case; can be useful
availability
for serviceability limit states
Identical to the time-dependent failure
First passage
probability; approximated by the upper
time distribution
probability bound
Local point-in- Derivative with respect to time of the mean
time outcrossing number of outcrossings; constant in the
rate stationary case
Identical to local point-in-time outcrossing rate
First passage
except that it contains the failure probability at
time density
the left hand boundary (t1) of the considered
distribution
time interval
Evaluated at the right hand boundary (t2) of the
considered time interval from the local
Hazard rate
outcrossing rate; in general, the hazard rate
differs little from the local outcrossing rate
The mean cumulative excursion time, divided
Mean cumulative
by (t2 - t1) can be interpreted as mean non-
excursion time
availability
 Approximately the ratio of local point-in-time
Duration of single
failure probability and the local outcrossing rate;
excursions
can be useful for serviceability limit states

4. Features of the Symbolic Processor in COMREL & SYSREL

4.1 Elementary Functions

Well, we certainly need these. ABS, MIN, Max may lead to a non-differentiable state
function ! General exponent (X^Y or X**Y) is available too, of course.

Table 4.1
Function Description
SQRT (F) Square root
ABS (F) Absolute value
MAX (F,G) Returns maximum of F and G
MIN (F,G) Returns minimum of F and G

4.2 Trigonometric Functions

All angles in trigonometric functions are specified in radians.

Table 4.2
Function Description
COS (F) Cosine
SIN (F) Sine
TAN (F) Tangent
ACOS (F) Arc cosine
ASIN (F) Arc sine
ATAN (F) Arc tangent

4.3 Hyperbolic Functions

All angles in hyperbolic functions are specified in radians.

 Table 4.3
Function Description
COSH (F) Hyperbolic cosine
SINH (F) Hyperbolic sine
TANH (F) Hyperbolic tangent
ACOSH (F) Arc hyperbolic cosine
ASINH (F) Arc hyperbolic sine
ATANH (F) Arc hyperbolic tangent

4.4 Logarithmic Functions

LOGC is useful in reliability applications for probabilities very close to 1.

Table 4.4
Function Description
LN (F) Natural logarithm
LOG10
Base 10 logarithm
(F)
EXP (F) Exponentiation
Complement of natural logarithm:
LOGC (F) for very small F, LOGC (F) = LOG (1-F) by series
expansion

4.5 Probability Functions

These are standard functions for reliability and statistical analysis with great precision.

Table 4.5
Function Description
CPHI (F) Standard normal integral
ICPHI P Inverse of standard normal integral
LCPHI (F) Natural logarithm of standard normal integral
ILCPHI (L) Inverse of natural logarithm of standard normal integral
LSPHI (F) Natural logarithm of standard normal density
4.6 Bessel Functions

Table 4.6
Function Description
BESSELJ0 (F) First kind Bessel function, order 0
BESSELJ1 (F) First kind Bessel function, order 1
BESSELY0 (F) Second kind Bessel function, order 0
BESSELY1 (F) Second kind Bessel function, order 1
First kind Bessel function, order n
BESSELJN (n,F)
n must be an integer constant
Second kind Bessel function, order n
BESSELYN (n,F)
n must be an integer constant

4.7 Special Functions

These special functions are very useful in reliability analysis.

Table 4.7
Function Description
GAMMA (F) Complete Gamma function
Natural logarithm of complete
LGAMMA (F)
Gamma function
Natural logarithm of complete Beta
LBETA (F,G)
function:
Compute distribution mean value or
DISMO
standard deviation from the
(type,n,P1,P2,P3,P4)
parameters P1 to P4
Compute distribution parameter P1 or
DISPA (type,n,EX,SX) P2 from mean value EX and standard
deviation SX
Compute inverse truncated
ITRUNCM
distribution from standard normal
(ftype,U,a,b,EX,SX,P3,P4)
variable U and moments or parameter
ITRUNCP
representation of the not truncated
(ftype,U,a,b,P1,P2,P3,P4)
variable X.
4.8 Differentiation Operators

Numerical differentiation of an arbitrary function.

Table 4.8
Operators Description
Differentiate the function F for ~x at X0 with an
DIFFR (F,
increment DX:( F(X0) - F(X0+DX) ) / |DX|
~x,X0,DX)
~x is an internal variable.
DIFFC (F, Differentiate the function F for ~x at X0 with an
~x,X0,DX) increment DX:( F(X0+DX) - F(X0-DX) ) / |2*DX|
Differentiate the function F for ~x at X0 with an
DIFFL (F,
increment DX:DIFFL (F, ~x,X0,DX) = ( F(X0) -
~x,X0,DX)
F(X0-DX) ) / |DX|

4.9 Integration Operators

Numerical integration of an arbitrary function; two schemes available.

Table 4.9
Operators Description
Integrate the function F for the variable ~x in the
INTEGRAL domain [A,B], cut in n intervals; trapezoid method
(F,~x,A,B,n) used to evaluate the integral.
~x is an internal variable.
ROMBERG Integrate the function F for the variable ~x in the
(F,~x,A,B) domain [A,B] using the Romberg’s method.

4.10 Root Finding Operators

Table 4.10
Operators Description
Find a root of F, for the variable ~x in the interval
ROOT a,b
(F, ~x,X0,a,b) and starting search at the value X0 by Newton's
method.
Find a root of F, for the variable ~x in the interval
a,b
NEWRAPHB
with relative accurancy xacc by the Newton-
(F, ~x,xacc,a,b)
Raphson method,
combined with the bisection method.
4.11 Error Handling

Table 4.11
Operators Description
Allows controlled stop of computations.
STOP
The messsage is written to screen and to the
("Message")
results files.