Safety, Reliability, Risk, Resilience and Sustainability of Structures and Infrastructure

12th Int. Conf. on Structural Safety and Reliability, Vienna, Austria, 6–10 August 2017
Christian Bucher, Bruce R. Ellingwood, Dan M. Frangopol (Editors)
IASSAR c 2017 TU-Verlag Vienna, ISBN 978-3-903024-28-1

Stochastic Renewal Processes in Structural Reliability

Analysis: An Overview of Models and Applications

Mahesh D. Pandeya
a Department of Civil Engineering, University of Waterloo, Waterloo, Canada

Abstract: The theory of stochastic processes has played a pivotal role in proba-
bilistic modeling of structural reliability and risk analysis problems. This paper
presents an overview of a particular class of stochastic processes, namely, re-
newal processes, and shows that refined concepts of this theory can be used to
solve a larger class of problems. The renewal process model also generalizes
many traditional solutions , which were obtained under the assumption of the
homogeneous Poisson process.

1 Introduction

Stress Strength
PDF

Figure 1: A basic reliability problem

A basic reliability problem, as shown in Figure 1, involves two random variables, stress and strength.
The probability of failure is then defined as the probability of strength being less than the stress. The
solution of this reliability problem in more general and multi-variate settings has been an active area
of research in the literature [7].
A static formulation of the reliability problem is not applicable to a general reality in which both
stress and strength tend to vary with time. Considerations of time-dependent and random variations
in stress and strength motivated the use of stochastic processes in reliability analysis. Although a

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wide variety of stochastic process models are available in the literature, a more specialised model of
the stochastic renewal process has proven to be quite useful in solving a multitude of reliability and
maintenance problems.
The two simplest models of stochastic processes are the Bernoulli process and the random walk.
The Bernoulli process is a discrete time model in which an event can occur at a point in time with
probability p. In this model, quantities like the distribution of the number of events in a time interval,
(0,t], is given by the binomial distribution, the time between the events by the geometric distribution,
and the time of arrival of a kth event is given by the negative binomial distribution. In short, this
problem can be solved completely with the aid of simple combinatorial and probabilistic arguments.
The continuous time version of the Bernoulli process is the homogeneous Poisson process (HPP)
in which the time between events follows an exponential distribution. All probabilistic quantities
of interest related to HPP model can be solved in a more or less analytical fashion. This analytical
simplicity of HPP makes it the most widely used model in the time-dependent reliability analysis.
The random walk is another basic model in which the process at each time step takes either a value of
+1 with probability p, or −1 with probability (1 − p). This process is useful in modeling stochastic
diffusion processes, such as the Brownian motion. The continuous time analogue of this model is
widely used in the random vibration analysis of structures. This stochastic diffusion processes are
not considered in this paper.
Parallel to developments in structural reliability analysis, the classical theory of equipment reliability
also utilized probabilistic concepts and methods. In this field, effects of all variabilities associated
with applied stresses, equipment capacity, and environmental factors are expressed by randomizing
the lifetime (T ) of the equipment. Therefore, the reliability analysis of a non-repairable system can
be formulated in terms of a single lifetime distribution. A non-repairable problem means that there
is no opportunity to repair the system after failure, which generally has sever consequences. Many
problems in structural engineering are of non-repairable type, e.g., collapse of a bridge or a building.
In case of a repairable system, it is assumed that after each failure the system is restored to as good as
new condition. The source of randomness is still in the lifetime of each replaced unit, also known as
the time between failure (T ). The stochastic renewal process turned out to be a natural candidate to
analyze this class of problem and compute the expected number of renewals, the renewal rate and the
unavailability of the system. There is a large body of literature on the optimization of maintenance
policies based on renewal processes and more advanced models like semi-Markov processes [2].
This field has exerted considerable influence on extending the application of the renewal processes
to structural reliability and maintenance problems [19].
A short overview paper of this type must include a disclaimer. Given the limited length of the
manuscript, it is impossible to review and cite a large body of literature on stochastic analysis of
structural reliability problems. Rather, a modest aim taken here is to summarize key ideas and trends

39
relevant to the central theme of this study.
A comprehensive study by Rosenblueth [16] introduced the renewal process model for the estimation
of expected losses caused by recurring hazards, such as, earthquakes, strong winds and tsunamis. An
original approach of Cornell to the modeling of seismic risk by the homogeneous Poisson process
has had a profound influence [4]. Since then, this model has served almost exclusively as a foun-
dation of numerous studies on risk, reliability and life cycle cost analysis in civil engineering [8].
The interest in the renewal process model was rekindled by Rackwitz [14], in which Rosenblueth’s
model was extended to combine it with the Life Quality Index framework [11]. In a series of papers,
Rackwitz and his co-workers applied the renewal process model to analyze effects of degradation
and maintenance in life cycle analysis [6, 15, 5].
Several studies reported in the literature share the following common aspects. The homogeneous
Poisson process model is omnipresent in the literature, as it leads to considerable analytical simplifi-
cations and avoids dealing with intricacies of stochastic theory [13, 14]. Life cycle cost analyses that
utilize the renewal process are largely based on asymptotic formulas for computing expected cost..
Although the asymptotic formulas are extremely simple, the underlying assumption that service life
approaches infinity is rather unrealistic in financial planning and capital budgeting over a finite life
of the structure [3]. This paper intends to show that such limitations can be overcome by utilizing
more refined concepts of the renewal process theory.
The paper is organized as follows. Section 2 presents basic terminology and a summary of models
that are developed based on the renewal theory. Applications of these models to solve different types
of problems are summarized in Section 3. The last Section presents key points of this study.

2 Stochastic Renewal Process: Basic Models

2.1 Point Process and Counting Process

S0 S1 S2 S3 Sn−1 Sn t Sn+

T1 T2 T3 Tn Tn+1

(a) Renewal process

Se0 Se1 Se2 Sen−2 Sen−1 t Sen

Te1 Te2 Ten−1 Ten

(b) Shifted renewal process

Figure 2: (a) A schematic of the renewal process. (b) An illustration of the renewal decomposition argument

40
A (simple) point process is a random and strictly increasing sequence of positive real numbers, S0 <
S1 < S2 < ∙ ∙ ∙ , without a finite limit point, i.e., as i → ∞, lim Si → ∞. A point process is equivalently
represented by a sequence of random inter-occurrence times, T1 , T2 , ∙ ∙ ∙ , with Tn = Sn − Sn−1 . The
arrival time of an ith event is a partial sum, Si = T1 + T2 ∙ ∙ ∙ + Ti , with the cumulative distribution,
FSi (x) = P [Si ≤ x] .
The number of events in a time interval, (0,t], denoted as N(t), t > 0, is referred to as the counting
process associated with partial sums, Si , i ≥ 1. The counting process can be defined in terms of an
indicator function as, N(t) = ∑∞
i=1 1{Si ≤t} . Note that 1A = 1 only if A is true, otherwise, 1A = 0.

2.2 Renewal Process

A point process is called an ordinary renewal process if inter-occurrence times, T1 , T2 , ∙ ∙ ∙ , form
a sequence of non-negative, independent and identically distributed (iid) random variables with a
common distribution, FT (t) (see Figure 2a). The word “renewal” implies that the process is reset
after each occurrence of the event of interest. For a renewal process, the distribution of Si is an i-
(i) (1)
fold convolution, FSi (t) = P [T1 + T2 ∙ ∙ ∙ + Ti ≤ x] = FT (t), Note that FT (t) = FT (t) and dFT (t) =
fT (t)dt, when the probability density of T exists. The renewal function, Λ(t), a key quantity that
characterizes the nature of the process is defined as the expected number of renewals in (0,t]:
" #
∞ ∞
(i)
Λ(t) = E [N(t)] = E ∑ 1{Si≤t} = ∑ FT (t). (1)
i=1 i=1

This expression is not useful in computation, as it involves an infinite series of convolutions that are
not easy to compute.
In case of the HPP model, T is an exponentially distributed random variable with distribution,
FT (t) = 1 − e−λ t . The renewal function of this process is a linear function of time, Λ(t) = λ t,
and the renewal rate is a constant, λ .

2.2.1 The Concept of Renewal Decomposition

The renewal decomposition refers to a basic property of the renewal process that after every renewal
a (probabilistic) replica of the original process starts again. Suppose a renewal process shown in
Figure 2(a) is observed after the occurrence of the first event at S1 = T1 , as shown in Figure 2(b). The
shifted process observed in the interval, (S1 , S1 +t] is associated with the sequence, Te1 , Te2 , . . ., where
e
Tei = Ti+1 . The counting process associated with shifted process is denoted as N(t). The renewal
e
decomposition property means: (1) The counting process N(t) has the same distribution as N(t),
e and T1 are independent.
and (2) The shifted process is independent of the time of the shift, i.e., N(t)
Using this decomposition property, the following integral equation for the renewal function can be

41
derived as [20]:
Z t
Λ(t) = FT (t) + Λ(t − y) dFT (y). (2)
0

The renewal rate is defined as the expected number of renewals per unit time, λ (t) = dΛ(t)/dt. A
direct numerical solution of this equation by the trapezoidal integration rule is much more simple
and practical, as compared to a traditional method based on the Laplace transform of Eq. (2).

2.3 Marked Renewal Process

X2
X1 Xn
Xn−1

0 S1 S2 Sn−1 Sn t
T1 T2 Tn

Figure 3: An example of a marked renewal process.

A marked renewal process, as shown in Figure 3, attaches a random mark, X, to each occurrence of
the event (or renewal). This model is defined by a sequence of iid random vectors (Ti , Xi ), i = 1, 2, . . ..
The joint distribution of (Ti , Xi ) is independent of (T j , X j ) for i 6= j, but a dependence between Ti and
Xi is permitted. [17]. The marked process is popularly known as a shock process.

2.4 Compound Renewal Process

A cumulative sum of marks in (0,t] is referred to as the compound renewal process , i.e.,
N(t) ∞
Y (t) = ∑ Xi = ∑ Xi 1{Si≤t} (3)
i=1 i=1

where N(t) is a counting process associated with the partial sum, SnT = ∑ni=1 Ti , n ≥ 1. The distribu-
tion of the compound process can be written in terms of the partial sum of marks, SnX = ∑ni=1 Xi :
h i ∞  
P [Y (t) ≤ y] = P X
SN(t) ≤ y = P [N(t) = 0] + ∑ P SnX ≤ y, N(t) = n (4)
n=1

If Ti and Xi are independent, the following expression can be obtained:

∞
(n)
FY (t) (y) == fN(t) (0) + ∑ FX (y) fN(t) (n) (5)
n=1

The above expressions are not suitable to compute the distribution of Y (t), as it involves an infinite
sum of n-fold convolutions. Furthermore, the probability mass function, fN(t) (n), of the counting

42
process may not be available in a general case. In summary, the derivation of distribution of a com-
pound process is not tractable by analytical means. The simulation method is more appropriate for
this purpose. Instead of the distribution, the moments of the compound process can be derived rather
easily using the renewal decomposition concept, as shown in [12].

2.5 Alternating Renewal Process

T1 T2 Tn
failure
X1 Y1 X2 Y2 Xn Yn renewal

0 S1 S2 Sn−1 Sn t

Figure 4: An alternating renewal process

This process involves two states of a system, which alternate in a stochastic manner. The system is
assumed to be in a state ”1” for duration X, and then it switches to the other state ”0” for duration, Y .
This sequence (X,Y ), (X1 ,Y1 ), , . . . of iid random vectors defines the alternating process. The renewal
cycle length is T = X +Y . The system returns to state ”1” at times S1 , S2 . . ..

2.6 A General Approach to Problem Solving

A general approach to solving a problem that involves some sort of renewals is a two step method.
Using the renewal decomposition property, a renewal-type integral equation is formulated:
Z t
z(t) = φ (t) + z(t − x) dFT (x)
0

Then, a solution of this equation is obtained as a convolution of the renewal function, Λ(t), with a
known, bounded function φ (t). derived from information given in the problem under consideration.
Z t
z(t) = φ (t) + φ (t − x) dΛ(x) (6)
0

3 Applications of Stochastic Renewal Models

3.1 Distribution of extremes of a load process
Structural loads generated by a recurring hazard, such as wind, snow and flood, can be modelled as
a marked renewal process with T being the inter-occurrence time and the mark, X, being the load
magnitude. A key quantity of interest is the distribution of maximum lifetime load:
∞
FXmax (x;t) = ∑ P [max(X1, . . . , Xn) ≤ x, N(t) = n] + P [N(t) = 0] (7)
n=1

43
When X and T are independent, a more compact formula can be written as
h i
FXmax (x; t) = E (FX (x)) N(t)
(8)
This can be evaluated from the following integral equation [10] :
Z t
FXmax (x; t) = FˉT (t) + FX (x) FXmax (x; t − u) dFT (u) (9)
0

In case of the HPP, an explicit solution is well-known, FXmax (x; t) = e−λ t(1−FX (x)) . This extreme load
distribution is an essential input to the lifetime reliability analysis of a “non-degrading” structure.
The pulse process is a minor modification of the mark renewal process, which considers the load
residency period. The pulse process assumes that the load duration is equal to the time between load
events. In this case, the distribution of of the maximum load can be derived using a similar argument.

3.1.1 Modeling effects of climate change on the load process

In the context of analysing effects of climate change on structural reliability, it is expected that
the frequency of load occurrences and associated load magnitudes would become time-dependent
random variables, resulting in a fairly non-stationary process. To model such effects, parameters of
the load distribution can be treated as functions of time. The occurrence frequency can also be made
time-dependent in a non-homogeneous Poisson process model. The non-stationary nature of the
load process may be difficult to model under the classical renewal model, and more refined analysis
techniques might be needed to solve the problem. This work is currently under progress.

3.2 Stochastic degradation models

Degradation in the structural capacity can be conceived to occur as a result of shocks experienced by
the structure. With this thinking, a degradation process can be modelled as a marked process with the
mark being a random amount of damage, Xi , generated by an ith shock. Thus, the total degradation
can be modelled as a compound renewal process. In this setting, the moments of degradation and
the moments of the lifetime distribution can be derived to support maintenance optimization [18] .
An alternative to shock process is the stochastic gamma process, which is an asymptotic form of a
compound process. In this model, the total degradation is gamma distributed with a time dependent
shape parameter, α (t). A degradation increment in an interval, [t1 ,t2 ], t2 > t1 , is also gamma dis-
tributed with the shape parameter, α (t2 ) − α (t1 ). The scale parameter, β , is the same in both cases.
Using this model, a number of problems related to optimization of preventive maintenance policies
can be conveniently solved [3].

3.3 Life cycle cost of structural damage

In the life cycle cost analysis, one of the most uncertain elements is the damage cost resulting from
exposure to external hazards. The ”damage cost process” can be modelled as a marked renewal

44
process, defined by an iid sequence, (Ti ,Ci ), where Ci is the damage cost associated with an ith
N(t)
event. The total cost, K(t), is therefore a compound process, K(t) = ∑i=1 Ci . In case of discounting,
the total discounted cost is given as, KD (t) = ∑∞
i=1 Ci e
−ρ Si 1
{Si ≤t} . The derivation of moments (mean
and variance) of K(t) and KD (t) is based on the idea of renewal decomposition, as explained in [12].
For example, a result for the expected discounted cost is given as
Z t
E [KD (t)] = φD (t) + φD (t − s)e−ρ s dΛ(s) (10)
0
 
where φD (t) = E Ce−ρ T 1{T ≤t} . When C is independent of T , the evaluation of moments of the
total cost is greatly simplified, as the solution of integral equations is no longer required.
The compound cost process has remarkably simple asymptotic limits for the total cost per unit time
and the total discounted cost, which are given as
 −ρ T 
K(t) E [C] ∞ E Ce
k∞ = lim = , and kD = lim E [KD (t)] = (11)
t→ ∞ t E [T ] t→∞ 1 − E [e−ρ T ]
Asymptotic solutions require evaluations of expected cost and cycle length in a single cycle only.
By using these solutions a formal stochastic analysis of the problem can be completely avoided.

3.4 Unavailability Analysis: Application to Resilience Models

The system unavailability at time t is modelled by a binary process , U(t), defined as U(t) = 1, if
system is unavailable at time t, otherwise it is 0. The point unavailability is the probability, U (t) =
P [U(t) = 1] = E [U(t)] . The solution to this problem is based on an alternating process and given
by an integral equation [20]:
Z t
U (t) = G(t) + G (t − s)dΛT (s), where G(t) = FX (t) − FT (t) (12)
0
The unavailability model is readily applicable to the resilience analysis of an infrastructure system.
The shape of distribution of the time to repair (Y ) is analogous to recovery function followed by an
accident [1]. The lower the degree of unavailability, the higher is the system resilience. This topic of
research is currently under investigation.

3.5 Combination of stochastic load and degradation processes

Problems involving a combination of two stochastic load processes, or a load and a degradation
process are difficult to analyze in a general setting. Only in case of the HPP model, a superposition
of marked processes as well compound processes can be solved analytically. For general renewal
processes, there is no simple, analytical solution for the superposition problem. For example, a
reliability problem involving a gamma degradation process and a marked Poisson load process re-
quires the solution of a complex stochastic integral of a gamma process [9]. Therefore, the stochastic
combination should be approached with a caution, or else it should be simplified by a conceptual
reformulation of the problem.

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4 Conclusions
This paper presents a brief overview of stochastic renewal models applicable to structural reliabil-
ity analysis. The paper highlights that a fundamental property of renewal decomposition is a key
to solving a larger class of problems related to reliability and life cycle analyses. The renewal pro-
cess model is useful in generalizing many existing solutions as well as solving problems of current
interest, such as analyzing the effect of climate change on environmental loads, and modeling the re-
silience of infrastructure systems. The renewal process model can be refined to solve more complex
problems using the concept of the Markov (and semi-Markov) modulated processes.

Acknowledgement
The author is grateful to many colleagues and students for numerous helpful discussions related to
the theme of this paper. In particular, the author is really fortunate to have the opportunity to learn
and work with Professors J. van der Weide, N.C. Lind, J. Noortwijk, and P. van Gelder. The financial
support for this study provided by NSERC and UNENE is thankfully acknowledged .

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