Computational Procedures in Structural Reliability

G. I. SchuEller and V. Bayer Institute of Engineering Mechanics University of Innsbruck A - 6020 Innsbruck Austria
Abstract
Mainly due l o lack of respective available data and pmcednres, traditional methods of analysis and design of engineering structures, generally, neglect the physical, i.e. intrinsic uncertainties of the various parameters involved. In the present paper it i s shown how the treatment of structural systems becomes feasible by interrelating mechanical and probabilistic modeling procedures, e.g. by eficient structural analyses as well as accurate stochastic procedures such as Monte Carlo type simulations. Numerical examples are presented. cantly, as it was already observed in 1964 by FreudenthaZ[16]. The theory of structural reliability however p r e vides a tool to treat the uncertainties involved in the analysis and design process by rational means. As additional data become available] the results of the analysis certainly improve. This is due to the resulting improvement of the probabilistic modeling which allows a better extrapolation of the distributions to the tails of interest. Hence, the credibility of the results of the structural reliability analysis depends strongly on both the mechanical and the probabilistic modeling. Additionally the accuracy of the computational procedures to determine the reliability estimates is of equal importance. For reasons of practicability they also have to meet the requirement of efficiency. Particularly for practical problems] the limit state function g(x), which refers to the respective failure condition - e.g. collapse, serviceability] etc. - in general is not known explicitely. In fact, quite frequently it is known only pointwise from structural (FE - ) analyses.For those cases the so-called Response Surface Method (RSM) proves to be most instrumental. The present paper concentrates on the computational aspects and hence the assessment of various methods to calculate the failure probabilities in view of accuracy] efficiency and the possibility of practical application.

Introduction

The sophistication in mechanical modeling of structures has progressed considerably, particularly within the last three decades. This was mainly due to the development of the Finite Element method (FEM), which, by utilizing high-speed computers, proved to be computationally most efficient. This goes along with an equally dramatic development of material science which provided significant additional insight in material properties. The latter contains information on statistical variation of strength as well as its spatial correlation, etc. In addition, great efforts have also been put into load observation programs. The results of these programs] again, reflect the statistical variation of loads in space and time. It is interesting to observe that, despite of these developments, analysis and design procedures, by and large, still followed the traditional lines, i.e. selecting from the spectra of values for each parameter a particular value, e.g. maximum values for loads, minimum or mean values for material properties, and mainly empirically based safety factors. In other words, the degree of accuracy between structural, i.e. stress analysis on one hand and load, material and safety analyses on the other hand still diverge signifi-

Methods to determine failure probabilities

General remarks

2.1

The basic problems in structural reliability are on one hand concerned with the determination of the limit state function g ( x ) , and on the other hand with

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0.8186-3850.8193 $3.00 8 1993 IHBB

the solution of a generally multi-dimensional integral

PI =

J
50

fx(x) dx

For this purpoee the NLPQGAlgorithm [271, which utilizes a differentiable augmented Lagrange function proved t o be most useful. From linearization the failure probability yields

dx)

where f x ( x ) is the joint density function of the random variables involved. While the limit state function can be determined by utilizing the well-known procedurea of structural analysis - preferably the FEM -, the solution of the multi-dimensional integral bas been, and still is, subject to detailed investigation, i.e. by utiliring either approximate, accurate and exact procedures, respectively. Due to the nature of the problem, which lies in the properties of the limit state function, i.e. the boundaries of the integration domain, as well as in the high dimensionality, the last mentioned possibility is not tractable. Also numerical integration is not practicable because it is too time consuming. For these reasons the major developments concentrated on approximate (first and second order) as well as accurate (efficient simulation) reliability methods. For an early review of both lines of developments it is referred to [12], [24. The following discussion concentrates mainly on the methods capability in context with practical application. In this context it is important to stress, that any structural reliability analysis must reflect the same features of the mechanical modeling as used in deterministic analysis. In other words, nonlinear mechanical effects with respect to geometrical (e.g. PA-effect, etc.) and material (e.g. plasticity effects, etc.) nonlinearities have to be included in the model.

P/ = 1 - @(P)= @(-P)
where

(1)

a(.) is the standard normal distribution.

failure

Fig. 1. Design point U* and reliability index p in uncorrelated standard normal space.

2.2

Approximate methods

Shortcomings of FORM are that the design point may not be found, or that several local minima of the distance to the origin exist. This can be the case for highly nonlinear or not differentiable limit state functions. Results obtained with the FORM procedure, however, reveal errors of several orders of magnitude when compared to exact or accurate methods such as simulation, as the numerical examples will show. The Second Order Reliability Method (SORM) utilizes a quadratic approximation of the limit state function at the design point
n- 1

The First Order Reliability Method (FORM) is based on a linearization of the limit state function. The basic random variables X are at first transformed to standard normal variables Y, e.g. by Nataf transformation, see [22]. Uncorrelated variables are then obtained by multiplying Y with the triangularized covariance matrix. The limit state function is linearized at the point of maximum likelihood. The geometrical interpretation of this so-called design point in standard normal space, U*,is the point on the limit surface g(u) with shortest distance to the origin, see Fig. 1. This distance is called reliability index p, see e.g. [19], [28]. In this context it should be noted that the basic notion of this formulation goes already back to an early work of Freudenthal [15], who denoted this distance by p. The search for the design point can be carried out by any nonlinear optimization procedure.

g(x) = 2,

i=l

ni . zi
2

with K the curvatures of the limit state function evaluated at the design point. If the design point can not be uniquely determined, i.e. if 1 local minima of /3 exist, the failure probability can be expressed as (after [41,

[m:

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However, difficulties with the determination of the design points, as mentioned above, may also apply here as well. The SORM has been proved to approach the exact solution for /3 4 00 in [4], [6], though realistic values are in the range of 3 to 5. Since for problems with non-normal variables, even for a linear limit state function, the function reveals nonlinear properties when transformed into the normal space - which is then linearized again at the design point when applying FORM, it is suggested in [5], [15], and [28] to perform the approximation in the original space, i.e. to use the maximum likelihood point a~ the design point, also for non-normal random s variables, where in the first work the method i based on asymptotic analysis.

where p j w lo-', because the number of simulations has to be significantly higher than the inverse value of p j . This led to the development of several variance reduction techniques for Monte Carlo simulation. Some of them are presented in the following. The idea of importance sampling is to concentrate the samples in the region which contributes most to the total failure probability, see [17, 26, 291. For this purpose a weighted simulation is carried out. The weighting function h x ( x ) is introduced as follows, without any loss of accuracy: pf =

-m

J I(g(x)) hd9 hX(4

*

'

h x ( x ) dx

(9)

2.3

Accurate methods

which is the expectation with respect to the weighting function h x ( x )

The Monte Carlo simulation procedure is a powerful tool to solve the multi-dimensional integral over the failure domain. It gives an unbiased estimator for the failure probability. An indicator function is defined as follows:

The unbiased estimation for p j is now carried out by simulating samples xi following the distribution h x ( x ) and then dividing the estimation by h ~ ( x ) :

1 ifg(x) 5 0 0 ifg(x) > O

The failure probability then yields

(4)

The variance of p f can be estimated as

which is interpreted as the expected value

and becomes zero for an ideal weighting function, defined only in the failure domain Xlg(x) 0:

<

An unbiased estimator for the expectation is

. N

(7)
with xi the ith realization of a simulated sample of size N . The variance of the estimation is
U;,

= E m - EEf1)21 = (Pf - P ? ) l N

(8)

The estimation obtained by Monte Carlo simulation approaches the exact failure probability for N -+ 00. Thus, the computational effort is very high and the method is not tractable for practical applications

This ideal weighting function can not be obtained in practice, because p j has to be known in advance, see [3]. Evaluation of weighting density functions for efficient simulation is still subject to investigation, see e.g. [18], [20]. For importance sampling procedures a software is already available, i.e. the Importance Sampling Procedure Using Design Points (ISPUD, see [2]), which utilizes the uncorrelated standard normal space. The variables are transformed and the design point is evaluated as described in section 2.2. As weighting function hX(x) a normal distribution with mean value at the design point is utilized. The ISPUD procedure is more robust towards problems in determining the

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design point than FORM, because the simulation is spread within an area around the point which is identified by the optimization procedure. However, simulation procedures require higher computational effort than FORM.It should be noted, that the main task in a practical application of reliability analysis is generally the mechanical modeling and determination of the limit state function by structural analysis. Compared to this, the computational efforts for simulation are of less significance. To avoid the search for the design point and to obtain an improved weighting function for simulation, the Adaptive Sampling Procedure (ADSAP) has been developed, see [8],[lo]. The idea is to obtain information about the failure domain by an initial simulation with relatively high sampling variance and to improve the weighting function after each simulation run. The failure domain is described by the first and second statistical moment

Note that several points lying in one direction a may exist. If there exists only one such point, then the conditional failure probability is defined as:

P f b = P [ ' 2 r'(41 =

.fRIA(rb) dr (16)

.*(a) = 1- X:(r*(a))

The total failure probability is the expected value of the conditional failure probabilities, estimated from simulation by

W = E[Xlg(x) 5 01 I E[YYT] = EIXXTIg(x) 5 01

(14) (15)

Directional Simulation is especially suitable for limit state surfaces similar to a hypersphere around the origin. It can be improved by importance sampling of the vector a (see e.g. [1],[13]) and adaptive strategies (P11)*

which are estimated by initial simulation. A normal distribution can be uniquely defined by two statistical moments, hence it is utilized as weighting function h y ( y ) for simulation. For the second and succeeding simulation runs the weighting function is adapted by utilizing the statistical moments estimated from the previous run. Usually the variance of the estimated p f decreases with each adaption of the weighting function. Experience with the ADSAP procedure shows that at least four simulation runs are necessary to obtain a reasonable variance for Pf. Although this causes higher computational effort than for ISPUD, ADSAP is much more robust towards highly nonlinear or not differentiable limit state functions. Directional Sampling also does not require the determination of the design point. It has the further advantage of higher accuracy for cases where the distance between the failure domain and the respective mean values of the variables is large. The procedure is performed in the standard normal space by simulating unit direction vectors AT = [cos 0; 0 , where 0 is sin 1 uniformly distributed. For each realization of a the a conditional failure probability p f l can be accurately evaluated by integration. The limit state function has to be expressed by polar coordinates R, A with R the distance to the origin. The boundaries for integration are the points r* a on the surface g(r, a) = 0.

Response Surface Method

For the computation of the failure probability of a structure by any of the previously described methods, the determination of the limit state of the structure is one of the main tasks to be carried out. The limit state - as stated above - can be defined for example by total collapse of the system, fatigue or the loss of serviceability, etc. The evaluation of the limit state function of the basic variables is carried out by mechanical, i.e. structural analysis. Explicit formulations of the limit state function are rarely available for structures used in practice. Usually they are only available for small systems and with simplifications in the structural analysis. To reach the limit state, in particular if it is defined as total collapse of a structure, nonlinear effects such as plasticity or P A effects, etc., have to be considered. As already mentioned above, required structural analysis can be quite accurately carried out by FEM, yielding single points of the structural response for a set of input variables. The Response Surface Method (RSM) utilizes these points to approximate the exact limit state function by interpolation. Again it should be noted that, despite this approximation, all effects in the mechanical model can be taken into account to calculate the various points. In this regard, RSM is an interface between the mechanical and probabilistic analysis of a structure.

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Earlier approaches, e.g. 1141, [25], propose to calculate the structural response g(x) at the mean values of the variables Z i and at Z i f n oxi (with n e.g. = 1.5 3). As these points are generally located still in the safe domain, the limit state g(x) = 0 can only be reached by extrapolation, which may cause additional inaccuracy. In applying simulation techniques as described in section 2.3, it is decided, by utilizing the indicator function I ( g ( x ) ) ,whether or not a sample is in the safe or the failure domain (see eqns. (4), (5)). Therefore the limit state g(x) = 0 is of main interest. It has been suggested in [ll] to calculate points on g(x) = 0, which can be carried out by incrementally increasing an initial set of variables until failure occurs. This leads to a more accurate approximation of the limit state than the above approach. Amongst other possible functionals, here the approximation by a second-order polynomial is described (see also [ll], [23]). The polynomial reads

4.2

Examples

Example 1: Suppose the limit etate function is a

parabola, defined as follows:
n

where P = 3, n = 10, Q = The randomvaria b l e Xi are independent and standard normally distributed. The results obtained by FORM and ISPUD are shown in Table 1, where V denotes the so-called standard error of estimate, in this case defined as

i , 4, 3.

For Q = 1/6 the exact solution is given in [26] as 1.41.10-. It can be seen that FORM does not depend on the curvature of the limit state surface, which is influenced by a. FORM considerably underestimates the failure probability. ISPUD results are based on 500 simulations.

I
where n is the number of basic variables. The third term is symmetric, i.e. cij = cji. Hence,

I FORM I
1/6
1/7

ISPUD

I
26 18

n(n l+Tl+-

+ 1)
2

I 1.4.
I
1.4

1 . 1 . lo-

I 6 . 1 . lo-

points x have to be evaluated to form a determined equation system for the unknown coefficients b and C. If the equation system is overdetermined, e.g. a least square fitting procedure can be applied. The accuracy of the RSM, i.e. capability of the response surface to model the structural behaviour has been investigated in [23], see Appendix.

Table 1. Failure probabilities for parabolic limit state surfaces.

4
4.1

Numerical examples
General remarks

The first example is of theoretical type and is intended to show the capabilities of FORM, ISPUD. The second example describes a practical application, where the plastic failure load of a steel cross section of a crane type structure had to be determined. This was accomplished by application of the Response Surface Method.

Example 2: This example reflects a more practical application of reliability analysis. The considered structure is the jib of a crane. As failure criterion the formation of a plastic hinge in a cross section is assumed. For the sake of simplicity only one cross section of the jib is considered here. The sectional force and moment repectively are calculated by static analysis. The moment M / axial force N - interaction for full plastification of the cross section is evaluated for five discrete ratios MIN. Through these five points a quadratic polynomial is interpolated, as described in section 3. The randomness of the load and the radius of the crane, respectively, are taken into account. During the simulation procedure, M and N, in the considerded cross section, are calculated from the sample sets. Therefore the dependence of the limit state on the basic variables, load and radius, is not of quadratic type anymore and hence can not be formulated explicitely.

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Field measurements formed the basis for the following assumptions: the load is aseumed to be lognormally distributed with mean 2.0. 106N and coefficient of variation 10% and the radius uniformly distributed within the range of [2.4m ; 28.Oml. The result calculated with ISPUD i@ = 0.6-108, s! with FORM ijf = 0.5 lo. In this case, FORM overestimates the failure probability.

6. Given t* the exact value g ( x ) can be calculated.

7. An indicator is defined as

With this indicator the proposed error estimator reads

. N

Concluding remarks Acknowledgement

This research is partially supported by the Austrian Industrial Research Promotion Fund (FFF) under contract no. 6/636, which is gratefully acknowledged by the authors.

It is shown, that accurate methods, i.e. advanced simulation procedures such as importance and adaptive sampling - in context with the Response Surface Method - meet the requirements of the utilization of sophisticated mechanical modeling as well aa computational efficiency. Approximate methods, such as first order reliability methods (FORM) may, for some cases, provide inaccurate results. Unfortunately they still lack mathematical based guidelines concerning their range of applicability. In other words, for all new types of problems the results still have to be verified by simulation techniques. This may be considered as a considerable drawback, particularly for practical application. Hence an immediate application of advanced simulation techniques is advisable. Future developments should be guided towards a further improvement of the efficiency of advanced simulation procedures as well as to the development of user friendly structural reliability software.

References
[l] Bjerager, P.: Probability Integration by Directional Simulation, Joumal of Engineering Mechanics, ASCE, Vol. 114, No. 8, 1988, pp. 12851302 [2] Bourgund, B., Bucher, C. G.: Importance Sampling Procedure Using Design Points (ISPUD) A Users Manual, Report no. 8-86, Institute of Engineering Mechanics, University of Innsbruck, Austria, 1986 [3] Bourgund, U., Ouypornprasert, W., Prenninger, P. H. W.: Advanced Simulation Methods for the Estimation of Systems Reliability, Internal Working Report No. 19, Institute of Engineering Mechanics, University of Innsbruck, Austria, 1986
[4] Breitung, K. W.: Asymptotic Approximations for Probability Integrals, Habilitations schrift, Seminar fur angewandte Stochastik, Ludwig Maximilian Universitat Munchen, Germany (in English), 1992

Appendix
For an explicitely given limit state function the accuracy of RSM can be estimated as suggested in [ll]. For this purpose a conditional sampling is carried out:

1. A weighting distribution h ~ ( xfor simulation of ) samples x is obtained by Adaptive Sampling as described in section 2.3.
2. The most important variable X is identified by sensitivity analysis.
3. A set of random variables x excluding I* is simulated utilizing the weighting function h ~ ( x ) .

[5] Breitung, K. W.: Probability Approximations by Log-Likelihood Maximization, Joumal of Engineering Mechanics, ASCE, Vol. 117, No.3, March 1991, pp. 457-477 [6] Breitung, K. W.: Asymptotic Approximations for Multinormal Integrals, Joumal of Engineering Mechanics, ASCE, 110, No. 3, pp. 357-366, 1984

4. Values of the response surface g(x), which is itself a random variable, are simulated near j ( x ) = 0. 5. For each realization g(xi) and x,! the value xr is calculated.

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[7] Breitung, K. W.: Asymptotic Approximations for Multinormal Domain and Surface Integrals, Proc., 4th International Conference on Application of Statistics and Probability in Soil and Structural Engineering, Ed.s Augusti, G. et al., Pitagora Editrice, Bologna, Vol. 2, pp. 755-767, 1983
[SI Bucher, C.G.: Adaptive Sampling- An Iterative Fast Monte Carlo Procedure, Structural Safety, Vol. 5, No. 2, June 1988, pp 119-126 191 Bucher, C. G., Bourgund, U.: A Fast and Efficient Response Surface Approach for Structural Reliability Problems, Structural Safety, 1990, V01.7, NO. 1, 1990, pp. 57-66

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[lo] Bucher, C. G., Nienstedt, J., Ouypornprasert, W.: Adaptive Strategies in ISPUD V 3.0, Report no. 25-89, Institute of Engineering Mechanics, University of Innsbruck, Austria, 1989 ill] Bucher, C. G., Pradlwarter H. J., Schueller, G. I.: COSSAN - Ein Beitrag zur Software-Entwicklung fur die Zuverliissigkeit von Strukturen , VDI, Bericht aur Zuverlkigkeit von Komponenten Technischer Systeme, 1989, Dusseldorf, Germany, pp. 271-281

[12] Ditlevsen, O., Bjerager, P.: Methods of Structural Systems Reliability, Structural Safety, 3 (1986), pp. 195-229 [13] Ditlevsen, O., Olesen, R., Mohr,G.: Solution of a Class of Load Combination Problems by Directional Simulation Structural Safety, 1987, Vol. 4, pp. 95-109 [14] Faravelli, L.: Response Surface Approach for Reliability Analysis, Journal of Engineering Mechanics, ASCE, 1989, Vol. 115, No. 12, pp. 27632781 [15] Freudenthal, A. M.: Safety and the Probability of Structural Failure , Tk-ansaciions, ASCE, Vol. 121, Proc. Paper 2843, 1956, pp. 1337-1397 [16] Freudenthal, A. M.: Die Sicherheit der Baukonstruktionen, Acta Technica Hungarica, 46, pp. 417-446, 1964 [17] Harbitz, A.: An Efficient Sampling Method for Probability of Failure Calculation, Structural Safely, Vol. 3, No. 2, pp. 109-116, 1986

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[28] Shinozuka, M.: Basic Analysis of Structural Safety , Journal of Structural Engineering, ASCE, Vol. 109, No. 3, March 1983, pp. 721-740 [291 Stix, R., Schueller, G. I.: Uber die Genauigkeit der Methoden zur Berechnung der Versagenswahrscheinlichkeit, Internal Working Report No. 3, Institute of Engineering M c a i s Uniehnc, versity of Innsbruck, Austria, 1982/1986

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