EngOpt 2008 - International Conference on Engineering Optimization

Rio de Janeiro, Brazil, 01 - 05 June 2008.

Reliability-Based Optimization of Structural Systems under Stochastic
Excitation
Hector A. Jensen, Macarena S. Ferre
Department of Civil Engineering, Santa Maria University, Valparaiso, Chile, hector.jensen@usm.cl
1. Abstract
This work presents an ecient methodology to carry out reliability-based structural optimization of non-
linear systems under stochastic loading. The optimization problem is formulated as the minimization of
an objective function subject to reliability constraints. The reliability constraints are given in terms of
rst excursion probabilities. A sequential approximate optimization scheme based on global approxima-
tions of the reliability constraints is implemented in the proposed formulation. The approximations of
the rst excursion probabilities in terms of the design variables are constructed by combining a global
mixed linearization approach with a reliability sensitivity analysis. A numerical example that illustrates
the eectiveness of the method is presented.
2. Keywords: Non-linear systems, reliability-based optimization, sensitivity analysis, simulation meth-
ods.
3. Introduction
The reliability-based structural synthesis of non-linear systems subject to stochastic excitation is asso-
ciated with high computational costs. During the optimization process reliability measures need to be
evaluated several times before an optimal design can be obtained. This in turns implies the repeated
evaluation of dynamic responses which can be extremely time consuming for complex structural sys-
tems. Thus, the direct solution of this class of optimization problems is not feasible from a practical
point of view. Under these conditions the use of approximation strategies are needed for an ecient
structural synthesis. Several approximation strategies with various capabilities, accuracy and eciency
have been suggested in the context of reliability-based optimization [1,2,3,4]. In this work, the use of
a sequential approximate optimization approach based on global approximations is considered for the
solution of structural synthesis problems with reliability constraints. A direct analysis is rst used to
analyze an initial design and then to generate information that allows the construction of objective and
constraints approximations. An optimization procedure is then applied to the approximate optimiza-
tion problem. Following an optimization based on approximate analyses, an exact analysis is performed
at the design point obtained by the approximate optimization and new sensitivities are calculated. In
this manner, a new approximation for the objective and constraint functions can be constructed. The
process is repeated until convergence is achieved. A conservative approximation scheme is used for the
purpose of approximating the objective function and reliability constraints in terms of the design vari-
ables. Using this approximation strategy a convex and separable approximate optimization problem is
generated. The objective of this work is to apply the above general scheme to problems involving the
structural synthesis of non-linear systems under stochastic excitation with multiple reliability constraints.
4. Reliability-Based Optimization Problem
Consider the following structural optimization problem
Min F({x})
subject to
P
F
j
({x}) P

F
j
, j = 1, ..., n
c
(1)
with side constraints
{x} X, x
i
X
i
= {x
i
|x
l
i
x
i
x
u
i
} , i = 1, ..., n
d
1
where {x}, x
i
, i = 1, ..., n
d
is the vector of design variables, F({x}) is the objective function, P
F
j
({x})
is the probability of the failure event j evaluated at the design {x}, P

F
j
is the target failure probability
for the event j, x
l
i
and x
u
i
denote the lower and upper limits for the design variables, respectively, and
n
c
is the number of reliability constraints. Given a design {x} , the probability of failure P
F
j
({x}) is
determined by
P
F
j
({x}) =
_

F
j
f({z}/{x})d{z} , j = 1, ..., n
c
(2)
where {z}
{z}
R
n
rv
is the vector of uncertain variables involved in the problem, f({z}/{x}) is the
probability density function of {z} conditioned on {x}, and
F
j
is the failure domain of event j in the

{z}
space. For systems under stochastic excitation, the probability that design conditions are satised
within a particular reference period (rst excursion probability) provides a useful reliability measure.
The failure events F
j
, j = 1, ..., n
c
are dened as
F
j
({x}, {z}) = {max
i=1,...,n
j
max
t[0,T]
| s
i
j
(t, {x}, {z}) |> s

j
} (3)
where [0, T] is the time interval, s
i
j
(t, {x}, {z}), j = 1, ..., n
c
, i = 1, ..., n
j
are the response functions as-
sociated with the failure criterion j, and s

j
is the corresponding critical threshold level. Note that the
failure probability functions P
F
j
({x}), j = 1, ..., n
c
account for the uncertainty in the excitation. Then,
the components of the vector {z} represent the random variables involved in the characterization of the
stochastic excitation. The response functions s
i
j
(t, {x}, {z}), j = 1, ..., n
c
, i = 1, ..., n
j
are obtained from
the solution of the equation of motion that characterizes the structural model.
5. Approximate Reliability Constraints
During the optimization process the reliability constraints must be estimated several times. The esti-
mation of these quantities for every change of the optimization variables requires the estimation of the
probability of failure of the structural system. The repeated estimation of the failure probability can
be extremely time consuming for systems of practical interest. In the present formulation the compu-
tational cost problem is addressed by the use of a sequential approximate optimization approach. The
solution of the reliability-based optimization problem is obtained by transforming it into a sequence of
sub-optimization problems having a simple explicit algebraic structure. The process is repeated until
convergence is achieved, typically measured by the magnitude of changes in the objective function or
the degree of satisfaction of the optimality conditions.
The failure probability functions P
F
j
({x}), j = 1, ..., n
c
are represented using approximate functions
dependent on the design variables. In particular, the construction of the approximate optimization
problems is based on the approximations of the transformed failure probability functions h
F
j
({x}) =
ln[P
F
j
({x})], j = 1, ..., n
c
. The transformed failure probability functions are approximated globally by
using the mixed linearization

h
F
j
({x}) = h
F
j
({x
0
}) +

(i
+
j
)
h
F
j
({x
0
})
x
i
(x
i
x
0
i
) +

(i

j
)
h
F
j
({x
0
})
x
i
x
0
i
x
i
(x
i
x
0
i
) , (4)
j = 1, ..., n
c
where {x
0
} is a point in the design space, and

(i
+
j
)
and

(i

j
)
means summation over the variables
belonging to group (i
+
j
) and (i

j
), respectively. Group (i
+
j
) contains the variables for which
h
F
j
({x
0
})
x
i
is
positive, and group (i

j
) includes the remaining variables. The expansion given by Eq.(4) corresponds to
a linear approximation in terms of the direct variables (x
i
) for the variables belonging to group (i
+
j
), and
a linear approximation in terms of the reciprocal variables (1/x
i
) for the variables belonging to group
(i

j
). The above linearization is called convex approximation since the conservative approximation is a
convex function.
2
6. Approximate Primal Problem
Using the convex linearization for the objective and constraint functions the following approximate
primal problem is generated
Min

(i
+
)
F({x
0
})
x
i
x
i

(i

)
F({x
0
})
x
i
(x
0
i
)
2
x
i
subject to

(i
+
j
)
h
F
j
({x
0
})
x
i
x
i

(i

j
)
h
F
j
({x
0
})
x
i
(x
0
i
)
2
x
i

h
j
(5)
j = 1, ..., n
c
where

h
j
= h
F
j
+

(i
+
j
)
h
F
j
({x
0
})
x
i
x
0
i

(i

j
)
h
F
j
({x
0
})
x
i
x
0
i
h
F
j
({x
0
}), (6)
with h
F
j
= ln[P

F
j
] and side constraints
{x} X, x
i
X
i
= {x
i
|x
l
i
x
i
x
u
i
} , i = 1, ..., n
d
(7)
If the objective function F({x}) is explicit in {x} the derivatives F({x
0
})/x
i
can be evaluated
directly. On the other hand, a method to compute the gradients of the transformed failure probability
functions h
F
j
({x
0
})/x
i
will be described in a subsequent section. The convex approximation intro-
duces some convex curvature in the approximate functions and therefore the approximate optimization
problem does not require in general any control parameters such as move limits [5,6]. Thus, the side
constraints for the approximate primal problem are chosen as in the original optimization problem. It
is noted that the approximate optimization problem (5-7) is convex. This is due to the fact that the
approximations of the objective and constraint functions are convex and therefore the feasible domain
of the approximate optimization problem is also convex.
7. Implementation
The optimization process is implemented as follows:
1) Start with an initial feasible design {x
k
}, k = 0. If the initial design is unfeasible, the optimization
scheme may have convergence diculties because of the conservative character of the approximate con-
straints. In some applications is dicult to get an initial feasible design because the initial design may
violate some of the reliability constraints. To cope with this diculty, an auxiliary initial optimization
problem must be solved in order to nd an initial feasible design for the optimization problem [7].
2) Approximate the objective function F({x}) and the transformed failure probability functions
h
F
j
({x}) = ln[P
F
j
({x})], j = 1, ..., n
c
using the convex linearization approach about the current design
point {x
k
}.
3) Formulate the explicit convex optimization problem
Min

(i
+
)
F({x
k
})
x
i
x
i

(i

)
F({x
k
})
x
i
(x
k
i
)
2
x
i
subject to

(i
+
j
)
h
F
j
({x
k
})
x
i
x
i

(i

j
)
h
F
j
({x
k
})
x
i
(x
k
i
)
2
x
i

h
j
(8)
3
j = 1, ..., n
c
where

h
j
= h
F
j
+

(i
+
j
)
h
F
j
({x
k
})
x
i
x
k
i

(i

j
)
h
F
j
({x
k
})
x
i
x
k
i
h
F
j
({x
k
}), (9)
with side constraints
{x} X, x
i
X
i
= {x
i
|x
l
i
x
i
x
u
i
} , i = 1, ..., n
d
(10)
4) Solve the approximate subproblem to obtain an optimal solution {x

}. The solution of this

problem can be obtained in an ecient manner due to the explicitness and separability of the functions
involved in the problem in terms of the design variables. In addition, since the approximate optimization
problem is convex, it has only a single optimum. The new point is used as the current design for the
next cycle, that is, {x
k+1
} = {x

}. Set k = k + 1, and go to step 2.

5) The process is continued until some convergence criterion is satised. A convergence criterion
dened in terms of the relative change in the objective function between two consecutive design cycles
is implemented here.
8. Reliability Analysis
It is seen that the reliability constraints of the structural optimization problem previously dened are
given in terms of the excursion probabilities P
F
j
, j = 1, ..., n
c
. In this work, a subset simulation technique
[8] is adopted and integrated into the optimization process. In this approach, the failure probabilities
are expressed as a product of conditional probabilities of some chosen intermediate failure events, the
evaluation of which only requires simulation of more frequent events. Therefore, a rare event simulation
problem is converted into a sequence of more frequent event simulation problems. For example, the
failure probability P
F
j
({x}) can be expressed as the product
P
F
j
({x}) = P(F
j,1
({x}, {z}))
l1

k=1
P(F
j,k+1
({x}, {z})/F
j,k
({x}, {z})) , (11)
where
F
j,l
({x}, {z}) = { max
i=1,...,n
j
max
t[0,T]
|s
i
j
(t, {x}, {z})| > s

j
} , (12)
is the target failure event, and F
j,l
({x}, {z}) F
j,l1
({x}, {z})... F
j,1
({x}, {z}) is a nested se-
quence of failure events. Equation (11) expresses the failure probability P
F
j
({x}, {z}) as a product
of P(F
j,1
({x}, {z}) and the conditional probabilities P(F
j,k+1
({x}, {z})/F
j,k
({x}, {z})), k = 1, ..., l 1.
It is noted that, even if P
F
j
({x}) is small, by choosing l and F
j,k
({x}, {z}), k = 1, ..., l 1 appropriately,
the conditional probabilities can still be made suciently large, and therefore they can be evaluated
eciently by simulation because the failure events are more frequent. The intermediate failure events
are chosen adaptively using information from simulated samples so that they correspond to some speci-
ed values of conditional failure probabilities [8]. As previously pointed out, to compute P
F
j
({x}) one
need to compute the probabilities P(F
j,1
({x}, {z}) and P(F
j,k+1
({x}, {z})/F
j,k
({x})), k = 1, ..., l 1.
P(F
j,1
({x}, {z})) can be readily estimated by Monte Carlo simulation using, for example, N
1
in-
dependent and identically distributed samples simulated according to the probability density func-
tion of the vector of random variables {z}. On the other hand, the conditional failure probabilities
P(F
j,k+1
({x}, {z})/F
j,k
({x}, {z})), k = 1, ..., l 1 are estimated by using N
k
samples simulated accord-
ing to the conditional distribution of {z} given that it lies in F
j,k
({x}, {z}). Validation calculations have
shown that the method is robust to dimension size and ecient in computing small probabilities.
9. Reliability Sensitivity Estimation
From Eq. (4) it is seen that the characterization of the approximate transformed failure probability
functions requires the estimation of the gradients, that is,
4
h
F
j
({x})
x
i
, i = 1, ..., n
d
, j = 1, ..., n
c
(13)
For this purpose, the excursion probability functions P
F
j
({x}, j = 1, ..., n
c
are approximated locally
about the current design point {x
k
} as

P
F
j
({x}) = exp

j
0
+

n
d
l=1

j
l
(x
l
x
k
l
)
, j = 1, ..., n
c
(14)
Using this representation of the failure probability functions it is clear that the gradients of the
transformed failure probability functions can be readily estimated as
h
F
j
({x})
x
i

j
i
, i = 1, ..., n
d
, j = 1, ..., n
c
(15)
Therefore, the gradients of h
F
j
({x}) can be estimated directly from the coecients {
j
},
j
i
, j =
1, ..., n
c
, i = 1, ..., n
d
. These coecients are determined by considering an augmented reliability problem
where the design variables x
i
, i = 1, ..., n
d
are articially considered as uncertain with independent
components uniformly distributed. Let ({x}) =
n
d
i=1

i
(x
i
) be the uniform joint probability density
function of the design variables and
i
(x
i
) the one dimensional uniform density function of x
i
. The
probability density function of the design variable x
i
is dened in the vicinity of x
k
i
with support
x
i
.
The coecients are determined by solving a set of non-linear equations which is dened by considering
some statistics of the augmented reliability problem [9]. In particular, the average failure probability
P
average
F
j
and the rst moments of area m
i
P
F
j
, i = 1, ..., n
d
of the failure probability function P
F
j
({x})
over the space
{x}
=
x
1

x
2
...
x
n
d
are given by
P
average
F
j
=
_

{x}
P
F
j
({x})({x})d({x})
m
i
P
F
j
=
_

{x}
x
i
P
F
j
({x})({x})d({x}) , i = 1, ...., n
d
(16)
j = 1, ..., n
c
Substituting the expression of the approximate failure probability functions

P
F
j
({x}), j = 1, ..., n
c
in
(16) yields a set of algebraic non-linear equations for the coecients
j
0
and {
j
}, which can be solved
directly. The evaluation of the coecients
j
0
and {
j
} requires the estimation of the average and the
rst moments of area of the failure probability functions. These quantities can be estimated by using a
proper simulation technique [11]. Is it noted that the average failure probability P
average
F
j
corresponds to
the probability of failure of the augmented reliability problem, that is, both {z} and {x} are considered
as uncertain. Once the non-linear set of equations for the coecients
j
0
and {
j
} is solved, the estimates
for the gradients of the transformed failure probability functions are completely determined by Eq. (15).
10. Example
A six-storey building under stochastic earthquake excitation is considered for analysis. A top view of the
building is shown in Fig. (1). Each of the six oors is supported by 35 columns of square cross sections
made of reinforced concrete. A Youngs modulus E = 3 10
10
N/m
2
, and mass density = 2.5 10
3
kg/m
3
have been used in this case. A nite element model is considered for the structural system.
In order to characterize the dynamic behavior of the building, it is assumed that each oor may be
represented suciently accurate as rigid within the x y plane when compared with the exibility of
the columns. Hence, each oor can be represented by three degrees of freedom, i.e. two translatory
displacements u
x
(t) and u
y
(t) in the direction of the x and y axis, respectively, and a rotational
displacement u
z
(t) about the z axis. The corresponding equation of motion of the system is obtained
by condensation techniques. The associated masses m
x
= m
y
and m
z
are taken as constant for all oors
8.64 10
5
kg and 1.35 10
8
kg m
2
, respectively.
A classical damping is assumed in the model so that the rst modes have a 3% of critical damping.
The oor height of 3.0 m is constant for all oors, leading to a total height of 18 m. The earthquake
5
y
D
1
D
2
D
4
P
4
24 [m]
x
D
3
u
x
u
y
u
z
36 [m]
P
1
P
2
P
3
Figure 1: Top view of the building model with hysteretic devices
induced ground acceleration a(t) is modelled as a non-stationary ltered white noise process. The lter
is dened by the rst-order dierential equation
d
dt
_
_
_
y
1
(t)
y
2
(t)
y
3
(t)
y
4
(t)
_
_
_ =
_
_
_
0 1 0 0

2
1
2
1

1
0 0
0 0 0 1

2
1
2
1

1

2
2
2
2

2
_
_
_
_
_
_
y
1
(t)
y
2
(t)
y
3
(t)
y
4
(t)
_
_
_+
_
_
_
0
w(t)e(t)
0
0
_
_
_ , (17)
and the ground acceleration is dened as
a(t) =
2
1
y
1
(t) + 2
1

1
y
2
(t)
2
2
y
3
(t) 2
2

2
y
4
(t) , (18)
where w(t) denotes the white noise process and e(t) denotes the envelope function
e(t) =
e
0.2t
e
0.4t
max(e
0.2t
e
0.4t
)
, 0 < t < 10 s (19)
The values
1
= 15.7 rad/s,
1
= 0.8,
2
= 0.3 rad/s, and
2
= 0.995, and white noise intensity I =
0.05 m
2
/s
3
are used in this example. The sampling interval and the duration of the excitation are taken
as t = 0.01 s and T = 10 s, respectively. The discrete-time white noise sequence (t
j
) =
_
I/tz
j
,
where z
j
, j = 1, ..., 1001, are independent, identically distributed standard Gaussian random variables is
considered in this case. The acceleration process a(t) is applied at 45 degrees with respect to the x
axis. For aseismic design purposes, non-linear hysteretic devices are introduced at selected locations as
shown in Fig. (1). In each of the six oors, four devices D
i
, i = 1, 2, 3, 4, are implemented to provide
additional resistant against relative displacements between subsequent oors. The devices exhibit a
one dimensional hysteretic type of non-linearity. The initial inter-story stinesses of these non-linear
elements are within each oor identical and equal to k
d
= 6.0 10
8
N/m for all devices. They follow the
inter-story restoring force law,
r
i
(t) = k
d
_

i
(t) q
1
i
(t) + q
2
i
(t)
_
, (20)
6
where
i
(t) is the relative displacement between the (i 1, i)-th oor at the position of the device in
the x direction for devices D
1
and D
3
, and in the y direction for the devices D
2
and D
4
, and q
1
i
(t)
and q
2
i
(t) denote the plastic elongations of the device placed between the (i 1, i)-th oor. The plastic
elongations are specied by the non-linear dierential equations [10]
q
1
(t) =

(t)g
1
(

(t), u(t))
q
2
(t) =

(t)g
2
(

(t), u(t)) , (21)

where
g
1
(

(t), u(t)) =
H(

(t))
_
H(u(t) u
y
)
u(t) u
y
u
p
u
y
H(u
p
u(t)) + H(u(t) u
p
)
_
, (22)
and
g
2
(

(t), u(t)) =
H(

(t))
_
H(u(t) u
y
)
u(t) u
y
u
p
u
y
H(u
p
+ u(t)) + H(u(t) u
p
)
_
, (23)
where H() denotes the Heaviside step function, u(t) = (t) q
1
(t) + q
2
(t) is an auxiliary variable, and
u
y
and u
p
are model parameters for the nonlinear behavior. The non-linear restoring force acts between
adjacent oors with the same orientation as the relative displacement
i
(t). The values u
p
= 6.010
3
m
and u
y
= 4.2 10
3
m are used for all devices. The solution of the equation of motion that characterizes
the building with hysteretic devices is carried out by modal analysis. All eighteen structural modes of
the corresponding condensed equation of motion are considered for the dynamic analysis in this case.
The response of the system is computed at discrete time instants t
k
= (k 1)t, k = 1, ..., n
T
by a
suitable numerical integration scheme.
The objective function for the optimization problem is the total weight of the column elements. The
design variables are the dimensions of the square cross section of the column elements. The dimensions
of the columns for a given oor are assumed to be identical, and therefore over the height of the building
the columns have six dierent cross sections with initial design x
1
= 0.80 m, x
2
= 0.80 m, x
3
= 0.75
m, x
4
= 0.70 m, x
5
= 0.65 m, x
6
= 0.55 m, and side constraints 0.3 m x
i
1.40 m. Six reliability
constraints are consider in the optimization problem and they are dened as P
F
i
({x}) 10
5
, where
P
F
i
({x}) = P
_
max
j=1,..,4
max
t
k
,k=1,..,1001
|
ji
(t
k
, {x})| >
u
_
i = 1, ...., 6, (24)
with
ji
(t
k
, {}) is the relative displacement between the (i 1, i)-th oor at the position of the control
point P
j
evaluated at the design {x}, t
k
= (k 1)t , k = 1, ..., 1001 are the discrete time instants, and

u
is the critical threshold level and equal to 0.015 m. The nal design is given in Table (1), and the
corresponding iteration history of the design process in terms of the reliability constraints is shown in
Fig. (2). It is observed that process converges in about 4 iterations. The probability that the interstory
drift ratios (constraints) reach the threshold level 0.015 m is shown in Fig. (3) for the initial and nal
design. It is seen that all reliability constraints are active at the nal design. The fast convergence of
the optimization process leads to a small number of excursion probability estimations to be performed
during the entire procedure.
7
Figure 2: Iteration history in terms of the reliability constraints
Table 1: Final designs.
Design Initial Final
variable design design
x
1
(m) 0.80 0.77
x
2
(m) 0.80 0.76
x
3
(m) 0.75 0.73
x
4
(m) 0.70 0.70
x
5
(m) 0.65 0.64
x
6
(m) 0.55 0.54
Weight (ton) 802.6 758.8
8
Figure 3: Probability of the failure events at the initial and nal design
11. Conclusions
The sequential approximate optimization scheme implemented in the formulation proved to be very
eective for the class of problems considered in this study. That is, structural optimization problems
of non-linear systems under stochastic excitation with multiple reliability constraints. Based on the
example problem and additional numerical experiments carried out by the authors it is concluded that
the proposed sequential approximate optimization scheme usually converges within few iterations for the
type of problems treated here. In fact, as demonstrated in the example problem no more than ve design
cycles are sucient for convergency. This eciency in the context of reliability-based optimization of
structural systems under stochastic excitation is quite remarkable.
12. Acknowledgments
The research reported here was supported in part by CONICYT under grant number 1030375 which is
gratefully acknowledged by the authors.
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