NPTEL

Course On

STRUCTURAL RELIABILITY
Module # 04 Lecture 4
Course Format: Web

Instructor: Dr. Arunasis Chakraborty Department of Civil Engineering Indian Institute of Technology Guwahati

4. Lecture 04: Variance Importance Sampling

Reduction

&

As discussed in previous modules, failure probability can be directly obtained by integrating the PDF of random variables over failure limit. This multiple integral expression of failure probability can also be written as = 0 v v 4.4.1

here, v () is termed as the important sampling PDF. The above equation can also be written as Eq. 4.4.2 shows = v 0 v v v = 4.4.2

where, V is any random vector with PDF v (v). It is assumed that v (v) exists for all valid v and (v) 0. An unbiased estimate of the is given by 1 = 2 =

v 0
=1

v v

4.4.3

where, vj represents the sample values guided by the importance sampling functions v (). The generated samples governs by the function v (). So, it is very important to choose important sampling function. By the analogy given by Eq. 4.1.8 and 4.1.9 the variance of 2 can be expressed by var

var 2 = where, var

4.4.4

is given by

Course Instructor: Dr. Arunasis Chakraborty 1

Lecture 04: Variance Reduction & Importance Sampling var = v

2

v 2

4.4.5

To minimize var J2 , we have to minimize Eq. 4.4.5. To find out var J2 , important sampling function is selected as v v = v v v 4.4.6

Substitute this value in Eq. 4.4.5, it is found that var =

2

(v) v

4.4.7

The multiple integral will be identical with and var( . /) if the integrand (v) does not change sign. The optimal function can be obtained as given in Eq. 4.4.8 v v = v 0 4.4.8

For the above function, need to be calculated from Eq. 4.4.3. However, with an approximated value of , the process can be started. Afterward, variance can be obtained by Eq. 4.4.5 and 4.4.7. In further steps the variance is reduced if v v v constant < 1. An additional a sufficiently large constant need to adapt to the above form, if the integrand does change sign. For changing sign of integrands, a weaker result may be obtained. On other-side, variance value in Eq. 4.4.7 will be zero depending on a good choice of important function. So, with a close estimate of in Eq. 4.4.8, the simulation result will be better. So, in the above discussion it is observe that the efficiency of important sampling technique lies on the detection of the region of failure. Important sampling function will give more reliable result if it sampling near failure region. So, one possibility is that if it possible to restrict sampling in a region for which no contribution to failure is observed. Another possibility is that select a trial important sampling function and performs some initial sampling. With this initial information the trail function can be modified and it improves the rate of convergence to the probability estimate. So, to do so, let v () be a composite of elementary pre-selected sapling densities as given in Eq. 4.4.9

v =
=1

4.4.9

where, , = 1, , are weights whose values are selected to let v () approach as closely as possible the shape of () within the failure region. To obtain the weight values vj () are

Course Instructor: Dr. Arunasis Chakraborty 2

Lecture 04: Variance Reduction & Importance Sampling selected as component of () with smaller standard deviation and each centred some initial sample point. Then can be expressed as =

=1

4.4.10

here, is a sample vector. So, it is clear that the weights are proportional to the contribution the sample vector which makes the estimate of the probability. The preliminary weights are established from the initial sampling. Based on these weights further sampling is done and new weights are evaluated to improve the estimation of failure probability. Example: Ex#04. A steel cantilever beam of a rectangular cross section subjected to point load at its free end is considered. The limit state of serviceability for maximum deflection at the free end is defined by Eq. 3.1.1 where , , and are representing point load, length, modulus of elasticity and cross sectional moment of inertia of the beam respectively. , and are random variables following normal distribution whereas is deterministic and equal to 3.4133 108 mm4. The statistical properties are given as Table 4.4.1 Random Variable

S. No. 1 2 3 Solution.

Random Variable () (N) (mm) (N/mm )

2

60000 2500 2 105

9000 125 1 104

Case 1: All random variable considered as normal distribution 1000 0.0010 () (%) 3.90 3.0902 0.000961

In this case, it is seen that with 1000 samples the obtained failure probability can represent the original failure probability. This result is compared with MCS with sample size 1000000 which gives an acceptable result as shown in Lecture 2. So, obtaining same accuracy in important sampling need 1000 times lesser number samples.

Course Instructor: Dr. Arunasis Chakraborty 3

Lecture 04: Variance Reduction & Importance Sampling Case 2: All random variable considered as lognormal distribution 1000 5000 0.0044 0.0019 () (%) 2.6211 50.00 0.0022 2.8943 15.79

In this case, with 5000 samples, important sampling technique gives a result which is 15.79 % near to the value obtained by Monte Carlo simulation. Ex#05. A steel cantilever beam of a rectangular cross section subjected to point load at its free end is considered. The limit state of section failure at the fixed end is defined by equation below = 1 2 3 where 1 , 2 , 3 and are representing yield strength, section modulus, point load and length of the beam, respectively. Out of all design variables, 1 , 2 and 3 are random variables whereas is deterministic and equal to 2 m. Three cases are considered where random variables are either following normal or lognormal distribution. The statistical properties are given as Table 4.2.4 Random Variable

S. No. 1 2 3 Solu.

Random Variable () 1 (kN/m2) 2 (m3) 3 (kN)

2.5 105 1.2 103 100

2.5 104 6 105 15

Case 1: All variable considered as normal distribution 1000 5000 0.0110 0.0112 () 2.2904 0.0122 2.2835

By important sampling technique, failure probability evaluated as 0.0112 with 5000 samples whereas obtained by Monte Carlo simulation is 0.0122 using 1000000 samples. Case 2: 2 taken as lognormal distribution

Course Instructor: Dr. Arunasis Chakraborty 4

Lecture 04: Variance Reduction & Importance Sampling 1000 5000 0.0108 0.0103 () 2.2986 0.0123 2.3145

Here, also important sampling gives as 0.0108 with 1000 samples and failure probability calculated from Monte Carlo simulation is 0.0123 with sample size 1000000. Case 3: 3 taken as lognormal distribution 1000 5000 0.0121 0.0125 () 2.2532 0.0154 2.241

For this condition, is calculated 0.0154 by MCS with sample size as mention earlier. In important sampling approach is obtained 0.0121 and 0.0125 with sample 1000 and 5000 respectively.

Course Instructor: Dr. Arunasis Chakraborty 5