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SUMMARY
The formulation of limit analysis by means of the nite element method leads to an optimization
problem with a large number of variables and constraints. Here we present a method for obtaining
strict lower bound solutions using second-order cone programming (SOCP), for which efcient primal-
dual interior-point algorithms have recently been developed. Following a review of previous work, we
provide a brief introduction to SOCP and describe how lower bound limit analysis can be formulated in
this way. Some methods for exploiting the data structure of the problem are also described, including
an efcient strategy for detecting and removing linearly dependent constraints at the assembly stage.
The benets of employing SOCP are then illustrated with numerical examples. Through the use of an
effective algorithm/software, very large optimization problems with up to 700 000 variables are solved
in minutes on a desktop machine. The numerical examples concern plane strain conditions and the
MohrCoulomb criterion, however we show that SOCP can also be applied to any other problem of
lower bound limit analysis involving a yield function with a conic quadratic form (notable examples
being the DruckerPrager criterion in 2D or 3D, and Nielsens criterion for plates). Copyright 2005
John Wiley & Sons, Ltd.
KEY WORDS: limit analysis; lower bound; cohesive-frictional; nite element; optimization; conic
programming
1. INTRODUCTION
The theory of classical limit analysis for perfectly plastic structures is based on the lower
and upper bound theorems established by Gvozdev [1] and Drucker et al. [2]. However since
limit analysis is a subset of shakedown analysis, it would be fair to consider Melan [3] as
Correspondence to: C. M. Martin, Department of Engineering Science, University of Oxford, Parks Road, Oxford,
OX1 3PJ, U.K.
E-mail: chris.martin@eng.ox.ac.uk
Contract/grant sponsor: Engineering and Physical Sciences Research Council (EPSRC); contract/grant number:
GR/S26897/01
Received 18 April 2005
Revised 24 September 2005
Copyright 2005 John Wiley & Sons, Ltd. Accepted 28 September 2005
LOWER BOUND LIMIT ANALYSIS USING SOCP 605
the originator of the lower bound theorem. More theoretical aspects such as duality and large
strains are covered by Kamenjarzh [4], Christiansen [5] and Gao [6].
Together, the bound theorems allow the exact value of the limit load to be bracketed in a
rigorous manner. It is also possible to obtain a direct estimate of the limit load using various
exact methods (typically based on mixed nite elements), though with this approach there is no
obvious estimate of the error involved. In this paper, we focus on the computationally efcient
determination of strict lower bound solutions. In most engineering applications, solutions derived
from the lower bound theorem are particularly valuable because they provide a safe estimate
of the load that will cause collapse.
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606 A. MAKRODIMOPOULOS AND C. M. MARTIN
Over the last decade, the emergence of efcient algorithms for large-scale non-linear pro-
gramming (NLP) has seen a gradual move away from LP-based methods for limit analysis.
Following the pioneering work of Belytschko and Hodge [7] and Gao [20] in the use of
yield functions without linearization, Zouain et al. [21] were possibly the rst who anal-
ysed structures with more than 1000 elements, using an NLP algorithm based on the method
of feasible directions. Andersen et al. [22] and Christiansen and Andersen [23] adopted a
different approach, formulating limit analysis as a problem requiring the minimization of a
sum of norms, and applying an appropriate optimization algorithm based on the interior-point
method [24]. Lyamin and Sloan [12, 25] modied the algorithm in Reference [21] and applied
it to various problems in geomechanics, while Krabbenhoft and Damkilde [26] developed a
new interior-point algorithm, also for use with a general (smooth) non-linear yield function.
Tin-Loi and Ngo [27] employed the general-purpose NLP codes CONOPT and MINOS, how-
ever they did not provide many details about the efciency of their analyses. Recent studies
by Yang et al. [13] and Li and Yu [28] have also adopted NLP-based approaches to limit
analysis.
Summarizing, the method of Andersen and Christiansen seems to be the most effective.
The reason is that they use a highly specialized optimization algorithm [24] that is ideally
suited to the arising problem. On the other hand, their method can only be applied to von
Mises-type yield functions. The development of an algorithm able to handle problems with
any non-linear yield function (even restricted to convexity) is complicated by factors such
as possible non-differentiability, and possible singularity of the Hessian. All of the numerical
examples in References [21, 29, 30] were conned to the von Mises criterion, and it seems
that the substantial modications by Pontes et al. [31] were necessary to handle cones with an
apex. Lyamin and Sloan [12, 25] solved several problems involving cohesive-frictional materials,
but in order to face the issue of non-differentiability they smoothed the MohrCoulomb yield
surface. Krabbenhoft and Damkilde [26] also included a cohesive-frictional example problem,
but they did not discuss how the apex of the yield surface was treated (it appears that they
employed a squared form of the MohrCoulomb criterion, and this is discussed in more detail
in Section 3.5).
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LOWER BOUND LIMIT ANALYSIS USING SOCP 607
2. CONIC OPTIMIZATION
xT y 0 x C y C (1)
If C = C then the cone is self-dual. For example the set + = {x : x 0} is a self-dual cone,
as is the quadratic (or second-order) cone, which has the form
C = {x d : x2:d x1 , x1 0} (2)
where x2:d = [x2 . . . xd ]T . Note that any constraint of the form Ax + b cT x + d can be
transformed to a quadratic cone. Another interesting self-dual example is the rotated quadratic
cone
Although this can readily be transformed into a non-rotated quadratic cone of the form (2), it
can also be treated directly in its original form, see Reference [38].
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608 A. MAKRODIMOPOULOS AND C. M. MARTIN
min cT x
s.t. Ax = b (4)
xi Ci i {1, . . . , N}
where xT = [x1T . . . xN
T ] n , x di , A mn , b m , c n and the C are quadratic or
i i
rotated quadratic cones. The dual problem corresponding to (4) is
max bT y
s.t. AT y + s = c (5)
si Ci i {1, . . . , N}
where y m , s n and si di . The optimal point must satisfy the following conditions
[38, 39]:
Ax = b
A y+s=c
T
xi Ci i {1, . . . , N} (6)
si Ci i {1, . . . , N}
Xi Si ei = 0 i {1, . . . , N}
where Xi , Si di di and ei = [1 0 . . . 0]T di . The matrices Xi and Si are given by
mat(Ti xi ) and mat(Ti si ), respectively, where Ti = Idi for a quadratic cone (Ti for a rotated
quadratic cone is given in Reference [38]) and the mat function is dened as
T
u1 u2:d
mat(u) = , u d (7)
u2:d u1 Id1
Equations (6) show that SOCP can be considered a generalization of LP. The primal and
dual equality constraints are the same as in LP, the conic constraints are generalized versions
of the non-negativity constraints in LP (xi 0, si 0), and the complementarity condition is a
generalized version of that in LP (xi si = 0, which corresponds to Ti = 1 and ei = 1).
SOCP also encompasses several important classes of non-linear optimization as special cases.
These include minimization of a sum of norms, convex quadratic programming, and convex
quadratically constrained linear programming. In the latter case, recasting the problem in SOCP
form is particularly advantageous both theoretically [40] and in practice [3237].
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LOWER BOUND LIMIT ANALYSIS USING SOCP 609
[41, 42]. For this reason, interior-point algorithms for SOCP have received considerable attention
in recent years.
At present one of the leading algorithms is that of Andersen et al. [38], which has been
implemented in MOSEK [43] and has proved to be highly robust and efcient in a suite of
independent benchmark tests [44]. Other algorithms/codes for solving SOCP problems include
SeDuMi [45], SDPT3 [46] and the programs developed by Lobo et al. [47] and Kuo and
Mittelmann [48]. It should also be pointed out that algorithms for semidenite programming
(SDP) can solve SOCP problems as a special case, though as mentioned in Reference [47] this
is not the most efcient approach.
We are inclined to share the view of Christiansen and Andersen [23] that it should not
be necessary for experts in continuum mechanics to develop and implement software for opti-
mization, unless the optimization method is a research topic in itself. For specic engineering
applications of SOCP, there can of course be certain advantages in developing a bespoke al-
gorithm (see e.g. Reference [49]). On the other hand, there are obvious benets in employing
mature SOCP solvers that have been developed and implemented by experts in mathematical
programming. In the case of MOSEK, for example, many aspects of the underlying algorithm
have been studied and tested in detail, including:
use of a simple starting point that need not satisfy the equality constraints [38, 50];
robust detection of infeasible problems [38];
choice of the search direction and step size at each iteration, including a customized
adaptation of Mehrotras predictor-corrector [38, 41];
exploitation of problem structure and sparsity when computing the search direction [38];
techniques for handling dense columns [51] and free variables [52].
div + = 0 in V (8a)
=t
n on St (8b)
0
f () in V (8c)
Here denotes the matrix of the stress tensor (with tensile direct stresses positive), is the
eld of body forces per unit volume (assumed for simplicity to be prescribed), n denotes the
unit outward normal to St , and f is the yield function. In order for the lower bound theorem
to be valid, f must be convex and the associated ow rule (normality) must apply.
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610 A. MAKRODIMOPOULOS AND C. M. MARTIN
t2
2 t1
2 2
1
n n
1 t 1 t
3 3
(a) (b)
Figure 1. Edges in nite element mesh: (a) interior; and (b) exterior on traction boundary St .
In this paper, we concentrate on plane strain conditions; some extensions to other problem
types are briey discussed later in Section 5. Following the approach developed by Lysmer [8]
and further by Pastor [9], the structure is discretized into three-node triangular stress elements.
Each element is associated with its own set of internal stress evaluation points, see Figure 1, and
area co-ordinates (linear shape functions) are used to interpolate the nodal stress components
i = [xx,i yy,i xy,i ]T , i = 1, 2, 3 (9)
Equilibrium within an element is governed by Equation (8a), and this leads to the linear equality
constraints
1
[A1 A2 A3 ] 2 = (10)
3
where
x 1 y2 y3 0 x3 x2
= , A1 =
y 2 0 x3 x2 y2 y3
and A2 and A3 are obtained by cyclic permutation of the subscripts. is the area of the
element.
Equilibrium between two adjacent elements, see Figure 1(a), does not require full continuity
of the stress tensor across the shared edge; it is sufcient to enforce continuity of the
where n is a unit normal to the edge. The advantage of using internal stress
stress vector n,
evaluation points now becomes apparent: the direct stress acting parallel to the edge can be
discontinuous, allowing greater freedom in the choice of a statically admissible stress eld.
Since the stresses vary linearly within each element, continuity of n at both ends of the
shared edge is sufcient to ensure continuity at all points in between. The requisite equality
constraints are linear, and take the form
1
B0 0 B0
0 2
=0 (11)
0 B0 0 B0 1
2
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LOWER BOUND LIMIT ANALYSIS USING SOCP 611
where
cos 0 sin
B0 =
0 sin cos
The stress boundary conditions (8b) are treated similarly. For the exterior edge shown in
Figure 1(b), the equilibrium constraints are
C0 0 1 t1
= (12)
0 C0 2 t2
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612 A. MAKRODIMOPOULOS AND C. M. MARTIN
where c is the cohesion and is the angle of internal friction. Adopting the notation
By introducing an auxiliary variable, say z, this restriction can be transformed into a linear
equality constraint coupled with a quadratic cone constraint:
z + am = k
(17)
2 + s2 z
sxx xy
where a = sin and k = c cos . Expressed in this way, the yield criterion is now compatible
with the standard SOCP formulation (4). For a purely cohesive material, = 0 and the Mohr
Coulomb criterion reduces to the Tresca criterion.
Note that for plane strain conditions, the MohrCoulomb (Tresca) and DruckerPrager (von
Mises) criteria are equivalent. The corresponding relationship between the two sets of model
parameters is well known, and is given for example on p. 23 of the book by Chen [53].
max
s.t. A s =
B s = 0
C s t = 0 (19)
zi + am, i = k i {1, . . . , N}
2
sxx,i + sxy,i
2 z
i i {1, . . . , N}
where a = sin , k = c cos , N is the number of stress evaluation points and sT = [s1T . . . sN
T ].
Spatial variation of the material parameters is permissible, but within a given element a must
be constant and k can vary at most linearly (otherwise convexity is lost and the yield criterion
may be violated inside the element). In terms of the MohrCoulomb parameters, is required
to be constant within a given element but c can vary linearly. The matrices A , B and C are
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LOWER BOUND LIMIT ANALYSIS USING SOCP 613
(xx yy )2 + 42xy (2c cos (xx + yy ) sin )2 0 (21)
Although this solves the problem of non-differentiability, we now have a non-linear inequality
constraint g()0 where g is non-convex, except when = 0. If the additional (linear) inequal-
ity constraint xx + yy 2c cot is applied when > 0, which it should be in any case to
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614 A. MAKRODIMOPOULOS AND C. M. MARTIN
exclude physically meaningless stress states, then the two restrictions together dene a convex
set. However, the gradient of the squared yield function in (21) vanishes where the inequalities
intersect, so no reasonable constraint qualication (needed to establish the KarushKuhnTucker
conditions, see e.g. Reference [54]) is satised at the apex point xx = yy = c cot , xy = 0.
Moreover, the Hessian of the squared yield function is not positive denite, and this may have
important consequences for the efcient computation of the search direction at each iteration.
This whole issue is complicated, but it would seem that considerable caution is needed if a
derived yield criterion such as (21) is employed.
Another feature of the (original) MohrCoulomb yield function in (14) is that its Hessian
is singular. While this is not an issue for SOCP algorithms, it is inconvenient for general
NLP algorithms since the block diagonal matrix of Hessians (one for each yield constraint)
needs to be inverted at each iteration. To allow this to be done efciently, it is common
practice to regularize each Hessian by adding a small positive multiple of either the identity
matrix [12, 26] or some other perturbation matrix [31]. In choosing the small multiple there is
obviously a tradeoff between the stability of the inversion and the accuracy of the calculated
search direction. Although simple strategies such as those employed in References [12, 26, 31]
appear to perform satisfactorily in practice, it is also possible for the perturbations to be adapted
dynamically (in relation to the current values of the primal and dual variables) to achieve a
balance between stability and accuracy. These issues were examined by Mszros [55] when
investigating the analogous singularity problems that arise in interior-point algorithms when
free variables are present.
In this section we consider some characteristic features of lower bound limit analysis using
nite elements, and discuss how these can be exploited to improve the efciency of the
optimization process. These techniques are by no means specic to SOCP, and could also be
used to advantage in LP- and general NLP-based formulations.
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LOWER BOUND LIMIT ANALYSIS USING SOCP 615
3 3
4 2 4 2
1 n
t 1 n
t
12 12
(a) (b)
many dependencies as possible. Tests conducted by Andersen and Andersen [56] have indicated
that the removal of dependent rows during presolve can provide substantial net savings in
solution time, as well as better stability during the main optimization phase.
In previous work on lower bound limit analysis using nite elements, the topic of linearly
dependent constraints has received very little attention. Lyamin and Sloan [12] mention that,
as part of their presolve routine, they factor the square matrix AAT . If any diagonal element is
zero (to within some tolerance) they eliminate the respective row, recalculate AAT and repeat
the factorization. In other studies it appears that no particular effort has been made to detect
and remove dependent rows, even though it could be very benecial to do so [56].
We now describe a method for avoiding redundant constraints, without the need to check
the assembled constraint matrix A for hidden dependencies. The rst step is to identify the
precise conditions that lead to linearly dependent constraints in lower bound limit analysis.
This motivates a simple procedure for detecting and removing dependent rows while A is
being assembled, with the result that it has full row rank from the outset (there are no
dependencies for the presolve routine to nd). The computational cost of this procedure is
absolutely negligible.
4.1.1. Interior nodes. Figure 2(a) shows an interior node of the mesh belonging to N = 4
elements. From (11), (19) and (20), the conditions for inter-element equilibrium between two
sequential stress evaluation points i, j are:
cos ij cos ij sin ij cos ij cos ij sin ij si 0
= (22)
sin ij sin ij cos ij sin ij sin ij cos ij sj 0
This pair of equations can be transformed into various alternative forms, including
1 cos 2ij sin 2ij 1 cos 2ij sin 2ij si 0
= (23)
0 sin 2ij cos 2ij 0 sin 2ij cos 2ij sj 0
and
cos 2ij 1 0 cos 2ij 1 0 si 0
= (24)
sin 2ij 0 1 sin 2ij 0 1 sj 0
Version (23) has a transparent physical interpretation, namely continuity of the normal and
shear stresses nn and nt across the shared edge, though (24) is more convenient for the
development below (it also provides slightly better sparsity).
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616 A. MAKRODIMOPOULOS AND C. M. MARTIN
Consider all constraints of the form (24) derived from the N = 4 shared edges in
Figure 2(a). The only other equality constraints involving the N sets of stress variables are
those related to equilibrium within the N elements. It can be demonstratedthough a formal
proof is tediousthat provided the mesh is free of degenerate elements having zero area, there
is never any dependency between the inter-element and intra-element equilibrium constraints.
Since the latter are themselves independent, we can isolate the former and perform a purely
local check for dependency. Dening
and the identity blocks I have dimension 2 2. Applying Gaussian elimination gives
I I 0 0 a12 a12 0 0
0 I I 0 a23 snode
0 a23 0
=0 (27)
0 0 I I 0 0 a34 a34 nodem
0 0 0 0 a12 a41 a23 a12 a34 a23 a41 a34
Analogous matrices are obtained for other values of N . By inspection, the rst 2(N 1) rows
of the reduced system are independent, and furthermore these rows are independent from the
nal two. This implies that linear dependence, if any, can only exist between the nal two
rows. It is easy to verify that for the case where a quadrilateral is divided into four triangles
by its diagonals, i.e.
there is always dependence. This case is illustrated in Figure 2(b). In Appendix B we prove that
the conditions (28) are the only ones under which a redundant equality constraint is generated
at an interior node, assuming no degenerate triangles are present. This turns out to be quite a
common conguration when structured meshes are employed in lower bound limit analysis, not
only for benchmarks such as those in Sections 6.1 and 6.2, but also for engineering applications
(see e.g. References [57, 58]). On the other hand, an unstructured mesh is unlikely to give rise
to any dependencies, at least at interior nodes.
To avoid introducing linearly dependent rows into the constraint matrix, the key is to assemble
the inter-element equilibrium equations by traversing the mesh from node to node, rather than
edge to edge. Whenever an interior node shared by four elements is encountered, it is simply
a matter of checking whether the other conditions in (28) are both satised. If the conditions
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LOWER BOUND LIMIT ANALYSIS USING SOCP 617
180 180
for dependency are conrmed, only seven of the eight inter-element equilibrium equations
are independent, and one can be omitted from the assembly (though of course the choice
is not arbitrary). The obvious benet of this approach is that we never have to search the
fully assembled constraint matrix for hidden dependencies during presolve. A similarly efcient
strategy can be developed for 3D problems.
4.1.2. Exterior nodes. It is easy to show that a node on the displacement boundary Su can
never be responsible for a dependency. However, for nodes on the traction boundary St there
are three congurations that lead to linearly dependent (or possibly inconsistent) constraints.
These are shown in Figure 3. Some instances of dependency-generating exterior nodes, for both
N = 1 and 2, can be seen on the boundaries of the unstructured meshes in Figures 5(b) and
8, though there are no such cases on the boundaries of the structured meshes in Figures 5(a)
and 6. The detection of dependency (or infeasibility) is as simple and cheap for a node on St
as it is for an interior node; again the key is to assemble the equilibrium constraints node by
node, rather than edge by edge.
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618 A. MAKRODIMOPOULOS AND C. M. MARTIN
simple to express m, 2 . . . m, N in terms of just the s variables and m, 1 as follows:
m,2:N = Rsnode (29)
where
snode = [sxx,1 sxy,1 . . . sxx,N sxy,N m, 1 ]T 2N +1
where J2 = 21 sij sij is the second invariant of the deviatoric stress tensor and a, k are material
parameters (when a = 0 the von Mises criterion is recovered). Following the approach used in
Section 3.3, restriction (31) can be transformed into a linear equality constraint coupled with
a quadratic cone constraint:
z + am = k
(32)
y z
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LOWER BOUND LIMIT ANALYSIS USING SOCP 619
Specialization to plane strain or plane stress is straightforward. In general we can apply SOCP
to any problem of limit (or shakedown) analysis involving a yield criterion of the form
T M + qT k 0 (34)
where Mpx + , M + are the positive yielding moments and M , M the negative ones. In fact
py px py
this restriction is the intersection of two rotated quadratic cones, which can be seen if we set
+ +
2X = Mpx Mxx
+ +
2Y = Mpy Myy
+
+ (36)
2X = Mpx + Mpx 2X
+
+
2Y = Mpy + Mpy 2Y
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620 A. MAKRODIMOPOULOS AND C. M. MARTIN
Finally we obtain a system compatible with the standard SOCP formulation (4), containing two
linear equality constraints and two rotated quadratic cone constraints:
+ +
2X + 2X = Mpx + Mpx
+ +
2Y + 2Y = Mpy + Mpy
2
Mxy 2X + Y + (37)
2
Mxy 2X Y
X+ , X , Y + , Y 0
6. NUMERICAL EXAMPLES
The example problems below are all well known plane strain benchmarks in the area of limit
analysis. The MohrCoulomb criterion is employed throughout. For brevity we focus on the
lower bound solutions and the efciency with which they were obtained, without entering into
detailed interpretation or discussion of the respective stress elds, or a detailed interpretation
of the dual variables.
The computations were performed on a Dell Pentium IV machine (2.66 GHz CPU, 2 GB
RAM) in the Windows XP environment, using the conic interior-point optimizer of the MOSEK
package [38, 43] mentioned in Section 2.3. For all analyses the default convergence tolerances
of the software were retained. The input data les were prepared using an extended version
of the standard MPS format. The reported CPU times refer to the time actually spent on the
interior-point iterations, i.e. they exclude the time taken to read the data le and execute the
presolve routine (which spends most of its time reordering the rows of the constraint matrix).
The presolve typically required about 30% of the CPU time needed for the main optimization
phase, except for the nest mesh for the thick cylinder problem (Section 6.2) where the presolve
took slightly longer than the optimization. Note that since all linearly dependent constraints
were detected and removed a priori using the technique described in Section 4.1, it was possible
to disable the corresponding aspect of MOSEKs presolve procedure.
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LOWER BOUND LIMIT ANALYSIS USING SOCP 621
p p
L
xy = yy = 0
xx = xy = 0
L/2
xx = p, xy = 0
xy = 0
L/2
(a) xy = 0 (b)
Figure 5. Meshes for upper right quarter of block with thin symmetric cuts: (a) structured with
N = 4; and (b) unstructured with h/L = 0.075.
Table I. Results for block with thin symmetric cuts (structured meshes).
=0 = 15 = 30
p/c CPU (s) p/c CPU (s) p/c CPU (s)
N NE NVS (error %) (iter) (error %) (iter) (error %) (iter)
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622 A. MAKRODIMOPOULOS AND C. M. MARTIN
Table II. Results for block with thin symmetric cuts (unstructured meshes).
=0 = 15 = 30
h/L NE p/c error % p/c error % p/c error %
NE = no. of elements.
(the exact gure depends on N ) or about 25% of the total stress variable count NVS. We also
generated three unstructured meshes using GiD [61], one of which is shown in Figure 5(b).
These meshes were designed to have element counts corresponding approximately to those of
the structured meshes with N = 10, 30 and 100.
Since no exact solution is available, when evaluating the error entries in Tables I and II we
took the correct results to be the values obtained from Richardson extrapolation applied to
the results from the nest three structured meshes (N = 30, 50, 100). This gave the following
estimates:
Note how an increase in leads to a drop in capacity, since the structure is in tension. The
results for structured meshes (Table I) conrm that, as expected, the limit load is approached
monotonically from below as N is increased. However, the level of underestimation with
respect to the (extrapolated) correct solution becomes greater as increases. When = 0 it
is interesting that, in relation to the use of mixed elements [5, 18, 2224], the lower bound
method seems to give results that come much closer to the (extrapolated) correct solution.
This was also noted and discussed by Krabbenhoft and Damkilde [26]. Incidentally, for equal
values of N , our lower bound results when = 0 are (with one minor exception in the nal
digit) identical to those obtained in Reference [26], though N = 38 was the nest discretization
considered there. The results for unstructured meshes (Table II) are only slightly inferior to
those obtained from the structured meshes with a comparable number of elements. Thus the
good performance observed in this example is not dependent on a special pattern of elements.
Finally, we see in Table I that the number of iterations required for the solution of the SOCP
problems is generally in the range 1530, which is characteristic of algorithms based on the
interior-point method.
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LOWER BOUND LIMIT ANALYSIS USING SOCP 623
2a
2b
When > 0 and the external pressure is zero, the limit load is
b ( 1)/
p = c cot 1 (38)
a
where = tan2 (/4 + /2) and a and b are the inner and outer radii. For the case b/a = 1.5,
c = 1 and = 30 the same parameters as those considered in Reference [12]the exact
solution is p = 0.53758.
After taking advantage of the horizontal and vertical symmetry, several structured meshes
were employed, the coarsest of which is shown in Figure 6. The mesh was rened uniformly,
so that the innermost quadrilateral cells remained approximately square. Each quadrilateral cell
was divided into four triangular elements by intersecting the two diagonals. The nest mesh
contained 64 times as many elements (and hence variables) as the nest meshes considered in
References [12, 26].
The results are given in Table III. Although this benchmark is not a difcult test, it does serve
to demonstrate how the use of SOCP allows us to optimize huge problems (nearly 700 000
variables for the nest mesh) and thus approach the exact solution very closely in modest
CPU times. What is most noteworthy is the small number of iterations, even in relation to the
previous example. By contrast, the iteration counts in both [12, 26] seem to increase with the
size of the mesh for this problem.
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624 A. MAKRODIMOPOULOS AND C. M. MARTIN
5.5 5.5
p 2.5 p
2.5 50
100
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LOWER BOUND LIMIT ANALYSIS USING SOCP 625
NE = no. of elements.
same. However, when the value of hc was also reduced to give more elements in the vicinity
of the holes (Mesh 3), the limit load increased to 1.809c. Although this is a strict lower
bound solution, it is interesting to note that it is 0.89% higher than Zouain et al.s rened
value, possibly because in their analyses the mean stress was constrained to be constant in
each element. The nal analysis with Mesh 4 again conrmed that reducing hgen was not very
productive; to improve the solution further it would have been necessary to place even more
elements near the holes. Results for the same four meshes, but with material properties c = 1
and = 30 , are also given in Table IV. These exhibit similar trends to the purely cohesive
case in terms of convergence, iteration count and CPU time.
Nc = e tan tan2 + 1 cot (40)
4 2
Note that if = 0 then Nc = 2+. Another fundamental case is that of weighty cohesionless soil
(c = 0, > 0, > 0) with no surcharge; the bearing capacity is then traditionally expressed as
Q 1
= BN (41)
B 2
where N is another dimensionless factor that depends on . At present there is no analyti-
cal solution for N , but it can be evaluated using a variety of numerical methods. To assist
with benchmarking exercises such as this, the second author has recently published a selec-
tion of high-precision N values for both smooth and rough footings [65]. These numbers (for
= 5 , 10 , . . . , 45 ) were obtained using the method of stress characteristics, though they have
now been checked using an alternative technique (RungeKutta integration of the governing
ordinary differential equations), and also formally conrmed as exact plasticity solutions [66].
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626 A. MAKRODIMOPOULOS AND C. M. MARTIN
B/2 9.5B
dummy node
unidirectional extension element
Generally speaking, bearing capacity problems pose a difcult test for nite element methods
because of the singularities at the edges of the footing. In order to obtain good lower bound
solutions, particularly with a piecewise linear stress eld, it is desirable to have a very ne
fan of elements at the singular point (see e.g. Reference [12]). For our analyses, GiD [61] was
used to generate three semi-structured meshes based on the scheme shown in Figure 9, with
the lines of the fan continuing to the borders of the mesh. In the nest mesh, the fan was
divided into 80 elements at the singular point. As in Reference [12] we employed extension
elements (though incorporating the correction given in Appendix A) to model the semi-innite
soil domain. To maximize the compressive bearing capacity, the integral of the (tensile) vertical
stress yy over the width of the footing was minimized.
In the initial set of analyses, Meshes 13 were used to determine lower bound solutions
for the bearing capacity factors Nc ( = 0, 35 ) and N ( = 35 ). The footing was assumed
to be rough, i.e. no constraint was placed on xy on the relevant portion of the boundary.
Table V shows how the results compare with the respective exact solutions: Nc = 5.142, 46.12
and N = 34.48. Clearly the N problem is the most difcult of the three, needing the nest
mesh to obtain a lower bound that comes within 1% of the exact value.
Further analyses were devoted to the evaluation of lower bounds on N for various friction
angles, considering footings both smooth (xy = 0) and rough (xy unconstrained). The results
obtained using the nest discretization (Mesh 3) are reported in Table VI. In all but four
cases (all involving rough footings) the underestimation with respect to the exact solution is
less than 1%. Results from a similar series of analyses have recently been reported by Hjiaj
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LOWER BOUND LIMIT ANALYSIS USING SOCP 627
NE = no. of elements.
Smooth Rough
N CPU (s) N CPU (s) Exact values
( ) (error %) (iter) (error %) (iter) smooth rough
et al. [67]. If the two sets of lower bound N values are compared, ours are lower for small
, but become higher as increases. However several of the lower bound solutions of Hjiaj et
al. lie above the exact values, and even (in two cases) above upper bound solutions obtained
by the authors [68]. These discrepancies are apparently attributable to the procedure used by
Hjiaj et al. to smooth the apex of the yield surface. Although no details were given in the
original paper [67], this procedure involved the introduction of a non-zero cohesion (Lyamin,
personal communication, 2005). As has been noted already, an advantage of using SOCP is
that no such ad hoc modication of the true yield function is required.
It is noteworthy in both Tables V and VI that as the friction angle increases, the itera-
tion counts gradually become larger than those in the previous examples. Problems involving
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628 A. MAKRODIMOPOULOS AND C. M. MARTIN
singular
point
Figure 10. Mesh near edge of strip footing, showing principal stresses (all compressive) at
element centroids (Mesh 2, rough footing, c = 1, = 35 , = 0).
bearing capacity, especially the evaluation of N for high friction angles, appear to be the most
challenging of the test cases considered in this paper. The use of quite slender elements in the
vicinity of the singular point, see Figure 10, would be expected to give entries in the constraint
matrix whose magnitudes vary considerably. However, post-analysis checks have shown that
the satisfaction of the equality constraints is equally good when compared with analyses using
Copyright 2005 John Wiley & Sons, Ltd. Int. J. Numer. Meth. Engng 2006; 66:604634
LOWER BOUND LIMIT ANALYSIS USING SOCP 629
unstructured meshes where no elements are slender (as in Figure 5(b) for example). It is also of
interest to perform a post-analysis check on the satisfaction of the yield criterion when slender
elements are present. The contour plot of the value of the yield function (16) in Figure 11
conrms the behaviour expected from an interior-point algorithm: during the nal iterations the
solution comes very close to the boundary dened by the active yield constraints, but always
remains plastically admissible (f 0).
7. CONCLUSIONS
A formulation of lower bound limit analysis using second-order cone programming (SOCP)
has been presented. Although the approach is restricted to yield criteria that can be expressed
in a conic quadratic form, this includes a variety of the most popular yield functions such as
MohrCoulomb in plane strain, DruckerPrager (consequently von Mises) in 2D or 3D, and
the Nielsen criterion for plates. For this initial study, attention has been focused on cohesive
and cohesive-frictional problems in plane strain.
By applying an efcient algorithm based on the interior-point method, we have demonstrated
that the use of SOCP for limit analysis is highly advantageous from the aspects of both speed
and stability. The ability to solve problems of unprecedented size means that we can adopt ex-
tremely ne discretizations, and thus obtain strict lower bounds that approximate the true limit
load very closely. The simplicity of the SOCP-based formulation is another signicant advan-
tage. Once a nite element mesh has been prepared, it is quite straightforward to assemble the
optimization data (objective function, linear equality constraints, quadratic cone constraints) and
export them in a standard format; the problem can then be solved using any suitable algorithm
for SOCP optimization. For this study we have used the commercial program MOSEK, but a
number of other effective SOCP codes are available, including several in the public domain.
To obtain even better efciency, some strategies for exploiting the data structure associated
with the inter-element and boundary equilibrium constraints have been suggested. In particular,
the conditions that give rise to linearly dependent constraints have been carefully investigated,
leading to a novel method for detecting and eliminating any redundant rows of the constraint
matrix at the assembly stage. For problems involving purely cohesive (Tresca or von Mises) ma-
terial, a method for eliminating a large proportion of the free variables has also been developed,
though this does not appear to be very protable as far as overall efciency is concerned.
As a general conclusion, SOCP is a powerful (and still developing) technique for non-
linear optimization that allows us to obtain accurate solutions to difcult problems in classical
plasticity involving the respective class of yield functions. Upper bound limit analysis can also
be formulated as an SOCP problem, and this is a topic of ongoing work [68] that includes the
development and application of higher-order elements for the displacement eld.
Consider the bidirectional extension element and the generic cone-shaped yield surface f () = 0
shown in Figure A1 (the horizontal and vertical axes of the stress space notionally refer to
the spherical and deviatoric components of ). The usual linear variation of the stresses within
the triangular element is continued into the extension sector bounded by edges 21 projected
Copyright 2005 John Wiley & Sons, Ltd. Int. J. Numer. Meth. Engng 2006; 66:604634
630 A. MAKRODIMOPOULOS AND C. M. MARTIN
1 0
f 2
2 1 1
1
3 extension 2
zone F( 2) 0
2
2
3
f( ) 0
and 23 projected, i.e. the shape functions perform both interpolation and extrapolation of the
nodal stresses i . According to Lyamin and Sloan [14], the following yield constraints should
be enforced:
f (2 ) 0 (A1a)
f (1 2 ) 0 (A1b)
f (3 2 ) 0 (A1c)
It is clear from Figure A1, however, that (A1b) and (A1c) are not sufciently restrictive. For
example, the stress point 1 lies inside the dotted surface f ( 2 ) = 0, and hence satises
(A1b), yet it lies outside the actual yield surface f () = 0. Even if the additional constraint
f (1 )0 were imposed, this would still not be sufcient; for example the stress point 1
is itself acceptable, but evidently along the projection of edge 21 there would be linearly
extrapolated stress states that violate yield.
The correct procedure for constraining the slave stress points 1 and 3 is to translate the
apex of the yield surfacenot the origin of the stress spaceto the master stress point 2 .
A convenient way of doing this is to dene a new function F that excludes any constant term
from f , i.e.
f () = F () k (A2)
where k0. For a valid extension, it can be seen from Figure A1 that the slave stress points 1
and 3 must lie on or inside the dashed surface F ( 2 ) = 0, so the correct yield constraints
are:
f (2 ) 0 (A3a)
F (1 2 ) 0 (A3b)
F (3 2 ) 0 (A3c)
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LOWER BOUND LIMIT ANALYSIS USING SOCP 631
This technique was originally suggested by Pastor [9]. Similar arguments can be used to formu-
late the correct yield constraints for unidirectional extension elements (referring to Figure 19(a)
in Reference [14], the condition f (1 2 ) = 0 should be F (1 2 ) = 0). Without the ap-
propriate corrections, the use of extension elements as described in Reference [14] may lead
to stress elds that are not plastically admissible. The only exception is the special case of a
cohesionless material, where the apex of the yield surface and the origin of the stress space
coincide, such that k = 0 and f () = F ().
Assuming no degenerate elements are present, none of the terms a12 a41 , a23 a12 , etc. in
(27) is equal to 0. Hence the nal two rows of the matrix in (27) are linearly dependent if
and only if all sequential 2 2 submatrices have zero determinant, i.e.
cos 2 cos 2
jk ij cos 2kl cos 2j k
= 0 j {1, . . . , N} (B1)
sin 2j k sin 2ij sin 2kl sin 2j k
where
j 1 for 1<j N j +1 for 1j <N
i = m(j ) = , k = n(j ) =
N for j = 1 1 for j = N
The sequence of stress evaluation points is shown in Figure B1. The determinant leads to the
relation
sin(2j k 2ij ) + sin(2kl 2j k ) + sin(2ij 2kl ) = 0 (B2)
which simplies to
4 sin(j k ij ) sin(kl j k ) sin(kl ij ) = 0 (B3)
Considering that [0, 2), at least one of the arguments in (B3) must be equal to either zero
(impossible since it implies degeneracy) or . If N = 3, all three arguments refer to the angle
N
1 l
k
j n
i t
jk
Figure B1. Interior node belonging to N elements: sequence of stress evaluation points.
Copyright 2005 John Wiley & Sons, Ltd. Int. J. Numer. Meth. Engng 2006; 66:604634
632 A. MAKRODIMOPOULOS AND C. M. MARTIN
change between consecutive edges, and if any of these angle changes is then degeneracy
is implied. We conclude that an interior node with N = 3 can never generate a dependency. If
N 4 then the rst two arguments j k ij and kl j k refer to the angle change between
consecutive edges, whereas the nal argument kl ij refers to the angle change between
edges that are two apart. Only in the latter case is it possible to have an angle change of
without degeneracy. So the only valid solution to (B3) is
|kl ij | = (B4)
and thus in view of (B1) we must have
|n(j )n(n(j )) m(j )j | = j {1, . . . , N} (B5)
It is clear that this equation can only hold for all j under special circumstances, namely
when N = 4 and the junction has been created by the intersection of two straight lines. We
have therefore established that conditions (28) are the only ones under which an interior node
generates a linearly dependent equality constraint.
ACKNOWLEDGEMENTS
The second author worked on this paper while visiting the Centre for Offshore Foundation Systems at
the University of Western Australia, established and supported under the Australian Research Councils
Research Centres Program. The nancial support arranged by Professor Mark Randolph is gratefully
acknowledged.
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