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STRUCTURAL RELIABILITY
Module # 03 Lecture 6
Course Format: Web
Instructor: Dr. Arunasis Chakraborty Department of Civil Engineering Indian Institute of Technology Guwahati
In this lecture, we will explore the difficulties encountered in reliability analysis by Rackwitz algorithm and possible solution. From Eq. 3.3.11 in Lecture 3 in this module one can easily notice that Rackwitz algorithm needs to solve that polynomial equation of to find optimal distance in each iterations. The precondition to this step is that () must have algebraic function and roots are stable. However, in real cases, limit state often contains non-algebraic terms and hence, Rackwitz algorithm is not applicable. To overcome this problem, Rackwitz and Fiessler proposed an iterative solution strategy based on NewtonRaphson algorithm. +1 = 1
2
3.6.1
3.6.2
Let +1 be the solution at ( + 1)th step. In this context, one should note that +1 is generic in this case. Using Taylor's series expression one gets
+1 = + +1
3.6.3
3.6.4
Using above equation in iterative scheme one can solve/identify the root of the equation. This is further depicted in figure below
Lecture 06: Modified Rackwitz Algorithm and Nataf Model Limitations of Rackwitz Fiessler's Algorithm As NewtonRaphson based RackwitzFiessler algorithm solves roots based on initial guess and gradient vector, it may oscillate or diverge in some special cases as shown in figure below
g(z)
z4
z2
z0 z1 z3 z
Moreover, it may diverge in some cases also. Besides this, it depends on initial guess and hence may converge to a different root if the initial guess is close to some other root than the actual one. This algorithm might also fail in some special case as shown by Der Kiureghian (1986). Imagine the limit state of the form = 1 2 . If the initial guess is now at (, ) which is on the 2 2 ellipse 1 + 2 1 2 = 0 then the design point oscillates between (, ) and ( , ) as shown in figure below (see Figure 3.6.2). However, it should be noted that the global minimum distance ( ) can be found by any optimization algorithm. Therefore, if any convergence problem is noticed, alternative algorithm may be employed to find .
2 2 1 + 2 1 2 + = 0 2 2 1 + 2 1 2 = 0
Figure 3.6.2 2-D Limit state Nataf Model This transformation model was first proposed by Liu and Der Kiureghian (1986) based on Nataf (1962) mathematical explanation about distribution of variables. The model describes the joint pdf of random variables based on their individual distributions and correlation. Before starting the explanation of this mathematical model, let us first look into assumptions considered in the formulation Mapping of the transformation from original to standard normal (as per Eq. 3.6.5) must be one to one. In other words, CDF of random variables must be continuous and strictly increasing. The correlation matrix must be positive definite which is true by default.
According to this model, joint pdf of the correlated random variables is evaluated by = 1 1 2 2 Course Instructor: Dr. Arunasis Chakraborty 3 , 1 2 3.6.5
Lecture 06: Modified Rackwitz Algorithm and Nataf Model where, is the pdf of random variable , . represents normal probability distribution function. Transforming random variables from original space to standard normal space via one to one CDF mapping, one can use = 1 , where is CDF of random variable and . is CDF of normal distributed random variable. is the modified correlation matrix as shown below 1 = 21 1
12 1 2 1 1 2 2 1
3.6.6
2 , ,
2 , ,
3.6.7
where, the elements of correlation matrix , i.e. can be calculated from known correlation coefficient . Eq. 3.6.7 gives a relation between both defined and modified correlation coefficients ( and , respectively) considering two correlated random variables. The unknown correlation coefficient can be evaluated from = F, where the unique factor F is calculated from a series of empirical formulas suggested by Liu and Der Kiureghian (1986). Application of this model can be justified to a wider range of correlation coefficient as compared to its competent Morgenstern Model [by Liu and Der Kiureghian (1986)].
Examples : Ex # 02: Consider two correlated random variables, 1 and 2 with correlation coefficient 0.3. Individual properties of both the random variables are stated in the table below Random Variable 1 2 Distribution Exponential Type ILargest CDF 1 1
2
pdf 1 2
2
Evaluate the joint pdf by using Nataf model. Solu. Using the empirical expressions given by Liu and Der Kiureghian (1986) for exponential and type Ilargest distribution one can calculate the unique factor F as expressed below F = 1.142 0.154 + 0.031 2 Course Instructor: Dr. Arunasis Chakraborty 4
Lecture 06: Modified Rackwitz Algorithm and Nataf Model where, is the known correlation coefficient (= 0.3, in this case). Eventually, F comes out to be 1.0986 and modified correlation coefficient is calculated as shown below = 0.3 1.0986 = 0.3296 Now, Nataf's estimate of the joint pdf is evaluated as per Eq. 3.6.8. 1 , 2 1 , 2 = 1 1 2 2 2 1 , 2 , 1 2 for two random variables is
2 1 , 2 , =
1 2 1 2
2 2 2 1 2 + 2 1 2 2 1
Now, all pdf elements as per the joint pdf equation stated above can be shown as
1 1 1 = 2 2 2 =
2
2 1 , 2 , = 1 2 1 2
1 2 1 0.32962
2 2 2 0.3296 1 2 + 2 1 2 10.3296 2
1 =
2 1 2
2 =
2 2 2
Substituting all these, one can easily evaluate the expression for joint pdf as per Nataf model. It can be expressed as
1 2 1 2 1 , 2 = 1.0592
2
where, 1 can be evaluated by one to one CDF mapping given by 1 = 1 1 1 . Similarly, for second standard normal variable, i.e. 2 = 1 2 . Course Instructor: Dr. Arunasis Chakraborty 5