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STRUCTURAL RELIABILITY
Module # 04 Lecture 1
Course Format: Web

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

1. Lecture 01: Monte Carlo Method

Monte Carlo Monte Carlo simulation (MCS) is the most popular simulation technique in reliability field to evaluate the probability of failure. In this approach, enough samples are generated and with this the result is observed for a system. From the result concluding failure probability can be obtained. There is term enough samples, which means the minimum number of samples required to get the actual systems failure probability. The detail discussion is given in followings. So, in simplest way, for random variable , random samples ( ) are generated. Then the limiting condition ( 0) is checked. In Eq. 4.1.1, is an indicator: value of will be 1 if limiting condition satisfy and will be 0 if not and represent the total number of samples. Thus, can be obtained from Eq. 4.1.1. =
1

0
=1

4.1.1

So, in MCS from known probabilistic property of variable the problem is solved many times. It becomes effective when number of samples is less than the points required in numerical integration (used to calculate from PDF information). For higher dimensions of problem this can be achieved by replacing the systematic selection of points by random selection, assuming that the points so selected will be unbiased in their representation of the function being integrated. To consider the random samples, it can be possible to select a random value from a physical experimental data by means of any random selection process. In that case, size of dataset must be large and interval between the numbers must be small. By this means, the probability distribution of the variables would be uniform expressed by Eq. 4.1.2. = = for 0 1 = 1 = 0 elsewhere

4.1.2

But in practice the problem comes when there is other distribution instead of uniform. In that case random variables are generated from uniformly distributed number by inverse transformation technique. For a random variable , by definition CDF will lie in the range (0,1). Course Instructor: Dr. Arunasis Chakraborty 1

Lecture 01: Monte Carlo Method By this technique a uniformly random number ( ) is generated and then equate this with proposed CDF, as given in Eq. 4.1.3 =
1 =

4.1.3

By this for each value of uniform random number there will be a random number of defined distributions. To generate random number most computer systems have standard subroutines. Box and Muller, one of such methods can produces a pair of independent standardized normal variates, 1 and 2 given by Eq. 4.1.4 1 = (2 ln 1 ) 2 sin 22 1 2 = (2 ln 1 ) 2 cos 22
1

4.1.4

here, 1 and 2 are uniformly distributed independent random variables in the interval (0,1). If there need lognormal distributed random variables then it can be obtained directly by Eq. 4.1.5. = ln 4.1.5

In calculating by this method, there are some concern areas like, how many simulation points are needed for a given accuracy/conversely or how to improve the sampling technique to obtain greater accuracy for the same or few samples. These points are discussed in following sections. Now, there must be large sample which will represent the original failure probability of the system. As is random variable () is also a random variable and it is same for [ 0] with two possible outcomes. From central limit theorem it can be said that the distribution of 1 (an estimator) given by sum of the independent sample functions (Eq. 4.1.6) approaches a normal distribution as . The mean of the distribution is given by Eq. 4.1.7 1 1 =

[ ( ) 0]
=1

4.1.6

1 =
=1

1 0

= 0

4.1.7

while, variance is given by

2 1

=
=1

1 var 0

2 (0)

4.1.8

It shows that the estimate varies directly with standard deviation of () and inversely with 1 2 . From this relationship it could be easy to find out the number of simulation required to obtain a particular failure probability with an expected error. To get with known error or calculate the

Course Instructor: Dr. Arunasis Chakraborty 2

Lecture 01: Monte Carlo Method failure probability with a confidence levels, en estimate of 1 () is required. The variance can be expressed as given in Eq. 4.1.9 var So, the sample variance will be 1 = 1

4.1.9

2(0)

2 0
=1

0
=1

4.1.10

where, the last {} term represents simply mean as given in Eq. 4.1.11. Then by central limit theorem, the confidence statement is given for the number (1 ) of trails in which failure occurs: < 1 < + = 4.1.11

here, is the expected value of (1 ) and is as given in Eq. 4.1.8. From standard normal table it can be obtained that gives a value 1.96 for considering as 95%. In this case value of need to be calculated from Eq. 4.1.10 thus it is not so much helpful. In another approach, and can be approximated by the binomial parameters as = 1 2 and = , with = 1 and with condition that 5 when 0.5. Substituting these criteria in Eq. 4.1.12, it will give following expression [
1 2

< 1 < +

2]

4.1.12

Relation with the error and number of simulation is expressed as below


1 %Error = 200
1 2

4.1.13

By Eq. 4.1.13, for defined accuracy sample size for Monte Carlo simulation can be obtained. Here, is required sample number to obtain certain with a predefined error.

Course Instructor: Dr. Arunasis Chakraborty 3

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