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probability of failure
Working with normal distributions is
appealing
First-order second-moment method (FOSM)
Most probable point
First order reliability method (FORM)
Section 4.1 in Choi, Grandhi, & Canfield
The normal distribution is attractive
It has the nice property that linear functions of
normal variables are normally distributed.
Also, the sum of many random variables tends to be
normally distributed.
Probability of failure varies over many orders of
magnitude.
Reliability index, which is the number of standard
deviations away from the mean solves this problem.
= 1 ( Pf ) Pf = ( ) is the normal CDF
Approximation about mean
Predecessor of FORM called first-order
second-moment method (FOSM)
( X ) g ( X ) + g ( X )T ( X X )
g=
Then, easy to show
1/2
n g 2
( X ) g
g g= xi
2
i =1 xi
(How can you use that to get rid of unimportant variables?)
The reliability index and probability of failure are
g
= Pf = ( ) is the normal CDF
g
Beam under central load example
Example 4.2
Probability of exceeding plastic moment
capacity g ( P, L,W ,=
T ) WT PL / 4
All normal
Reliability index for example
Using the linear approximation get g ( P , L, W , =
T ) WT PL / 4
g = g ( X ) = 0.0001 600, 000 10 8 / 4 = 60 20 = 40kNm (safety factor of 3!)
g g
= W= 0.0001 = T= 600, 000
T W
g g
=L / 4 =
2 = P / 4 =
2.5
P L
1/2
n g 2
= g = xi
i =1 xi
2
fplot(f,[5,20])
hold on 15
plot(r,c,'ro')
c
xlabel('r') 10
ylabel('c')
5
5 10 15 20
r
Recipe for finding MPP with
independent normal variables
Transform into standard normal variables
(zero mean and unity standard deviation)
xi xi
ui =
x i
Then u = r1.25
10
u =
c 13
1.5
1 g = 1.25u 1.5u 3
2 1 2
u12 + ( 5u1 / 6 2 )
2 =
2 1
d 2 25 10
u2
-1
= 2u1 + u1 = 0
du1 18 3 -2
61
u1 = u2 = 1.1528(r =11.27) =
c= 1.537 -3
60
Pf = ( ) = 0.0621 -4
-5
-3 -2 -1 0 1 2 3 4
u1
Check by MCS
r=randn(1000,1)*1.25+10;
c=randn(1000,1)*1.5+13;
>> s=0.5*(sign(r-c)+1);pf=sum(s)/1000=0.0550
Six repetitions gave: 0.0660, 0.0640,
0.0670,0.0450, 0.0550, 0.0640
With million samples got 0.06258
So even with a million samples, accurate only
to two digits.
Problems FORM
Repeat the linear example of Slide 12 with a
slightly different limit state g=R2-C2 with both
FORM and MCS.
Do the beam problem of slides 4 and 5 with
FORM. Note that you are now in 4
dimensional random space.
General case
If random variables are normal but correlated, a
linear transformation will transform them to
independent variables.
If random variables are not normal, can be
transformed to normal with similar probability of
failure. See Section 4.1.5 of CGC (It is called the
Rosenblatt transformation)
Murray Rosenblatt, Remarks on a Multivariate
Transformation, Ann. Math. Statist. Volume 23,
Number 3 (1952), 470-472.
Approximate transformation
If we want the transformed variable u to have the
same CDF as the original x at a certain value of x we
would require (u ) = F ( x)
Unfortunately we cannot enforce that everywhere.
If we focus on MPP we get the following
transformation (Eqs. 4.38, 4.39), which must be used
iteratively, starting from some guess.
X* replaced
x x' by xMPP in
u= equations.
x'
x' =
(
1 F ( x MPP ) )
f ( x MPP )
x ' x MPP 1 F ( x MPP ) x '
=