Reliability Analysis

Second Moment Based Approaches

 First-order second moment method (FOSM)
• based on the first order Taylor series approximation of the
performance function (linearized)
• It uses only second moment statistics (mean & variance)
of the random variables.

MVFOSM: Cornell (1969) used the simple two variable approaches.

Basic assumption: Z is a normal, by some relevant virtue of the central limit
theorem, the reliability index as the ratio of the expected value of Z over its SD

AFOSM Method for Normal Variables (Hasofer-Lind Method)

 The safety margin, Z=R-S,

Z  R  S and 2Z  R2  s2

As Z is linear, the pdf of Z will follow the pdf of R & S i.e. it will be normal having
parameters muz and sig_z

 0  Z 
p f ( R  S  0)  ( Z  0)    

 Z  Φ( ) is the standard normal
distribution function
  _(     (zero mean unit variance)
 R S
     
  2  2 
 R S 

β = μz /σz is defined as reliability (safety) index (Cornell, 1969)

Basic assumption: Z is a normal, by some relevant virtue of the central limit
theorem, the reliability index as the ratio of the expected value of Z over its SD

Z= g(X) = g (X1, X2….Xn)

 g  g (  x1,  x 2, ......,  xn )
g g g 2 2
  
2
cov( xi x j )   ( )  xi
xi x j xi
g

 0  Z 
p f ( Z  0)    
 Z 
 g 
   2      
 g 
 
• Easy to use, does not require knowledge of the distributions of the
random variables.
• Results are inaccurate if the tails of the distribution functions
cannot be approximate by a normal distribution.
• There is an invariance problem: the value of the reliability index
depends on the specific form of the limit state function.

Overcome by AFOSM method (Hasofer and Lind) the limit state is

linearized at the most probable failure point rather than at the point.
 AFOSM Method for Normal Variables
(Hasofer-Lind Method)

S Design
The safety point
(r*,s*)
margin, Z=R-S, R–S=0
s*
Unsafe
region
(μR,μS)

Safe
region

r** R
 Ri  μR i Si  μS i
R `i  S`i 
σR i σS i
From geometry , βH-L
S΄

Unsafe
Region Z<0
B R  S
(0,(μR-μS)/σS)
Design point
(r΄*,s΄*)
 R2  S 2
Safe
φ
region
Z>0
βH-L
A φ R΄

(-(μR-μS)/σR,0) O
AFOSM Method: Generalization

For a general nonlinear limit state function: g (x1,x2,…, xn)

Xi  μ x i
First defines the reduced variables Ui 
σx i

random variable with zero mean and unit standard deviation

the original limit state g(X) = 0 to the reduced limit state, g(U) = 0.
 U2

g(U)<0

the design
U*(design point) point/MPP/MPFP
βH-L

g(U) =0

g(U)>0

U1

The safety index βH-L is defined as the minimum distance from the
origin of the axes in the reduced coordinate system to the limit
state surface

Minimze, D  U tU
Subjected to g (U )  0
β H  L  (u*) t (u*)
By method of Lagrange multipliers, one can obtain the minimum distance as

 u*i = -αi.βH-L
* g 
n
 ui 

  g 
 
 i 1  i
u
 ui* 
i 
2 2
 g 
n n
 g 
  u    u 
i 1  i* 
i 1  i 
Step 1: Define the appropriate limit state equation.

Step 2 : Assume initial values of the design point x*i . i=1, 2,…..,n.
The initial design point may be assumed to be at the mean
values of the random variables. Obtain the reduced variates
u*i = (x*i – μXi)/σXi

Step 3 : Evaluate (∂g/∂ui)* and αi at u*i

Step 4: Obtain the new design point x΄*i in terms of βH-L

Step 5 Substitute the new x΄*i , in g(x΄*) = 0 and solve for βH-L

Step 6 Using the βH-Lvalue obtained, reevaluate x΄*i = - αi.βH-L

Step 7 Repeat steps 3 through 6 until βH-L converges.

 Rackwitz and Fiessler
For the above algorithm the limit state equation needs to be solved
to find a new design point. This may be difficult in the case of
complicated nonlinear limit state functions.
Also in many practical problems the failure function may not be
available in closed form.
Therefore an alternate Newton-Raphson type recursive algorithm is
presented here to find the design point.

1
u k 1*  [ g(u k *) t
u k * g(u k *)]g(u k *)]
| g(u k *) |2

SQP/GA//PSO
  kAs f y 
External moment = M M u  1   As df y
 bdf ck 
k=factor depends on stress- strain relation of concrete
k= 2/3 for linear elastic
K=1/2 for plastic

Limit State Equation: M U -M

x5 x32 x4 2
Z  g ( x1 , x2 ,......, x7 )  x2 x3 x4   x1
x6 x7
 xi   xi
xi  ui i.e. ui 
 xi
g (u )  0.3(1  0.05u2 )360(1  0.1u3 )226  10 6 (1  0.05u4 )
0.5(1  0.1u5 )3602 (1  u3 ) 2 226  10 12 (1  .05u4 )
 0.01(1  .3u1 )
0.12(1  .05u6 )40(1  0.15u7 )
g
Get i.e.7 derivatives
ui

u1 0 2.401 2.628 2.614

u2 0 -.977 -.832 -.832
u3 0 -1.843 -1.843 -1.866
u4 0 -.921 -.792 -.792
u5 0 -.055 .037 .037
u6 0 -.028 -.019 -.019
u7 0 -0.83 -.057 -.056
 3.31407 3.4 3.4 3.4
298 311 311
The Hasofer-Lind reliability index can be exactly related to the
failure probability if all the variables are

 Statistically independent
 Normally distributed

Correction of this shortcoming and include of information on the

distributions of the random variables in the algorithm for both the linear
and nonlinear limit state equations.
 Nonnormal variables

It is necessary to transform the nonnormal variables into

equivalent normal variables.
The Rosenblatt transformation can be used to obtain a set of
statistically independent standard normal variables, if the joint
CDF of all the random variables is available..

The two parameter equivalent Normal Transformation (Rackwitz –Fiessler

method) is mostly y used in structural reliability

The CDFs and the pdfs of the actual variables and the
equivalent normal variables should be equal at the checking
point (x*1,x*2,….x*n) on the failure surface.
  x *i  X N 
 i   FX (x *i )  X i N  x *i  1[FX i (x *i )]X i N
 X N  i
 i 

 x*i  X N 
1
 i   f X (x*i ) { 1[FX i (x *i )]}
Xi N  Xi N  i Xi N 
 f Xi (x *i )
 P

L L/2

0.5772
p   
P Type I extreme value FP (x) exp[ [exp{(x )}] 

1.2825
p 

 p  4kN 1.0kN  p  1.0kN
E  2 x107 kN / m 2  E  0.5 x107 kN / m 2
 I  1x104 m 4  I  0.2 x104 m 4
  3.5499  =1.2825
L  5m

Limit state equation

5PL3
p    allow  L / 30 i.e. g  EI  78.12 P  0
48EI
 Iteration 1: Starting at mean point get eqn. mean SD for P
f p ( P1 )   exp( P1   )  exp[( P1   ) ]

 1.2825exp (4  3.5499)  1.2825  exp[ ( 4  3.5494)  1.2825]  0.4107

Fp ( P1 )  exp exp[( P1   ) ]

 exp  exp[ (4  3.5499)1.2825]  0.5704

 p '  P1   1[ Fp ( P1 )] p

 ( [( Fp ( P1 )])
1
 ( 1[0.5703]) 0.3927
p '    0.9561  4   1 (0.5704)  0.9561
f p ( P1 ) 0.4107 0.4107
 3.8304

g ( x)  g (u )
X 2 X 3  78.12 X1  0 (u2 x 2  x 2 )(u3 x 3  x 3 )  78.12(u1 x1  x1 )  0

 (u2  0.5 107  2 107 )(u3  0.2 107  104 )  78.12(0.9561u1  3.8304)  0
Apply R.F algorithm to update U u1  0, u2  0' u3  0 u1  0.3057
u2  1.6370
u3  2.0463
Iteration 2
P  0.3057  0.9561  3.8304  4.1227
For u1  0.3057
 p '  3.8197 
Again get eqv.  at P=4.1227
 p '  1.007 

u1  0.6788
Now get (u) again apply R-F get Updated u u2  1.6966 𝛽 = 3.3449
u3  2.9203

3.3766
3.3292
3.3232 u1  0.65
u2  0.59
after 6 iterations   3.3222
u3  3.20
 Correlated and Dependent Random Variables
g ( X )  f ( x1, x 2,..., Xn ) Eigenvalues Eigenvectors
  x21 C x1 x 2 ... C x1 xn  1 , 2 , .... , n  e11 e12 ... e1n 
  e
C  2
... C e22 ... e2 n 
C x   x 2 x1 x2 x 2 xn 
V    21 
 .   . 
 2 
 
 xnx1
C C xnx 2 ...  xn 
 en1 en 2 ... enn 
Set of uncorrelated variables {Y} can E[Y] = V TE[X]  V T  X
be obtained as
T
Y = V X i.e. CY = E[YY T ] = [V]T E[XX T ][V]
T -1
X = (V ) Y = VY  1
2
0 .. 0 
 
0 22 .. 0
= V TCX V   
0 .. . 0 
 
g ( X )  f ( x1, x 2,..., Xn )  f (Y 1, y 2,..., Yn ) 0 0 n2 
Yi   yi
U
 yi
 y21 
 
  2
y2 
 
 2 
  yn 
f (Y 1, y 2,..., Yn )  f (u1, u 2,...,Un )
 x1  14 102  x1  0.7 102 ( X 1 )  4900 112 45 10 4 
 x 2  3.2( X 2 )  
 x 2  32 Cx   112 10.24 8000 
 x 3  8 103 ( X 3 )  45 104 8000 64 106 
 x 3  20 10 3   173 7.442]

 0.7031102 0.9995 0.033224 

 3 
 0.125 10 0.03224 0.9995 
 1.0 0.7032 102 0.1017 103 


 y1  800 
    Y VT X
 y 2   41.69
  2.728 X  (V T ) 1Y  VY
 y 3   
.

 X   [V ]Y  UT 
Y i   yi
 yi

g  56.25u12  56.05u2 2  0.24u32  117u1u2  153.3u1u3  113.5u2u3

4799u1  3217u2  3816u3  24850

  3.533