Chapter 3

Component Reliability Analysis

of Structures

Chapter 3: Element Reliability Analysis of Structures

Contents
3.1 MVFOSM Mean Value First Order Second Moment
Method

3.2 AFOSM Advanced First Order Second Moment

Method

3.3 JC Method Recommended by the JCSS Committee

3.4 MCS Monte Carlo Simulation Method

Chapter 3

Component Reliability Analysis

of Structures
3.1 MVFOSM
Mean Value First Order Second Moment Method

3.1 MVFOSM Mean Value First Order Second Moment Method 1

MVFOSM Mean Value

First Order Second Moment

Mean Value or Center Point: The Taylor series expansion is

on the means values.

First Order: The first-order terms in the Taylor series expansion

is used.

Second Moment: Only means and variances of the basic variables

are needed.

This method is also named Mean Value Method or

Center Point Method.

3.1 MVFOSM Mean Value First Order Second Moment Method 2

3.1.1 Linear Limit State Functions

1. Assumptions
Consider a linear limit state function of the form
n

Z g ( X ) a0 a1 X 1 a2 X 2 L an X n a0 ai X i
where, the
The

ai terms (i 0,1, 2,L , n) are constants;

i 1

X i terms are uncorrelated random variables.

2. Formula
According to the linear functions of uncorrelated random variables
introduced in Chapter 1, the mean and standard deviation of Z are:
n

Z a0 ai X i
i 1

a
i 1

Xi

3.1 MVFOSM Mean Value First Order Second Moment Method 3

According to the central limit theorem, as n increases, the random variable
Z will approach a normal probability distribution.
Formula of Reliability Index
n

a0 ai X i
i 1

a
i 1

Xi

Pf

If the random variables are all normally distributed and uncorrelated,

then the above formula is exact.
Otherwise, it provides only an approximate estimate on the failure
probability.

3.1 MVFOSM Mean Value First Order Second Moment Method 4

Example 3.1
Please refer to the textbook
Reliability of Structures
by Professor A. S. Nowak.

Turn to Page 102, look at the example 5.1

carefully!

3.1 MVFOSM Mean Value First Order Second Moment Method 5

3.1.2 Nonlinear Limit State Functions

1. Assumptions
Consider a nonlinear limit state function of the form

Z g ( X ) g ( X 1 , X 2 ,L , X n )
where, the X i terms are uncorrelated random variables,
and its mean and standard deviation are X i , X i respectively .

2. Formula
We can obtain an approximate solution by linearizing the nonlinear
function using a Taylor series expansion. The result is

g
Z g ( x , x ,L , x ) ( X i x )
X i
i 1
*
1

*
2

*
n

*
i

( x1* , x2* ,L , xn* )

3.1 MVFOSM Mean Value First Order Second Moment Method 6

where, ( x1* , x2* ,L , xn* ) is the point about which the expansion is performed.
From now on ,this point is represented by P* . Therefore, the above formula
can be rewritten briefly as follows:

g
Z g (P ) ( X i x )
X i
i 1
n

*
i

P*

One choice for this linearization point is the point M

corresponding to the mean values of the random variables.

M ( X1 , X 2 ,L , X n )

The point M is also called mean value point or central point.

g
Z g ( X1 , X 2 ,L , X n ) ( X i X i )
X i
i 1
n

g
g (M ) ( X i x )
X i
i 1
n

*
i

( X1 , X 2 ,L , X n )

3.1 MVFOSM Mean Value First Order Second Moment Method 7

Moments of the performance function Z

Z g ( X1 , X 2 ,L , X n )
g
Z

i 1 X i
n

X i

g
where, ai
X i M

a
i

i 1

Xi

Formula of Reliability Index

Z g ( X1 , X 2 ,L , X n )

2
Z
n

g
X i

i 1 X i M

g (M )
n

a
i 1

Xi

3.1 MVFOSM Mean Value First Order Second Moment Method 8

Example 3.2
Please refer to the textbook
Reliability of Structures
by Professor A. S. Nowak.

Turn to Page 104, look at the example 5.2

carefully!

3.1 MVFOSM Mean Value First Order Second Moment Method 9

3.1.3 Comments on MVFOSM

1. Advantages
It is very easy to use.
It does not require knowledge of the distributions of the random
variables.

2. Disadvantages
Results are inaccurate if the tails of the distribution functions
cannot be approximated 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.

That is to say, for different forms of the limit state equation

which have the same mechanical meanings, the values of
reliability index calculated by MVFOSM may be different !

3.1 MVFOSM Mean Value First Order Second Moment Method 10

The invariance problem is best clarified by

Example 3.3
Please refer to the textbook
Reliability of Structures
by Professor A. S. Nowak.

Turn to Page 107, look at the example 5.3

carefully!

Chapter 3

Component Reliability Analysis

of Structures
3.2 AFOSM
Advanced First Order Second Moment
Method

3.2 AFOSM Advanced First Order Second Moment Method 1

AFOSM Advanced First Order Second Moment

To overcome the invariant problem, Hasofer and Lind propose an

advanced FOSM method in 1974 , which is called AFOSM .

The correction is to evaluate the limit state function at a point

known as the design point instead of the mean values.
Therefore, this method is also called design point method or
checking point method.

The design point is a point on the failure surface Z 0 .

Since the design point is generally not known a priori, an

iteration technique is generally used to solve for the reliability
index.

3.2 AFOSM Advanced First Order Second Moment Method 2

3.2.1 Principles of AFOSM

1. Assumptions
Consider a nonlinear limit state function of the form

Z g ( X ) g ( X 1 , X 2 ,L , X n )
where, the X i terms are uncorrelated random variables,
and its mean value X i and standard deviation X i are known.

2. Transformation from X space into U space

The general random variable

standard form as follows:

Ui

X i is transformed into its

X i Xi

Xi

3.2 AFOSM Advanced First Order Second Moment Method 3

The X space is then transformed into U space:

U (U1 ,U 2 ,L ,U n )

X ( X 1 , X 2 ,L , X n )

The limit equation in X space

Z g ( X ) g ( X 1 , X 2 ,L , X n )
is transformed to U space as follows.

Z G (U ) G (U1 ,U 2 , L ,U n )

The design point

*
1

*
2

*
n

in X space is then

P ( x , x ,L , x )
transformed
to *
in U space.
*
*
*

P (u1 , u2 , L , un )

3.2 AFOSM Advanced First Order Second Moment Method 4

3. Reliability Index in U Space

In U space, the tangent plane equation through the design point

on failure surface Z G (U ) 0 is
n

G (u , u , L , u )
*
1

*
2

*
n

Since the design point

surface

i 1

G
U i

(U i ui* ) 0
P *

P * is a point on the failure

Z 0

, then we have

G (u1* , u2* , L , un* ) 0

The hyper-plane equation can therefore be simplified as follows:

i 1 U i
n

(U i ui* ) 0
P *

3.2 AFOSM Advanced First Order Second Moment Method 5

The distance from the origin of U space to the tangent plane is

actually the reliability index

u2
Design point

Tangent

Failure surface

u2*
U 2

P *

U1

G (u) 0

u1*

HL arg min{u | G (u) 0}

OP *
HL

u1

3.2 AFOSM Advanced First Order Second Moment Method 6

From the geometric meaning of the reliability index, we know

n

i 1

U i
G

i 1 U i
n

ui*
P *

i 1 U i
n

Let

G
U i

i is actually the direction cosine

of the distance OP *

P *

i cos Ui
ui* cos Ui i

3.2 AFOSM Advanced First Order Second Moment Method 7

4. Reliability Index in X Space

The design point in X space

Since
we have

ui*

xi* X i

Xi

xi* X i ui* X i X i i X i
g ( x1* , x2* , L , xn* ) 0

The direction cosine in X space

G
g X i
g

Xi
U i X i U i X i

X i
g

i 1 X i
n

X i
P*

X i

*
P

3.2 AFOSM Advanced First Order Second Moment Method 8

The reliability index in X space

n

i 1

g
X i

i 1 X i
n

ui*

xi* X i

Xi

X i ui*
P*

X i

*
P

*
a

x
i Xi i
i 1

a
i 1

g
ai
X i

Xi

P*

3.2 AFOSM Advanced First Order Second Moment Method 9

Comparison of Formulas in X Space

n

MVFOSM: linear case

a0 ai X i

i 1

a
i

i 1

Xi

Z g ( X1 , X 2 ,L , X n )

MVFOSM: nonlinear case

n
Z
2
center point
ai X i

g
ai
X i

i 1

AFOSM: nonlinear case

design point

*
a

X
i Xi i
i 1

i 1

ai X i

g
ai
X i

P*

3.2 AFOSM Advanced First Order Second Moment Method 10

3.2.2 Computation Formulas of AFOSM

g
X i

i 1 X i
n

X i
P*

(i 1, 2,L , n)

(1)

X i

P*

xi* X i i X i

(i 1, 2,L , n)

(2)

g ( x1* , x2* , L , xn* ) 0

(3)

p f p f 1 ( )

(4)

3.2 AFOSM Advanced First Order Second Moment Method 11

3.2.3 Iteration Algorithm of AFOSM

1.

Formulate the limit state equation

g ( X 1 , X 2 ,L , X n ) 0
Give the distribution types and appropriate parameters of all random
variables.
2.

Assume the initial values of design point X i and reliability index

*

In general, the initial value of design point is taken as mean value X i .

Then the initial value of is 0.
3.

Using Eq.(1) to calculate the n values of direction cosine i .

4.

Using Eq.(2) to calculate the n values of design point xi .

5.

Using Eq.(3) to calculate the reliability index .

6.

Using Eq.(2) to calculate the new design point .

3.2 AFOSM Advanced First Order Second Moment Method 12

7.

Go back to Step 3 and repeat. Iterate until the values converge.

Begin

Flowchart

*
x
Assume i X i

Calculate i
*
Calculate xi X i X
i

Calculate
No

from

g () 0

( k 1) ( k )

*
Output and xi

Yes

3.2 AFOSM Advanced First Order Second Moment Method 13

Example 3.4
Assume that a steel beam carry a deterministic bending moment M 210kN m ,
The plastic section modulus W and the yield strength Fy of the beam are
statistically independent, normal random variables. It is known that

W 692cm3
Fy 390 Mpa

W 0.02
Fy 0.07

The limit state equation is Z g ( Fy , W ) FyW M 0

Calculate the reliability index of the beam as well as the checking
points of W and Fy by AFOSM method.

3.2 AFOSM Advanced First Order Second Moment Method 14

Solution:
Z FyW M FyW 210 103 0 ( N m)

Fy Fy Fy 27.3MPa

W W W 13.84cm3

g
Fy

g
W

Fy 27.3W *
P*

Fy
W

W 13.84 Fy*
P*

27.3W *

27.3W 13.84F
* 2

* 2
y

13.84 F

*
y

27.3W 13.84 F
* 2

* 2
y

(a)

3.2 AFOSM Advanced First Order Second Moment Method 15

Fy* Fy Fy Fy 390 27.3 Fy

W * W W W 692 13.84 W
Fy*W * 210000 0

(b)
(c)

2 Fy W (50 Fy 14.29W ) 158.4 0

(d)

Iteration cycle 1

(1)

Let Fy Fy 390
*

W * W 692

(2) Solve Fy and W from formula (a)

Fy 0.9615 W 0.2747
(3) Solve from formula (d)
0.2642 2 51.97 158.4 0

Checking

F2y W2 1

(1) 3.095

3.2 AFOSM Advanced First Order Second Moment Method 16

Iteration cycle 2

(1)

Solve Fy and

W * from formula (b)

Fy* 390 (0.9615) 3.095 27.3 309

W * 692 (0.2747) 3.095 13.84 680

(2) Solve Fy and W from formula (a)

Fy 0.9745 W 0.2245

Checking

F2y W2 1

(3) Solve from formula (d)

2188 2 51.9 158.4 0

(2) (1) 0.003 0.001

(2) 3.092

3.2 AFOSM Advanced First Order Second Moment Method 17

Iteration cycle 3

(1)

Solve Fy and

W * from formula (b)

W * 682
(2) Solve Fy and W from formula (a)
Fy 0.9748 W 0.2232
Fy* 308

(3) Solve from formula (d)

(3) 3.092
(3) (2) 0.000
The final results:

3.092 Fy* 308 W * 682

Pf 1 ( ) 1 (3.092) 1 0.9993 0.0007

Chapter 3

Component Reliability Analysis

of Structures
3.3 JC Method
Recommended by the JCSS Committee

3.3 JC Method Recommended by the JCSS Committee 1

JC Method Recommended by the JCSS Committee

The AFOSM method can only treat with the limit state equation
with normal random variables. To overcome this problem,
Rackwitz and Fiessler propose a procedure which can deal with
the general random variables in 1978. This method is then
recommended by the Joint Committee of Structural Safety,
Therefore it is also named JC Method.

The reliability index calculated by JC method is also called

RackwitzFiessler reliability index.

The basic idea of JC method is to convert each non-normal

random variable into an equivalent normal random variable by
using the Principle of Equivalent Normalization.

3.3 JC Method Recommended by the JCSS Committee 2

3.3.1 Basic Idea of JC Method

Convert each non-normal random variable into an equivalent

normal random variable by using the Principle of Equivalent
Normalization.
After this transformation, the problem can then be solved by AFOSM
method.

3.3.2 Principle of Equivalent Normalization

1. Transformation Conditions of Equivalent Normalization
(1) At the design checking point P* , the CDF value of the equivalent
normal random variable is equal to that of the original non-normal
random variable.
(2) At the design checking point P* , the PDF value of the equivalent
normal random variable is equal to that of the original non-normal
random variable.

3.3 JC Method Recommended by the JCSS Committee 3

f X i ( xi )

PDF of non-normal RV X i

f Xi ( x ) f X e ( x )
*
i

*
i

Xi

Xi

Xi

f X i ( xi )

FX i ( xi* ) FX e ( xi* )
i

xi* X ie X i
PDF of equivalent normal RV X

xi
e
i

Xi

X e
i

Xe

f X e ( xi )
i

3.3 JC Method Recommended by the JCSS Committee 4

2. Formulas of Equivalent Normalization

xi* X e
i

FX i ( xi* )
Xe
i

x
i X ie
1
*

f X i ( xi )

Xe Xe
i
i

X e xi* 1 FX i ( xi* ) X e
i

Xe
i

(1)

x
i X ie
1
1
1
*

(
F
(
x
Xi
i ))]
*
*
f X i ( xi ) X e
f X i ( xi )
i

(2)

3.3 JC Method Recommended by the JCSS Committee 5

3. Formulas of Equivalent Normalization for lognormal RV

Xi

X e xi* 1 ln xi* ln
2
i

ln(1

V
X i )

xi* 1 ln xi* ln X i

X e xi* ln(1 VX2i )

i

x ln X i
*
i

(3)

(4)

Please refer to the textbook Reliability

of Structures by Professor A. S.
Nowak.
Turn to Page 122, look at the example 5.8 carefully!

3.3 JC Method Recommended by the JCSS Committee 6

3.3.3 Procedure of JC Method

1.

Formulate the limit state equation

g ( X 1 , X 2 ,L , X n ) 0
Determine the distribution types and appropriate parameters of all
random variables.
2.

Assume the initial values of design point X i and reliability index

*

In general, the initial value of design point is taken as mean value X i .

Then the initial value of is 0.
3.

For non-normal RV X i , the mean X ie and standard deviation X ie

should be calculated, and then, they replace the mean X i and
standard deviation X i of the non-normal RV.

Xi X e
i

Xi X e
i

3.3 JC Method Recommended by the JCSS Committee 7

4.

Calculate the direction cosine i using

g
X i

i 1 X i

X i
P*

5.

(i 1, 2,L , n)

X i

*
Calculate the design point xi using

xi* X i i X i
6.

Calculate the reliability index using

g ( x1* , x2* ,L , xn* ) 0

7.

Calculate the new design point using

xi* X i i X i

8.

*
Repeat Steps 3-7 until and the design points {xi } converge.

3.3 JC Method Recommended by the JCSS Committee 8

Example 3.5
Assume that a reinforced concrete short column that carry a dead load and a
live load. The limit state equation is

Z g ( R, G , Q ) R G Q 0

The random variables are dead load effect G, live loaf effect Q, and section
resistance . The parameters of these RV are listed in the following table:
Random
Variables

Types of
Distribution

Mean (kN)

Standard
deviation (kN)

C.o.V

Normal

50

2.5

0.05

Extreme

85

17

0.2

Lognormal

250

25

0.1

Calculate the reliability index of the column by JC method .

Chapter 3

Component Reliability Analysis

of Structures
3.4 MCS
Monte Carlo Simulation

3.4 MCS Monte Carlo Simulation 1

3.4.1 Procedure of MCS

1. Formulate the limit state equation: Z g ( X 1 , X 2 ,L , X M ) 0
2. Determine the necessary distribution information.
3. Determine the number N of simulated values of the limit state
100
N

equation to be generated according to the following formula:

4. Generate the random number values xij (i 1,L , M ; j 1,L , N )
of the basic variables in the limit state equation.

Pf

5. Calculate a simulated value z of Z of the limit state function for each

set of random number values xij of the basic variables.
6. Calculate the times of the simulated zi are less than zero. Assume
that it is denoted as N f .
7. Calculate the estimated probability of failure according to the
following formula:
N

Pf

3.4 MCS Monte Carlo Simulation 2

3.4.2 Application Area of MCS

1. It is used to solve complex problems for which closed-form solutions
are either not possible or extremely difficult.
2. It is used to solve complex problems that can be solved in closed form
if many simplifying assumptions are made.
3. It is used to check the results of other solution techniques.

3.4.3 Accuracy of Probability Estimate of MCS

Let N true be the theoretical correct probability that we are trying to
estimate by calculating Pf . The probability estimate accuracy is:

E ( Pf ) Ptrue

P
f

Ptrue (1 Ptrue )
N

(1 Ptrue )
VP
f
Ptrue N

3.4 MCS Monte Carlo Simulation 3

Example 3.6
Please refer to the textbook
Reliability of Structures
by Professor A. S. Nowak.

Turn to Page 138, look at the example 5.16

carefully! We will demonstrate this example
in MATLAB immediately

3.4 MCS Monte Carlo Simulation 4

Solution:
R

Lognormal

R 2300 R RVR 299

ln R ln

R
1V

2
R

7.732

ln R ln(1 VR2 ) 0.1295

D DVD 90

Normal

D 900

Extreme

L 675 L LVL 168.75

1.282 / L 0.0076
u L 0.45 L 599.06

3.4 MCS Monte Carlo Simulation 5

Simulated values of RVs in MATLAB

R

Lognormal

R lognrnd(7.732, 0.1295,1000,1)
D

Normal

D normrnd(900,90,1000,1)
L

Extreme

p rand(1000,1)
log( log( p ))
Lu

Chapter3: Homework 3

Homework 3.1
3.1 Programming the AFOSM in MATLAB environment
according to the flow chart proposed by this course.
(1) By using your own handwork, re-calculate the example
5.4 in text book on P.112
(2) By using your own subroutine, calculate the problem 5.3
in text book on P.142

Chapter3: Homework 3

Homework 3.2
3.2 Programming the JC Method in MATLAB environment
according to the procedure proposed by this course.
(1) By using your own handwork, re-calculate the example
3.5 by assuming the initial iteration value at the means.
(2) By using the procedure proposed by this course, recalculate the example 5.9 on Page 123 and the example
5.10 in the textbook on Page 125.
(3) By using your own subroutine, calculate the example 5.11
on P.127 and the problem 5.4 in text book on P.142

Chapter3: Homework 3

Homework 3.3
3.3 Programming the MCS Method in MATLAB environment
according to the procedure proposed by this course.
By using your own subroutine, re-calculate the example
5.11 in P.127 and the problem 5.4 in text book on P.142 by
Monte Carlo Simulation.

End of
Chapter 3