Fundamentals of Structural Reliability Analysis

Dr Peter J. Stafford1

February 2009

1
RCUK Fellow / Lecturer in Modelling Engineering Risk; Willis Research Fellow; Room 405; p.stafford@imperial.ac.uk
Contents 8 Probability density function contours and original (non-linear) and
linearised limit-state surfaces in the standard normal space. . . . . 11
1 Limit-state Functions and the Reliability Problem 2 9 Marginal distribution in the space of standardised normal vari-
ables. The marginal distribution correponds to the axis drawn
2 First Order Reliability Method (FORM) 6 through points O and P in figure 8. . . . . . . . . . . . . . . . . . . . 11
2.1 Cornell Reliability Index . . . . . . . . . . . . . . . . . . . . . . . . . 6 10 Inconsistency between β and Pf for different forms of limit state
2.2 Hasofer and Lind Reliability Index . . . . . . . . . . . . . . . . . . . 9 functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.2.1 Linear limit-state function . . . . . . . . . . . . . . . . . . . . 10
2.2.2 Sensitivity Factors . . . . . . . . . . . . . . . . . . . . . . . . 12
2.3 Interpretation of First-Order Second-Moment (FOSM) Theory . . . 12

A Rosenblatt Transformation 13

List of Figures
1 Visual representation of the failure domain F and the limit-state
surface G = 0 for the basic reliability problem. . . . . . . . . . . . . 3
2 Graphical interpretation of the two specifications of the convolu-
tion integrals given in equations 8 (top) and 9 (bottom). . . . . . . . 3
3 Probability density function of the safety margin, G. Also shown is
a graphical interpretation of the reliability index, β. The shaded area
represents the probability of failure and is equal to the area under
the PDF from −∞ → 0. . . . . . . . . . . . . . . . . . . . . . . . . . . 4
4 Various demonstrations of how the reliability relates to normally
distributed limit-state functions. The top figure shows how the
probability of failure is defined for the original distribution; the
middle figure shows the corresponding probability of failure for a
distribution whose mean has been shifted to have a value of zero;
and the bottom figure shows a limit-state distribution transformed
so that the reliability index now represents a direct distance from
the origin. In all cases, the shaded area represents the same proba-
bility of failure. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
5 Cantilever beam loaded by two point forces . . . . . . . . . . . . . . 7
6 Graphical representation of limit-state surfaces and their equiva-
lence at g(r,s)=0 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
7 Limit-state surface G(x) = 0 and its linearised version GL (x) = 0
in the space of original basic variables; the X-space . . . . . . . . . 10

1
1 Limit-state Functions and the Reliability Problem
By now you will have come to appreciate that the general problem that is tackled
in reliability analysis consists of defining a limit-state condition and then ascertain-
ing the probability that this condition is violated under some predefined loading
scenario. We have already discussed the fact that once a limit-state condition has
been defined a corresponding limit-state function may be derived for the purpose
of testing for the violation of the limit-state. There are various possibilities for
defining a limit-state function and we have seen that, under certain conditions,
specifying the function in one way or another enables one to make use of various
limit-state functions such as G = R − S. In such cases the computation of Pf may
be a reasonably straightforward exercise as R and S may often be well modelled
with fairly common distributions such as the normal or lognormal distribution.
However, often the computation of Pf is a difficult task for which closed-form
solutions are seldom available. Since the derivation of FG starting from the cu-
mulative distribution functions of the variables X is generally not possible in an
analytical form one often writes equation 2 as:
Z
Pf = P (x ∈ F) = fX (x)dx (3)
F

properties that exist among random variables, i.e. if the limit-state function is a where the integral is evaluated over the failure domain F defined by the limit-
function of normally distributed random variables then it is preferable to define state surface.
the limit-state function as a linear combination of these variables. Given a par-
ticular limit-state condition it is generally possible to define a limit-state function Example
G that is a function of design parameters x1 (related to the loading and system Consider the case in which the vector x contains only two independent random
properties) such that: variables R and S, e.g., a resistance and the corresponding load effect, respectively.
 This is known as the basic reliability problem. Due to the independence of R and S
 > 0 if the limit-state is not exceeded
the double integral in equation 3 can be reduced to one of two equivalent single
G(x) = = 0 if the limit-state is reached (1)
integrals. Any two-variable JPDF may be represented in terms of a conditional
< 0 if the limit-state is exceeded

distribution function and a marginal distribution:
In the space of the x variables (x-space) the condition G(x) > 0 defines the sub-
fR,S (r, s) = fR|S (r|s)fS (s) (4)
space of the structure’s safe or survival states, denoted by S and called the safe
domain or set, while the condition G(x) < 0 defines the sub-space of the struc-
In the case where R and S are independent, such as they are for this example, the
ture’s unsafe or failure states, denoted by F and called the failure domain or set. The
JDPF may simply be represented as the product of the marginal distributions of
equation G(x) = 0 defines the boundary between the two sets and is called the
R and S, i.e., fR,S (r, s) = fR (r)fS (s). For this example, the integral expression of
limit-state surface or boundary. If the definition of F is now extended to the con-
equation 3 is written:
dition G(x) ≤ 0 (i.e., the union of the unsafe set and the limit-state surface), then
S and F represent mutually exclusive and collectively exhaustive sets, such that
Z Z
Pf = fR,S (r, s)drds = fR (r)fS (s)drds (5)
S ∪ F corresponds to the whole parameter space. When x is random the limit- F F
state function G(x) becomes a random variable itself as it is a function of random
The limits of the integral may be defined through consideration of the failure do-
variables, i.e., G(x) ⇒ GX (x). Given this condition the probability of failure may
main as shown in figure 1. From figure 1 one may appreciate that the limits of
be obtained via:
integration may be defined as in equations 6 or 7.
Pf = P (G ≤ 0) = FG (0) (2)
Z ∞ Z s
where FG is the cumulative distribution function of the variable G. We have Pf = fR (r)fS (s)drds (6)
seen such a formulation previously when we have been dealing with fairly simple s=−∞ r=−∞

1 note
Z ∞ Z ∞
that here bold-faced symbols represent vectors or matrices of parameter values or variables,
i.e. x = {x1 , x2 , . . . , xn } and X = {X1 , X2 , . . . , Xn }
Pf = fR (r)fS (s)dsdr (7)
r=−∞ s=r

2
 R evaluated at this level of loading, i.e., FR (s). The product of these two terms rep-
resents the probability that this particular level of loading causes failure. The total
probability is then found by considering all such scenarios and is represented by
the integral over all possible levels of loading, s, stipulated in equation 8.

S
=
R
or
0
=
f R (r) or f S (s)

G
G < 0 or R < S
f S (s)ds
f S (s) f R (r)
S

Figure 1: Visual representation of the failure domain F and the limit-state surface
G = 0 for the basic reliability problem.
FR (s)

Now recalling the definition of the cumulative distribution function2 one may
appreciate that in both of the above cases the inner integral may be written in ds R or S
terms of either the CDF of R (equation 8) or the CCDF of S (equation 9). In doing
so one obtains what is known as the convolution integral. f R (r) or f S (s)
Z ∞ Z s  Z ∞ f R (r)dr
Pf = fR (r)dr fS (s)ds = FR (s)fS (s)ds (8)
s=−∞ r=−∞ −∞ f S (s) f R (r)
Z ∞ Z ∞  Z ∞
Pf = fS (s)ds fR (r)dr = [1 − FS (r)] fR (r)dr (9)
r=−∞ s=r −∞

Note that the product FR (r)fS (s) is known as the failure density. It may not be
immediately obvious what the meaning of the convolution integrals in equations
1 - FS (r)
8 and 9 is, and more importantly, why this representation of the integral may be
more preferable. However, these equations may be interpreted easily by consid-
dr R or S
ering figure 2. In the top half of figure 2 the first convolution integral is depicted
(equation 8). This figure may be interpreted as follows. The total probability of
failure is made up of the sum of the probabilities corresponding to all cases where Figure 2: Graphical interpretation of the two specifications of the convolution in-
the resistance R is less than the loading S. The probability that the loading takes tegrals given in equations 8 (top) and 9 (bottom).
on a particular value is approximately P (S = s) ∼ = fS (s)ds, this probability is
shown by the heavy shaded area in the figure. The probability that the resistance Likewise, in the bottom half of figure 2 the second convolution integral is graph-
is less than or equal to this level of loading is given by the CDF of the resistance ically represented (equation 9). In a similar vein to the previous discussion, this
2 F (x)
X = −∞
Rx
fX (ζ)dζ - note also that the complementary cumulative distribution function figure may be interpreted as follows. The total probability of failure is made up
′ (x) = 1 − F (x).
(CCDF) is defined as FX X of the sum of the probabilities corresponding to all cases where the loading S is

3
greater than the available resistance R3 . The probability that actual resistance has f G(g)
a particular value may be approximated by P (R = r) ∼ = fR (r)dr, where, again,
G
this probability is shown by the heavy shaded area in the bottom half of figure 2.
The probability that the loading is greater than or equal to this level of resistance G<0 G>0
is given by the CCDF of the loading evaluated at this level of resistance, i.e., the
Failure Safe
probability of S > r is simply given through the expression P (S > r) = 1 − FS (r). Domain Domain
The product of these two terms (P (S > r)P (R = r) which may be written more
formally as P (S > r|R = r)P (R = r)) represents the probability that failure oc-
curs when the structure or structural elements has this level of resistance. The G G

total probability of failure is then found by considering all such scenarios and is
represented by the integral over all possible levels of resistance, r, stipulated in
equation 9.
In many cases the convolution integral will not have an analytical solution.
However, as we have previously seen, there are cases where a solution does ex-
ist. For example, when both the resistance R and the loading S may be modelled
as normally distributed random variables we may write the limit state function as
G = R−S and know4 that G (which is often denoted by Z) is normally distributed
with a mean value of µR − µS and a variance of σG 2
= σR2
+ σS2 . Now, to determine
the probability of failure we must simply evaluate the probability that G is less
than zero by making use of the standard normal distribution, Φ(ζ); that is:
" #  
− (µR − µS ) µG
Pf = FG (0) = Φ p 2 =Φ − (10)
σR + σS2 σG
p where VG is the coefficient of variation. It is even more important for our later un-
In this case the expression in brackets, (µR − µS ) / σR2 + σ 2 is usually referred to
S derstanding to appreciate what β means when we are considering a normalized
as the reliability index and is denoted by β. Thus, the probability of failure may be
written as Pf = Φ(−β). For the purposes of our later discussions it is worth taking
a brief moment to consider the interpretation of the reliability index β. Figure 3
shows that the reliability index may be interpreted as a distance measured in units
of the standard deviation of the distribution of G, namely σG . The product βσG
defines the distance between the limit-state surface G = 0 and the expected value
of G, namely µG . One may immediately appreciate that the greater the value of
β the lower the probability of failure. One may also appreciate from equation 10
that the reliability index may be defined as the ratio of the first (µG ) and second
3 c.f., in the prior discussion the connotation is the same but we were considering cases where the
resistance was less than a particular level of loading.
4 from our understanding of the nature of distributions arising from linear combinations of normally
distributed random variables
Pf
0 G G
Figure 3: Probability density function of the safety margin, G. Also shown is a
graphical interpretation of the reliability index, β. The shaded area represents the
probability of failure and is equal to the area under the PDF from −∞ → 0.
(σG ) moments of G,
µG 1
β= = (11)
σG VG
version of the random variable G. Note that when using the standard normal dis-
tribution we must ensure that we are inputing a standard normal variate as the
argument. We have previously discussed the fact that in order to obtain a standard
normal variate we must subtract the mean value of a distribution from all other
values (which simply shifts the distribution so that the centre of the distribution
occurs at zero; see the middle plot of figure 4) and we must also stretch or com-
press all of the values by dividing by the standard deviation of the distribution
in order to obtain a distribution with unit variance. In performing this shift and
stretch of the original distribution one may obtain a standard normal distribution
such as that shown at the bottom of figure 4. A relatively straightforward solution
may also be obtained when both the resistance and loading are lognormally dis-
tributed. In this case we may define the limit-state function as R/S > 1 and then
taking the logarithms of both sides one can obtain an expression similar to that

4
 previously encountered, i.e., ln R − ln S > 0. As both R and S are lognormally dis-
f G(g)
tributed, ln R and ln S are both normally distributed; we may therefore follow a
very similar procedure to that adopted for normally distributed random variables
with the only exception being that we must transform the first moments of the
G
N( G, G
2
) logarithmically distributed variables R and S such that they are appropriate for
Pf = FG(g=0| the problem in question. The variances of ln R and ln S are found using equations
G, G)
12 and 13, "  2 #
2 σR
= ln 1 + VR2


σln R = ln 1 + (12)
µR
0 G G "  2 #
2 σS
= ln 1 + VS2


f G’ (g’) σln S = ln 1 + (13)
µS
where VR and VS are the coefficients of variation of R and S respectively. The
means of the logarithms of R and S are functions of the above variances and may
G be found from equations 14 and 15.
2
Pf = FG’ (g’=- N(0, G )
G|0, G) 1 2
µln R = ln µR − σln (14)
2 R
1 2
- 0 µln S = ln µS − σln (15)
G G’ = G- G 2 S
f G*(g*)= (g*) With these expressions defined we may now directly determine the probability
of failure using the CDF of the standard normal distribution with the arguments
appropriate for normally distributed random variables:
" #
− (µln R − µln S )
N(0,1) Pf = Φ p 2 2
(16)
σln R + σln S
Pf = (g*=- )
Consider now the relationship between the reliability formulation just presented
and the more traditional factor of safety methods that were discussed in the first
- 0 G*= (G- lecture. One can define the most common factor of safety as the ratio of the mean
G)/ G
values of the resistance and the loading. This factor of safety is known as the
central safety factor and is written:
Figure 4: Various demonstrations of how the reliability relates to normally dis-
tributed limit-state functions. The top figure shows how the probability of failure µR
γ0 = (17)
is defined for the original distribution; the middle figure shows the correspond- µS
ing probability of failure for a distribution whose mean has been shifted to have a we are all familiar with this expression and know that values of γ0 greater than
value of zero; and the bottom figure shows a limit-state distribution transformed unity correspond to safe states while values less than unity correspond to unsafe
so that the reliability index now represents a direct distance from the origin. In all states. However, we also know that generally when dealing with code specifica-
cases, the shaded area represents the same probability of failure. tions we do not use factors that relate directly to the expected values of material

5
strengths or of loads but rather to some characteristic values. For example, one as the choice of the model is particularly important when small values of Pf are
might chose to use the 5th percentile strengths and the 95th percentile loads to en- required as in this case the result is very sensitive to the nature of the tails of the
sure that a greater level of safety is achieved. This form of safety factor is known distribution where statistical data is always scarce by definition. In order to ad-
as the characteristic safety factor. This factor is defined formally as the ratio be- dress such issues simplified approaches have been developed that may usefully
tween two characteristic values of the resistance, Rk , and the loading, Sk , where k be applied in many circumstances.
is some percentile value.
Rk R0.05
γk = = (18) 2.1 Cornell Reliability Index
Sk S0.95
While the central safety factor accounts for differences between the mean values To circumvent the difficulties associated with rigorously defining the JPDF for
only, and hence only relates to the numerators of equations 10 or 11, the charac- general cases Cornell [1] introduced a simple first order approximation where one
teristic safety factor also accounts for the degree of dispersion and hence relates required knowledge of the first two moments of the relevant random variables
to the denominator of equations 10 and 11 as well. Note that fractiles of the distri- only. We have previously seen definitions for the moments of random variables;
butions of R and S may be written as however, it is worth introducing a compact notation before proceeding. The first
moments, expected values, or means of a vector of random variables may be writ-
Rk = µR − kR σR = µR (1 − kR VR ) (19) ten as in equation 22.
µX1 
 
Sk = µS + kS σS = µS (1 + kS VS ) (20) 

 µX2 
 

and through combining these expressions we may relate both the central and char- µX = E [X] = . (22)
 .. 
acteristic safety factors, i.e.,

 

 
µXn
µR (1 − kR VR ) (1 − kR VR ) The second moments may be written most generally in terms of the covariance
γ(k) = = γ0 < γ0 (21)
µS (1 + kS VS ) (1 + kS VS ) matrix (which includes the variances of the random variables) as in equation 23.
note that here the subscript (k) denotes the fact that the values of kR and kS need CX = E (X − µX )(X − µX )T
 
not be the same value.  2
σX ρ12 σX1 σX2 · · · ρ1n σX1 σXn

1
 ρ21 σX2 σX1 2
σX 2
· · · ρ2n σX2 σXn  (23)
= 
 
.. .. . . ..
2 First Order Reliability Method (FORM)

 . . . . 
2
ρn1 σXn σX1 ρn2 σXn σX2 · · · σXn
In the previous example the determination of the joint probability density func-
The original formulation of Cornell [1] pertained to the safety margin that we
tion of R and S was shown to be straightforward when the underlying random
have previously encountered, G = R − S, and the reliability index of β = µG /σG
variables are both either normally or lognormally distributed. However, this is
was hence obtained. However, when the limit state function is a more general
more often not the case. The determination of the joint probability density func-
linear function of random variables the approach of Cornell may still be applied.
tion (JPDF) for more general cases, fX (x) is often particularly complicated. One
In this case, rather than the limit-state function defined as a point5 , or a line6 , the
may derive this function on the basis of statistical data but often one is forced to
limit-state surface becomes a hyperplane7 . The limit-state surface may be written
work with a prohibitively small dataset. The specification of the JPDF is there-
5 as is the case for the one-dimensional case concerning G = 0
fore commonly based upon qualitative physical arguments. In many other cases
6 as is the case where R and S are considered explicitly as R = S
the JPDF may be derived from the forms of the assumed marginal distributions 7 a hyperplane will result when the limit-state function is a linear combination of multiple random
and by either ignoring any correlations between random variables, or by assum- variables. Note that a conventional plane exists in three dimensions while a hyperplane exists in four
ing some nominal correlation(s). Such assumptions must be kept firmly in mind or more dimensions.

6
  
for all of the above general cases as: 900 (kNm)2 0 0
CX = 0 9 kN2 6 kN2  (28)
 
n
X 0 6 kN2 9 kN 2

g(x) = a0 + ai xi = a0 + aT x (24)
The beam fails in flexure if the moment capacity is exceeded. We may therefore define a
i=1
linear safety margin as:
where here aT is a row vector containing elements ai and x is a column vector G = M − aP1 − 2aP2 (29)
containing elements xi . Using this vector notation the Cornell reliability index βC Now, for a specific value of a, such as a = 4m, the Cornell reliability index can be deter-
may be written as: mined as:
a0 + aT E [X] a0 + aT E [X] 250 − 4 × 10 − 8 × 10
βC = p (25) βC = √ = √ = 2.904 (30)
aT CX a aT CX a 900 + 42 × 9 + 82 × 9 + 2 × 4 × 6 × 8
Note that, as we have seen before, the probability of failure may be calculated from the
where E[X] is a vector of the expected values of the variables in X and CX is the
reliability index as Pf = Φ (−βC ) = 1.84 × 10−3 .
covariance matrix of the variables in X. It may be shown that any linear transfor-
mation of the limit-state function in equation 24 will not result in changes to the Note also that if one were to compute the traditional factor of safety using only the
Cornell reliability index. For some the use of vector notation is a little abstract. For expected values of the random variables one can simply determine this value using the
this reason, and for this particular case, the long-hand version of the definition in expression in equation 31:
equation 25 is provided in equation 26 below. E [M ] 250
γ0 = = = 2.083 (31)
Pn aE [P1 ] + 2aE [P2 ] 4 × 10 + 8 × 10
a0 + i=1 ai µXi
βC = qP (26) Also, if one were to perform the analysis for the factor of safety but to assume 5th per-
n Pn
i=1 j=1 ρij ai aj σXi σXj centile moment capacity and 95th percentile loads for both point loads then one would
obtain a much reduced factor of safety; but a factor of safety that still indicates that the
Example cantilever will be ok for this loading.
Consider the cantilever beam loaded by two point loads, P1 and P2 , located at distances of −1


a and 2a from the point of fixation respectively. A schematic representation of this system FM 0.05, E [M ] , CX(1,1)
γk =

(32)
configuration is shown in figure 5. The moment capacity of the beam at the support is de- aFP−11
0.95, E [P1 ] , CX(2,2) + 2aFP−1 2
0.95, E [P2 ] , CX(3,3)
200.6
= = 1.120
4 × 14.93 + 8 × 14.93
P1 P2
When computing the above factor of safety we have assumed that both loads P1 and P2
will adopt their characteristic 95th percentile values. However, in doing so we are treating
the point loads as though they are entirely independent when we know this is not the
case. In order to account for the correlation between the point loads when computing this
a a
factor of safety it makes sense to consider the 95th percentile bending moment demand
and to compare this to the 5th percentile bending moment capacity. The bending moment
Figure 5: Cantilever beam loaded by two point forces demand that has a 5% probability of being exceeded may arise due to an infinite number of
combinations of P1 and P2 . However, we can restrict the solution domain down to a single
noted by M . The second moment representation of the set of basic variables in the problem combination of the point loads by applying the constraint that we wish P1 = P2 . The
X = (M, P1 , P2 ) is: two point loads are jointly normally distributed and in order to identify the appropriate
 
 250 kNm 
  combination of parameters we can solve equation 33 for the value of k.
E [X] = 10 kN (27)
Z ∞Z ∞

 10 kN   P [M (P1 , P2 ) ≥ m (P1 = Pk , P2 = Pk )] = 0.05 = fP1 ,P2 (P1 , P2 ) dP1 dP2 (33)
Pk Pk

7
where Pk = µP1 + kσP1 = µP2 + kσP2 , and fP1 ,P2 (P1 , P2 ) represents the bivariate normal We can therefore take any9 nonlinear limit-state function g(x) and linearise it
probability density function. The integral in equation 33 is not straightforward to evaluate about a point x0 to obtain the following approximation:
(nor is it’s inverse). However, upon evaluation one obtains k = 1.2246 which leads to
values of P1 and P2 equal to Pk = 13.674. Now, calculating the characteristic factor of g(x) = g(x0 ) + ∇g(x0 ) · (x − x0 ) (38)
safety on the basis of these Pi values yields:
µM − 1.645σM 200.65 A major limitation of the Cornell reliability index is that it is not invariant with
γk,JP DF = = = 1.223 (34)
3a × (13.674) 164.09 respect to the expansion point x0 and also with respect to the form of the function
Hopefully, you will appreciate that the approach based upon the reliability index makes g. For example, the two following nonlinear limit-state functions could equally
the most appropriate use of the available information and provides a measure of the safety replace the linear safety margin representation previously considered, g(r, s) =
of the beam that is easier to incorporate into decision-making than simple safety factors. r − s. r
g(r, s) = ln g(r, s) = r2 − s2 (39)
s
While the above example indicates that the Cornell reliability index provides a
Now, if the linearisation of these two functions is taken about the point defined
simple way of determining the probability of failure, in the vast majority of real
by the expected values of R and S, then for the first case one obtains:
world applications the limit-state function must be written as a nonlinear combi-
nation of random variables. Strictly speaking, if the failure surface is not able to be 
µR

r − µR s − µS

µR

r s
′
modelled using a linear combination of random variables then the above formula- g (r, s) = ln + − = ln + − (40)
µS µR µS µS µR µS
tion cannot be used to determine the reliability index and equation 26 is therefore
only applicable to hyperplane failure surfaces. However, the applicability of the while for the second case one obtains:
Cornell approach may be extended through linearisation of nonlinear limit-state
functions. The simplest approach is to use a Taylor series8 expansion of the non- g ′′ (r, s) = µ2R − µ2S + 2µR (r − µR ) − 2µS (s − µS ) = −µ2R + µ2S + 2µR r − 2µS s (41)
linear function about a point x0 and truncate the resulting expression after the
linear terms. The Taylor series expansion of multivariate limit-state function g(x) Then assuming that R and S are uncorrelated and invoking equation 25 (or equa-
about a point in x-space is defined in both vector (equation 35) and long-hand tion 26) one obtains the reliability indices:
(equation 36) notation as: ln (µR /µS )
′
βC =q (42)
1 2 2
T (x) = g(a) + ∇g(a)T (x − a) + (x − a)T ∇2 g(a)(x − a) + · · · (35) (σR /µR ) + (σS /µS )
2!
∞ ∞
X X ∂ k1 ∂ kn g(a1 , · · · , an ) µ2R − µ2S
T (x1 , · · · , xn ) = ··· k1
· · · kn (x1 −a1 )k1 · · · (xn −an )kn ′′
βC = q (43)
∂x1 ∂xn k1 ! · · · kn ! 2 2
k1 =0 kn =0 2 (µR σR ) + (µS σS )
(36)
In the first of the above expressions ∇g(x) is the gradient operator and is defined Now, by introducing some example values into the above formulae we may im-
as   mediately appreciate that reliability index that we calculate will differ among the
∂g ∂g various formulations. Letting µR = 3, µS = 1, σR = 0.3 and σS = 0.3 we obtain
∇g(x) = ,··· , (37)
∂x1 ∂xn βC′ ′′
= 3.47, βC = 4.22, and for the linear case βC = 4.71. The reason why these
8 You are most likely to be familiar with the Taylor series corresponding to a scalar function f (x).
reliability indices differ may be appreciated through inspection of figure 6.
In such cases the Taylor series expansion about a particular point a is defined as: In figure 6 one may see that although all three surfaces intersect, as required,
f ′ (a) f ′′ (a) f (3) (a)
f (x) = f (a) + 1! (x − a) + 2!
(x − a)2 + 3!
(x − a)3 + · · · at g(r, s) = 0 there are significant differences between the three surfaces away
P ∞ f (n) (a)
= n=0 n!
(x − a)n
9 the function must of course be differentiable

8
 from the limit-state surface. The reliability indices calculated previously are de-
termined for the expected values of both R and S and the Taylor series approxi-
mation results in tangent planes to the three surfaces being used to determine the
reliability. However, these tangent planes, when evaluated away from the limit-
state surface, do not intersect the r −s plane at the same point as the real nonlinear
surfaces with the result being different values of the reliability index [4].
In other words, when one interprets the reliability index as being a distance
away from the expected values of the random variables, the distance determined
from where the tangent plane intersects the failure surface is different to the ac-
tual distance that corresponds to the intersection of the nonlinear surface with the
failure surface. The combination of the approximation via linearisation and the
10
g(r,s) = r2 - s2 expansion about the expected values thus results in the differences between the
calculated βC values.
limit-state function, g(r,s)

If the reliability index is supposed to be directly related to the probability of fail-

5 g(r,s) = r - s
g(r,s) = ln(r/s) ure of a structural component or system it is obviously troublesome that the index
may differ significantly when using the Cornell approach for nonlinear limit-state
functions. This problem is known as invariance and has a solution that we will
0 discuss in the following section.

2.2 Hasofer and Lind Reliability Index

-5 g(r,s) = 0
In order to overcome the lack of invariance of the Cornell index, Hasofer and
Lind [3] proposed a different definition for the index which coincides with the
3
-10 2.5 Cornell index when the limit-state function is linear, but possesses the property
3 2
2.5 2 1.5 e, R of invariance with respect to any form of nonlinear limit-state function [6]. The
1.5 1 1 tanc
loading, S resis essence of the Hasofer and Lind [3] approach consists of transforming the random
variables involved in the problem to obtain a set of normalized and uncorrelated
Figure 6: Graphical representation of limit-state surfaces and their equivalence at variables. In the case of problems involving uncorrelated random variables this
g(r,s)=0 transformation is very straightforward, one simply maps variables in X into Y
using the following formula that we have already encountered:

Xi − µXi
Yi = (44)
σXi

the resulting vector of the expected values of Y is now simply µY = 0 and the co-
variance matrix of Y is just the identity matrix CY = I. We have previously talked
of interpreting the reliability index β as a distance measured in units of standard
deviations from the mean value of a random variable. Continuing with this in-
terpretation, one may recognise that whereas in the X-space the unit of measure

9
depended upon the direct in which one moved, i.e. σ1 in the X1 direction and σ2 variables (e.g. ρ < 0.2) can usually be ignored and the variables treated as in-
in the X2 direction, with some more abstract measure in any other direction, now dependent whereas strong correlations (e.g. ρ > 0.8) can usually be treated as
in the Y-space the unit of measure is simply σi = 1 for all i and hence in every being fully dependent with one of the two correlated variables simply replacing
direction. One may appreciate the simplicity of the above transformation even the other.
further when one considers the joint probability density function of Y in compar-
ison with that for X. The JPDF of X, fX (x) may be a very complicated function
2.2.1 Linear limit-state function
yet the transformation of equation 44 results in fY (y) simply being a multivariate
standard normal distribution. This distribution has very well known properties For simplicity of illustration consider now the important special case in which the
and its rotational symmetry is particular useful. Hence, many of the difficulties limit-state function is linear, i.e. G(X) = X1 − X2 , shown as GL (x) = 0 in figure 7.
encountered with complicated JPDFs may be circumvented through the transfor- The transformation of equation 44 changes the joint probability density function
mation into standard normal space. The multivariate standard normal distribu- fX (x) shown in figure 7 to fY (y) shown in figure 8 in the transformed y = (y1 , y2 )
tion is a special case of the more general multivariate normal distribution given in space. The joint probability function fY (y) is now a bivariate normal distribution
equation 45 below: Φ2 (y), symmetrical about the origin. The probability of failure is given by the
  integral of Φ2 (y) over the transformed failure region g(Y) < 0, shown by the
−n 1 1 T
fX (x, CX ) = (2π) 2
|CX |− 2 exp − (x − µX ) CX −1 (x − µX ) (45) partially hatched area in figure 8. This probability can be found from basic prop-
2
erties of the bivariate normal distribution; see for example Appendices B and C
This representation may not have a great resemblance to the expression for the of Melchers [5]. However, it may be obtained more directly by integrating in the
normal distribution but its close relation may be better appreciated by considering direction ν(−∞ < ν < ∞) shown in figure 8 to obtain the marginal distribution
the simple case of two random variables in the bivariate normal distribution in along the axis passing through the points O and P in figure 8.
equation 46.
 2
h + k 2 − 2ρhk

1
fX1 X2 (x1 , x2 , ρ) = exp − (46)
2(1 − ρ2 )
p
2πσX1 σX2 1 − ρ2

where h = (x1 −µX1 )/σX1 and k = (x2 −µX2 )/σX2 . Now, the JPDF that one obtains
for the reliability problem following the transformation suggested by Hasofer and
Lind ?? is simply
 
−n 1 T
fY (y, CY ) = (2π) 2
exp − y y (47)
2
Of course, the limit-state function must also be transformed and the limit-state
surface now corresponds to g(y) = 0. The above transformation is applicable only
for uncorrelated random variables. In the case of correlated random variables a
transformation may still be made but it first requires a transformation from X to
X′ , where X′ represents a set of uncorrelated random variables in X-space. The
procedure for finding the uncorrelated set X′ from X is essentially that of find-
ing the eigen-values and eigen-vectors [5]. A particularly useful transformation is Figure 7: Limit-state surface G(x) = 0 and its linearised version GL (x) = 0 in the
known as the Rosenblatt transformation [7]. Details of the Rosenblatt transforma- space of original basic variables; the X-space
tion are provided in the appendix. As a general rule, weak correlation between

10
 f Y(y)

g(y) = 0

Pf

Figure 9: Marginal distribution in the space of standardised normal variables.

The marginal distribution correponds to the axis drawn through points O and P
in figure 8.

surface. The particular point that satisfies equation 48, i.e. the point on the limit-
state surface perpendicular to β, in n-dimensional space, is known as the design
Figure 8: Probability density function contours and original (non-linear) and lin-
point y∗ . Evidently this point is the projection of the origin on the limit-state sur-
earised limit-state surfaces in the standard normal space.
face. It should be obvious from figures 8 and 9 that the greatest contribution to
the total probability content in the failure region is that made by the zone close to
By well known properties of the bivariate normal distribution the marginal dis- y∗ . In fact, y∗ represents the point of greatest probability density or the point of
tribution is also normal, and hence the shaded area in figure 9 represents the fail- maximum likelihood for the failure domain. A direct relationship between the de-
ure probability Pf = Φ(−β), where β is as shown (note that σ = 1 in the β di- sign point y∗ and β can be established as follows. From the geometry of surfaces
rection since the normalised Y-space is being used). The distance β showin in the outward normal vector to a hyperplane given by g(y) = 0, has components
figure 9 is perpendicular to the ν axis and hence is perpendicular to g(y) = 0. It given by:
clearly correponds to the shortest distance from the origin in the Y-space to the ∂g
ci = λ (49)
limit-state surface g(y) = 0. ∂yi
More generally, there will be many basic random variables X = {Xi , i = where λ is an arbitrary constant. The total length of the outward normal is
1, . . . , n} describing the structural reliability problem. In the case of complex
structures, n could be very large indeed. Evidently this will create a problem for
sX
l= c2i (50)
integration methods. However, this curse of dimensionality is not so critical for the
i
First Order Second Moment method since the concepts described above carry di-
rectly over to an n-dimensional standardised normal space y with a (hyper)plane and the direction cosines αi of the unit outward normal are then
limit-state. In this case the shortest distance and hence the reliability index is given
ci
by: αi = (51)
h pP
n
i p l
β = min 2 yT y
i=1 yi = min
(48) With αi known it follows that the co-ordinates of the design point are
subject to g(y) = 0
where the yi represent the co-ordinates of any point on the transformed limit-state yi∗ = yi = −αi β (52)

11
where the negative sign arises because the αi are components of the outward nor- when a random variable is replaced by a deterministic number and to the con-
mal as defined in conventional mathematical notation [i.e. positive with increas- verse, when a deterministic number is replaced by a random variable, so-called
ing g()]. Figure 8 shows the geometry for the two-dimensional case y = (y1 , y2 ). ignorance sensitivity.
The equation for the hyperplane g(y) = 0 can be written as
n
X
g(y) = β + αi yi = 0 (53)
i=1
2.3 Interpretation of First-Order Second-Moment (FOSM) The-
The validity of equation 53 can be verified by applying equation 51; it can be
ory
deduced also directly from the figure 8 for the two-dimensional case.
The linear function in X-space corresponding to equation 53 is obtained by ap-
plying equation 44 When the limit state function is nonlinear the theory discussed so far is ’first-
n n
order’ in the sense that a linear approximation for the limit state function is used to
X αi X αi estimate the failure probability. This involved using the probability content of the
G(x) = β − µXi + xi (54)
σ
i=1 Xi
σ
i=1 Xi failure region near the (single) design point as the best estimate. Unfortunately,
or an ambiguity of interpretation of the probability represented by the reliability in-
n
X dex β can arise when the limit state function is nonlinear; see figure 10. For the
G(X) = b0 + bi xi (55)
linear limit state bb, containing P1 as the design point, the failure probability for
i=1
normal variables is given exactly by Pf = Φ(−β). However, the point P1 is also
which is again a linear function. Also, β can be determined directly from the
the design point for the nonlinear limit state functions aa and cc. In terms of first
design point co-ordinates y∗ using equation 53:
order theory, each of these limit states has an identical value of β, and hence an
n
X identical probability of failure, Pf = Φ(−β); yet it is quite clear from figure 10 that
β=− yi∗ αi = −y∗T α (56)
the actual probability contents of the respective failure regions are not identical.
i=1
Similarly, the limit-state dd represents what is probably a lower failure probability
2.2.2 Sensitivity Factors still; yet its safety index β1 is less than β. Evidently, β as defined so far lacks a
sense of ‘comparativeness’ or an ‘ordering property’ with respect to the implied
The direction cosines αi given by equation 51 represent the sensitivity of the stan- probability content for nonlinear limit states [2].
dardised limit-state function g(y) at y∗ to changes in y. This sensitivity has an
important practical implication. Thus, if the sensitivity αi to yi , say, is low there A further point is that no limitation has been placed on the direction of β in
is little need to be very accurate about the determination of yi . Also it would y-space so that, for some other design point P2 , the probability content for the
signal that, if necessary, yi might well be treated as a deterministic rather than a linear limit state ee should be identical with that implied for the linear limit state
random variable. This reduces the dimensionality of the space of random vari- bb when both limit states are at the same distance β from the origin. A measure of
ables. The corresponding expressions in the original x-space, for X independent, comparativeness can be introduced by defining a formal probability density func-
are obtained by using equation 44 in equation 49: tion fY (y) in the reduced variable space. The probability content associated with
each limit state can then be calculated formally and compared. It is not difficult
∂G to see that such a formal density function must give greater reliability (i.e. lower
ci = λσi (57)
∂xi probability of failure) with greater values of β. This means that it must allow for
with equations 50 and 51 as before. For those Xi which are not independent, the the shape of the limit state function. It also means that it must be rotationally
direction cosines αi have no direct physical meaning. The idea of sensitivity fac- symmetric, i.e. independent of θ. It appears that the only function that can satisfy
tors can be extended also to so-called omission sensitivity, that is, the effect on β all requirements is the n-dimensional standardised normal density function with

12
 A Rosenblatt Transformation
We have seen that common reliability problems are most simple when dealing
with vectors of independent random variables. Fortunately, there exist techniques
via which vectors of dependent random variables may be transformed into a cor-
responding vector of independent random variables. This appendix deals with
arguably the most common such transformation, the Rosenblatt transformation [7].
A dependent random vector X = {X1 , X2 , · · · , Xn } may be transformed into the
independent uniformly distributed random vector R = {R1 , R2 , · · · , Rn } through
the Rosenblatt transformation [7] R = T X defined by:

r1 = P (X1 ≤ x1 ) = F1 (x1 )
r2 = P (X2 ≤ x2 |X1 = x1 ) = F2 (x2 |x1 )
.. (61)
.
rn = P (Xn ≤ xn |X1 = x1 , . . . , Xn−1 = xn−1 ) = Fn (xn |x1 , . . . , xn−1 )

Figure 10: Inconsistency between β and Pf for different forms of limit state func- In the representation of equation 61 the Fi () is shorthand for the cumulative con-
tions ditional distribution function that is more formally given by FXi |Xi−1 ,...,X1 (). If
the joint probability density function fX () is known then Fi () can be determined
independent variables: as follows. The conditional probability density function fi () is given by

n  fXi (x1 , . . . , xi )
fi (xi |x1 , . . . , xn−1 ) =
 
Y 1 1 (62)
φn (y) = √ exp − yi2 (58) fXi−1 (x1 , . . . , xi−1 )
i=1
2π 2
where fXj (x1 , . . . , xj ) is a marginal probability density function obtained from
The reliability index β associated with a given limit state (hyper-)surface with Z ∞ Z ∞
safe domain Sk , say, is then obtained by integrating φn (y) over the domain Sk to fXj (x1 , . . . , xj ) = ... fX (x1 , . . . , xn )dxj+1 , . . . , dxn (63)
give the β value for the safe state as: −∞ −∞
Z Fi () is then obtained by integrating fi () given in Equation 62 over xi :
Φ [β(k)] = φn (y)dy (59) R∞
Sk fXi (x1 , . . . , xi−1 , t)dt
Fi (xi |x1 , . . . , xn−1 ) = −∞ (64)
where Φ() is the standardised normal distribution function. It follows that fXi−1 (x1 , . . . , xi−1 )

With all of the conditional cumulative distribution functions Fi () determined in

Z 
−1
β(k) = Φ φn (y)dy (60) this way, equation 61 may be inverted successively to obtain
Sk

provides the definition of the ‘general’ reliability index. It is clearly a function x1 = F1−1 (r1 )
of the shape of the limit state function for the safe domain Sk . It is probably also x2 = F2−1 (r2 |x1 )
.. (65)
readily appreciated that the solution to the above equation may be rather complex .
owing to the potentially complex shape of Sk . xn = Fn−1 (rn |x1 , . . . , xn−1 )

13
It follows immediately that equation 65 can be used to generate the random vector
X with probability density function fX () from R.
Note that the indexing used when writing out Equation 61 is arbitrary and that,
as noted by Rosenblatt [7], there are n! possible ways in which the expressions
in equation 61 may be written, depending upon the numbering adopted for the
variables in X. For the same reason there are also n! possible ways of conditioning
the Xi in equation 61. This may be demonstrated for the relatively trivial case of
n = 2 [8].
FX1 X2 (x1 , x2 ) = FX1 (x1 )fX2 |X1 (x2 |x1 ) = FX2 (x2 )fX1 |X2 (x1 |x2 )
It may be appreciated that there will be particular orders of operations that will
lead to greater ease in solving for X, i.e. in solving equation 65.
The Rosenblatt transformation may be used to transform from one distribution
into another by applying equation 61 twice, using R as a transmitter, e.g.
F1 (u1 ) = r1 = F1 (x1 )
F2 (u2 |u1 ) = r2 = F2 (x2 |x1 )
..
.
Fn (un |u1 , . . . , un−1 ) = rn = Fn (xn |x1 , . . . , xn−1 )
A particular case of interest in where U in equation 67 is standard normal dis-
tributed, with X, say, a vector of correlated random variables and U uncorrelated
(independent). Then equation 67 may be written as
References
[1] C. A. Cornell. A probability based structural code. Journal of the American
Concrete Institute, 66(12):974–985, 1969.
[2] O. Ditlevsen. Generalized second moment reliability index. Journal of Struc-
tural Mechanics, 7(4):435–451, 1979.
[3] A. M. Hasofer and N. C. Lind. Exact and invariant second moment code for-
mat. Journal of the Engineering Mechanics Division, ASCE, 100:111–121, 1974.
(66)
[4] H. O. Madsen, S. Krenk, and N. C. Lind. Methods of Structural Safety. Prentice-
Hall international series in civil engineering and engineering mechanics.
Prentice-Hall Inc., 1986.
[5] R. E. Melchers. Structural reliability analysis and prediction. John Wiley & Sons
Ltd., Chichester, 1999.
[6] P. E. Pinto, R. Giannini, and P. Franchin. Seismic Reliability Analysis of Struc-
(67) tures. IUSS Press, 2004.
[7] M. Rosenblatt. Remarks on a multivariate transformation. The Annals of Math-
ematical Statistics, 23:470–472, 1952.
[8] R. Y. Rubinstein. Simulation and the Monte Carlo Method. John Wiley & Sons
Ltd., New York, 1981.

x1 = F1−1 [Φ(u1 )]
x2 = F2−1 [Φ(u2 )|x1 ]
.. (68)
.
xn = Fn−1 [Φ(un )|x1 , . . . , xn−1 ]

Note that in practice the solution of equation 68 requires multiple integration.

14