Reliability Engineering and System Safety 209 (2021) 107471

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Reliability Engineering and System Safety

journal homepage: www.elsevier.com/locate/ress

Simple method based on sensitivity coefficient for stochastic uncertainty

analysis in probabilistic risk assessment
Satoshi Takeda *, Takanori Kitada
Division of Sustainable Energy and Environmental Engineering, Graduate School of Engineering, Osaka University, 2-1 Yamadaoka, Suita-shi, Osaka, Japan, 565-0871

A R T I C L E I N F O A B S T R A C T

Keywords: For the analysis of stochastic uncertainty in probabilistic risk assessment, a simple method based on the sensi­
Sensitivity coefficient tivity coefficient was developed. The sensitivity coefficient can be defined as the importance of the parameter
Uncertainty analysis included in the risk assessment model to the output such as the probability of the target event. When the
Probabilistic risk assessment
contribution of the parameter to the output is assumed to be linear, the sensitivity coefficient equals Fussell-
β factor method
Multiple Greek Letter method
Vesely importance. The present method does not require a lot of calculation cost and can treat the covariance
of the parameters included in the risk assessment directly. The result obtained by the present method was
compared with that obtained by other methods such as the Monte Carlo method in the analysis of the simple fault
tree model. The results of the present method agree well with Monte Carlo method in the analysis of the fault tree
model with β factor method and that with the Multiple Greek Letter method.

1. Introduction simplicity. As another method based on the deterministic approach,

The probabilistic risk assessment has been performed for the evalu­
ation of system reliability in many areas such as the space shuttle and
high-rise building [1,2]. Especially, the study for the nuclear power
plant has been actively performed since the accident might have huge
impact on both people and the environment [3-5]. The analysis of the
uncertainty is important in probabilistic risk assessment since the un­
certainty exists in the result. In the risk assessment model, the uncer­
tainty is generally considered by treating the uncertainty of the
parameter included in the model. Several methods have been studied for
the evaluation of the uncertainty. Monte Carlo (MC) method can directly
consider the uncertainty in the complex risk assessment model [6-9].
However, in the complex risk assessment model, it is difficult to evaluate
the contribution of each component to the uncertainty accurately due to
the computational cost. Especially, the calculation cost becomes huge in
the case of complex dynamic risk assessment models such as the dy­
namic model of the nuclear power plant [10-13].
The deterministic approach is effective for suppressing the calcula­
tion cost of the uncertainty analysis. One of the effective methods based
on the deterministic approach is the method of moments [14-16]. The
method of moments estimates the mean and variance of the output
function by propagating uncertainties of the input in the risk assessment
model. The method is effective for screening studies because of its
Fenton-Wilkinson (FW) method has been developed and widely used
[17]. FW method is one of the moment-matching methods for obtaining
the distribution of output function. The method is effective but appli­
cable only when the probability of the basic event is expressed by the
log-normal distribution. Recently, a method based on the deterministic
approach has been developed for the fault tree by means of binary de­
cision diagrams [18]. The result of the method agrees well with that of
MC method.
Some uncertainty analysis methods focus on the contribution of the
component included in the risk analysis model. For evaluating the
contribution of the variance of each component to the output, the
variance of the output was expressed by using the partial differentiation
with respect to the probability of component [19,20]. In another study,
the mean and variance of the output were derived by the formula which
includes partial differentiation with respect to the probability of
component [21]. The mean and variance of the output can be evaluated
by these approaches if the formula of the output is explicitly obtained.
However, the formula of the output might be difficult to be obtained in
recent risk assessment models since the recent study sometimes uses the
complex model such as Bayesian network [22-25]. For obtaining the
contribution of the component included in the model easily, the sensi­
tivity coefficient has been used in the study on reactor physics [26,27].
Although the method based on the sensitivity coefficient is effective for

* Corresponding author.
E-mail address: takeda@see.eng.osaka-u.ac.jp (S. Takeda).

https://doi.org/10.1016/j.ress.2021.107471
Received 25 October 2020; Received in revised form 7 December 2020; Accepted 14 January 2021
Available online 18 January 2021
0951-8320/© 2021 Elsevier Ltd. All rights reserved.
S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

the uncertainty analysis of the nuclear reactor, the method has not been
PT | − PT |
used in the probabilistic risk assessment.
Therefore, using the sensitivity coefficient, a simple method that can SCT,i =
xk = E(xk ) (k = 1, …, n) xi = 0, xk = E(xk ) (k ∕
= i)
.
apply the complex model is proposed for the uncertainty analysis of PT |
probabilistic risk assessment in the present study. The present method xk = E(xk ) (k = 1, …, n)
does not require a lot of calculation cost and is applicable even if the (5)
formula of the output is not obtained explicitly. Moreover, the covari­
Equation (5) shows that the sensitivity coefficient equals the Fussell-
ance between parameters included in the risk assessment model can be
directly considered in the present method. On the other hand, in the Vesely importance if the second-order partial difference (∂2 PT /∂xi 2 ) is
model with β factor method [28] and that with the Multiple Greek Letter assumed to be zero.
(MGL) method [29,30], the variance and covariance between proba­ Next, we derive the mean of the output by using the sensitivity co­
bilities of basic events have not been clearly derived. In addition, the efficient. A Taylor expansion of the mean up to second-order is
parameters used in these methods have non-negligible uncertainty [31, expressed as
32]. Therefore, the formulas for obtaining the variance and covariance ⃒
1∑ ∂2 PT 2 ⃒⃒
are derived for the model with β factor method and that with MGL E(PT ) = PT |xk =E(xk ) (k=1,…,n) + σ i ⃒
2 i ∂xi 2 ⃒
method in the present paper. In the next section, the uncertainty analysis
(6)
xk =E(xk ) (k=1,…,n)

method based on the sensitivity coefficient and the derivation of the ∑∑ 2 ⃒

⃒
∂ PT ⃒
variance and covariance for the model with β factor method and that + i =i ∂x ∂x
j, j∕
σi,j ⃒ ,
with MGL method are summarized. The discussion of the calculation
i j xk =E(xk ) (k=1,…,n)

result is shown in section 3. Conclusions are shown in section 4.

where, σ i is the standard deviation of i-th parameter and σ i,j is the
covariance between i-th parameter and j-th parameter. If the second-
2. Method
order partial difference (∂2 PT /∂xi 2 ) is assumed to be zero, the mean of
2.1. Uncertainty analysis method based on sensitivity coefficient the output is approximately expressed as
E(PT )
The present method based on the sensitivity coefficient estimates the ⃒
∑∑ ∂2 PT ⃒
mean and variance of the output such as the probability of the top event. = PT |xk =E(xk ) (k=1,…,n) + σi,j ⃒⃒
The approximated distribution of the output can be expressed by the i j, j∕
=i
∂xi ∂xj xk =E(xk ) (k=1,…,n)
moment matching technique [21]. The output PT is expressed by
= PT |xk =E(xk ) (k=1,…,n)
PT = f (x1 , x2 , …, xn ), (1)
PT | x = E(x ) + Δx , x = E( x ) + Δx , − PT | x = E( x ) + Δx ,
i i i j j j j j j
where, x is the parameter such as the probability of the basic event and n
∑∑ xk = E(xk ) (k ∕
= i,j) xk = E(xk ) (k ∕
= j)
is the number of parameters included in the risk assessment model. + σ i,j
First, let us consider the sensitivity coefficient. If the i-th parameter xi i j, j∕
=i
Δxi Δxj
changes to (xi + Δxi ), the change of the output can be expressed by PT | x = E(x ) + Δx , − PT |xk =E(xk ) (k=1,…,n)
Taylor expansion as i i i

∑∑ xk = E(xk ) (k ∕
= i)
∂ PT 1 ∂ 2 PT 1 ∂3 PT − σi,j
ΔPT = Δx + (Δxi )2 + (Δxi )3 + …. (2) Δxi Δxj
∂xi i 2 ∂xi 2 3! ∂xi 3 i j, j∕
=i

We introduce the sensitivity coefficient as the index of the contri­ = PT |xk =E(xk ) (k=1,…,n)
bution of the parameter included in the risk assessment model. In the
PT | x = E(x ) + Δx , − PT |xk =E(xk ) (k=1,…,n)
present paper, the sensitivity coefficient of the output PT to i-th i i i

parameter xi is defined as ∑∑ xk = E(xk ) (k ∕

= i)
− σi,j
∂PT xi Δxi Δxj
(3)
i j, j∕
=i
SCT,i = | ,
∂xi PT xk =E(xk ) (k=1,…,n)
PT | x = E( x ) + Δx , − PT |xk =E(xk ) (k=1,…,n)
j j j
where, E(xk ) refers to the expected value of xk . If the second-order ∑∑ xk = E(xk ) (k ∕
= j)
partial difference shown in Eq. (2) is assumed to be zero, from Eq. (2) − σi,j
Δxi Δxj
and (3), the sensitivity coefficient can be approximately rewritten as i j, j∕
=i

PT | x = E(x ( ) − PT |xk =E(xk ) (k=1,…,n)

SCT,i i i ) + Δxi , xj = E xj + Δxj ,
⃒
ΔPT xi ⃒⃒ ∑∑ xk = E(xk ) (k ∕
= = i,j)
Δx P ⃒
i T xk =E(xk ) (k=1,…,n) (4) +
Δxi Δxj
σi,j
i j, j∕
=i
PT |xi =E(xi )+Δxi , xk =E(xk ) (k∕
=i) − PT |xk =E(xk ) (k=1,…,n) E(xi )
= . = PT |xk =E(xk ) (k=1,…,n)
PT |xk =E(xk ) (k=1,…,n) Δxi
/ / ( )
∑∑ Δxi SCT,i E(xi ) + Δxj SCT,j E xj
Note that the above approximation might bring a non-negligible − PT |xk =E(xk ) (k=1,…,n) σi,j
Δxi Δxj
error if the model cannot be approximated by the linear model. As i j, j∕
=i

shown in Eq. (4), the sensitivity coefficient is the ratio of the relative PT | x = E(x ) + Δx , x = E( x ) + Δx , − PT |
changes of the output and xi . By substituting − E(xi ) into Δxi , the i i i j j j

sensitivity coefficient is simply defined as ∑∑ xk = E(xk ) (k ∕

= i,j) xk = E(xk ) (k = 1,…,n)
+ σi,j ,
i j, j∕
=i
Δxi Δxj
(7)
By substituting − E(xi ) and − E(xj ) into Δxi and Δxj respectively, the

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S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

mean of the output is simply defined as • The sensitivity coefficient is calculated by Eq. (5).
• Using the sensitivity coefficient, the mean of the output is calculated

E(PT ) = f (E(x1 ), E(x2 ), …, E(xn ))

⎛ ⎞

∑∑ σi,j
⎜
⎜ (
⎟
)⎟ (8)
+ ( )⎜PT | + PT |xk =E(xk ) SCT,i + SCT,j − 1 ⎟
⎟.
i j, j∕
=i
E(xi )E xj ⎜⎝
xi = 0, xj = 0, (k=1,…,n)
⎠
xk = E(xk ) (k ∕
= i, j)

by Eq. (8).
If (∂2 PT /∂xi ∂xj ) is assumed to be zero, the second term on the right • Using the sensitivity coefficient, the variance of the output is calcu­
side of Eq. (8) can be ignored. lated by Eq. (13).
Next, we derive the variance of the output by using the sensitivity • Using the mean and variance of the output, the distribution of the
coefficient. The infinitesimal difference of the output around expected output is obtained.
value is defined as
∑(∂PT ) The matrix W is required for the calculation of the variance of the
dPT |xk =E(xk ) (k=1,…,n) = dxi |xk =E(xk ) (k=1,…,n) . (9) output. However, the variance and covariance of the probabilities of
∂xi
i basic events have not been explicitly derived for the model with β factor
By raising both sides of Eq. (9) to the second power, we obtain method and that with MGL model. Therefore, these derivations are
⃒ described in the following sections.
dPT 2 ⃒xj =E(xj ) (j=1,…,n)
⃒ ⃒ 2.2. Variance and covariance of probabilities of basic events in model
∑(∂PT )2 ⃒ ∑∑(∂PT )(∂PT ) ⃒
with β factor method
2⃒ ⃒
= dxi ⃒ +2 dxi dxj ⃒ .
i
∂xi ⃒ i j,j∕
=i
∂xi ∂xj ⃒
xk =E(xk )(k=1,…,n) xk =E(xk )(k=1,…,n)
In the analysis of the risk assessment model with β factor method, the
(10)
probability of independent failure xind and that of common-cause failure
By taking the expected value of both sides of Eq. (10), the variance of of two components xcom2 are obtained from total failure probability xt
the output is defined as and the parameter β. If the variance and covariance of xind and xcom2 are
∑(∂PT )2 obtained, the present method can be easily applied by using the sensi­
σT 2 = σ i 2 |xk =E(xk ) (k=1,…,n) tivities of xind and xcom2 . Therefore, the variance and covariance of xind
∂xi
i and xcom2 are derived in this section. In the derivation, xt and β are
∑ ∑ (∂PT )(∂PT ) assumed to be independent of each other.
+2 σ | . (11)
i j, j∕
=i
∂xi ∂xj i,j xk =E(xk ) (k=1,…,n) We consider the variance of the probability of independent failure.
xind is defined as
where, σ T is the standard deviation of the output. By introducing the
xind = (1 − β)xt . (16)
sensitivity coefficient into Eq. (11), we obtain
( ) ( ) By using Eq. (16), the infinitesimal difference of xind is written as
σT 2 ∑ σi 2 ∑∑ σi,j
= SCT,i +2 SCT,i SCT,j ( ). (12) ∂xind ∂xind
E(PT ) i
E(xi ) i j, j∕
=i
E(x i )E xj dxind = dβ + dx = − xt dβ + (1 − β)dxt . (17)
∂β ∂xt t
The variance of the output can be obtained from Eq. (12). By using
By raising both sides of Eq. (17) to the second power, we obtain
the matrix expression, the variance of output is easily given by
( ) dxind 2 = xt 2 dβ2 + (1 − β)2 dxt 2 − 2xt (1 − β)dβdxt . (18)
σT 2
= ST WST T , (13)
E(PT ) By taking the expected value of both sides of Eq. (18), and using the
assumption that xt and β are independent of each other, the variance of
where, the superscript T refers the transpose and the vector ST and the xind is given as
matrix W are expressed as
( ) σ ind 2 = E(xt )2 σβ 2 + (1 − E(β))2 σ t 2 , (19)
ST = SCT,1 , SCT,2 , …, SCT,n , (14)
where σβ 2 is the variance of β and σ t 2 is that of xt .
( )2
σ1 σ1,2 σ1,n We consider the variance of the probability of common-cause failure
⎛ ⋯ ⎞
E(x1 ) E(x1 )E(x2 ) E(x1 )E(xn ) xcom2 . xcom2 is defined as
⎜ ( )2 ⎟
⎜
⎜ σ2,1 σ2 ⎟
⎟ xcom2 = βxt . (20)
⎜ ⋯ ⋮ ⎟
W = ⎜ E(x2 )E(x1 ) E(x2 ) ⎟. (15)
⎜ ⎟ By using Eq. (20), the infinitesimal difference of xcom2 is written as
⎜ ⋮ ⋮ ⋱ ⋮ ⎟
⎝ ⎠
( )2 ∂xcom2 ∂xcom2
σn,1 σn dxcom2 = dβ + dxt = xt dβ + βdxt . (21)
⋯ ⋯ ∂β ∂xt
E(xn )E(x1 ) E(xn )
By raising both sides of Eq. (21) to the second power, we obtain
The calculation procedure is summarized as follows:
dxcom2 2 = xt 2 dβ2 + β2 dxt 2 + 2xt βdxt dβ. (22)

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S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

By taking the expected value of both sides of Eq. (22), and using the
assumption that xt and β are independent of each other, the variance of (1 − E(γ))2 E(xt )2 2 E(β)2 E(xt )2 2 E(β)2 (1 − E(γ))2 2
σcom2 2 = σβ + σγ + σt
xcom2 is given as 4 4 4
E(β)(1 − E(γ))E(xt )2
σ com2 2 = E(xt )2 σβ 2 + E(β)2 σt 2 . (23) + σβ,γ ,
4
We consider the covariance between the probability of independent (31)
failure and that of common-cause failure. The product of infinitesimal
differences of xind and xcom2 is written as where, σ γ 2 is the variance of γ and σβ,γ is the covariance between β and γ.
The square of the infinitesimal difference of xcom3 is written as
dxind dxcom2
( )( ) dxcom3 2
∂xind ∂xind ∂xcom2 ∂xcom2 ( )2
= dβ + dxt dβ + dxt ∂xcom3 ∂xcom3 ∂xcom3
∂β ∂xt ∂β ∂xt = dβ + dγ + dxt
( ) ∂β ∂γ ∂xt
∂xind ∂xcom2 2 ∂xind ∂xcom2 2 ∂xind ∂xcom2 ∂xind ∂xcom2
= dβ + dxt + + dβdxt . ( )2 ( )2 ( )2
∂β ∂β ∂xt ∂xt ∂β ∂xt ∂xt ∂β ∂xcom3 ∂xcom3 ∂xcom3 ∂xcom3 ∂xcom3
= dβ + dγ + dxt +2 dβdγ
(24) ∂β ∂γ ∂xt ∂β ∂γ
By taking the expected value of both sides of Eq. (24), and using the +2
∂xcom3 ∂xcom3
dβdxt + 2
∂xcom3 ∂xcom3
dγdxt .
assumption that xt and β are independent of each other, the covariance ∂β ∂xt ∂γ ∂xt
between xind and xcom2 is given as (32)

σ ind,com2 = − E(xt )2 σ β 2 + (1 − E(β))E(β)σt 2 . (25) By taking the expected value of both sides of Eq. (32), and using the
assumption that xt and MGL parameters are independent of each other,
the variance of xcom3 is given as
2.3. Variance and covariance of probabilities of basic events in model
with MGL method σcom3 2 = E(γ)2 E(xt )2 σβ 2 + E(β)2 E(xt )2 σ γ 2 + E(β)2 E(γ)2 σt 2
(33)
+2E(β)E(γ)E(xt )2 σβ,γ .
Three same components are considered in the derivation for MGL
method. In the analysis of the risk assessment model with MGL method, Consider the covariance of between the basic events (xind , xcom2 ,
the probability of independent failure xind , that of common-cause failure xcom3 ). The product of infinitesimal differences of xind and xcom2 is written
of two components xcom2 , and that of common-cause failure of three as
components xcom3 are obtained from total failure probability xt and the dxind dxcom2
parameters of MGL method. The variance and covariance of xind , xcom2 , ( )( )
∂xind ∂xind ∂xcom2 ∂xcom2 ∂xcom2
and xcom3 are derived in this section to apply the present method easily. = dβ + dx dβ + dγ + dxt
∂β ∂xt t ∂β ∂γ ∂xt
In the derivation, xt and parameters of MGL method are assumed to be
independent of each other, and the number of same components is ∂xind ∂xcom2 2 ∂xind ∂xcom2 ∂xind ∂xcom2 (34)
= dβ + dβdγ + dβdxt
limited to three as mentioned in the introduction. In the MGL method, ∂β ∂β ∂β ∂γ ∂β ∂xt
xind , xcom2 , and xcom3 are defined as ∂xind ∂xcom2 ∂xind ∂xcom2 ∂xind ∂xcom2 2
+ dxt dβ + dxt dγ + dxt .
xind = (1 − β)xt , (26)
∂xt ∂β ∂xt ∂γ ∂xt ∂xt
By taking the expected value of both sides of Eq. (34), and using the
xcom2 =
β(1 − γ)
xt , (27) assumption that xt and MGL parameters are independent of each other,
2 the covariance between xind and xcom2 is given as

xcom3 = βγxt , (28) σind,com2

(1 − E(γ))E(xt ) 2 E(β)(1 − E(β))(1 − E(γ)) 2 E(β)E(xt )2
2
where, β and γ are MGL parameters. =− σβ + σt + σ β,γ .
2 2 2
We consider the variances of xind , xcom2 , and xcom3 . Since Eq. (26) is
(35)
the same as Eq. (16), the variance of xind can be obtained in the same way
as β factor method: The product of infinitesimal differences of xind and xcom3 is written as
2 2 2
σ ind = E(xt ) σ β + (1 − E(β)) σt . 2 2
(29) dxind dxcom3
( )( )
∂xind ∂xind ∂xcom3 ∂xcom3 ∂xcom3
The square of the infinitesimal difference of xcom2 is written as = dβ + dx dβ + dγ + dxt
∂β ∂xt t ∂β ∂γ ∂xt
dxcom2 2 ∂xind ∂xcom3 2 ∂xind ∂xcom3 ∂xind ∂xcom3 (36)
( )2 = dβ + dβdγ + dβdxt
∂xcom2 ∂xcom2 ∂xcom2 ∂β ∂β ∂β ∂γ ∂β ∂xt
= dβ + dγ + dxt
∂β ∂γ ∂xt ∂xind ∂xcom3 ∂xind ∂xcom3 ∂xind ∂xcom3 2
( )2 ( )2 ( )2 + dxt dβ + dxt dγ + dxt .
∂xcom2 ∂xcom2 ∂xcom2 ∂xcom2 ∂xcom2 ∂xt ∂β ∂xt ∂γ ∂xt ∂xt
= dβ + dγ + dxt +2 dβdγ
∂β ∂γ ∂xt ∂β ∂γ By taking the expected value of both sides of Eq. (36), and using the
assumption that xt and MGL parameters are independent of each other,
∂xcom2 ∂xcom2 ∂xcom2 ∂xcom2 the covariance between xind and xcom2 is given as
+2 dβdxt + 2 dγdxt .
∂β ∂xt ∂γ ∂xt
(30) σ ind,com3 = − E(γ)E(xt )2 σ β 2 + E(β)(1 − E(β))E(γ)σ t 2 − E(β)E(xt )2 σ β,γ . (37)
By taking the expected value of both sides of Eq. (30), and using the The product of infinitesimal differences of xcom2 and xcom3 is written
assumption that xt and MGL parameters are independent of each other, as
the variance of xcom2 is given as

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S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

Fig. 1. Simple fault tree model composed of seven basic events.

Table I
Mean and standard deviation of basic events in simple fault tree model
Mean of log-normal probability Standard deviadtion of log-normal
density function probability density function
3 4
x1 1.25 × 10− 9.37 × 10−
− 2 − 2
x2 3.75 × 10 2.81 × 10
2 3
x3 1.25 × 10− 9.37 × 10−
2 2
x4 3.75 × 10− 2.81 × 10−
− 2 − 3
x5 1.25 × 10 9.37 × 10
3 3
x6 3.75 × 10− 2.81 × 10−
3 4
x7 1.25 × 10− 9.37 × 10−

dxcom2 dxcom3
( )( )
∂xcom2 ∂xcom2 ∂xcom2 ∂xcom3 ∂xcom3 ∂xcom3
= dβ + dγ + dxt dβ + dγ + dxt
∂β ∂γ ∂xt ∂β ∂γ ∂xt
∂xcom2 ∂xcom3 2 ∂xcom2 ∂xcom3 ∂xcom2 ∂xcom3 Fig. 2. Comparison of probability density of top event in simple fault
= dβ + dβdγ + dβdxt
∂β ∂β ∂β ∂γ ∂β ∂xt tree model.
∂xcom2 ∂xcom3 ∂xcom2 ∂xcom3 2 ∂xcom2 ∂xcom3
+ dβdγ + dγ + dγdxt
∂γ ∂β ∂γ ∂γ ∂γ ∂xt
∂xcom2 ∂xcom3 ∂xcom2 ∂xcom3 ∂xcom2 ∂xcom3 2
+ dβdxt + dxt dγ + dxt .
∂xt ∂β ∂xt ∂γ ∂xt ∂xt
(38)
By taking the expected value of both sides of Eq. (38), and using the
assumption that xt and MGL parameters are independent of each other,
the covariance between xind and xcom2 is given as
σcom2,com3
E(γ)(1 − E(γ))E(xt ) 2 E(β)2 E(xt )2 2 E(β)2 E(γ)(1 − E(γ)) 2
2
= σβ − σγ + σt
2 2 2
E(β)(1 − 2E(γ))E(xt )2
+ σβ,γ .
2
(39)
Fig. 3. Relations among independent failure probability and common-cause
failure probability in model with β factor method.

Table II
Probability of top event in simple fault tree model
Present method Method of moment FW method MC
Probability Diff. [%]a Probability Diff. [%]a Probability Diff. [%]a
3 3 3 3
Mean 8.68 × 10− 0.0 8.68 × 10− 0.0 8.75 × 10− 0.8 8.68 × 10−
2 2 2 2
95 percentile 1.56 × 10− -0.3 1.58 × 10− 0.9 1.60 × 10− 2.0 1.57 × 10−
3 3 3 3
Median 7.98 × 10− 1.0 7.95 × 10− 0.6 8.01 × 10− 1.3 7.90 × 10−
3 3 3 3
5 percentile 4.08 × 10− -3.9 4.00 × 10− -5.8 4.01 × 10− -5.5 4.24 × 10−
a
The value shows the relative difference from the results of MC calculation

5
S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

and that obtained by FW method are additionally compared since these

Fig. 4. Fault tree model with β factor method.
Table III
Mean and standard deviation of total failure probability and β
Mean of log-normal probability Standard deviation of log-normal
density function probability density function
xt 0.01 0.001
β 0.1 0.005, 0.01, 0.05
3. Discussion on calculation results of uncertainty analysis
method based on sensitivity coefficient
The calculation results obtained by the present method is discussed
by comparing the results obtained by the other methods. The reference
results were obtained by MC method. The number of samples used in MC
calculation is 10,000,000. Although the present method can be applied
to the complex and practical engineering system, the calculation was
performed for three fault tree models in order to discuss the effectiveness
of the method shown in Section 2 simply. The first is the fault tree model
composed of seven basic events [6] (Fig. 1). The second is the fault tree
model with β factor method considering the same two components. The
third is the fault tree model with MGL method considering the same
three components. The model with β factor method and that with MGL
method are non-linear with respect to β and γ. Therefore, these results
show the effectiveness of the present method in these simple non-linear
models.
The first fault tree model is shown in Fig. 1. The mean and standard
deviation of the probability of basic events in the fault tree model are
summarized in Table I. The probability densities of all basic events
distribute log-normally. The results obtained by the method of moment
methods can be applied to the fault tree model. The probability density
of the top event is assumed to distribute log-normally in the analysis of
the present method, the method of moments, and FW method. The
estimated mean, 95 percentile, the median, and 5 percentile of the top
event are summarized in Table II. The distribution of the probability
density of the top event is described in Fig. 2. As shown in Table II and
Fig. 2, the results of the present method, the method of moments, and
FW method agree well with that of MC method. The results show that the
uncertainty analysis can be accurately performed by the present method
in the simple fault tree model as well as the method of moment and FW
method.
The second uncertainty analysis was performed for the fault tree
model with β factor method considering the same two components
(component A and component B). Relations among the independent
failure probability and common-cause failure probability are shown in
Fig. 3. xind (A) and xind (B) are the independent failure probabilities of
components A and B, respectively, and they are equal to each other.
xcom2 (A, B) is the probability of the common-cause failure of components
A and B. The fault tree model with β factor method is shown in Fig. 4.
Note that calculations based on the method of moments and FW method
are not performed since they cannot take into account the correlation
between the probabilities of basic events directly. The mean and stan­
dard deviation of the total failure probability xt and β are summarized in
Table III. Three calculations are performed by changing the standard
deviation of β in order to evaluate the effectiveness of the present
method in various distribution shapes of the output. xt and β distribute
log-normally in the analysis, thus the probability density of the top event
is assumed to distribute log-normally in the analysis of the present
method. In the analysis with MC method, xt and β are obtained by the
random number, then the fault tree analysis is performed. On the other
hand, in the present method, the fault tree analysis is performed based
on the sensitivity coefficient, the variance, and the covariance of xind and
xcom2 . The variance and covariance are obtained by formulas described
in section 2.2. The comparison of the variance and covariance obtained
in the analysis are summarized in Table IV. Table IV shows the
discrepancy of the variance and covariance between the present method
and MC method is less than 2 %. The results show that the variance and
covariance can be accurately obtained by formulas described in section
2.2. The estimated mean, 95 percentile, median, and 5 percentile of the
top event are summarized in Table V. As shown in Table V, discrepancies
of these probabilities are less than 4 %. The distribution of the proba­
bility density of the top event is described in Fig. 5. As shown in Fig. 5, in
the analysis of the fault tree model with β factor method, various dis­
tribution shapes of the probability density are accurately obtained by

Table IV
Comparison of variance and covariance obtained in analysis of fault tree model with β factor method
σβ = 0.005 σβ = 0.01 σβ = 0.05
Present MC Diff [%] Present MC Diff [%] Present MC Diff [%]
− 7 − 7 − 7 − 7 − 6 − 6
σind 2 8.13 × 10 8.12 × 10 0.0 8.20 × 10 8.20 × 10 -0.1 1.06 × 10 1.06 × 10 -0.3
8 8 8 8 7 7
σcom2 2 1.25 × 10− 1.25 × 10− -0.2 2.00 × 10− 2.01 × 10− -0.5 2.60 × 10− 2.62 × 10− -0.9
8 8 8 8 7 7
σind,com2 8.75 × 10− 8.74 × 10− 0.1 8.00 × 10− 7.99 × 10− 0.1 -1.60 × 10− -1.63 × 10− 1.6
8 8 8 8 7 7
σT 2 1.57 × 10− 1.60 × 10− -1.7 2.29 × 10− 2.33 × 10− -1.5 2.54 × 10− 2.57 × 10− -1.1

Table V
Probability of top event in fault tree model with β factor method
σβ = 0.005 σβ = 0.01 σβ = 0.05
Present MC Diff [%] Present MC Diff [%] Present MC Diff [%]
3 3 3 3 3 3
Mean 1.08 × 10− 1.08 × 10− -0.1 1.08 × 10− 1.08 × 10− -0.1 1.08 × 10− 1.08 × 10− -0.1
3 3 3 3 3 3
95 percentile 1.30 × 10− 1.30 × 10− -0.2 1.35 × 10− 1.35 × 10− -0.5 2.03 × 10− 2.04 × 10− -0.4
3 3 3 3 4 4
Median 1.07 × 10− 1.07 × 10− -0.1 1.07 × 10− 1.07 × 10− 0.1 9.80 × 10− 9.74 × 10− 0.6
4 4 4 4 4 4
5 percentile 8.88 × 10− 8.87 × 10− 0.0 8.51 × 10− 8.50 × 10− 0.1 4.72 × 10− 4.88 × 10− -3.3

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S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

Fig. 5. Comparison of probability density of top event in fault tree model with β factor method.

the present method.

The third uncertainty analysis was performed for the fault tree model
with MGL method considering the same three components (component
A, component B, component C). Relations among the independent fail­
ure probability and common-cause failure probability are shown in
Fig. 6. xind (A), xind (B), and xind (C) are the independent failure proba­
bilities of components A, B, and C, respectively, and they are equal to
each other. xcom2 (A, B), xcom2 (A, C), and xcom2 (B, C) are the probabilities
of the common-cause failure of two components, and they are equal to
each other. xcom3 (A, B, C) is the probability of the common-cause failure
of three components. The fault tree model with MGL method is shown in
Fig. 7. The mean and standard deviation of the total failure probability xt
and MGL parameters are summarized in Table VI. As well as the analysis
of the model with β factor method, three calculations are performed by
changing the standard deviation of β, and the probability densities of the
top event is assumed to distribute log-normally in the analysis of the
present method. In the analysis with MC method, xt and MGL
Fig. 6. Relations among independent failure probability and common-cause
failure probability for three redundant components.
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S. Takeda and T. Kitada Reliability Engineering and System Safety 209 (2021) 107471

Fig. 7. Fault tree model with MGL method.

Table VI
Mean and standard deviation of total failure probability and MGL parameters
Mean of log-normal probability density function Standard deviation of log-normal probability density function

xt 0.01 0.001
β 0.1 0.005, 0.01, 0.05
γ 0.1 0.01

Table VII
Comparison of variance and covariance obtained in analysis of fault tree model with MGL method
σβ = 0.005 σβ = 0.01 σβ = 0.05
Present MC Diff [%] Present MC Diff [%] Present MC Diff [%]
− 7 − 7 − 7 − 7 − 6 − 6
σind 2 8.13 × 10 8.13 × 10 0.0 8.20 × 10 8.20 × 10 0.0 1.06 × 10 1.06 × 10 -0.2
9 9 9 9 8 8
σcom2 2 2.56 × 10− 2.56 × 10− -0.2 4.08 × 10− 4.10 × 10− -0.5 5.27 × 10− 5.33 × 10− -1.1
10 10 10 10 9 9
σcom3 2 2.25 × 10− 2.27 × 10− -0.7 3.00 × 10− 3.03 × 10− -1.0 2.70 × 10− 2.75 × 10− -2.0
8 8 8 8 8 8
σind,com2 3.94 × 10− 3.94 × 10− 0.0 3.60 × 10− 3.60 × 10− 0.1 -7.20 × 10− -7.32 × 10− -1.6
9 9 9 9 8 8
σind,com3 8.75 × 10− 8.75 × 10− 0.0 8.00 × 10− 7.99 × 10− 0.1 -1.60 × 10− -1.63 × 10− -1.6
10 10 10 10 8 8
σcom2,com3 5.13 × 10− 5.14 × 10− -0.2 8.50 × 10− 8.54 × 10− -0.4 1.17 × 10− 1.18 × 10− -1.0
10 10 10 10 9 9
σT 2 2.85 × 10− 2.91 × 10− -2.0 3.77 × 10− 3.84 × 10− -1.9 3.31 × 10− 3.32 × 10− -0.5

Table VIII
Probability of top event in fault tree model with MGL method
σβ = 0.005 σβ = 0.01 σβ = 0.05
Present MC Diff [%] Present MC Diff [%] Present MC Diff [%]
4 4 4 4 4 4
Mean 1.13 × 10− 1.13 × 10− 0.0 1.13 × 10− 1.13 × 10− 0.0 1.12 × 10− 1.12 × 10− -0.1
4 4 4 4 4 4
95 percentile 1.43 × 10− 1.43 × 10− -0.2 1.47 × 10− 1.48 × 10− -0.3 2.21 × 10− 2.22 × 10− -0.2
4 4 4 4 4 4
Median 1.12 × 10− 1.13 × 10− -1.1 1.11 × 10− 1.11 × 10− 0.0 1.00 × 10− 1.00 × 10− 0.0
5 5 5 5 5 5
5 percentile 8.75 × 10− 8.73 × 10− 0.2 8.41 × 10− 8.39 × 10− 0.3 4.55 × 10− 4.53 × 10− 0.4

parameters are obtained by the random number, then the fault tree
analysis is performed. In the present method, the fault tree analysis is
performed based on the sensitivity coefficient, the variance, and
covariance of xind , xcom2 , and xcom3 . The variance and covariance are
obtained by formulas described in section 2.3. The comparison of the
variance and covariance obtained by the analysis are summarized in
Table VII. Table VII shows the discrepancy of the variance and covari­
ance between the present method and MC method is less than about 2 %.
The results show that the variance and covariance can be accurately
obtained by formulas described in section 2.3. The estimated mean, 95
percentile, median, and 5 percentile of the top event are summarized in
Table VIII. As shown in Table VIII, the discrepancy of the probability is
less than 2 %. The distribution of the probability density of the top event
is described in Fig. 8. Figure 8 shows that the probability density ob­
tained by the present method agrees well with that obtained by MC
method. As shown in Fig. 8, in the analysis of the fault tree model with
MGL method, various distribution shapes of the probability density are
accurately obtained by the present method.
Note that the calculation cost of the present method is drastically
small compared with MC method since the calculation cost of covariance
is quite small and the calculation of sensitivity coefficient is required
only for the parameter included in the model. For instance, the present
method requires 7 sensitivity factors for analysis of the first fault tree
model, and the calculation cost of these sensitivity factors is quite small
compared with that of 10,000,000 samples.
4. Conclusions
A simple uncertainty analysis method based on the sensitivity coef­
ficient was developed for the probabilistic risk assessment. By using the

8
S. Takeda and T. Kitada
Fig. 8. Comparison of probability density of top event in fault tree model with
MGL method.
present method, the covariance of the parameters included in the risk
assessment model can be directly taken into account. The present
method does not require a lot of calculation cost and can be applied to
the complex model since the sensitivity coefficient is easily obtained by
changing the value of the parameter. The formulas to obtain the vari­
ance and covariance of probabilities of basic events were derived for the
analysis of the model with β factor method and the model with MGL
method. In the analysis of the fault tree model without the correlation
among probabilities of basic events, the results obtained by the method
of moment, FW method, and present method agree well with that ob­
tained by MC method. In the analyses of the fault tree model with β
factor method and that with MGL method, the results obtained by the
present method agree well with that obtained by MC method.
CRediT authorship contribution statement
Satoshi Takeda: Conceptualization, Methodology, Software,
9
Reliability Engineering and System Safety 209 (2021) 107471
Visualization, Investigation, Writing - original draft, Writing - review &
editing. Takanori Kitada: Data curation, Supervision.
Declaration of Competing Interest
The authors declare that they have no known competing financial
interests or personal relationships that could have appeared to influence
the work reported in this paper.
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