Structural Engineering Convention (SEC-2016)

CSIR-SERC, Chennai, INDIA. 21-23 December 2016

RELIABILITY ESTIMATION IN VIBRATING STRUCTURES BY GIRSANOV’S

TRANSFORMATION WITH MARKOV CONTROL FORCES
Oindrila Kanjilal1, C.S. Manohar2

This paper considers the problem of Monte Carlo simulation based time variant reliability analysis of
nonlinear dynamical systems driven by non-stationary Gaussian excitation. Attention is focused on an
importance sampling method based on Girsanov’s probability transformation technique. In this approach,
suitably designed artificial control forces are added to the dynamical system to drive the system response
to the failure region. A strategy to formulate closed loop control forces, which are dependent on the system
states, has been developed. These closed loop controls lead to a greater reduction in the sampling variance
of the failure probability estimator compared to the open loop controls which are being used in the existing
literature. Merits of proposed controls have been established through numerical studies on a randomly
driven duffing oscillator.

Keywords: Importance sampling, Girsanov’s transformation, Markov controls, time-variant reliability

1 Introduction the spherical subset simulation[7]. These methods bring

The problem of time variant reliability estimation, which
consists of evaluating the probability that a response
measure h(X (t)) of a dynamical system with state X(t)
exceeds a critical limit h* over a specified time duration,
has been extensively studied in the last few decades.
The earlier studies on time variant reliability have
focused on the development of analytical and numerical
approaches, such as those based on out-crossing theory[1, 2],
Markov vector approach[3] and numerical solution of the
backward Kolmogorov equation[4]. As the complexity
of the problem increases, the applicability of these
methods becomes limited and one needs to take resort
to simulation based techniques to tackle the problem.
Among the simulation based methods, the simplest
and universally applicable is the direct Monte Carlo
technique. However, in this approach, the number of
samples needed to reduce the sampling variance of the
failure probability estimator increases prohibitively
as the order of the probability decreases, making it
computationally infeasible for estimating small failure
probabilities. To overcome this difficulty, several
variance reduction strategies have been developed in
the existing literature. Notable among these are the
subset simulation method[5], line sampling method[6] and
1
Research Scholar, oindrila@civil.iisc.ernet.in, Department of Civil
Engineering, Indian Institute of Science, Bangalore 560012, India
2
Professor, manohar@civil.iisc.ernet.in, Department of Civil
Engineering, Indian Institute of Science, Bangalore 560012, India
about variance reduction by restructuring the failure
region and modifying the failure probability estimator,
so that the simulated samples move progressively
from regions of higher probability towards the lesser
probability target failure region.
In this study, we focus on the classical importance
sampling method[8] for variance reduction, where
the sampling probability density is modified so that
most of the simulated samples come directly from the
failure region. In dynamical systems, such importance
sampling can be achieved by virtue of the Girsanov’s
transformation method[9], where an artificial control
force is added to the system which drives the system
response to failure. The existing studies have focused on
computation of deterministic[10] open loop control forces
which can be determined independently of the system
states. These open loop controls have been widely used
in several applications[11-13]. In this work we develop
a method to formulate state dependent (closed loop)
control forces to be used in Girsanov’s transformation.
These controls are applicable for reliability estimation
of linear/nonlinear systems driven by non-stationary
Gaussian excitation. Through numerical simulations
on a duffing oscillator, it has been shown that these
closed loop controls lead to a lesser variance importance
sampling estimator compared to the open loop ones.

2 Problem statement
The governing equation of motion of a dynamical
system driven by non-stationary Gaussian excitation
can be written as an Ito’s stochastic differential equation
(SDE) of the form
dX ( t ) = A ( X ( t ) , t ) dt + Ã( t ) dB ( t ) ;
X (0) = X 0 ; 0 ≤ t ≤ T
where, X(t) is a p × 1 vector of system states, A(X(t), t)
and s(X(t), t) are p × 1 drift vectors and diffusion vectors
respectively and B(t) is a Brownian motion process with
Ep [DB(t)] = 0 and E P [ ∆B ( t1 ) ∆B ( t 2 )] = S ∆tδ ( t1 − t 2 )
for 0 ≤ t1 , t 2 ≤ T , S being the intensity of the
associated Gaussian white noise excitation W(t). Let
the underlying probability space be ( Ω,  , P ) . For a
specified performance measure h(X(t)), the problem
of time-variant reliability consists of estimating the
{
probability of failure P = P  max h ( X ( t ) ) > h  for a
F
given safety limit h* and specified time duration [0, T].
0 ≤ t ≤T
The sampling variance associated with the direct Monte
Carlo estimator for PF depends only on the sample size
N, and is inversely proportional to N. Hence, a direct
Monte Carlo simulation study becomes computationally
prohibitive, especially when PF is small. In this work
we adopt an importance sampling strategy based on
Girsanov’s transformation[9] to tackle this problem. This
is achieved by considering the modified SDE,
( )
dX ( t ) = A ( X ( t ) , t ) + Ã ( t ) u ( X ( t ) , t ) dt + Ã ( t ) dB ( t ) ;
dR ( t ) = −u ( X ( t ) , t ) R ( t ) S dB ( t ) ;
-1
X ( 0 ) = X 0 , R ( 0 ) = R0 , 0 ≤ t ≤ T
obtained by introducing an artificial control force,
u ( X ( t ) , t ) to the original dynamical system in Eq. (1).
In Eq. (2), B ( t ) is an Ito’s process obtained according
to the transformation
dB ( t ) = −u ( X ( t ) , t ) dt + dB ( t ) ; B ( 0 ) = 0. (3)
By Girsanov’s theorem, the above transformation
changes the original probability measure P to a new
measure Q, such that B ( t ) is a standard Brownian
motion with respect to Q. In Eq. (2), R(t) is a scalar
process, called the Radon-Nikodym derivative, which
accounts for the correction needed for modification of
the original dynamical system. The estimator for failure
probability then takes the form
(T )
{ } {
∧ 1 R
k
N
P = F ∑ I h − max h X ( t ) ≤ 0
∗ k
N k =1 R 0
k
0 ≤ t ≤T
where, the sample realizations
obtained from Eq. (2).
Oindrila Kanjilal, et al
∧
The above estimator is unbiased, i.e, E P  P F  = PF ,
 
and the variance of the estimator is given by  
( )   R (T )   P
2
{ }
∧ 1
2
P   I h − max h ( X ( t ) ) ≤ 0  − (5)
∗
Var F = EQ F
N   R 0
0 ≤ t ≤T
 N
The control force in Eq. (2) needs to be appropriately
(1) selected so that the sampling variance in the above
equation can be reduced with a small sample size N. It
is known[9] that an ideal state-dependent Markov (closed
loop) control force leading to zero variance of the
estimator in Eq. (4) exists, determining which requires
knowledge of , the very quantity being sought. Hence,
existing studies[10-13] have focused on the development
of sub-optimal state-independent (open loop) control
forces. These open loop controls are deterministic in
nature and are pre-computed by minimizing a distance
function as in the first order reliability method. The
*
} objective of this study is to develop sub-optimal state-
dependent control forces for the above problem. The
controls developed in this study are applicable to linear/
nonlinear oscillators driven by non-stationary Gaussian
excitation. The advantage of the proposed control forces
over the existing open loop controls, in terms of the
sampling variance of the importance sampling estimator,
have been illustrated through numerical simulations on
a randomly driven duffing oscillator.
The remaining paper is organized as follows. In
section 3 we describe the strategy for determining the
state-dependent control forces. Here, we first layout
the formulation for obtaining the proposed closed loop
(2)
controls and subsequently give the expressions for the
Radon-Nikodym derivative and the failure probability
estimator. Following this, the details of the numerical
study is provided in section 4. Finally, we conclude in
section 5.
3 Selection of control forces
To determine the Girsanov’s control forces and the
associated Radon-Nikodym derivative, it is useful to
view the problem of time variant reliability as a problem
in series system reliability estimation. Accordingly, the
time interval is expressed as a union of sub-intervals
as 0 = T0 < T1 < T2 < Tm = T . If m is large, i.e., the
length of sub-intervals is small, the failure event can be
approximated as
}
F = h* − max h ( X ( t ) ) ≤ 0
( ) (4)
0 ≤ t ≤T
m m
X ( t ) and Rk (t) are {h − h ( X (Ti ) ) ≤ 0 = } F.
k
*
≈ i (6)
i =1 i =1
The above approximation of the failure event
leads to a mixture importance sampling measure of
Structural Engineering Convention (SEC-2016)

m
nonlinear system in Eq. (1) by a hypothetical time
the form Q (C ) = ∑ w Q (C )
i i
for any event C ∈ , varying linear system given by
i =1

where wi i = 1, ... m; are normalized weights and each dY ( t ) = E ( i

( t ) + G ( t ) Y ( t ) ) dt + Ã ( t ) dB ( t ) ;
i

component Qi ; i ∈ {1,  , m} of the mixture is obtained (8)

Y (0) = X 0 ; 0 ≤ t ≤ T
from the original measure P by the transformation
dB ( t ) = −u ( X ( t ) , t ) dt + dB ( t ) . Here B i ( t ) is a Brownian
i i The time varying coefficient in Eq. (8) are obtained
motion process with respect to the probability measure by linearizing the nonlinear drift term A ( X ( t ) , t ) about
Qi. The control force u ( X ( t ) , t ) should be such that it
i a reference trajectory X refi
( t ) , which is taken to be
promotes the occurrence of the instantaneous failure the response of the nonlinear system to the open loop
control ui (t) in the absence of random excitation . From
event Fi. Thus, if the control force u ( X ( t ) , t ) in Eq. (2)
this approximation it follows that
is chosen randomly from the control forces u i ( X ( t ) , t );
i = 1, ... m; according to the probability mass function (  )
PFi t , X ( t ) ≈ P  HY (Ti ) ≥ h* Y ( t ) = X ( t ) 

(pmf) P u ( X ( t ) , t ) = u i ( X ( t ) , t ) = wi , it will lead
to more frequent occurrence of the failure event F. =1− Φ
 h* − µT X ( t ) , t
i
( ) 
    (9)
Different strategies can be adopted to formulate these  σ Ti ( t ) 
 
control forces. As stated earlier, in the existing studies,
where, F(.) is the cumulative probability distribution
u i* ( X ( t ) , t ) is taken to be independent of the system
function of a standard Gaussian random variable and
states, i.e., u i ( X ( t ) , t ) = u i ( t ) , and determine d as an Ti
open loop control. In this work, we propose a technique
( ) ( ) ∫ ( È (T , r ) )
T T
µTi X ( t ) , t = È i (Ti , t ) X ( t ) + i
i E i ( r ) dr
to formulate state-dependent controls . The details of the
t
formulation are provided in section 3.1. Ti 2

∫( )
 T 
σ T2i ( t ) = S  È i (Ti , r ) Ã ( r )  dr (10)
3.1 Formulation of state-dependent controls  
t
For the nonlinear system in Eqs. (1) and (2), using
Substituting Eq. (10) into Eq. (7), the sub-optimal
stochastic control theory it can be shown[9] than an ideal
state-dependent Markov control for the nonlinear system
state-dependent control u i* ( X ( t ) , t ) exists which leads can be obtained as
to zero sampling variance of the importance sampling
estimator for the instantaneous failure probability u ( X ( t ) , t ) =
i

 {  }
PFi = P  h* − h ( X (Ti ) ) ≤ 0  . This ideal control has the
S φ ( z ( X ( t ) , t ) )
σ T ( t ) (1 − Φ ( z ( X ( t ) , t ) ) )
( Ã (t )) T
È ( Ti , t )
i
(11)
functional form given by i

1  ∂PFi ( t , X ( t ) )  ( X ( t ) , t ) *
h − µT
u
i*
( X ( t ) , t ) = S ( Ã(t ))
T
  (7) where, z ( X ( t ) , t ) =
. In the above i

PF ( t , X ( t ) )  ∂X ( t )  σ T (t )
equations ψ (T , r ) = ( H¸ (T , r ) ) θ (T , r ) = [θ (T , r )
i T
with,
i i i i i
θ
for t ∈ [ 0, Ti ) and u i * ( X ( t ) , t ) = 0 for t θ≥ T(Ti . , r ) = [θ (T , r ) θ (T , r ) θ (T , r )], where each θ (T , r ) ; l = 1,  , p
i i i 1 i
i i i i i
i 1 i 2 i p i l i

Here X ( t ) is the state at time t of the modified is the response at time Ti of the deterministic time
SDE in Eq. (2). In Eq. (7) the function varying system dZ (τ ) = G (τ ) Z (τ ) dτ ; τ ≥ r to initial i



*
{ 
 }
PFi ( t , X ( t ) ) = P h − h ( X (Ti ) ) ≤ 0 X ( t ) = X ( t ) denotes
  condition Z(r) set to zero everywhere except at the l-th
component which is set to unity. For the special case
the probability of exceedance of the response h(X(t))
of a linear system, the sub-optimal control u ( X ( t ) , t )
i

of the original uncontrolled system in Eq. (1) over

the threshold h* when it starts from current time t and in Eq. (11) will correspond to the ideal control for
current state X ( t ) . It is obvious that one can compute the instantaneous failure event Fi. In this work the
PFi 0
( )
PFi t , X ( t ) and u i * ( X ( t ) , t ) in closed form only when normalized weights are defined as wi = m ; i = 1,
the system is linear, i.e., the drift term A ( X ( t ) , t ) and ∑P k =1
Fk 0

performance measure h(X(t)) are linear functions of the

..., m, where PF = PF ( 0, X 0 ) is computed from Eq. (9).
system states. i0 i

In order to enable determination of a sub- 3.2 Radon-Nikodym derivative and the failure
optimal control u ( X ( t ) , t ) analytically for nonlinear
i
probability estimator
systems as well, we consider a linear performance Based on the above formulation, the Radon-Nikodym
measure h ( X ( t ) ) = HX ( t ) and propose to obtain an derivative is given by
approximation of PFi ( t , X ( t ) ) by approximating the
 Oindrila Kanjilal, et al

−1 The initial condition is taken as X (0) = 0. The

R (T )  
m
R0

R0
∑ =
 i =1
wi 
Ri ( T ) 
numerical values of the parameters of the linear filter and
(12)
the random excitation considered are ω = 8 rad s , η d = 0.3, ω g = 0.3 rad d

where, Ri (T) is obtained as the solution ofωthe = 8 SDE

rad s , η d = 0.3, ω g = 0.3 rad s , η g = 0.8, S = 0.0121 m s , A = 12.2, α = 0.2 s and α = 0
d
2 3
o 1 2

dRi ( t ) = − Ri ( t ) u i ( X ( t ) , t ) S -1dB i ( t )A; = 12.2, α = 0.2 s and α = 0.25 s . The system parameters are taken as w
o 1 2

= 9.4 rad/s,  = 0.05. In this study, three cases, each

Ri ( 0 ) = R0 ; t ≥ 0 (13) corresponding to a different value of a, have been
In this study we take R0 = 1. Subsequently, the considered as Case 1: a = 0 (linear system), Case 2: a =
importance sampling estimator in Eq. (4) takes the 1000 N/m3 and Case 3: a = 25000 N/m3. The duration of
form the random excitation is taken as T = 20s. For numerical
integration of SDE in Eq. (6), the fourth order explicit
1 N
{ }
∧
P F = ∑ R k (T ) I h∗ − max HX k ( t ) ≤ 0 stochastic Runge-Kutta method has been used with a
N k =1 0<t ≤T

−1 time step of Dt = 0.005s.

1 N  m
= ∑  ∑ wi k
1 
N k =1  i =1 Ri (T ) 
∗
 I h − max 0<t ≤T
{
HX k ( t ) ≤ 0 (14) }
For the purpose of reliability estimation, the
performance measure is defined in terms of the lateral
In each simulation, the control u ( X ( t ) , t ) is  displacement of the oscillator, i.e. h ( X ( t ) ) = X1 ( t ) ,
and accordingly the probability of failure is given by
chosen randomly from the controls u i ( X ( t ) , t ) ; i =
1,...,m according to the pmf stated earlier and sample
realizations of X k ( t ) and Rik (T) are obtained by solving
 0 ≤ t ≤T 
{
PF = P  I h* − max X 1 ( t ) ≤ 0  . In each of the three }
cases stated earlier, the failure probability estimates
Eqs. (2) and (13) respectively.
are obtained from three alternative methods which are
described as (i) Method 1: Girsanov’s transformation
4.  Numerical illustrations using state dependent controls; (ii) Method 2: Girsanov’s
transformation using open loop controls; and
For the purpose of illustration, a single degree of freedom
duffing oscillator subjected to filtered non-stationary (iii) Method 3: Direct Monte Carlo simulation. For
Gaussian white noise excitation is considered. The determining the controls in Methods 1 and 2, a total of
governing differential equation of motion is given by 160 up-crossing time instants have been chosen in the
time window 4s-8s. Sample realizations of the control
x ( t ) + 2ηω x ( t ) + ω x ( t ) + α ( x ( t ) ) = x (t )
2 3

forces for up-crossing at 5s in a linear system, obtained
g

x ( t ) + 2η ω x g ( t ) + ω x ( t ) =
  2
from the two methods, is shown in Fig. 1. Failure
g g g g g
(15) probability estimates from Methods 1 and 2 have been
2η ω xd ( t ) + ω x ( t )
2
d d d
obtained using N = 500 samples. The accuracy of the
d

x ( t ) + 2η ω xd ( t ) + ω x ( t ) = e ( t ) W ( t )
2
 d d d d d methods have been established by comparison with
where, W(t) is the Gaussian excitation with the estimates obtained from Method 3 using samples
E [W ( t ) W ( t + τ )] = Sδ (τ ) and e ( t ) = A ( e − e ) and
and has been shown in Fig. 2. In addition, to illustrate
− α 1t − α 2t
o
the relative merits of Methods 1 and 2, the mean and
P

is the deterministic envelope function imparting non-

stationarity to the random excitation. The Ito’s SDE the coefficient of variation of the failure probability
corresponding to Eq. (15) is given by Eq. (1) with the system estimates obtained form 50 independent runs of each
method has been reported in Tables 1-3.
X ( t ) = { X 1 ( t )  X 6 ( t )} = { x ( t ) x ( t ) xg ( t )
T
state
x g ( t ) xd ( t ) x d ( t ) }
T
, the diffusion vector
σ ( t ) = {0  0 e ( t )}
T
and the drift vector
{ }
T
A ( X ( t ) , t ) = CX ( t ) + 0 α X13 ( t )  0 , where
 0 1 0 0 0 0 
 2 
 −ω −2ηω −ω g2 −2η g ω g ωd2 2ηd ωd 
 
 0 0 0 1 0 0 
C= 
 0 0 −ω g2 −2η g ω g ωd2 2ηd ωd 
 
 0 0 0 0 0 1 
 
 0 0 0 0 −ωd2 −2ηd ωd  Figure 1: Sample realization of control forces in a linear system
 
for up-crossing at 5s
Structural Engineering Convention (SEC-2016)

From Fig. 2 it can be seen that for all three values of

a, the mean of the failure probability estimates from both
Methods 1 and 2 agree well with direct Monte Carlo
simulation results. While comparing the relative merits
of the two methods, in terms of the sampling variance
of the failure probability estimator, it can be seen from
Table 1 that when the system is linear, the coefficient of
variation of obtained from Method 1 is about 50%-70%
less than that obtained from Method 2. When the system
is mildly nonlinear (Case 2) Method 1 continues to be
advantageous giving 40%-60% reduction in coefficient
of variation from Method 2. However, as the degree of
nonlinearity increases, the reduction in sampling variance
of Method 1 over Method 2, decreases as is evident
from the results in Table 3. This can be attributed to the
Figure 2: Failure probability estimates fact that the approximation of the failure probability
functional used to obtain the state-dependent controls
Table 1: Comparison of Methods 1 and 2 for a = 0 for nonlinear systems becomes weaker as the degree of
(Linear system) nonlinearity increases.
( )
∧
PF , δ ∧
h*(m) PF
5 Conclusions
Method 1 Method 2
0.055 2.74 × 10−4 (0.041) 2.62 × 10−4 (0.107 ) In this study an importance sampling method based on
the application of Girsanov’s transformation has been
0.060 4.40 × 10−5 (0.037 ) 4.39 × 10−5 (0.121) adopted to tackle the problem of simulation based time-
0.065 6.11× 10−6 (0.055 ) 5.68 × 10−6 (0.116 ) variant reliability estimation of dynamical systems. A
strategy to formulate closed loop Girsanov’s control
0.070 7.04 × 10−7 (0.036 ) 6.71× 10−7 (0.104 ) forces has been developed. These controls are stochastic
in nature and evolve depending on the system states so
Table 2: Comparison of Methods 1 and 2 for as to drive the dynamical system towards the failure
α = 10000 N m3 region. It has been numerically illustrated that for linear
and moderately nonlinear systems these closed loop
( )
∧
PF , δ ∧ controls lead to a lesser sampling variance importance
h (m)
* PF
sampling estimator compared to existing open loop
Method 1 Method 2
controls.
0.0500 1.01× 10 −4
(0.064 ) 9.19 × 10−5 (0.105 )

0.0525 2.53 × 10−5 (0.097 ) 2.14 × 10−5 (0.171) References

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