Module III - Static Reliability Analysis and Design

Module III:
Static Reliability Analysis and Design
SE-411: Reliability Engineering

Dr. Pingfeng Wang
Office: TB-310
Email: pingfeng@illinois.edu
Tel: 217-300-7078
1
Static Reliability Analysis and Design(*)
PART I: Static Reliability Analysis
➢ Concept of Limit States & Reliability
➢ Monte Carlo Simulation (MCS)
➢ Expansion Methods (Taylor series)
➢ First Order Reliability Methods (FORM)
▪ Reliability Index
▪ AFOSM, HL-RF Method
➢ Univariant Dimension Reduction (UDR) Method
➢ Other Advanced Methods (Kriging, etc.)
PART II: Reliability-based Design Optimization (RBDO)

➢ RBDO Formulation
➢ RBDO with FORM (double loop method)
▪ Reliability Index Approach (RIA) with HL-RF
▪ Performance Measure Approach (PMA) with AMV
➢ RBDO with UDR Method
➢ RBDO with Kriging Method
* Taught with use of MATLAB

2
SE-411 All Rights Reserved @ P. Wang
What is the connection(s)?
▪ Time-dependent Reliability Models
• R(t) = Pr (T > t)
• CFR / Weibull
▪ Static Reliability
• R(t) = Pr (s (x) – s0<0)
3
PART I: Static Reliability Analysis
➢ Concept of Limit States & Reliability

➢ Monte Carlo Simulation (MCE)
➢ Expansion Methods (Taylor series)
➢ First Order Reliability Methods (FORM)

▪ Reliability Index
▪ HL-RF Method
➢ Univariant Dimension Reduction (UDR) Method
➢ Other Advanced Methods (Kriging, etc.)
4
Definition of Reliability
Static Reliability (or time-independent, structural reliability)
▪ Definition: the probability that the system performance meets
the required design performance under various uncertainty
sources (e.g., material properties, geometric tolerances, and
loading conditions).
Performance function
( ) ( )
R ( X ) = P G ( X )  0 = 1 − P G ( X )  0 (e.g., stress, strain,
and power output)
where X = (X1, X2,…, XN)T models uncertainty sources.
▪ The uncertainty of X propagates and causes the uncertainty of

G.
▪ Equating G to zero, i.e., G = 0, produces the limit-state function
(LSF), which separates the safe region G(X) < 0 from the failure
region G(X) > 0.
5
Reliability Analysis
Reliability Analysis Schematic of time-independent
▪ The basic idea is to reliability analysis in a 2-D case
compute the probability
X2: operationa
that X is inside the safe G<0
region {G < 0}. Safe regio fX(x)
n
l factor
R ( X ) = P (G ( X )  0)
= L  S f X ( x ) dx

where fX(x) denotes the G>0

Failure
joint PDF of X, and the safe region X1: manufacturin
region ΩS = {x: G(x) < 0}. g tolerance
6
An Example
Example of Static Reliability
▪ Consider a performance function G as the difference between the
strength S of and load L on an engineered system
G = L−S
where S and L are random variables and follow normal
distributions with probability density functions fS and fL.
Probability density
fS
fL
μL μS L,S 7
An Example (cont.)
Example of Time-Independent Reliability
▪ A failure will occur when the load L is greater than the strength S,
or G (= L – S) > 0. Hence G > 0 indicates a failure.
▪ The probability of failure can therefore be defined by
Pf = Pr ( G  0 )  R = 1 − Pf = Pr ( G  0 )
▪ What does the LSF look like in a 2-D plot?
L
G>0
Failure region
G=0
Limit-state function
0 S 8
Monte Carlo Simulation (MCS)
▪ Four sequential steps (assuming independence between X)
▪ Step 1: For each random variable Xi, generate M “pseudo random numbers”
vi1, vi2,…, viM from a standard uniform distribution (between 0 and 1). Then
obtain M random vectors v1, v2,…, vM with vj = [v1j, v2j,…, vNj]T.
▪ Step 2: Transform vij (i = 1, 2,…, N, j = 1, 2,…, M) to xij using CDF mapping
xij = FX−i1 ( vij )

For example, if we have two standard normal random variables X1 and X2,
the transformation for either can be expressed as xi = Φ‒1(vi).
▪ Step 3: Evaluate G (X) at the random samples xj. This step requires M
function evaluations and produces M random function values G (xj), for j =
1, 2,…, M.
▪ Step 4: Extract the probabilistic characteristics of G (X), including statistical
moments, reliability, and PDF, from the random function values. For
example, the reliability can be estimated by
Safety indicator function
R = E ( I S ( x ) )   I (x )
M
1
 1, x  S
 I S ( x ) = 
S j
M j =1
0, x   \ S
9
Monte Carlo Simulation (MCS)
▪ Schematic of reliability analysis using direct MCS
G(X) > 0 Failed sample

X2 Failure region Safe sample
G (X) < 0 G(X) = 0

Safe region Failure surface (LSF)
I S ( x ) = 1 I S ( x ) = 0
fX(x)
Mean point
0 X1
10
MCS Example
Find the Reliability: R = Pr(G<0), using the MCS, where
80
G ( X1 , X 2 ) = 1 −
X 12 + 8 X 2 + 5
X1 and X2 each follow a normal distribution with the mean 4.5 and the
standard deviation 0.6.
clear all; format long; clc

% STEP 1: Generate N number of uniform random sample
N = 100000;
samp1 = unifrnd(0, 1, [N,1]);
samp2 = unifrnd(0, 1, [N,1]);
% STEP 2: Converting the sample to Normal Distribution
X1 = norminv(samp1,4.5,0.6);
X2 = norminv(samp2,4.5,0.6);
% STEP 3: Calculating the performance funtion G (X)
G = 1 - 80./(X1.^2+8*X2+5);
% STEP 4: Estimate Reliability
R = sum(G<=0)/N
11
Expansion Methods
▪ Recall: Consider a performance function G as the difference
between the strength S of and load L on an engineered
system
G = L−S
where S and L are random variables and follow normal

distributions with probability density functions fS and fL.
▪ By assuming statistical independence between S and L, we
can compute the reliability based on the standard normal
CDF   − 
R =  S L

 s 2 +s 2 
 L S 
▪ Reliability is estimated based on the first two statistical

moments (mean and standard deviation).
12
Expansion Methods (cont.)
▪ The first-order Taylor series expansion of G(X) at the mean
value G ( μ X )
( )
N
G ( X)  G (μX ) +  X i −  Xi
i =1 X i
= a1 X 1 + L + aN X N + b
This can be rewritten in a vector form as G(X) = aTX + b,
where a = [a1, a2,…, aN]T contains the first-order partial
derivatives of G with respect to X and is called a sensitivity
vector of G.
▪ The first-order approximate mean and variance of G
G = E G   E aT X + b  = aTμ X + b s G2 = aT  Xa
▪ Assuming G is normal, the reliability can be estimated as
 G 
R = − 
 s G 
13
A Cantilever Beam Example
Assume that the vertical loads P1 and P2 follow normal
distributions with means 1000 lb and 500 lb, and standard
deviations 100 lb and 50 lb, respectively. In addition, assume
that the bending moment is deterministic (fixed at 10000 lb-ft).
P1 P2
m
10 ft 10 ft
Compute the following using the first-order expansion method:

(1) the mean and standard deviation of the maximum moment at
the fixed end; and (2) the reliability with an allowable moment
ma = 33,000 lb-ft.
14
A Cantilever Beam Example (cont.)
▪ Solution
▪ At the fixed end, the maximum moment can be expressed as
mmax = 10 P1 + 20 P2 + 10000 = aT X + b
where a = [10, 20]T, b = 10000, and X = [P1, P2]T. Note that the
mean vector μX = [1000, 50]T, and the covariance matrix ΣX = [1002,
0; 0, 502].
▪ We first compute the mean of mmax
1000
mmax = aT μ X + b = 10 20   + 10000
 500 
= 30,000 lb-ft
▪ We then compute the variance and standard deviation of mmax
1002 0  10 
s 2
mmax = a  Xa = 10 20 
T
2 
 0 50   20 
= 2  106  lb-ft 
2
s mmax = 2  106  1414.2 lb-ft

15
A Cantilever Beam Example (cont.)
▪ Solution
▪ Finally, the reliability can be computed as
Performance function
R = P ( mmax  ma )
G = mmax − ma
 mmax −  mmax ma −  mmax 
= P  
 sm s
 max mmax 
 33,000 − 30,000 
= P Z  = 2.12 
 1414 
=  ( 2.12 ) = 98.3%
▪ Note that the performance function is a simple linear function of

normally distributed random variables P1 and P2. Therefore, the
reliability estimate obtained from the first-order expansion method is
exact.
16
Expansion Methods (cont.)
▪ Taylor Series Expansion of the Performance Function
G' ( X 0 ) G '' ( X 0 )
G( X ) = G( X 0 ) + 1! ( X − X0) + 2! ( X − X 0 ) 2 + ...
Unknowns
▪ Choose Input Samples to Do Experiments
 1 x1 ... xk −1   G ( X 0 )   G ( X 0 + x1 ) 

  '
k −1  G ( X 0 )
 
 1 x2 ... x2   1!  G ( X 0 + x2 ) 
  = 
... ... ... ...  ...  ... 
 
 G( k ) ( X )   G ( X + x ) 
k −1
 1 xk ... xk   0 
 k −1!   0 k 
▪ Required Experiments/Simulations Experiment
N total = K  N v /Simulation
17
First Order Reliability Method (FORM)
▪ Potential drawbacks of expansion methods:

▪ Only utilize the first two statistical moments of X while ignoring the
distribution information of these variables;
▪ Uses the mean point of X as the reference point for building a linear or
quadratic approximation of G(X), which may lead to a large error in
estimating a high reliability (or a low probability of failure).
▪ As an attempt to overcome these drawbacks, Hasofer and
Lind proposed the FORM.
▪ The basic idea of FORM is to linearize G (U) at the most
probable (failure) point (MPP) on the limit state function
(LSF) G(U) = 0 in the U-space.
▪ The U-space is composed of independent standard normal
variables U that are transformed from X.
18
FORM (cont.)
Transformation from X-Space to U-Space
▪ For a normal random variable Xi with mean μXi and standard
deviation σXi, transformation T can be simply defined as
X −  Xi
Ui = T ( X i ) = , i = 1,2,..., N
s Xi
▪ In a general case, the transformation uses the CDF mapping

FX i ( X i ) =  (U i )
where FXi and Φ are the CDFs of Xi and Ui, respectively.
19
FORM(cont.)
▪ Transformation of a standard uniform random variable Xi to
a standard normal random variable Ui
1.0 1.0
0.8 CDF mapping 0.8
0.6 0.6
FX i(xi)
(ui)
Φi U
0.4 0.4
0.2 0.2
0 0
ui Ui xi Xi
0.9
1.0
0.6
i)
(ixi)
fU
fX
(u
i
0.3
0 00
0 ui Ui xi 1 Xi
20
FORM (cont.)
▪ Through the transformation, G(X) in the X-space is mapped to an
equivalent function G(U) = G(T(X)) in the U-space.
G(X) > 0
U2
X2
G(X) > 0 Failure region

Failure region
G(X) < 0 G(X) = 0
Safe region Failure surface
fX(x)
G(X) < 0
Safe region
Mean point
X1 0 U1
0
G(X) = 0
fU(u) Failure surface
21
FORM (cont.)
Most Probable Point (MPP) and Reliability Index
▪ In the U-space, the MPP u* denotes the point on the failure
surface which has the minimum distance to the origin.
G(X) > 0
U2
X2

Failure region
G(X) < 0 G(X) = 0
fX(x)
G(X) < 0
Safe region
MPP u*
Mean point
X1 0 U1
0
G(X) = 0
22
FORM (cont.)
G(X) > 0
U2
X2

Failure region
G(X) < 0 G(X) = 0
fX(x)
G(X) < 0
Safe region
Reliability
index β
MPP u*
Mean point
FORM
X1 0 U1
0
G(X) = 0
23
FORM (cont.)
Most Probable Point (MPP) and Reliability Index
▪ This reliability measure is exact only if the failure surface in
the U-space is of a linear form.
G(X) > 0
U2
X2

Failure region
G(X) < 0 G(X) = 0 Error
Safe region Failure surface region
fX(x)
G(X) < 0
Safe region
Reliability
index β
MPP u*
Mean point
FORM
X1 0 U1
0
G(X) = 0
24
FORM (cont.)
Iterative Search of MPP
▪ The task of MPP search can be formulated as an
optimization problem with one equality constraint in the U-
space
Minimize U
Subject to G ( U) = 0
where the optimum point on the failure surface is the MPP

u*. The MPP search generally requires an iterative
optimization scheme based on the gradient information of
G(U).
25
FORM (cont.)
▪ Hasofer-Lind and Rackwitz-Fiessler (HL-RF) method
▪ Step 1: Set the number of iterations k = 0 and the initial MPP estimate u = u(0)
that corresponds to the mean values of X..
▪ Step 2: Transform u(k) to x(k) using CDF mapping. Compute the performance
function G(u(k)) = G(x(k)) and its partial derivatives in the U-space as
 G G G 
 UG u(( )k)
= ,
 U1 U 2
,K , 
U N  U=u( k )
▪ Step 3: Update the search point at the current iteration as

Steepest ascent direction
u

( k +1)  (k )
= u •n − (k )
(k )
G u 
( )  n( ) k
(
 U G u()
)k
( ) 
 ( )
n =
k
 U G u( )
 G ( u( ) )
k
 U
k
▪ Step 4: Repeat Steps 2 and 3 until the convergence of u.
26
FORM (cont.)
▪ Schematic of MPP search with the HL-RF method
U2
G(U) > 0
Failure region
u(0)
u(1)
( ))
G u(
0
 G ( u( ) )
G(U) < 0 0
Safe region U
MPP u*
n(0)
G(U) = G(u(0)) > 0
0 U1
G(U) = 0
Failure surface
27
An Example of FORM
Example on MPP Search
▪ Consider the following performance function
80
G ( X1 , X 2 ) = 1 −
X 12 + 8 X 2 + 5
where X1 and X2 each follow a normal distribution with the mean

4 and the standard deviation 0.6. Find the MPP using HL-RF.
▪ Solution
▪ The first iteration in the HL-RF method is detailed as follows:
▪ Step 1: Set the number of iterations k = 0 and the initial values u = (0,0).
▪ Step 2: Transform u(0) to x(0). x(0) = (4,4). Compute G(X) at x(0) as
80
G ( X1, X 2 ) = 1 −  −0.5049
X 12 + 8X 2 + 5
and the partial derivatives as:

G G X 1 160 X 1s X1 G G X 2
= =  0.1367, =  0.1367
U1 X 1 U1 ( X 2 + 8 X + 5 )2 U 2 X 2 U 2
1 2
28
An Example of FORM (cont.)
▪ Solution
▪ Step 3: Update the search point at the current iteration as
( )  UG u( )
0
0
( ) ( )
u ( ) = u ( ) •  U G u ( ) − G u ( ) 
1 0 0
 G ( u( ) )
  0
2
U
= ( 0,0 ) • ( 0.1367,0.1367 ) − ( −0.5094 ) 

( 0.1367,0.1367 )  (1.8633,1.8633 )
0.1367 2 + 0.1367 2
Iteration history for MPP search

G G
Iteration U1 U2 β G (U)
U1 U 2
0 0.0000 0.0000 0.0000 -0.5094 0.1367 0.1367
1 1.8633 1.8633 2.6351 -0.1090 0.0944 0.0738
2 2.7774 2.1707 3.5251 -0.0059 0.0860 0.0607
3 2.9225 2.0630 3.5772 0.0001 0.0863 0.0600
4 2.9366 2.0416 3.5766 0.0000 0.0864 0.0600
Optimum 2.9366 2.0416 3.5766 0.0000 0.0864 0.0600
29
clear all; format long; clc;
% define variables
mu = [4.5, 4.5]; stdx = [0.6, 0.6];
nd = 2; u=zeros(1,nd); iter=0; Dif=1;
% define G and delta_G

G = @(x)1-80/(x(1)^2+8*x(2)-5);
DG1 = @(x)x(1)*160*stdx(1)/((x(1)^2+8*x(2)-5))^2;
DG2 = @(x)80*8*stdx(2)/((x(1)^2+8*x(2)-5))^2;
% start the HL_RF loop

while Dif >= 1d-5 & iter < 20
iter=iter + 1;
x = mu+u.*stdx;
Gx= G(x);
DG = [DG1(x), DG2(x)];
u=(DG*u'-Gx)/norm(DG)^2*DG;
( )  n( )
U(iter,:)=u/norm(u);
if iter>1  G u (k )
u( =  u( ) • n( ) −
k +1) k k k
Dif=abs(U(iter-1,:)*U(iter,:)' - 1);
end
end 
 ( ) 
 U G u( )
k
beta = norm(u); % reliability index

R = normcdf(beta,0,1) % reliability value
30
Reliability Analysis on Simple Performance Function
▪ Graphical illustration of MPP search in the X-space
G(X) > 0
Failure region
G(X) < 0
Safe region
x(3)
x(1)
Mean point x(0) x(2)
G(X) = 0
LSF x(4)
31
Reliability Analysis on Simple Performance Function
▪ Graphical illustration of MPP search in the U-space
G(U) > 0
Failure region
G(U) < 0
Safe region
u(3)
u(1)
Mean point u(0) u(2)
G(U) = 0
LSF u(4)
32
u(
k +1)

=  u( ) • n( ) −
k k
G u ( )  n( )
(k )
k
FORM Exercise 
 ( ) 
 U G u( )
k
 G ( u( ) )
k
n( ) =
k U
 G ( u( ) )
k
U
▪ Consider the following performance function

( X1 + X 2 − 5)2 ( X 1 − X 2 − 12) 2
G ( X1 , X 2 ) = 1 − −
30 120
where X1 ~ N(3.5, 0.52), X2 ~ N(3.8, 0.52). Find the MPP

using HL-RF.
G G
Iteration U1 U2 β G (U)
U1 U 2
0 0.0000 0.0000
1
2
3
… … … … … … …
Optimum
33
FORM Explanation
r
G(u) =G ( uk ) + G ( uk )  ( u − uk )
r
G(u k+1 ) =G ( u k ) + G ( u k )  ( u k+1 − u k ) = 0
u2 G(U) r r r r T
G ( u k ) G ( u k ) + G ( u k )  ( u k+1 − u k ) = 0
r
r G ( u k )
r let n k = r
uk G ( u k )
G ( uk ) r r r
+ n k  ( u k+1 − u k ) = 0
T
r
G ( u k )
r r r r r G ( uk )
u k+1 n k  u k+1T = n k  u k T − r
G ( u k )
u1
r r r r r G ( uk )
n k  n k T  u k+1 = n k  u k − r
G(u) = 0 G ( u k )
r r r G (u )  r
 
u k+1 = n k  u k − r k   nk
 G ( u k ) 
34
FORM flowchart
k =0; uk =[0,0]
G ( u k ) ; G ( u k )
G ( u k )
nk =
G ( u k )
k =k+1
G ( uk )
k+1 =nk  uk T −
G ( uk )
uk+1 =k+1  n k
u k+1 − n k  ?
u k+1 , 
35

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Module III:

Static Reliability Analysis and Design

SE-411: Reliability Engineering

PART II: Reliability-based Design Optimization (RBDO)

* Taught with use of MATLAB

➢ Concept of Limit States & Reliability

➢ Expansion Methods (Taylor series)

➢ First Order Reliability Methods (FORM)

▪ The uncertainty of X propagates and causes the uncertainty of

where fX(x) denotes the G>0

xij = FX−i1 ( vij )

G(X) > 0 Failed sample

G (X) < 0 G(X) = 0

clear all; format long; clc

where S and L are random variables and follow normal

▪ Reliability is estimated based on the first two statistical

Compute the following using the first-order expansion method:

s mmax = 2  106  1414.2 lb-ft

▪ Note that the performance function is a simple linear function of

 1 x1 ... xk −1   G ( X 0 )   G ( X 0 + x1 ) 

▪ Required Experiments/Simulations Experiment

▪ Potential drawbacks of expansion methods:

▪ In a general case, the transformation uses the CDF mapping

G(X) > 0 Failure region

G(X) > 0 Failure region

G(X) > 0 Failure region

G(X) > 0 Failure region

where the optimum point on the failure surface is the MPP

▪ Step 3: Update the search point at the current iteration as

▪ Step 4: Repeat Steps 2 and 3 until the convergence of u.

where X1 and X2 each follow a normal distribution with the mean

and the partial derivatives as:

= ( 0,0 ) • ( 0.1367,0.1367 ) − ( −0.5094 ) 

Iteration history for MPP search

% define G and delta_G

% start the HL_RF loop

beta = norm(u); % reliability index

▪ Consider the following performance function

where X1 ~ N(3.5, 0.52), X2 ~ N(3.8, 0.52). Find the MPP

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