A B C D E F G H I J K L

This worksheet enables hands-on reliability analysis, and reproduces the results of the seven c
1 5 of the Low and Tang (2004) paper. For quick hands-on: Click Tools\Scenarios, select a case, c
then "Close", followed by Tools\Solver\Solve. Also, read the "Notes" in the blue text box below.

2 Distribution Para1 Para2 Para3 Para4 x* mN sN Correlation matrix [R]

3 Lognormal Y 40 5 33.785 ### ### 1 0.4

4 Lognormal Z 50 2.5 47.757 ### ### 0.4 1
5 ExtValue1 M 1000 200 1613.5 ### ### 0 0
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Figure 2. Constrained optimization of equivalent normal ellipsoid in the original space
10 correlated nonnormals. Changing cells are x*, which were initially assigned their mean v
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Steps for hands-on analysis of the seven cases on the right:
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1. Click cell A3, and select the distribution name from the drop-down menu.
13 2. Repeat step 1 for cells A4 and A5.
14 3. Input new statistical parameters in cells C3:F5, if necessary.
15 4. Input new correlation coeffcients in cells K3:M5, if necessary.
16 5. Initialize x* values to their mean values (enter mean values in cells G3:G5). See Fig. 3 of Low and T
for details on mean values (reproduced below this text box).
17
(Alternatively, one can execute steps 1 to 5 conveniently via Tools\Scenarios, select a case, and clic
18 6. Click Tools\Solver\Solve.
19 Note:
20 - If never use Excel's built-in Solver before, will need to activate it once via Tools\Add-Ins\Solver Add-in
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- For VBA codes to function, macro security level has to be set to medium, via Tools\Macros\Security,
select "medium", then close the workbook (without saving) and re-open it.
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- The program codes for mN and sN (cells H3:I5) can be viewed by clicking Tools\Macro\Visual Basic Ed
23 Modules\FORM_Method1.
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 A B C D E F G H I J K L
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 M N O P Q R S T U V
oduces the results of the seven cases in Fig.
Tools\Scenarios,1 select a case, click "Show" B. K. Low and Wilson H. Tang (2004).
otes" in the blue text box below. “Reliability analysis using object-oriented constrained optimizat
Structural Safety, Elsevier Science Ltd., Amsterdam, Vol. 26, N
(The results of the 7 cases below were shown in Fig. 5 of the p
Correlation2matrix [R] nx g(x) b
3 0 ### 8E-10 ###
4 0 ### =YZ - M
(x* values) When Y, Z and M are ExtValue1, Method 1 needs the 6 addi
5 1 ### constraints shown below during Excel Solver optimization
6 explained in Eq. 5 of Low & Tang (2004).
7 (x* - mN)/sN
8 a b LowerB UpperB
ellipsoid in the 9original space of 37.8 3.899 25.52 127.52
initially assigned Initial x* values
10 their mean values. in cells G3:G5 48.9 1.949 42.76 93.76
11 prior to Solver 910.0 155.94 420.88 4500.7
12 optimization.
n menu.
13
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Mean
15 40
s G3:G5). See Fig.
16 3 of Low and Tang (2004) 50
1000
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s\Scenarios, select a case, and click show)
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19 40
50
nce via Tools\Add-Ins\Solver
20 Add-in. 1000
edium, via Tools\Macros\Security,
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open it.
22 40
icking Tools\Macro\Visual Basic Editor\
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1000
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 W X Y Z AA AB AC AD AE AF AG

(2004).
1
oriented constrained optimization.”
ce Ltd., Amsterdam, Vol. 26, No. 1, pp.69-89.
w were shown 2in Fig. 5 of the paper)

4
Settings for Case 3
ue1, Method 1 needs the 6 additional
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uring Excel Solver optimization, as
Tang (2004). 6
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19 Settings for Cases 1, 2, 4, 5
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 W X Y Z AA AB AC AD AE AF AG
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 AH AI AJ AK AL

Settings4 for Case 3

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 AH AI AJ AK AL
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 A B C D E F G H I J K
New 2007 procedure. For quick hands-on: Click Tools\Scenarios, select a case, click "Show" th
1
followed by Tools\Solver\Solve. Also, read the "Notes" in the yellow text box below.
2 Distribution Para1 Para2 Para3 Para4 xi* Correlation matrix [R]
3 PertDist V 20 40 60 #VALUE! 1 0.5 -0.5
4 Lognormal W 50 2.5 #VALUE! 0.5 1 0.4
5 ExtValue1 Z 1000 200 #VALUE! -0.5 0.4 1
6
7 Figure 3. More efficient reliability analysis in the original space of correlated nonnorm
8 cells are ni, which were initially zeros. Equivalent normal means and equivalent normal
9 deviations are not computed.
10
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12 Steps for hands-on analysis of the seven cases on the right:
13 1. Click cell A3, and select the distribution name from the drop-down menu.
14 2. Repeat step 1 for cells A4 and A5.
15 3. Input new statistical parameters in cells C3:F5, if necessary.
4. Input new correlation coeffcients in cells I3:K5, if necessary.
16
5. Initialize ni values to zeros (enter 0 in cells L3:L5).
17 (Alternatively, one can execute steps 1 to 5 conveniently via Tools\Scenarios, select a case, and cl
18 6. Click Tools\Solver\Solve.
19
20 Note:
- If never use Excel's built-in Solver before, will need to activate it once via Tools\\Add-Ins\Solver Ad
21 - For VBA codes to function, macro security level has to be set to medium, via Tools\Macros\Secur
22 "medium", then close the workbook (without saving) and re-open it.
23 - The program codes for x_i (cells G3:G5) can be viewed by clicking Tools\Macro\Visual Basic Edito
24 Modules\FORM_Method2.
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 L M N O P Q R S T U V
, select a case, click "Show" then "Close",
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ow text box below. Low, B.K. and Wilson H. Tang (2007)
“Efficient spreadsheet algorithm for first-order reliability
2
relation matrix [R] ni g(x) b method.” Journal of Engineering Mechanics, ASCE, Vol. 133,
3 No. 12, pp.1378-1387.
-1.6975 #VALUE! 1.8835
4 -0.2862
5 1.54967 Summary of the results of seven cases (Fig. 8 of 2007 paper).
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space of correlated
7 nonnormals. Changing
means and equivalent
8 normal standard
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n menu. 13
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17 a case, and click show)
s\Scenarios, select
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nce via Tools\\Add-Ins\Solver Add-in.
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medium, via Tools\Macros\Security, select
t. 22
g Tools\Macro\Visual
23 Basic Editor\
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 W X Y Z AA AB AC AD AE AF AG

1
07)
irst-order reliability
2
chanics, ASCE, Vol. 133,
3

s (Fig. 8 of 20075paper).
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(x* - mN)/sN
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 AH AI AJ AK AL AM AN AO AP AQ AR AS

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Initially, enter mean values for x*column, followed by invoking Excel Solver, to
automatically minimize reliability index b,
3 by changing x* column, subject to g(x) = 0.

√[
6

] [ ]
T
7 x i −mi x −m
β=min [ R ]−1 i i
8 x ∈F σi σi
9 =normsdist(-b)
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13 Prob.Fail
14 0.0298
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 Case 3 Initial

ExtValue1 P 40 5
ExtValue1 Q 50 2.5
ExtValue1 R 1000 200

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 Case 3 Initial

1 0.4 0 0
0.4 1 0 0
0 0 1 0

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 A B C D E F G H I J K L M N O P
Comparisons with Rosenblatt transformation,
1 described in Appendix II of Low, B.K. and Wilson H. Tang (2007) paper, “Efficient spreadsheet al
first-order reliability method.” Journal of Engineering Mechanics, ASCE, Vol. 133, No. 12, pp.137

2 Distribution Mean StDev z l r x* Correlation matrix [R] u

3 Lognormal Y 40 5 0.12452 3.6811 0.4013 33.7834 1 0.4 0 -1.29428

4 Lognormal Z 50 2.5 0.04997 3.9108 47.7542 0.4 1 0 -0.40975

5 ExtValue1 M 1000 200 a u 1613.30 0 0 1 2.292556

6 0.00641 909.99
7 Gx Gu
8 47.754196 233.23
9 33.783389 73.838
10 -1 -413.1
11
12 Steps:
13 1. Initially x* = (40, 50, 1000)
14 2. Copy new x* values (cells T8:T10)
3. Select x* values (cells I3:I5), right click, and select "Paste Special …", "Paste values".
15 4. Repeat steps 2 and 3, until x* and "New x*" values converge.
16 Get solution of x* = (33.783, 47.754, 1613.30), and b = 2.6644.
17
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19 The b = 2.6644 obtained agrees with b = 2.663 in Ang and Tang (1984, vol. 2, page 547), both based o
20 The negligibly slight difference is due to rounding associated with use of 3 decimal places in Ang & Tan
21
 Q R S T U V W X Y Z

g (2007) paper, “Efficient1spreadsheet algorithm for

echanics, ASCE, Vol. 133, No. 12, pp.1378-1387.

2 g(x) b Jacobian Inverse Jacobian J-1

3 3.23E-11 2.6644 0.238 0.000 0.000 4.20657 0 0

4 -0.104 0.458 0.000 0.9576 2.18564 0

5 0.000 0.000 0.002 0 0 413.124

6
7 New u New x*
8 -0.00555 -1.2943 33.7834
9 -0.00555 -0.4098 47.7542
10 -0.00555 2.29256 1613.30
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12
α
13
φ (u
[ exp {−α ( m−u )−e−α (m−u) } ]
14
Special …", "Paste values". 3 )
rge. 15
6644. 16
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Tang (1984, vol. 2, page 547),
19 both based on Rosenblatt transformation.
d with use of 3 decimal places
20 in Ang & Tang (1984).
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 Case 1 Initial

Lognormal Y 40 5
Lognormal Z 50 2.5
ExtValue1 M 1000 200

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 Case 1 Initial

40 1 0.4 0
50 0.4 1 0
1000 0 0 1

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 Case 2 Initial

Normal Y 40 5
Lognormal Z 50 2.5
ExtValue1 M 1000 200

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 Case 2 Initial

40 1 0.4 0
50 0.4 1 0
1000 0 0 1

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 Case 4 Initial

Normal P 40 5
Lognormal Q 50 2.5
ExtValue1 R 1000 200

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 Case 4 Initial

40 1 0.5 -0.5
50 0.5 1 0.4
1000 -0.5 0.4 1

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 Case 5 Initial

Uniform S 100 200

Exponential T 50
Gamma U 20 30

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 Case 5 Initial

150 1 0.5 -0.5

50 0.5 1 0.4
600 -0.5 0.4 1

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 Case 6 Initial

Weibull G 22 41
Triangular H 30 50
BetaDist J 2 4 600

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 Case 6 Initial

40 1 0.5 -0.5
50 0.5 1 0.4
1000 -0.5 0.4 1

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 Case 7 Initial

PertDist V 20 40
Lognormal W 50 2.5
ExtValue1 Z 1000 200

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 Case 7 Initial

40 1 0.5 -0.5
50 0.5 1 0.4
1000 -0.5 0.4 1

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