Approximate methods for calculating

probability of failure
Working with normal distributions is
appealing
First-order second-moment method (FOSM)
Most probable point
First order reliability method (FORM)
Section 4.1 in Choi, Grandhi, & Canfield
 The normal distribution is attractive
It has the nice property that linear functions of
normal variables are normally distributed.
Also, the sum of many random variables tends to be
normally distributed.
Probability of failure varies over many orders of
magnitude.
Reliability index, which is the number of standard
deviations away from the mean solves this problem.
= 1 ( Pf ) Pf = ( ) is the normal CDF
 Approximation about mean
Predecessor of FORM called first-order
second-moment method (FOSM)
( X ) g ( X ) + g ( X )T ( X X )
g=
Then, easy to show
1/2
n g 2

( X ) g
g g= xi
2

i =1 xi
(How can you use that to get rid of unimportant variables?)
The reliability index and probability of failure are
g
= Pf = ( ) is the normal CDF
g
 Beam under central load example
Example 4.2
Probability of exceeding plastic moment
capacity g ( P, L,W ,=
T ) WT PL / 4

P L W (plastic section T (yield stress)

modulus)
mean 10kN 8m 0.0001m^3 600,000 kN/m^2
Standard deviation 2kN 0.1m 0.00002m^3 100,000kN/m^2

All normal
 Reliability index for example
Using the linear approximation get g ( P , L, W , =
T ) WT PL / 4
g = g ( X ) = 0.0001 600, 000 10 8 / 4 = 60 20 = 40kNm (safety factor of 3!)
g g
= W= 0.0001 = T= 600, 000
T W
g g
=L / 4 =
2 = P / 4 =
2.5
P L
1/2
n g 2
= g = xi
i =1 xi
2

(0.0001100, 000) 2 + (600, 000 0.00002) 2 + ( 2 2 ) + (2.5 0.1) 2 =

2
16.13kNm
g
= = 2.48, Pf = (2.48) = 0.0066
g

Example 4.2 of CGC shows that if we change to g=T-

0.25PL/W we get 3.48 (0.00025)
MCS with 10 million samples gave 2.85 (0.00218)
 Top Hat question
In the beam example, the error in estimating
the reliability index was due to
Linear approximation
g is not normal
both
 Most probable point (MPP)
The error due to the linear approximation is
exacerbated due to the fact that the expansion
may be about a point that is far from the failure
region (due to the safety margin).
Hasofer and Lind suggested remedying this
problem by finding the most probable point and
linearizing about it.
The joint distribution of all the random variables
assigns a probability density to every point in the
random space. The point with the highest density
on the line g=0 is the MPP.
 Response minus capacity illustration
r=randn(1000,1)*1.25+10;
c=randn(1000,1)*1.5+13;
f=@(x) x;
20

fplot(f,[5,20])
hold on 15

plot(r,c,'ro')
c

xlabel('r') 10

ylabel('c')

5
5 10 15 20
r
 Recipe for finding MPP with
independent normal variables
Transform into standard normal variables
(zero mean and unity standard deviation)
xi xi
ui =
x i

Find the point on g=0 of minimum distance to

origin. The point will be the MPP and the
distance to the origin will be the reliability
index based on linear approximation there.
(U U )
1/2
= min T
U g (U ) =
0
 First order reliability method (FORM)
Limit state g(X). Failure when g<0.
Linear approximation of limit state together
with assumption that random variables are
normal.
Approximate around most probable point.
Then limit state is also normal variable.
Reliability index is the distance of the mean of
g from zero measured in standard deviations.
Visual
 Linear Example
For linear example g = R C, R= N (10,1.25 ) 2
C=
N(13,1.52 )

Then u = r1.25
10
u =
c 13
1.5
1 g = 1.25u 1.5u 3
2 1 2

The failure boundary g =0 u =(5 / 6)u 2 2 1

3

Distance from origin 2

u12 + ( 5u1 / 6 2 )
2 =
2 1

d 2 25 10
u2
-1
= 2u1 + u1 = 0
du1 18 3 -2
61
u1 = u2 = 1.1528(r =11.27) =
c= 1.537 -3
60
Pf = ( ) = 0.0621 -4

-5
-3 -2 -1 0 1 2 3 4
u1
 Check by MCS
r=randn(1000,1)*1.25+10;
c=randn(1000,1)*1.5+13;
>> s=0.5*(sign(r-c)+1);pf=sum(s)/1000=0.0550
Six repetitions gave: 0.0660, 0.0640,
0.0670,0.0450, 0.0550, 0.0640
With million samples got 0.06258
So even with a million samples, accurate only
to two digits.
 Problems FORM
Repeat the linear example of Slide 12 with a
slightly different limit state g=R2-C2 with both
FORM and MCS.
Do the beam problem of slides 4 and 5 with
FORM. Note that you are now in 4
dimensional random space.
 General case
If random variables are normal but correlated, a
linear transformation will transform them to
independent variables.
If random variables are not normal, can be
transformed to normal with similar probability of
failure. See Section 4.1.5 of CGC (It is called the
Rosenblatt transformation)
Murray Rosenblatt, Remarks on a Multivariate
Transformation, Ann. Math. Statist. Volume 23,
Number 3 (1952), 470-472.
 Approximate transformation
If we want the transformed variable u to have the
same CDF as the original x at a certain value of x we
would require (u ) = F ( x)
Unfortunately we cannot enforce that everywhere.
If we focus on MPP we get the following
transformation (Eqs. 4.38, 4.39), which must be used
iteratively, starting from some guess.
X* replaced
x x' by xMPP in
u= equations.
x'

x' =
(
1 F ( x MPP ) )
f ( x MPP )
x ' x MPP 1 F ( x MPP ) x '
=