Reliability analysis of large structural systems

Brute force Monte Carlo simulation methods can, in principle, be used to calculate accurately the reliability of complicated structural systems, but the computational burden may be prohibitive. A new Monte Carlo based method for estimating system reliability that aims at reducing the computational cost is therefore proposed. It exploits the regularity of tail probabilities to set up an approximation procedure for the prediction of the far tail failure probabilities based on the estimates of the failure probabilities obtained by Monte Carlo simulation at more moderate levels. In this paper, the usefulness and accuracy of the estimation method is illustrated by application to a particular example of a structure with several thousand potentially critical limit state functions. The effect of varying the correlation of the load components is also investigated.     

The Design Space Root Finding method for efficient risk optimization by simulation

Reliability-Based Design Optimization (RBDO) is computationally expensive due to the nested optimization and reliability loops. Several shortcuts have been proposed in the literature to solve RBDO problems. However, these shortcuts only apply when failure probability is a design constraint. When failure probabilities are incorporated in the objective function, such as in total life-cycle cost or risk optimization, no shortcuts were available to this date, to the best of the authors knowledge. In this paper, a novel method is proposed for the solution of risk optimization problems. Risk optimization allows one to address the apparently conflicting goals of safety and economy in structural design. In the conventional solution of risk optimization by Monte Carlo simulation, information concerning limit state function behavior over the design space is usually disregarded. The method proposed herein consists in finding the roots of the limit state function in the design space, for all Monte Carlo samples of random variables. The proposed method is compared to the usual method in application to one and n-dimensional optimization problems, considering various degrees of limit state and cost function nonlinearities. Results show that the proposed method is almost twenty times more efficient than the usual method, when applied to one-dimensional problems. Efficiency is reduced for higher dimensional problems, but the proposed method is still at least two times more efficient than the usual method for twenty design variables. As the efficiency of the proposed method for higher-dimensional problems is directly related to derivative evaluations, further investigation is necessary to improve its efficiency in application to multi-dimensional problems.     

Reliability of inserts in sandwich composite panels

Inserts are commonly used to transfer loads to sandwich composite structures. Local stress concentrations due to inserts are known to cause structural failure, and experimental pull-out tests show that the failure load can vary by 20% between batches of sandwich panels. Clearly, uncertainty in the mechanical properties of the constituent materials needs to be addressed in the design and optimization of sandwich panel inserts. In this paper, we explore the utility of reliability analysis in design, applying Monte Carlo sampling, the First Order Reliability Method (FORM), line sampling, and subset simulation to a one-dimensional model of an insert in a homogenized sandwich panel. We observe that for systems with very low failure probabilities, subset simulation is the most efficient method for calculating the probability of structural failure, but in general, Monte Carlo sampling is more effective than the advanced reliability analysis techniques.     

联合分布函数蒙特卡罗模拟及结构可靠度分析

针对复杂极限状态方程可靠度计算问题,提出了基于理论联合分布函数以及2 种近似联合分布函数的结构失效概率蒙特卡罗模拟方法,并给出了计算流程图.采用2 个算例证明了所提方法的有效性.结果表明:所提的失效概率模拟方法的计算精度很高,尤其适用于复杂极限状态方程的可靠度计算问题.2 种联合分布函数近似构造方法得到的失效概率精度相当,近似方法与精确方法结果的差异随失效概率的减小而增大,而且随着变量间相关性的增加而增加.当失效概率小于10-3时,近似方法的失效概率误差较大.     

Subset simulation for structural reliability sensitivity analysis

Based on two procedures for efficiently generating conditional samples, i.e. Markov chain Monte Carlo (MCMC) simulation and importance sampling (IS), two reliability sensitivity (RS) algorithms are presented. On the basis of reliability analysis of Subset simulation (Subsim), the RS of the failure probability with respect to the distribution parameter of the basic variable is transformed as a set of RS of conditional failure probabilities with respect to the distribution parameter of the basic variable. By use of the conditional samples generated by MCMC simulation and IS, procedures are established to estimate the RS of the conditional failure probabilities. The formulae of the RS estimator, its variance and its coefficient of variation are derived in detail. The results of the illustrations show high efficiency and high precision of the presented algorithms, and it is suitable for highly nonlinear limit state equation and structural system with single and multiple failure modes.     

A study using Monte Carlo Simulation for failure probability calculation in Reliability-Based Optimization

In this study, a Reliability-Based Optimization (RBO) methodology that uses Monte Carlo Simulation techniques, is presented. Typically, the First Order Reliability Method (FORM) is used in RBO for failure probability calculation and this is accurate enough for most practical cases. However, for highly nonlinear problems it can provide extremely inaccurate results and may lead to unreliable designs. Monte Carlo Simulation (MCS) is usually more accurate than FORM but very computationally intensive. In the RBO methodology presented in this paper, limit state approximations are used in conjunction with MCS techniques in an approximate MCS-based RBO that facilitates the efficient calculation of the probabilities of failure. A FORM-based RBO is first performed to obtain the initial limit state approximations. A Symmetric Rank-1 (SR1) variable metric algorithm is used to construct and update the quadratic limit state approximations. The approximate MCS-based RBO uses a conditional-expectation-based MCS, that was chosen over indicator-based MCS because of the smoothness of the probability of failure estimates and the availability of analytic sensitivities. The RBO methodology was implemented for an analytic test problem and a higher-dimensional, control-augmented-structure test problem. The results indicate that the SR1 algorithm provides accurate limit state approximations (and therefore accurate estimates of the probabilities of failure) for these test problems. It was also observed that the RBO methodology required two orders of magnitude fewer analysis calls than an approach that used exact limit state evaluations for both test problems.     

Dynamic bounds coupled with Monte Carlo simulations

For the reliability analysis of engineering structures a variety of methods is known, of which Monte Carlo (MC) simulation is widely considered to be among the most robust and most generally applicable. To reduce simulation cost of the MC method, variance reduction methods are applied. This paper describes a method to reduce the simulation cost even further, while retaining the accuracy of Monte Carlo, by taking into account widely present monotonicity. For models exhibiting monotonic (decreasing or increasing) behavior, dynamic bounds (DB) are defined, which in a coupled Monte Carlo simulation are updated dynamically, resulting in a failure probability estimate, as well as a strict (non-probabilistic) upper and lower bounds. Accurate results are obtained at a much lower cost than an equivalent ordinary Monte Carlo simulation. In a two-dimensional and a four-dimensional numerical example, the cost reduction factors are 130 and 9, respectively, where the relative error is smaller than 5%. At higher accuracy levels, this factor increases, though this effect is expected to be smaller with increasing dimension. To show the application of DB method to real world problems, it is applied to a complex finite element model of a flood wall in New Orleans.     

Modified Metropolis-Hastings algorithm with delayed rejection

The development of an efficient MCMC strategy for sampling from complex distributions is a difficult task that needs to be solved for calculating the small failure probabilities encountered in the high-dimensional reliability analysis of engineering systems. Usually different variations of the Metropolis-Hastings algorithm (MH) are used. However, the standard MH algorithm does not generally work in high dimensions, since it leads to very frequent repeated samples. In order to overcome this deficiency one can use the Modified Metropolis-Hastings algorithm (MMH) proposed in Au and Beck (2001) [1]. Another variation of the MH algorithm, called the Metropolis-Hastings algorithm with delayed rejection (MHDR) has been proposed by Tierney and Mira (1999) [7]. The key idea behind the MHDR algorithm is to reduce the correlation between states of the Markov chain. In this paper we combine the ideas of MMH and MHDR and propose a novel modification of the MH algorithm, called the Modified Metropolis-Hastings algorithm with delayed rejection (MMHDR). The efficiency of the new algorithm is demonstrated with a numerical example where MMHDR is used together with Subset simulation for computing small failure probabilities in high dimensions.     

An optimization method for learning statistical classifiers in structural reliability

Monte Carlo simulation is a general and robust method for structural reliability analysis, affected by the serious efficiency problem consisting in the need of computing the limit state function a very large number of times. In order to reduce this computational effort the use of several kinds of solver surrogates has been proposed in the recent past. Proposals include the Response Surface Method (RSM), Neural Networks (NN), Support Vector Machines (SVM) and several other methods developed in the burgeoning field of Statistical Learning (SL). Many of these techniques can be employed either for function approximation (regression approach) or for pattern recognition (classification approach). This paper concerns the use of these devices for discriminating samples into safe and failure classes using the classification approach, because it constitutes the core of Monte Carlo simulation as applied to reliability analysis as such. Due to the flexibility of most SL methods, a critical step in their use is the generation of the learning population, as it affects the generalization capacity of the surrogate. To this end it is first demonstrated that the optimal population from the information viewpoint lies around in the vicinity of the limit state function. Next, an optimization method assuring a small as well as highly informative learning population is proposed on this basis. It consists in generating a small initial quasi-random population using Sobol sequence for triggering a Particle Swarm Optimization (PSO) performed over an iteration-dependent cost function defined in terms of the limit state function. The method is evaluated using SVM classifiers, but it can be readily applied also to other statistical classification techniques because the distinctive feature of the SVM, i.e. the margin band, is not actively used in the algorithm. The results show that the method yields results for the probability of failure that are in very close agreement with Monte Carlo simulation performed on the original limit state function and requiring a small number of learning samples.     

基于蒙特卡罗模拟的高效边坡可靠度修正方法

传统的蒙特卡罗模拟方法在分析由于参数不确定性修正而引起的可靠度修正问题时效率较低。为此,提出了一种基于蒙特卡罗模拟的高效边坡可靠度修正方法,该方法主要包括2个关键步骤:1)根据参数初始分布利用蒙特卡罗模拟方法计算边坡的失效概率,并输出蒙特卡罗模拟的失效样本;2)利用参数统计特征值修正后的联合概率密度函数和蒙特卡罗模拟失效样本计算修正后边坡的失效概率。以两个边坡问题为例说明了所提方法的有效性。结果表明:所提出的方法在计算修正的失效概率过程中无需重新执行蒙特卡罗模拟,计算过程简单、计算效率高。此外,所提方法能够适用于隐式表达功能函数的边坡可靠度修正问题,并能够有效地解决单变量和多变量修正的边坡可靠度修正问题。     

非平稳随机激励下结构动力可靠度时域显式子集模拟法

基于动力响应显式表达式,时域显式随机模拟法可以通过减少单次样本计算时间有效提高动力可靠度的计算效率。然而,对于小失效概率问题,由于需要大量次样本计算,该法的计算量仍相当可观。为了克服上述困难,在时域显式随机模拟法基础上引入子集模拟法的基本思想,把小失效概率表示为一系列较大的条件概率的乘积,其中各条件概率采用时域显式随机模拟法计算,条件域内的样本采用Metropolis-Hastings抽样方法生成,从而实现了减少随机模拟所需的样本数,进一步提高了计算效率。算例结果表明改进的方法具有更高的计算效率,更适用于小失效概率和多自由度结构的动力可靠度问题。     

Optimizing maintenance and repair policies via a combination of genetic algorithms and Monte Carlo simulation

In this paper we present an optimization approach based on the combination of a Genetic Algorithms maximization procedure with a Monte Carlo simulation. The approach is applied within the context of plant logistic management for what concerns the choice of maintenance and repair strategies. A stochastic model of plant operation is developed from the standpoint of its reliability/availability behavior, i.e. of the failure/repair/maintenance processes of its components. The model is evaluated by Monte Carlo simulation in terms of economic costs and revenues of operation. The flexibility of the Monte Carlo method allows us to include several practical aspects such as stand-by operation modes, deteriorating repairs, aging, sequences of periodic maintenances, number of repair teams available for different kinds of repair interventions (mechanical, electronic, hydraulic, etc.), components priority rankings. A genetic algorithm is then utilized to optimize the components maintenance periods and number of repair teams. The fitness function object of the optimization is a profit function which inherently accounts for the safety and economic performance of the plant and whose value is computed by the above Monte Carlo simulation model. For an efficient combination of Genetic Algorithms and Monte Carlo simulation, only few hundreds Monte Carlo histories are performed for each potential solution proposed by the genetic algorithm. Statistical significance of the results of the solutions of interest (i.e. the best ones) is then attained exploiting the fact that during the population evolution the fit chromosomes appear repeatedly many times. The proposed optimization approach is applied on two case studies of increasing complexity.     

Multinormal probability by sequential conditioned importance sampling: theory and application

An efficient Monte Carlo simulation algorithm is developed for estimating the probability content of rectangular domains in the multinormal probability space. The algorithm makes use of the properties of the multinormal distribution, as well as the concept of importance sampling. Accurate estimates of the probability are obtained with a relatively small number of simulations, regardless of its magnitude. The algorithm also allows easy computation of the sensitivities of the probability with respect to distribution parameters or the boundaries of the domain. Application of the algorithm to structural system reliability is demonstrated through a simple example.     

Exponentially weighted control charts to monitor multivariate process variability for high dimensions

Multivariate monitoring of industrial or clinical procedures often involves more than three correlated quality characteristics and the status of the process is judged using a sample of size one. Majority of existing control charts for monitoring process variability for individual observations are capable of monitoring up to three characteristics. One of the hurdles in designing optimal control charts for large dimension data is the enormous computing resources and time that is required by simulation algorithm to estimate the charts parameters. This paper proposes a novel algorithm based on Parallelised Monte Carlo simulation to improve the ability of the Multivariate Exponentially Weighted Mean Squared Deviation and Multivariate Exponentially Weighted Moving Variance charts to monitor process variability for high dimensions in a computationally efficient way. Different techniques have been deployed to reduce computing space and execution time. The optimal control limits (L) to detect small, medium and large shifts in the covariance matrix of up to 15 characteristics are provided. Furthermore, utilising the large number of optimal L values generated by the algorithm enabled authors to develop exponential decay functions to predict L values. This eliminates the need for further execution of the parallelised Monte Carlo simulation.     

Adaptive reduced basis strategy for rare-event simulations

Monte Carlo methods are well suited to characterize events of which associated probabilities are not too low with respect to the simulation budget. For very seldom observed events, these approaches do not lead to accurate results. Indeed, the number of samples is often insufficient to estimate such low probabilities (at least 10ⁿ⁺² samples are needed to estimate a probability of 10⁻ⁿ with 10% relative deviation of the Monte Carlo estimator). Even within the framework of reduced order methods, such as a reduced basis approach, it seems difficult to predict accurately low-probability events. In this paper, we propose to combine a cross-entropy method with a reduced basis algorithm to compute rare-event (failure) probabilities.     

Reliability of dynamic systems in random environment by extreme value theory

A practical method is developed for estimating the performance of highly reliable dynamic systems in random environment. The method uses concepts of univariate extreme value theory and a relatively small set of simulated samples of system states. Generalized extreme value distributions are fitted to state observations and used to extrapolate Monte Carlo estimates of reliability and failure probability beyond data. There is no need to postulate functional forms of extreme value distributions since they are selected by the estimation procedure. Our approach can be viewed as an alternative implementation of the method in [7] for estimating system reliability. Numerical examples involving Gaussian and non-Gaussian system states are used to illustrate the implementation of the proposed method and assess its accuracy.     

Real-time reliability estimation for serviceability limit states in structures with uncertain dynamic excitation and incomplete output data

A novel technique is presented for indirectly monitoring threshold exceedance in a sparsely-instrumented structure represented by a linear dynamic model subject to uncertain excitation modeled as a Gaussian process. The goal is to answer the following question: given incomplete output data from a structure excited by uncertain dynamic loading, what is the probability that any particular unobserved response of the structure exceeds a prescribed threshold? It is assumed that a good linear dynamic model of the target structure has previously been identified using dynamic test data. The technique is useful for monitoring the serviceability limit states of a structure subject to unmeasured “small-amplitude” ambient excitation (e.g. wind excitation or non-damaging earthquake ground motions), or for monitoring the damage status of equipment housed in the structure that is vulnerable to such excitation. The ISEE algorithm developed by Au and Beck in 2000 is used to efficiently estimate the threshold exceedance (first-passage) probability by stochastic simulation. To improve computational efficiency for the monitoring problem, a new state-space version of ISEE is developed that incorporates state-estimation and a newly-developed state-sampling technique. The computational efficiency of the proposed technique is demonstrated through two numerical examples that show that it is vastly superior to Monte Carlo simulation in estimating the first-passage probability. Moreover, the approach produces useful by-products, including estimates for the model state and the uncertain excitation.     

Transition from partial factors method to Simulation-Based Reliability Assessment in structural design

Advances in computer technology and simulation techniques allow for considering a transition from semiprobabilistic structural reliability assessment concepts, such as partial factor design (PFD), to a fully probabilistic concept applicable in design practice. Referring to the proposed Simulation-Based Reliability Assessment concept (SBRA), reengineering of the reliability assessment process is discussed. The SBRA concept corresponds to the limit states philosophy. The input variables are expressed by bounded histograms, the loads are represented by load duration curves and the Monte Carlo method-based computer programs nad modern PC are used for analyzing the reliability functions containing random variables. The reliability (that is, safety, durability and serviceability) is expressed by probability of failure P_f. Using selected examples and a parametric study, the potential, efficiency and advantages of the proposed method applicable in design practice are illustrated.     

Sequential optimization with particle splitting-based reliability assessment for engineering design under uncertainties

The evaluation of probabilistic constraints plays an important role in reliability-based design optimization. Traditional simulation methods such as Monte Carlo simulation can provide highly accurate results, but they are often computationally intensive to implement. To improve the computational efficiency of the Monte Carlo method, this article proposes a particle splitting approach, a rare-event simulation technique that evaluates probabilistic constraints. The particle splitting-based reliability assessment is integrated into the iterative steps of design optimization. The proposed method provides an enhancement of subset simulation by increasing sample diversity and producing a stable solution. This method is further extended to address the problem with multiple probabilistic constraints. The performance of the particle splitting approach is compared with the most probable point based method and other approximation methods through examples.     

基于Bayes小子样二项分布单元可靠性评定的仿真方法

对于小子样二项分布单元可靠度下限评定，经典方法有很大局限性，文中介绍了Bayes方法。并在其基础上提出基于Bayes方法的Monte Carlo仿真方法，示例证明，该方法有很好的应用前途。