5.

Levels of reliability methods

There are different levels of reliability analysis, which can be used in any design
methodology depending on the importance of the structure. The term 'level' is
characterized by the extent of information about the problem that is used and provided.
The methods of safety analysis proposed currently for the attainment of a given limit state
can be grouped under four basic levels (namely levels IV, III, II, and I ) depending
upon the degree of sophistication applied to the treatment of the various problems.
1. In level I methods, the probabilistic aspect of the problem is taken into account by
introducing into the safety analysis suitable characteristic values of the random
variables, conceived as fractile of a predefined order of the statistical distributions
concerned. These characteristic values are associated with partial safety factors
that should be deduced from probabilistic considerations so as to ensure
appropriate levels of reliability in the design. In this method, the reliability of the
design deviate from the target value, and the objective is to minimize such an
error. Load and Resistance Factor Design (LRFD) method comes under this
category.
2. Reliability methods, which employ two values of each uncertain parameter (i.e.,
mean and variance), supplemented with a measure of the correlation between
parameters, are classified as level II methods.
3. Level III methods encompass complete analysis of the problem and also involve
integration of the multidimensional joint probability density function of the
1
random variables extended over the safety domain. Reliability is expressed in
terms of suitable safety indices, viz., reliability index, and failure probabilities.
4. Level IV methods are appropriate for structures that are of major economic
importance, involve the principles of engineering economic analysis under
uncertainty, and consider costs and benefits of construction, maintenance, repair,
consequences of failure, and interest on capital, etc. Foundations for sensitive
projects like nuclear power projects, transmission towers, highway bridges, are
suitable objects of level IV design.
5. 1. Space of State Variables
For analysis, we need to define the state variables of the problem. The state variables are
the basic load and resistance parameters used to formulate the performance function. For
n state variables, the limit state function is a function of n parameters .
If all loads (or load effects) are represented by the variable Q and total resistance (or
capacity) by R, then the space of state variables is a two-dimensional space as shown in
Figure 1. Within this space, we can separate the safe domain from the failure
domain; the boundary between the two domains is described by the limit state function
g(R,Q)=0.
Since both R and Q are random variables, we can define a joint density function f
RQ
(r,
q). A general joint density function is plotted in Figure 2. Again, the limit state function
separates the safe and failure domains. The probability of failure is calculated by
integration of the joint density function over the failure domain [i.e., the region in which
g(R, Q) <0]. As noted earlier, this probability is often very difficult to evaluate, so the
concept of a reliability index is used to quantify structural reliability.
2

Figure 1 - Safe domain and failure domain in two dimensional state spaces.


Figure 2 - Three-dimensional representation of a possible joint density function f
RQ

5.3. RELIABILITY INDEX
Reduced Variables
It is convenient to convert all random variables to their standard form; which is a non
dimensional form of the variables. For the basic variables R and Q, the standard forms
can be expressed as
3
Q
Q
Q
R
R
R
R
Z
R
Z

=
-------------------------------- (1)
The variables Z
R
and Z
Q
, are sometimes called reduced variables. By rearranging
Equation no.1, the resistance R and the load Q can be expressed in terms of the reduced
variables as follows:
Q Q Q
R R R
Z R
Z R


+ =
+ =
-------------------------------- (2)
The limit state function g(R, Q) = R-Q can be expressed in terms of the reduced variables
by using Eqs. 2. The result is
Q Q R R Q R Q Q Q R R R Q R
Z Z Z Z Z Z g + = + = ) ( ) , (
------------(3)
For any specific value of g(Z
R
, Z
Q
), Equation no.3 represents a straight line in the space
reduced variables Z
R
and Z
Q
. The line corresponding to g(Z
R
, Z
Q
) =0 separates the safe
and failure domain in the space of reduced variables. The loads Q and resistances R are
some times indicated in terms of capacity C and demand D as well in literature.
Design for a given reliability index

( )
( )( )
( ) 2 log
1 1 ln
1
ln
1 1
1 var 1
2 2
2
2
2 2

+ +

+
= =

= =
normal are D and C if
V V
V
V
D
C
P P
normal are iable if
D C
R P
C D
C
D
f s
D C
s

we define CFS =
D
C
and write (1) and (2) in terms of CFS
4

( )
( )( )
2 2
2
2
2 2 2
1 1 ln
1
1
ln
1
C D
C
D
D C
V V
V
V
CFS
normal are D and C for
V V CFS
CFS
+ +

+
+
=
+

5.3.1. General Definition of the Reliability Index
A version of the reliability index was defined as the inverse of the coefficient of variation
The reliability index is the shortest distance from the origin of reduced variables to the
is illustrated in Figure 3, line g(Z
R
, Z
Q
) = 0 .This definition, which was introduced by
Hasofer and Lind (1974) following formula:
Using geometry we can calculate the reliability index (shortest distance) from the
following formula:
2 2
Q R
Q R

=
-------------------------------- (4)
where is the inverse of the coefficient of variation of the function g(R, Q) = R-Q
When R and Q are uncorrelated for normally distributed random variables R and Q, it can
be shown that the reliability index is related to the probability of failure by
) ( ) (
1
= =

f f
P or P

5

Figure 3 - Reliability index defined as the shortest distance in the space of reduced variables.
Table 1 provides an indication of how varies with P
f
.
Table 1- Reliability index and probability of failure P
f
P
f

10
-1
1.28
10
-2
2.33
10
-3
3.09
10
-4
3.71
10
-5
4.26
10
-6
4.75
10
-7
5.19
10
-8
5.62
10
-9
5.99
The definition for a two variab1e case can be generalized for n variables as follows.
Consider a limit state function g(X
1
, X
2
X
n
), Where the X
i
variables are all
uncorrelated. The Hasofer-Lind reliability index is defined as follows:
1. Define the set of reduced variables {Z
1
, Z
2
, . . . , Z
n
} using
6
i
i
X
X i
i
X
Z

=
--------------------------------(5)
2. Redefine the limit state function by expressing it in terms of the reduced variables
(Z
1
,Z
2
,..,,Z
n
).
3. The reliability index is the shortest distance from the origin in the n-dimensional space
of reduced variables to the curve described by g(Z
1
, Z
2
, . . . , Z
n
) = 0.
5.4. First-order second moment method (FOSM)
This method is also referred to as mean value first-order second moment (MVFOSM)
method, and it is based on the first order Taylor series approximation of the performance
function linearized at the mean values of the random variables. It uses only second-
moment statistics (mean and variance) of the random variables. Originally, Cornell
(1969) used the simple two variable approaches. On the basic assumption that the
resulting probability of Z is a normal distribution, by some relevant virtue of the central
limit theorem, Cornell (1969) defined the reliability index as the ratio of the expected
value of Z over its standard deviation. The Cornell reliability index (
c
) is the absolute
value of the ordinate of the point corresponding to Z = 0 on the standardized normal
probability plot as given in Figure 4 and equation.
7

c
Limit surface
z
=
0

f
Z
(z)

Figure 4- Definition of limit state and reliability index

2 2
S R
S R
z
z
c

= = -----------------------------------(6)
On the other hand, if the joint probability density function f
X
(x) is known for the multi
variable case, then the probability of failure p
f
is given by

=
L
X f
dX x f p ) ( -----------------------------------(7)
where L is the domain of X where g(X)<0.
In general, the above integral cannot be solved analytically, and an approximation is
obtained by the FORM approach. In this approach, the general case is approximated to an
ideal situation where X is a vector of independent Gaussian variables with zero mean and
unit standard deviation, and where g(X) is a linear function. The probability of failure p
f

is then:
= < = < =
=
n
1 i
i i f
) ( ) 0 X ( P ) 0 ) X ( g ( P p -----------------------------------(8)
8
where
i
is the direction cosine of random variable X
i
, is the distance between the
origin and the hyper plane g(X)=0, n is the number of basic random variables X, and is
the standard normal distribution function.
The above formulations can be generalized for many random variables denoted by the
vector X. Let the performance function is in the form given as
Z= g(X) = g (X
1
, X
2
.X
n
) -----------------------------------(9)
A Taylor series expansion of the performance function about the mean value is given by
equation.

= = =
+


+

+ =
n
i
n
i
n
j
X j X i
j i
X i
i
X
j i i
X X
X X
g
X
X
g
g Z
1 1 1
2
......... ) )( (
2
1
) ( ) ( ------(10)
where derivatives are evaluated at the mean values of the random variables (X
1
, X
2
X
n
)
and
i
X
is the mean value of X
i
. Truncating the series in linear terms, the first order mean
and variance of Z can be obtained as
) ,..... , (
2 1 n
X X X Z
g
and,

= =

n
i
n
j
j i
j i
Z
X X
X
g
X
g
1 1
2
) , var( -----------------------------------(11)

where var (X
i
, X
j
) is the covariance of X
i
and X
j.
If the variances are uncorrelated, then
the variance for z is given as
9

n
i
i
i
Z
X
X
g
1
2
2
) var( ----------------------------------- (12)

The reliability index can be calculated by taking the ratio of mean (
Z
) and standard
deviation of Z (
z
) as in Equation 2.66.
z
z

=
5.4.1. Linear limit state functions
Consider a linear limit state function of the form

=
+ = + + + =
n
i
i i n n n
X a a X a X a X a X a a X X X X g
1
0 3 3 2 2 1 1 0 3 2 1
.. .......... ) .......... , , (

where the a
i
terms (i = 0, 1, 2. n) are constants and the X
i
terms are uncorrelated
random variables. If we apply the three-step procedure outlined above for determining
the Hasofer-Lind reliability index, we would obtain the following expression for :

=
=
+
=
n
i
X i
n
i
X i
i
i
a
a a
1
2
1
0
) (

-------------------------------- (13)
Observe that the reliability index , , in Eq. 5.18 depends only on the deviations of the
random variables Therefore this is called a second moment measure of structural safety
because only the first two moments (mean and variance)
to calculate . There is no explicit relationship between and the distributions of the type
of probability to calculate variables. If the random variables are all normally distributed
10
and uncorrelated then this formula is exact in the sense that and P
f
are related by Eq.
5.15. Otherwise, Eq. 5.15 Provides only an approximate means of Probability of failure.
The method discussed above has some limitations and deficiencies. It does not use the
distribution information about the variable and function g( ) is linearized at the mean
values of the X
i
variables. If g( ) is non-linear, neglecting of higher order term in Taylor
series expansion introduces significant error in the calculation of reliability index. The
more important observation is that the Equations 2.58 and 2.64 do not give constant value
of reliability index for mechanically equivalent formulations of the same performance
function. For example, safety margin R-S<0 and R/S <1 are mechanically equivalent yet
these safety margins will not lead to same value of probability of failure. Moreover,
MVFOSM approach does not use the distribution information about the variables when it
is available.
Nonlinear limit state functions
Now consider the case of a nonlinear limit state function. When the function is nonlinear,
we can obtain an approximate answer by linearizing the nonlinear function using a Taylor
series expansion. The result is
) ..... , (
1
* * *
2
*
1 3 2 1
* *
2
*
1
) ( ) ..... , ( ) ........ , , (
n
x x x at evaluated
n
i
i
i i n n
X
g
x X x x x g X X X X g

=

+

where is the point about which the expansion is performed. One choice for
this linearization point is the point corresponding to the mean values of the random
variables. Thus Eq. 5.19 becomes
) ..... , (
* *
2
*
1 n
x x x
) ..... , (
1
2 1 3 2 1
* *
2
*
1
) ( ) .... ,......... , ( ) ........ , , (
n
x x x at evaluated
n
i
i
i i n n
X
g
x X x x x g X X X X g

=

+

11
Since Eq. 5.20 is a linear function of the X
i
variables, it can be rewritten to be exactly like
Eq. 5.17. Thus Eq. 5.18 can be used as an approximate solution for ti reliability index .
After some algebraic manipulations, the following expression for results:
) ..... , (
1
2 * *
2
*
1
2 1
) (
) ,....... , (
n
n
x x x at evaluated
i
i
n
i
Xi i
X X X
X
g
a where
a
g

= =

The reliability index defined in Eq. 5.21 is called a first-order second-moment mean
value reliability index. It is a long name, but the underlying meaning of each part of the
name is very important:
First order because we use first-order terms in the Taylor series expansion ,
Second moment because only means and variances are needed. Mean value because the
Taylor series expansion is about the mean values.
5.4.2. Comments on the First-Order Second-Moment Mean Value Index
The first-order second-moment mean value method is based on approximating non
normal CDFs of the state variables by normal variables, as shown in Figure 5.15 for the
12

Figure 5 - Mean value second - moment formulation.
simple case in which g(R, Q) = R - Q. The method has both advantages and
disadvantages in structural reliability analysis.
Among its advantages:
1. It is easy to use.
2. It does not require knowledge of the distributions of the random variables.

Among its disadvantages:
1. Results are inaccurate if the tails of the distribution functions cannot be
approximate by a normal distribution.
2. 2. There is an invariance problem: the value of the reliability index depends on
the specific form of the limit state function.
The invariance problem is best clarified by an example.
13
5.5. Advanced first-order second moment method (AFOSM)
It is essential that irrespective of method of evaluation of reliability of a limit state, all the
mechanically equivalent performance functions must produce same safety indices.
However the MVFOSM method fails to satisfy the above condition in some cases, such
as in case of correlated variables and nonlinear limit state formulations. Hence, a new
approach, called Hasofer-Lind reliability index (Hasofer and Lind 1974) was developed
to tackle the problem of variant reliability indices produced using Cornell index. In this
method the reduced variables are defined as given in Equation 2.67.
i
i
X
X i
i
X
X

=
'
, i=1, 2 n -----------------------------------(14)
where is a random variable with zero mean and unit standard deviation. The above
equation is used to transform the original limit state g(X) =0 to reduced limit state
g(X) =0. X is referred to as the original co-ordinate system and X reduced co-ordinate
system. Note that if X
'
i
X
i
is normal in original co-ordinate system it will be standard normal
in reduced co-ordinate system.
The Hasofer-Lind reliability index (
HL
) can be defined as the minimum distance from
the origin of the axes in the reduced co-ordinate system to the limit state surface. The
minimum distance point on the limit state surface is called the design point or checking
point. Considering the limit state function in two variables as given in Equation 2.68,
wherein R and S should be normal variables, the reduced variables can be written as
given in equations.
14
0 = = S R Z
R
R
R
R

=
'

S
S
S
S

=
'

Substituting values of R and S in the above equation, the limit state equation in the
reduced co-ordinate system can be written as
0 ) (
' '
= + =
S R S R
S R g -----------------------------------(15)
The position of the limit state surface relative to the origin in the reduced coordinate
system is a measure of the reliability of the system. By simple trigonometry, the distance
of the limit state line from the origin can be calculated and it will give the reliability
index value.
2 2
S R
S R
HL

= -----------------------------------(16)
This is same as the reliability index defined by the MVFOSM method, if both R and S are
normal. In this definition the reliability index is invariant, because regardless of the form
in which the limit state equation is written, its geometric shape and the distance from the
origin remains constant.
To be specific, is the First-order second moment reliability index, defined as the
minimum distance from the origin of the standard, independent normal variable space to
the failure surface as discussed in detail by Hasofer and Lind (1974). Figure 2.5 shows
the plot depicting the functional relationship between probability of failure (p
f
) and
15
reliability index (), and classifies the performance of designs based on these two values.
As seen from the figure, the performance is high if the reliability index is equal to 5,
which corresponds to a probability of failure of approximately 310
-7
.
5.5.1. Hasofer-Lind Reliability Index
Hasofer and Lind proposed a modified reliability index that did not exhibit the invariance
problem illustrated in Example 5.3. The correction is to evaluate the limit state function
at a point known as the design point instead of the mean values. The design point is a
point on the failure surface g = 0. Since this design point is generally not known a priori,
an iteration technique must be used (in general) to solve for the reliability index.
5.5.2. AFOSM Method for Normal Variables
The Hasofer-Lind (H-L) method is applicable for normal random variables. It first
defines the reduced variables as
) ,......., 2 , 1 (
'
n i
X
X
i
i
X
X i
i
=

-----------------------------------(17)
where is a random variable with zero mean and unit standard deviation. Above
equation is used to transform the original limit state g(X) = 0 to the reduced limit state
g(X`)= 0. The X coordinate system is referred to as the original coordinate syatem. The
X` coordinate system is referred to as the transformed or reduced coordinate system.
Note that if X
'
i
X
i
is normal,
`
is standard normal.. The safety index
i
X
Hi
is defined as the
minimum distance from the origin of the axes in the reduced coordinate system to the
limit state surface (failure surface). It can he expressed as
) ( ) (
`* `*
x x
I
Hi
= -----------------------------------(18)
16
The minimum distance point on the limit state surface is called the design point or
checking point. It is denoted by vector x* in the original coordinate system and by vector
x`* in the reduced coordinate system. These vectors represent the values of all the
random variables, that is, X
1
, X
2
. ..., X
n
, at the design point corresponding to the
coordinate system being used.
This method can be explained with the help of figure shown Consider the linear limit
state equation in two variables.
Z=RS=0 This equation is similar to above equation. Note that R and S need not be
normal variables. A set of reduced variables is introduced as
R
R
R
R

= ` -----------------------------------(19)
and
S
S
S
S

= ` -----------------------------------(20)

Figure 6 - Hasofer -Lind Reliability Index: Linear Performance Function

17
If we substitute these into above equation the limit state equation in the reduced
coordinate system becomes
( ) 0 ' ' = + =
S R S R
S R g -----------------------------------(21)
The transformation of the limit state equation from the original to the reduced coordinate
system is shown in above figure. The safe and failure regions are also shown. From the
figure, it is apparent that if the failure line (limit state line) is closer to the origin in the
reduced coordinate system the failure region is larger and if it is farther away from the
origin, the failure region is smaller. Thus, the position of the limit state surface relative to
the origin in the reduced coordinate system is a measure of the reliability of the system.
The coordinates of the intercepts of a on the R` and S` axes can be shown
to be
bove equation
( ) [ ] ( ) [ ]
S S R R S R
and / , 0 0 , / , respectively .Using simple
trigonometry, we can calculate the distance of the limit state line from the origin as
2 2
S R
S R
HL

= -----------------------------------(22)
This distance is referred to as the reliability index or safety index. It is the same as the
reliability index defined by the MVFOSM method in above equation if both R and S are
normal variables. However, it is obtained in a completely different way based on
geometry. It indicates that if the limit state is linear and if the random variables R and S
arc normal, both methods will give an identical reliability or safety index.

..x
n
) in
ates the safe state and g(X) < 0 denotes the failure state, Again, the Hasofer-
ned coordinated system and
2 1
........ , ,
n
X X X X X
In general, for many random variables represented by the vector X = (x
1
,x
2
,
the origin
Lind reliability index is defi
` ` ` ` `
=
3
in
the reduced coordinate system the limit state g(X`) = 0 is a nonlinear function as shown
in the reduced coordinates for two variables in figure .At this stage, '
i
X s are assumed to
be uncorrelated. Here g(X`) > 0 denoted as the minimum distance from the origin to the
design point on the limit state in the reduced coordinates and can be expressed by above
equation , where x` - represents the coordinates of the design point or the point of
minimum distance from the origin to the limit state. In this definition the reliability index
is invariant, because regardless of the form in which the limit state equation is written, its
`
18
geometric shape and the distance from the origin remain constant. For the limit state
surface where ,

the failure region is away from the origin

ilure point. The Hasofer-L
Figure 7 - Hasofer - Lind Reliability Index: Nonlinear Performance Function

it is easy to see from figure that x` is the most probable fa ind
reliability index can be used to calculate a first-order approximation of the failure
probability as This is the integral of the standard norm
the larger is the failure probability. Thus the minimum distance point on the limit state
surface is also the most probable failure point. The point of minimum distance from the
origin to the limit state surface, x`*, represents the worst combination of the stochastic
variables and is appropriately named the design point or the most probable point (MPP)
of failure.
For nonlinear limit states, the computation of the minimum distance becomes an
optimization problem:
al density function
along the ray joining the origin and x`* it is obvious that the nearer x`* is to the origin,
'
'
x x D Minimized
l
=
( ) ( ) 0 ' int = = x g x g constra the to Subjected

where x` represents the coordinates of the checking point on the limit state equation in
the reduced coordinates to be estimated. Using the method of Lagrange multipliers, we
can obtain the minimum distance as
19

=
=

=
n
i
i
i
n
i
i
HL
X
g
X
g
x
1
* 2
'
*
'
1
'*
-----------------------------------(23)

Where is the i
th
partial derivative evaluated at the design point with
coordinates
( )
*
'
/
i
X g
( )
'* '*
2
'*
1
..... ,
n
x x x . The asterisk after the derivative indicates that it is evaluated at
( )
'* '* '*
..... , x x x . The design point in the reduced coordinates is given by:
2 1 n
( ) n i x
HL i i
,....... 2 , 1
'*
= =
Where

=
*
An algorithm was form lated by Rackwitz (1976) to compute

=
n
i
i
i
i
X
g
X
g
1
* 2
'
'
- ----------------------------------(24)

are the direction cosines along the coordinate axes
'
in the space of the original
i
X
coordinates and using equation, we find the design point to be
HL X i X i
i i
x =
*

HL
u and as follows:
Step 1. Define the appropriate limit state equation.
e initial values of the design point . Typically, the
'*
i
x
n i x
i
.. ,......... 2 , 1 ,
'*
= Step 2. Assum
initial design point may be assumed to be at the mean values of the random variables.
Obtain the reduced variates ( )
i i
X X i i
x x =
'*
.
Step 3. Evaluate ( )
'*
i i i
x at
Step 4. Obtain the new design point in terms of
'*
and X g
'*
i
x
HL
as in equation.
Step 5. Substitute the new in the limit state equation g(x`*) = 0 and solve for
'*
i
x
HL
.
20
HL
Step 6. Using the value obtained in Steps 5. Re-evaluate
Step 7. Repeat Steps

This algorithm is shown geometrically in figure. The algorithm constructs a linear
pproximation to the limit state at every search point and finds the distance from the
o the limit
assumed to be at the mean values of the random variables, as noted in Step 2. Note that B
it state equation
represented b
HL i i
x =
'*

3 through 6 until converges.
a
origin t state. In figure, Point B represents the initial design point. usually
is not on the lim 0 ) (
'
= X g the tangent to the limit state at B is
y the line BC. Then AD will give an estimate of
HL
in the first iteration,
s noted in Step 5. As the iteration continues, a value converges.
Ditlevsen (1979a) showed that for a nonlinear limit state surface lacks comparability; the
ordering of

HL
va rdering of actual reliabilities. An
example of this is shown in figure with two limit state surfaces: one flat and the other
curved. The shaded region to the right of each limit state represents the corresponding
ilure region. Clearly, the structure with the flat limit state surface has a different
e
lues may not be consistent with the o
fa
reliability than the one with the curved limit state surfac ; however, the
HL
values are
identical for both surfaces and suggest equal reliability. To overcom sistency,
Ditlevsen (1979a) introduced the generalized reliability index,
e this incon

g
defined as

2 1 2 1 n n g
)
al variable. Respec se the reliability index in this
definition includes the entire sale region, it provides a consistent ordering of second-
. The integral in the eq tion looks similar to that in equation and is
979 roximating the
nes t
( ) ( ) ( )

=

' ' ' ' ' ' 1
....... ........ ......... x dx x d x x x -----------------------------------(25
( )

>0
'
X g


where and are the cumulative distribution function and the probability density
function of a standard norm tively, Becau
moment reliability ua
difficult to compute directly. Hence, Ditlevsen (1 a) proposed app
nonlinear limit state by a polyhedral surface consisting of tangent hyper-pla a
selected points on the surface.
21

igure 8 - Algorithm for finding
HL
F

Note: A number in parentheses indicates iteration numbers

Consider a limit state function g(X
1
, X
2
, . . . , X
n
) where the random variables X
i
are all
uncorrelated. (If the variables are correlated, then a transformation can be used to obtain
uncorrelated variables. See Example 5.15.) The limit state function is rewritten in terms
of the standard form of the variables (reduced variables) using
i
i
X i
X
Z
X
i

=

As before, the Hasofer-Lind reliablity index is defined as the shortest distance from the
rigin of the reduced variable space to the limit state function g = 0. o
Thus far nothing has changed from the previous presentation of the reliability index. In
fact, if the limit state function is linear, then the reliability index is still calculated as in
Eq 5.18

=
=
+
=
n
i
X i
n
i
X i
i
i
a
a a
1
2
1
0
) (

-------------------------------- (26)
22
If the limit state function is nonlinear , however, iteration is required to find the design
point in reduced variable space such that still corresponds to the
Shortest distance. This concept is illustrated in Figures 5.17 through 5.19 for the case of
two random variables.

} ...... , {
* *
2
*
1 n
Z Z Z
Figure 9 - Hasofer - Lind reliability index


Figure 10 - Design point on the failure boundary for the linear limit state
function g = R Q

23


Figure 11 - Design point and reliability index for highly nonlinear limit state
function.
he iterative procedure requires us to solve a set of (2n + 1) simultaneous equation with
(2n + I) unknowns: ,
1
,
2
.,
n
, where
T
* *
2
*
1
....... ,
n
Z Z Z

=
n
k
po design at evaluated
k
po design at evaluated
i
i
Z
g
Z
g
1
2
int
int

i
X
i i
i
i i
X
g
Z
X
X
g
Z
g

( )
( ) 0 ... .......... ,
* *
2
*
1
*
1
2
=
=

=
n
i i
i
i
z z z g
z

Equation 5.23b is just an application of the chain rule of differentiation Equation 5.23c is
a requirement on the values of the
i
variables, which can be confirmed by looking at
n
24
Eq.5.23a. Equation 5.25 is a mathematical statement of the require that the design point
must be on the failure boundary .
There are two alternative procedures for Performing the iterative analysis: the
simultaneous equation procedure and the matrix procedure The steps in the simultaneous
equation procedure are as follows:
1. Formulate the limit state function and appropriate parameters for all random variables
involved
2. Express the limit state function in terms of reduced variates z
i
.
3. Use Eq. 5.24 to express the limit state function in terms of and
i
.
4 Calculation then a values. Use Eq. 5.24 here also to express each
i
as a function of all
5. Conduct the initial cycle: Assume numerical values of and
i
, noting that the
i

6. Use the numerical values of and
i
on the right-hand sides of the equations formed in
Steps 3 and 4 above.
7. Solve the n + 1 simultaneous equations in Step 6 for and
i
.
8. Go back to Step 6 and repeat. Iterate until the and
i
values converge.

The matrix procedure consists of the following steps:
1. Formulate the limit state function and appropriate parameters for all random variables
X
i
(i = 1,2, . . . , n) involved.
2. Obtain an initial design point
and
i.

values must satisfy Eq. 5.23c.
{ }
*
i
x by assuming values for n-1 of the random variables
X
i
. (Mean values are often a reasonable initial choice.) Solve the limit state equation g =
0 for the remaining random variable. This ensures that the design point is on the failure
boundary.
25
3. Determine the reduced variates { }
*
i
Z corresponding to the design point { }
*
i
x using
i
X

4. Determine the partial derivatives o
i
X i
i
Z =
*
the limit state function with respec duced
variates using Eq. 5.23b. For convenience, define a column vector {G} as the vector
x
*
f t to the re
whose elements are these partial derivatives multiplied by -1:
{ }
int
2
1
po design at evaluated
i
i
n
Z
g
G where
G
G
G
G

= -------------------- (27)

5. calculate an estimate of using the following formula:

{ } { }
{ } { }
{ }

*
z
G G

= =
*
2
1
*
n
T
z
z where -------------------------(28)
reduces to Eq. 5.18.
factors using

*
*
T
z
z G
The superscript T denotes transpose. If the limit state equation is linear, then Eq 5.28
6. Calculate a column vector containing the sensitivity
{ }
{ }
{ } { } G G
G
T
= -------------------------------- (29)
7. Determine a new design point in reduced variates for n-1 of the variables using

i i
Z =
*

26
8. Determine the corresponding design point values in original coordinates for the n-1
values in Step 7 using
i i
X i X i
Z X
* *
+ =

9. Determine the value of the remaining random variable (i.e., the one not found in Steps
7 and 8) by solving the limit state function g = 0.
10. Repeat Steps 3 to 9 until and the design point { }
*
i
x converge.



27