Computers and Structures 117 (2013) 95104

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Computers and Structures

journal homepage: www.elsevier.com/locate/compstruc

A method for enhancing computational efciency in Monte Carlo

calculation of failure probabilities by exploiting FORM results
Jorge E. Hurtado , Diego A. Alvarez
Universidad Nacional de Colombia, Sede Manizales. Apartado 127, Manizales, Colombia

a r t i c l e

i n f o

Article history:
Received 8 October 2011
Accepted 20 November 2012
Available online 29 December 2012
Keywords:
Structural reliability
FORM
Reliability plot
Monte Carlo simulation

a b s t r a c t
The First-Order Reliability Method (FORM) is by far the most widely employed method for structural reliability computation. Its accuracy, however, is fair only when the curvature of the limit state function is
very mild. In this paper, a reliability method built on the design point vector given by FORM is proposed.
It is based on the computation of the limit state function of a relatively small selected set of Monte Carlo
samples that have the highest similarity to the design point in a statistical sense. The similarity is measured by two nonlinear features extracted from the mass of input variable realizations. The bi-dimensionality of the mapping allows a simple visual selection of the highly relevant samples and the relevant
sample selection is facilitated by the fact that the failure domain possesses a standard shape in the space
spanned by those nonlinear features and also by the feasibility of mapping several possibilities of a second-order approximation of the limit state function onto the plot, which embrace the most relevant samples. The method yields the same estimate of the failure probability as the simple Monte Carlo, with a
computational cost limited to the evaluation of a subset of the selected samples. Besides, the reduction
of the variability of the probability estimates is easily accomplished. Its application is illustrated with
some numerical examples derived from actual structural engineering practice. They show that the
method is simple, efcient and elegant, as it allows visualizing the reliability problem in the plot constituted by the two nonlinear features.
2012 Elsevier Ltd. All rights reserved.

1. Introduction
As is well known, the basic problem of structural reliability can
be dened as the estimation of the probability mass of a failure domain F dened by a limit state function g(x) of a set of input random variables X of size d. The complement to the failure domain is
called the safe domain S. In transforming the variable set x to the
standard Gaussian set u, using techniques such as the Nataf model
[1,2], Hermite polynomials [3] or others, the problem reads (see
e.g. [4,5])

Pf

Z
F

pU udu

where pU(u) is the joint probability density function of the basic

variables in the d-dimensional space u. In performing this transformation the limit state function g(x) is transformed into a function
g(u)  g(T(x)), where T() is a probabilistic transformation, and the
failure domain becomes F fu : gu 6 0g.
The First-Order Reliability Method (FORM) is by far the most
widely employed method for structural reliability computation. It
Corresponding author.
E-mail addresses: jehurtadog@unal.edu.co (J.E. Hurtado), daalvarez@unal.edu.co
(D.A. Alvarez).
0045-7949/$ - see front matter 2012 Elsevier Ltd. All rights reserved.
http://dx.doi.org/10.1016/j.compstruc.2012.11.022

is formulated in the standard Gaussian space u and is based on

concepts reecting the structural safety problem in a clear manner.
In addition, several efcient algorithms have been proposed for its
application, some of which have been incorporated in commercial
software.
The FORM estimate of the failure probability is

^ f;FORM Ub
P

where U() is the standard Gaussian distribution and b is the minimum distance from the origin to the limit state function g(u). It is
found by solving optimization problem:

uH arg min kuk

subject to gu 0:

This implies that b = kuwk and the point uw is referred to as the design point.
In the last decades several algorithms have been proposed for
solving this optimization problem (see [68] and [9], which contains a recent state-of-art on this subject). The accuracy of the
probability estimate given by Eq. (2) is, however, restricted to limit
state functions whose curvature and hence their departure from
linearity is very small, as determined quantitatively by [10]. The
limited accuracy of FORM has also been studied by many other
researchers (see e.g. [1117]).

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J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

In addition, the FORM index b (also known as the HasoferLind

index) has been criticized for not satisfying the requirements of
globality and ordering, which are expected from any measure intended to serve as a reliability index [11]. Under the former expression it is meant that such an index should ideally be a global
measure of the reliability associated to the entire safe domain and
not be tied to a local detail of the limit-state function. The HasoferLind index fails to satisfy this requirement, as it is tied to a single point. On the other hand, the ordering is a desirable property of
any reliability index, for one expects that to safe domains forming a
nested sequence S 1  S 2  S 3     there corresponds a similar
nested sequence of indexes b1 < b2 < b3 <   . The failure of the HasoferLind index to meet this requirement is evident in the case of
mutually tangent limit state functions at the common design point,
for all of which the index will be the same, in spite of the differences
in failure probability mass. This drawback is due to the fact that the
index is dened as a distance to the limit-state function and thus it
has only a point-wise relationship.
Besides, the expression design point perhaps conveys the meaning that it marks the minimum realization u that determines the
crossing from the safety state to the failure one. In other words,
it can be interpreted from the structural point of view as the critical realization of the basic variables. However the actual realizations of u that are the closest to the origin of coordinates are
located at farther distances from uw as the number of dimensions
of the problem d increases [17]. This means that for large d the
aforementioned structural interpretation and even its worth have
become disputable [1618].
However, in spite of all these shortcomings, this paper demonstrates that the design point vector, being a purely geometrical element without any intrinsic probabilistic meaning, as the
aforementioned derivation shows, is a very powerful device for
visualizing the clustering of Monte Carlo samples in the failure domain even for high dimensional spaces and solving the reliability
problem. Such geometrical meaning is by far more important than
the usual interpretation as a critical realization, which is valid only
for low d, or any other probabilistic interpretation. Therefore, in
spite of the limited worth of FORM for reliability estimation
[10,11,16,17], the design point it yields is the cornerstone for visualizing and hence greatly simplifying the reliability problem and
facilitating its solution.
In this respect, due mention must be given to the fact that
such geometrical value of the design point has been recently
exploited for innovative structural reliability methods [17,19
21]. The geometrical insights shown in present paper are intended to be a contribution in this direction. In fact, upon the basis of the clustering properties afforded by the design point it is
shown that the selection of the important realizations of the basic
variables u that are worth testing is an easy task. This is due to
the fact that, by characterizing the Gaussian realizations with
two nonlinear features (namely, their distance to the origin and
their cosine with respect to the design point vector), the failure
samples most naturally accommodate in a corner of the bidimensional plot constituted by these two features. The possibility of having such a standard geometrical form allows the isolation of a small set of worth-testing samples from a large mass
of Monte Carlo candidates by simply drawing on the plot some
curves arising from a standard second-order Taylor approximation of the limit state function. Then, after simply counting the
samples lying above the lines, only a portion of them comprised
between two of them is actually computed.
The next section is devoted to a detailed exposition of the proposed approach for the selection of samples that are worth of evaluation. This is followed by a section in which the robustness,
accuracy and efciency of the proposed method is demonstrated
with numerical examples. The paper ends with some conclusions.

2. Clustering for selecting highly relevant samples

Let us assume that the reliability problem has been transformed
to the space of independent standard Gaussian variables and that
the FORM problem has been solved. Such a solution yields three
pieces of information: The design point uw, the HasoferLind
^ f;FORM .
reliability index b and the estimate of the failure probability P
The unit vector of the design point is given by

uH
kuH k

Consider Fig. 1 which shows the geometrical elements of FORM together with two samples, uf in the failure domain and us in the safe
domain. Any sample u is dened by its Cartesian coordinates (u1, u2, . . . , ud) in the d-dimensional space. We propose to change this
d-dimensional characterization of the samples by a bi-dimensional
representation composed by two nonlinear features: (a) Their distance to the origin and (b) the cosine of the angle they make with
the design point vector w. These new variables are given by

v1

v
u d
uX
r t u2j

j1

v 2 cos w cos \w; u

w  u
kwkkuk

Therefore the new representation of the random variables is given

by the mapping v:(v1, v2). Notice that these variables together
operate a highly nonlinear map u  Rd # v  R2 . This operation,
however, does not destroy the clustering structure of the samples
in two classes. In fact, the cosine is a measure of the belonging of
the sample to one of them, because, the higher the cosine, the higher the possibility of the presence of the sample in the failure domain. In fact, consider Fig. 2, which shows two vectors w and u.
As the separation between them, given by the norm of w  u,
diminishes, the projection given by the dot product (w  u) increases. Thus, the cosine measures the proximity of the two vectors
and hence their similarity. In addition, it is a normalized measure,
as it varies in the range [1, +1].
Nevertheless, the cosine is not a sufcient indicator of such
belonging because the samples in the safe domain that are close
to the interclass boundary are also characterized by high cosine values. The distance from the origin, however, complements the cosine, as the samples in F are necessarily located far from the
origin. Besides, the two features (v1, v2) = (r, cos w) are independent,
because a length increase does not affect the cosine, while this latter

Fig. 1. FORM and the polar features of Gaussian samples.

J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

97

Fig. 2. The cosine as a measure of similarity between vectors.

remains equal if measured with respect with any other co-linear

vector.
For these reasons, it is reasonable to expect that the mapping
from the standard space (u1, u2, . . . , ud) to the bi-dimensional space
(v1, v2) = (r, cos w) yields a visible discrimination of the safe and
failure classes of samples. This fact will be demonstrated in the
sequel.
The general shape of the proposed reliability plot is as shown in
Figs. 3 and 4 for low and high values of the dimension d, respectively. The shape differences that are evident in comparing these
gures (from a rectangular shape to a circle) are mainly due to
the Chi density function that governs the distance v2 = r, which is
[22]

 2
d
1
r
pr; d d 212 r d1 exp 
2
C 2

Fig. 4. The reliability plot for a high number of dimensions. Here, the dark
boundary indicates the region which holds the images of the samples when mapped
to the space spanned by the variables v1 and v2.

The other is that the distribution function of the angle w, which

is [23]

pw; d R p
7

which is biased to the left for low d and gradually assuming a closep
to-Gaussian shape as d increases. For this function, lr ! d  0:5
and r2r ! 0:5 as the dimensionality grows. This means that the samp
ples tend to migrate to a ring of increasing radius d  0:5, constant
width, and decreasing coefcient of variation rr =lr !
p
0:5=d  0:5. This is one of the reasons explaining the size reduction of the plot as d grows.

d2

d2

wdw

sin

sin

becomes peaked at w = p/2 even for moderate d, thus approximating the Dirac delta function. This means that the absolute values
of the cosine close to one become more rare as d grows, thus
explaining why the region of the space that contains the images
of the samples for large d (the dark boundary) has been depicted
smaller in Fig. 4 than the contour that holds the images of samples
for low d in Fig. 3 (again the dark curve). Summarizing, for a low
number dimensions the plot assumes a wide bullet shape with
small distances and some cosine values close to the bounds
[1, +1], while it takes a smaller, round shape for moderate and
large d.
Shape differences aside, the most salient characteristic of this
plot is that, irrespective of the dimensionality, the failure samples
cluster in the region corresponding to high values of both v1 and
moderate to high values of v2, due to the reasons stated above.
Such domain can be roughly represented by a descending line that
starts at vw, with a trajectory that is problem dependent, where vw
is the representation of the design point in the (v1, v2) = (r, cos w)


H
plot. Evidently, this representation is v H v H
1 ; v 2 b; 1. Notice
that the design point vw remains xed while the failure samples
move farther away from it as d increases. This explains why difculties and paradoxes are found when exploring high-dimensional
spaces upon the basis of this vector [17], or vectors parallel to it
[16]. In fact, such vectors might point to regions in which failure
samples are simply absent.
In order to demonstrate the discrimination capabilities and
robustness of the plot, let us consider the second-order approximation g^u of the limit state function g(u) around the point uw:

1
g^u guH rguH  u  uH u  uH T Hu  uH
2
Fig. 3. The reliability plot for a low number of dimensions. Here, the dark line
represents the region that contains the images of the samples when mapped to the
space spanned by the variables v1 and v2.

here rg(uw) stands for rg(u) evaluated at uw. On the other hand, H
is the Hessian matrix

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J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

10

g^u b  ud

d1
X

1
2

ji u2i

g^u b  ud k

0.2
0.1
0
0.1

11

d1
X

u2i 0

12

i1

in which k is the half of an average curvature. In its derivation the uspace is rotated in such a way that axis ud passes through the apex
of the paraboloid. In these conditions the design point is uw = [0, 0, . . . , b] and the unit vector of FORM hyperplane is w = [0, 0, . . . , 1].
Therefore,

Parabolic limit state d=10

Safe class
Failure class

0.8
0.6
0.4
0.2

v2

0.3

i1

in which ji is the curvature of the approximation at the design

point for each axis i.
For illustrating the robustness of the (v1, v2) plot, the curvatures
ji were subject to uctuate randomly, obeying the uniform distribution in the range [1, +1], which largely exceeds the values usually found in practice [24]. Accordingly, this illustrating example
can be considered representative of a large variety of situations.
The reliability plots were generated for b = 2 and a number of
dimensions d = 10 and d = 100 and a number of samples N equal
to 5000 in both cases. The results are shown in Figs. 5 and 6. Notice
the shape changes for increasing d described above take place.
Also, how the design point of coordinates (b, 1) = (2, 1) is left farther
behind as the size of the u-space grows. More importantly, notice
that the failure samples concentrate in the upper-right sector of
the plots as anticipated and that the dimensionality increase does
not affect the discrimination power of the plot.
Due to the higher order of approximation of the limit state function offered by SORM over FORM, a careful consideration of the
quadratic forms which arise from it sheds light upon the practical
use of the proposed plot for reliability analysis. A simpler alternative than Eq. (11) has been derived by means of methods of differential geometry [10,13,31]. It is given by

0.2
0.4
0.6
0.8
2

Safe class
Failure class

uH

Eq. (9) is the basis of the second-order reliability method (SORM)

[2428]. Upon this basis, several proposals for deriving simple quadratic forms, obtained by space rotations and solution of eigenvalue
problems, have been proposed [13,24,25,29]. (For detailed expositions see [5,9,30]). One of them is the parabolic limit state function
[24]

Parabolic limit state d=100

0.4

v2


@ 2 g 
H ij

@ui @uj 

2.5

3.5

4.5

5.5

v1
Fig. 5. Reliability plot for the parabolic function (d = 10).

6.5

0.2
0.3
0.4

10
v1

11

12

13

Fig. 6. Reliability plot for the parabolic function (d = 100).

v 2 cos w cos \u; w

u1 ; u2 ; . . . ; ud   0; 0; . . . ; 1 ud ud

kuk
r
v1
13

Moreover,
d1
X
u2i r2  u2d v 21  u2d

14

i1

Upon replacing (13) and (14) into Eq. (12), the limit state function
becomes

g^v kv 21 v 22 v 1 v 2  b  kv 21 0

15

Notice that the second-order approximation to the limit state function is now expressed only in terms of the two nonlinear features
v = (v1, v2) = (r, cos w). This is an algebraic quadratic equation in
either v1 of v2. Solving for v2 and taking only the positive root, which
 2 , yields
will be denoted as v

v 2

1

q


1 4k b kv 21
2kv 1

16

This equation represents the quadratic approximation to the limit

state function g(u) = 0 of reliability analysis in the v space. For the
purposes of the present paper it is important to observe that FORM
only gives the value of b, while the calculation of k implies a complete SORM analysis. This in turn is somewhat involved, as it needs
the calculation of several samples (typically 2(d  1); see e.g.
[10,27]), calculating or approximating the Hessian, solving eigenproblems, operating space transformations and tting the quadratic
form. Nevertheless, according to [24], the absolute values of the curvatures are rarely higher than 0.05. Taking into this observation,
Fig. 7 was construed. It corresponds to a problem dened by Eq.
(12) with b = 2, k = 0.015 and two dimensionality values, d = 25
and d = 100. It can be seen that there is a perfect correspondence
between the plots and the SORM line.
More importantly, Fig. 8 displays the lines for other values of k
in the range [0.05, 0.05]. It is noteworthy that they form a nested
structure of sets. This suggests a practical numerical method for
improving the simple FORM method that does not require the involved computations needed by SORM and which, at a difference
with respect to it, is exact (in the Monte Carlo sense). This is exposed and illustrated in the next two sections.

J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

such that the coefcient of variation of the failure probability estimate, given by Eq. (17), be less than 0.1. This implies that

1.2
Safe class
Failure class

N > 100

0.8
0.6

v2

1  P^ f;FORM
P^f;FORM

18

At this step these random numbers are unlabeled, i.e. it is unknown

to which of the safe or failure classes they belong. Since the ordered
increase of k produces a nested structure of sample sets (as shown
in Fig. 8), the proposed numerical procedure consists in evaluating
the samples that are closest to the curve dened by k = 0 by using
the next equation, which follows from (15):

0.4
0.2
0
0.2
0.4

0.6

d = 100

d = 25

0.8

99

10

12

14

v1
Fig. 7. Reliability plot for the parabolic function for b = 2, k = 0.015 with d = 25 and
 2 line.
d = 100, together with the v

b  v 1v 2


1  v 22

v 21

19

until two values of k (that we will call kmin and kmax) are found such
that their corresponding lines (as given by Eq. (16)) split the set of
samples into three sets: samples that belong only to the failure domain, samples that belong exclusively to the safe domain and a
third set that is bounded between both lines and that contains failure and safe realizations and whose samples are the only ones to be
evaluated.
The proposed numerical procedure is as follows:

1.2
1
0.8
0.6

v2

0.4
0.2
d=25
d=100
=0.02
=0.01
=0.01
=0.2
=0.03

0
0.2
0.4
0.6
0.8

10

12

14

v1
Fig. 8. Quadratic form roots for b = 3 and several k, with d = 25 and d = 100.

3. The proposed approach

The clustering of the failure samples in a standard zone just
demonstrated allows applying a simple procedure for reliability
calculation, consisting in removing the vast majority of Monte Carlo candidates composing the plot. Initially, a matrix of N standard
Gaussian random numbers is generated for all input variables. As
is well known, the probability estimates given by the Monte Carlo
method are random variables in themselves, as they are estimated
with random numbers. The coefcient of variation of the estimate
^ f of the actual probability Pf is [32]
P

^f
c:o:v:P

s
^f
1P
^f
NP

17

An estimate exhibiting a coefcient of variation lower than 0.1 is

^f
generally accepted as satisfactorily accurate. Since the value of P
is normally very small, the numerator of the above expression is
close to one. This means that a large N is needed for reducing the
^ f . Therefore, it is proposed to select the number N
uncertainty on P

1. Perform a Monte Carlo sampling of points according to the distribution of the joint random variable X. Map these values to the
standarized normal space U. We will call this set of samples M.
2. Map the samples in M to the (v1, v2)-representation using the
transformation provided by Eqs. (5) and (6).
3. Using reliability index b, calculate (16) for k = 0. Draw this line
in the (v1, v2)-plot.
4. For each sample in M calculate k using Eq. (19).
5. Select those 20 samples with the smallest value of jkj. These
samples will form the set P. The smallest value of k in this
set will correspond to kmin while the largest will be kmax.
6. Calculate g(u) for all samples in P.
7. Split the set P into three sets, namely P  ; P  , and P , with
approximately one-third of the samples each. The sets P  and
P will contain the samples with the smallest and largest values of k respectively; the set P  will be formed by the rest of
the samples.
8. If any of the samples in P  belongs to the failure set, the select
another point from M whose k is the largest value of k that is
less than kmin. On the other hand, if any of the samples in P
belongs to the safe set, the select another point from M whose
k is the smallest k that is greater than kmax. In any case, the
selected point will be added to the set P. Calculate g(u) for that
point.
9. Go to step 7 until all of the samples in P  and all of the samples
in P belong to the safe and failure domains respectively.
Using the suggested algorithm, the only samples u that need be
classied by evaluating the limit state function g(u) are those
whose image lies between the bounding curves that correspond
to kmin and kmax; these samples are the ones that compose the
set P. The samples below kmin are discarded while those above
kmax are assumed to correspond to the failure domain. Let Mf be
the number of failure samples found in the sector comprised by
kmin and kmax (this is the cardinality of the nal set P) and N kmax
the number of samples above the line for kmax. Therefore, the probability estimate, which will be the same as that given by simple
Monte Carlo simulation, is

^ f N f M f Nkmax
P
N
N
Fig. 9 shows a owchart of the proposed procedure.

20

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J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

Fig. 9. Flowchart of the proposed procedure.

4. Numerical experiments
4.1. A spatial dome
Consider the semi-spherical dome depicted in Fig. 10, whose
layout is displayed in shown in Fig. 11. The topology has been taken from [33]. It is composed by 132 bars having a cross section
area of 100 mm2. The measures displayed in the gure are in millimeters. The dome is subject to the action of a vertical load on
each free node of all its composing polygons and their common
center, making a total of 37 loads. They are modeled as independent Gaussian variables with mean 16.67 kN and coefcient of var-

4000

z, mm

A nal note on the interpretation of kmin and kmax is convenient;

these values dene in the space of normal gaussian variables, two
second order approximations of the limit state function that meet
at the design point but have different curvatures; these curves
work as bounding surfaces of the true limit state function. The proposed algorithm nds both surfaces and performs the evaluation of
g(u) of those simulations within the bounded region. From this
point of view, the proposed algorithm might not work if the limit
state function cannot be roughly bounded by those curves or if
the failure surface is a disconnected region; in the case that two
or more design points are found (as it necessarily occurs in series
or parallel problems), the solution is easily achieved by generating
a plot for each design point. Finally, the method is not limited by
the number of random variables nor on FORMs accuracy.

2000
0
6000
4000
2000

y,

0
2000
mm 4000
6000

5000
0
5000

x, mm

Fig. 10. Spherical dome analyzed in Section 4.1.

iation 0.1. The modulus of elasticity is also Gaussian with mean

205.8 kN/mm2 and coefcient of variation 0.05. This means that
the dimensionality of the problem is d = 38. The dome is restricted
to displace but allowed to rotate in all its supports. The limit state
function is dened as

gx 28  dcentral x

21

where dcentral(x) is the vertical displacement of the central node

measured in millimeters.
The FORM analysis was conducted using the classical HLRF
algorithm [6,7] and a convergence to a value b = 2.865 was found

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J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

unsafe; this makes a total of 196 samples. Therefore, the probability of failure is

6000

^ f 10 186 0:00196;
P
100000

4000

this results differs in 6% from the result provided by FORM and coincides with the one obtained by means of Monte Carlo simulation,
inasmuch as all of the failure samples of the simulation were correctly identied. The coefcient of variation of the estimate (23),
according to Eq. (17), is 0.07, which is lower than the maximum
allowable value 0.10.

2000

y, mm

23

0
2000
4000

4.2. An nonlinear deection problem

6000

0.8 0.6 0.4 0.2

0.2

0.4

0.6

0.8

1
4

x, mm

x 10

Fig. 11. Layout of the dome analyzed in Section 4.1.

after 5 iterations. This means that the FORM estimate of the failure
probability is

^ f;FORM Ub 0:00208

P

22

so that, for an allowable coefcient of variation of 0.1, the minimum

number of samples for feeding the plot is 47,834, according to Eq.
(17). On this basis a matrix with N = 100,000 random realizations
of standard Gaussian numbers for all the 38 variables was generated, their corresponding mapped points (v1, v2) were calculated
using Eqs. (5) and (6) and the plot of samples displayed in Fig. 12
was derived. Once the algorithm was applied, only 20 samples
had to be evaluated. Fig. 12 shows as well the curves corresponding
to kmin = 0.0005808 and kmax = 0.0003821. The samples above kmax
were assumed to be unsafe.
The total number of failure samples are, hence, 10 found by
evaluating g(u) for all 20 samples whose image lies in the sector
comprised within the lines kmin and kmax plus the 186 samples
above the line corresponding to kmax, which are assumed to be

Consider an elastic column of length L, Young modulus E and

inertia I that is connected to its base by a nonlinear
p rotational
spring with a momentrotation relation: Mh u h. The bar is
subject on its top to an horizontal load H and a vertical load P as
shown in Fig. 13. The horizontal displacement of the top of the
bar is given by (see [34, p. 230]):

3
r
pP !2
tan2
L
EI
7
u2
7
7
7
7
5

6
u2 1  1  4HEI
r
r
H 6
P
P
6
q
L
L
D  3 6tan
EI
EI
EI EIP 2 6
4HEI tan EIP L
4

24
Suppose now that the probabilistic description of the variables involved in this problem is as follows: the horizontal H and a vertical
P loads follow an extreme value distribution

f x; l; r

exp

x  l

 exp

x  l

with location parameters l = 5000 N and l = 7000 N and scale

parameters r = 500 N and r = 500 N respectively. On the other
hand, the length of the bar L, its Young modulus E and u follow a
lognormal distribution with means 4 m, 200 GPa and 80 GN m/rad
and coefcients of variation of 0.05, 0.05 and 0.1 respectively. Finally the inertia follows a Weibull distribution

0.6

0.4

0.2

0.2

safe samples
failure samples
=0
= 0.00010083

0.4

= 0.00038213
= 0.0002272
= 0.0005808

0.6
4

Fig. 12. Unclassied samples for the dome problem.

25

Fig. 13. Bar considered in Section 4.2.

J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

  b 
x
b
I0;1 x
f x; l; r ba xb1 exp 
a

x 10

26

with parameters a = 9  106 and b = 100.

The bar is said to fail when the displacement of the tip of the bar
is larger than 10 cm.
The application of the FORM algorithm after 10 iterations renders the design point:

uH 0:785; 0:0369; 2:7796; 0:9372; 0; 0:2348;

the corresponding HasoferLind reliability index is b = 3.0459 and
the FORM estimate of the failure probability is 1.1600  103.
According to Eq. (18), 86105 samples are required. In this case we
set N = 100,000. The six dimensional points are mapped into the
(v1,v2) representation as shown in Fig. 14.
Fig. 15 shows the progression of the failure probability with the
number of evaluated samples. It can be seen that with the initial 20
samples an estimation error of 8% was achieved. With the evaluation of 24 and 30 samples the algorithm reaches a probability of
failure whose error is respectively within 5% and 2% of the probability of failure that was calculated using Monte Carlo. Note that
with 39 samples the results of the algorithm coincide with that
^ f 1:04  103 . The algorithm stopped when
of Monte Carlo P
111 samples were evaluated.

1.12
1.1

1.05

probability of failure

102

1.08

1.02

1.06
1.04
1.02

0.98

0.95
0.98
0

20

40

60

80

100

120

number of evaluations
Fig. 15. Evolution of the probability of failure with the number of evaluations of
g(x) for the example considered in Section 4.2.

4.3. A conical shell

The nal example concerns a conical shell structure used in
space vehicles [35]. It is illustrated in Fig. 16. The limit state function for buckling reads

gE; t; a; q; M; P 1 

p 

31  l2 P
M

pEt2 cos2 a 2c gq

where E is the modulus of elasticity, l = 0.3 the Poisson modulus, t

the shell thickness, P the axial compressive load, M the exural moments and the variables a and q are dened in the Figure. On the
other hand g, c are empirical parameters with values
g = 0.41,c = 0.33.

Fig. 16. Conic shell subject to a compression load and a exural moment analyzed
in Section 4.3.

Table 1
Conical shell. Probability distributions of the basic variables.

safe samples
failure samples

=0
= 0.02589
= 0.060052
= 0.0029782
= 0.019785

0.9

0.8

Variable
E
t

a
q
M
P

Distribution
Normal
Normal
Normal
Normal
Normal
Normal

Mean

Coefcient of variation
4

7  10 MPa
0.0025 m
0.524 rad
0.9 m
80,000 N m
70,000 N

0.05
0.05
0.02
0.025
0.08
0.08

0.7

The random variables are characterized by the parameters that

appear in Table 1. The application of the FORM algorithm proposed
by [8] yields the following design point in the standard u-space:

0.6

0.5

uH 1:785; 4:06; 0:401; 0:576; 1:522; 0:735

3

3.5

4.5

5.5

Fig. 14. (v1, v2) representation for the example considered in Section 4.2. In this plot
it is possible to see Eq. (15) for different values of k. Observe that the surface with
k = 0 provides a good, although not perfect, separation between the safe and the
failure samples. The dashed lines are the ones corresponding to kmin (red) and kmax
(blue) when the algorithm stopped at 111 evaluations of g(x); the thin lines
correspond to the internal division of the pool of points. (For interpretation of the
references to colour in this gure legend, the reader is referred to the web version of
this article.)

the corresponding HasoferLind reliability index is b = 4.798 and

the FORM estimate of the failure probability 8.0129  107. Since
this estimate is very low, the minimum number of samples for
obtaining a reduced coefcient of variation calculated by Eq. (18)
would be very large (1.25  108).
In cases like this, characterized by a small FORM estimate of the
failure probability as well as by a low dimensionality, it is practical
to have resort to conditional probabilities, which constitute a powerful means for reducing the computational cost of Simple Monte

J.E. Hurtado, D.A. Alvarez / Computers and Structures 117 (2013) 95104

Carlo simulation, as in the Subset Simulation [36] and Radial-based

Importance Sampling methods [37,38]. In these latter, the failure
probability computed in the standard Normal space u is exactly given by

Pf Pfjx Px

27

Here Pfjx is the probability of failure given that the norm of variable
u is greater than x, where x is the radius of any hypersphere lying
entirely in the safe domain:

Pfjx Pgu 6 0 j kuk > x

28

This term is estimated by Monte Carlo simulation with samples lying strictly beyond the hypersphere of radius x. On the other hand,
the second factor in Eq. (27) is given by

Px Pkuk > x 1  v2 x2 ; d
2

29

where v (x , d) is the chi-square distribution calculated at x with

d degrees of freedom.
Evidently, in applying this procedure the value of x must be
lower than b for assuring that all failure samples will be identied
by the proposed algorithm. On the other hand, the coefcient of
variation in Eq. (17) should be computed over the estimate of Pfjx,
because it is the factor evaluated by Monte Carlo simulation. Thus,
the number of samples for building the plot was obtained as

1  P^fjx
N > 100
98; 562
^ fjx
P
^ fjx 8:01291027 0:001. Thus, the plot was created with
because P
1v2 4:798 ;6
N = 100,000 standard Gaussian samples generated beyond a hypersphere of radius x = 4.5 < b. Therefore, Px = 0.0025. The results of
the computation are shown in Fig. 17. The number of function evaluations is 22, which is a very small number indeed. The total number of failure samples is composed by 22 found in the selected
sector plus 15 above the kmax = 0.003364 line. The failure probability estimate is, therefore, 3.7  104  0.0025 = 9.2477  107,
which coincides with the Monte Carlo result, because all failure
samples were correctly detected once again.
1
0.8
0.6
0.4
0.2
0
0.2

safe samples
failure samples

0.4

=0

0.6

= 0.03364

= 0.0041885
= 0.01689

0.8

= 0.028586

1
4.5

5.5

6.5

Fig. 17. Results of the application of the proposed approach to the shell problem
analyzed in Section 4.3. The dashed lines are the ones corresponding to kmin (red)
and kmax (blue) when the algorithm stopped at 22 evaluations of g(x); the thin lines
correspond to the internal division of the pool of points. (For interpretation of the
references to colour in this gure legend, the reader is referred to the web version of
this article.)

103

5. Conclusions
A method for structural reliability analysis has been presented.
The method is intended to improve the estimates given by the
First-Order Reliability Method (FORM), not only because it is the
most popular method in this eld but, more importantly, because
the design point vector possesses signicant clustering properties.
They allow visual discrimination of the safe and failure classes of
Monte Carlo samples in a bi-dimensional plot constituted by two
nonlinear features extracted from the realizations of the input random variables. In addition the plot has also a standard form in
which the failure samples naturally accommodate in its upperright sector. This standard enormously facilitates the selection of
the highly relevant samples for reliability analysis from the plot,
that also proves to be very robust with respect to the dimensionality of the problem. An algorithm for computing the failure probability based on the second-order expansion of the limit state
function was proposed. Its application with some practical structural cases demonstrates the high accuracy, low computational
cost and practical appeal of the method, as it allows visualization
of the reliability analysis as a whole.
Acknowledgement
Financial support for the realization of the present research has
been received from the Universidad Nacional de Colombia. The
support is graciously acknowledged.
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