Original Article

Proc IMechE Part O:

J Risk and Reliability
227(2) 109–118
Modeling multivariate distributions Ó IMechE 2013
Reprints and permissions:
using Monte Carlo simulation for sagepub.co.uk/journalsPermissions.nav
DOI: 10.1177/1748006X13476821

structural reliability analysis with pio.sagepub.com

complex performance function

Dian-Qing Li1, Shui-Hua Jiang1, Shuai-Bing Wu1, Chuang-Bing Zhou1 and

Li-Min Zhang2

Abstract
The simulation of multivariate distributions has not been investigated extensively. This article aims to propose Monte
Carlo simulation (MCS)-based procedures for modeling the joint probability distributions and estimating the probabilities
of failure of complex performance functions. Two approximate methods, namely method P and method S, often used to
construct multivariate distributions with given marginal distributions and covariance, are introduced. The MCS-based
procedures are proposed to simulate the theoretical multivariate distributions or approximate multivariate distributions
constructed by methods P and S, which are further used to compute the probabilities of failure of complex performance
functions. Four illustrative examples with known theoretical joint probability distributions are investigated to examine
the accuracy of the proposed procedures in modeling the multivariate distributions and estimating the probabilities of
failure. The results indicate that the bivariate distributions can be effectively simulated by the proposed procedures,
which can evaluate the reliability of complex performance functions efficiently. These provide a useful tool for solving
the reliability problems with complex performance functions involving correlated random variables under incomplete
probability information. The performance of the simulation procedures associated with the two approximate methods
highly depends on the level of probability of failure, the form of performance function, and the degree of correlation
between variables.

Keywords
Joint probability distribution functions, Pearson correlation coefficient, Spearman correlation coefficient, Monte Carlo
simulation, probability of failure

Date received: 24 October 2012; accepted: 4 January 2013

Introduction variables is a challenging problem.3,4 On the other

It is well known that structural reliability is often
expressed in terms of probability of failure, which is
given by multiple integrals over the failure domain.
Theoretically, when the joint cumulative distribution
function (CDF) or joint probability density function
(PDF) of several random variables involved in the
reliability analysis is known, the direct integration
method can be employed to calculate the probability of
failure.1,2 In engineering practice, however, the joint
CDF or joint PDF of correlated random variables is
often unknown owing to limited data. In most practical
applications, only the marginal PDFs and the covar-
iance matrix are available. Based on such limited infor-
mation, the modeling of joint PDF of correlated
hand, when the failure domain underlying a perfor-
mance function is complex, the direct integration
method for calculating the probability of failure may
not be performed even if the joint PDF of variables is
1
State Key Laboratory of Water Resources and Hydropower Engineering
Science, Wuhan University, Wuhan, China
2
Department of Civil and Environmental Engineering, The Hong Kong
University of Science and Technology, Kowloon, Hong Kong
Corresponding author:
Dian-Qing Li, State Key Laboratory of Water Resources and
Hydropower Engineering Science, Key Laboratory of Rock Mechanics in
Hydraulic Structural Engineering (Ministry of Education), Wuhan
University, 8 Donghu South Road, Wuhan 430072, China.
Email: dianqing@whu.edu.cn
110
known. This is because evaluating the multiple integrals
is very difficult in most cases.5,6 Therefore, the methods
to calculate the probabilities of failure for complex per-
formance functions involving correlated variables
under incomplete probability information still need to
be explored.
In current practice, two common approximate mul-
tivariate construction methods are used for modeling
the joint probability distribution.7,8 One is to match the
Pearson correlation in Nelson,9 which is referred to as
approximate method P hereafter. The other is to match
the Spearman correlation in Nelson,9 which is referred
to as approximate method S hereafter. As pointed out
by Lebrun and Dutfoy10 and Li et al.,8 method P is
essentially based on the Nataf distribution model.11
The joint probability distribution model obtained from
method P is often used for structural reliability analysis
under incomplete probability information.12–15 The
approximate method S can also be used to model the
joint probability distribution of random variables.3,16
In comparison with method P, there is limited research
in the literature on structural reliability analysis associ-
ated with method S. For both approximate methods,
Li et al.8 studied the reliability of a very simple perfor-
mance function where the direct integration method is
adopted to calculate the probability of failure.
However, as mentioned previously, the probability of
failure for a complex performance function involving
correlated variables under incomplete probability infor-
mation may not be evaluated by the direct integration
method. Additionally, although these two approximate
methods are widely used for modeling the multivariate
distributions and calculating the probability of failure,
the accuracy of these two methods used to estimate the
probability of failure has not been studied extensively.
The objective of this study is to propose Monte Carlo
simulation (MCS)-based procedures for simulating the
joint probability distributions and estimating the prob-
abilities of failure of complex performance functions. To
achieve this goal, this article is organized as follows. In
‘Two approximate methods for constructing multivariate
distributions’, method P and method S are introduced. In
‘MCS-based procedures for simulating multivariate dis-
tributions and probabilities of failure’, the MCS-based
procedures for simulating the physical samples associated
with the exact method and two approximate methods are
proposed. The procedures for simulating the probability
of failure are also presented in this section. In ‘Results
and discussion’, four illustrative examples with known
theoretical joint probability distributions are investigated
to examine the accuracy of the proposed procedures in
estimating the probability of failure.
Two approximate methods for
constructing multivariate distributions
In the following discussion, four types of distributions,
namely, independent standard uniform variables,
Proc IMechE Part O: J Risk and Reliability 227(2)
independent standard normal variables, correlated nor-
mal variables, and correlated non-normal variables will
be referred. To avoid confusion, symbols U, Z, X, and
Y denote independent standard uniform variables,
independent standard normal variables, correlated nor-
mal variables, and correlated non-normal variables,
respectively. These definitions apply throughout the
entire article unless stated otherwise.
There are two widely used approximate multivariate
distributions construction methods.8,9 They are approx-
imate because the multivariate distributions are con-
structed based on marginal PDFs and incomplete
correlation information. The first approximation
method is to match the Pearson correlation. We call
this ‘‘approximate method P’’ for Pearson. The second
approximation method is to match the Spearman cor-
relation. We call this ‘‘approximate method S’’ for
Spearman. Multivariate correlated non-normal distri-
butions, particularly with three or more components,
are uncommon compared with the bivariate distribu-
tions. For completeness, the construction of bivariate
distributions using the two approximate methods is
presented below.
Approximate method P
This approximate method is essentially based on the
Nataf transformation.11 Consider the following iso-
probabilistic transformation6

F(xi ) = FYi (yi )
i = 1, 2 ð1Þ
xi = F1 ½FYi (yi )
in which F() is the standard normal CDF; F21() is
the inverse standard normal CDF; FYi (yi) is the CDF
of Yi. Thus, correlated non-normal variables can be
transformed into correlated standard normal variables
component by component. According to the Nataf dis-
tribution model, the approximate joint PDF of corre-
lated non-normal random variables Y1 and Y2, denoted
P
as f12 ðy1 , y2 ; rP, Y Þ, can be expressed as
 
f12 x1 , x2 ; rPP, X
fP12 ðy1 , y2 ; rP, Y Þ = f1 (y1 )f2 (y2 ) ð2Þ
f(x1 )f(x2 )
where f1(y1) and f2(y2) are the PDFs of Y1 and Y2,
respectively; f(x1) and f(x2) are the standard normal
PDFs of X1 and X2, respectively; f12 ðx1 , x2 ; rPP, X Þ is the
joint PDF of bivariate standard normal distribution
with the Pearson correlation coefficient of rPP, X between
X1 and X2, which can be obtained from the following
integral relation
ð +‘ ð +‘   
y1  m1 y2  m 2
rP, Y =
‘ ‘ s1 s2
 
f12 x1 , x2 ; rPP, X
f1 (y1 )f2 (y2 ) dy1 dy2 ð3Þ
f(x1 )f(x2 )
Li et al. 111

For given marginal distributions of Y1 and Y2, and the Suppose a set of n random variables Y=(Y1, Y2, .,
Pearson correlation coefficient rP,Y between Y1 and Y2, Yn) with a joint CDF of FY(Y). A set of statistically
the rPP, X in equation (3) can be directly solved by the independent standard uniform variables U=(U1, U2,
two-dimensional Gaussian-Hermite integral method ., Un) are derived from the following equation
(see Li et al14 for more detailed information). 8
> u1 = F1 (y1 )
>
>
< u2 = F2j1 (y2 jy1 )
Approximate method S .. .. ð8Þ
>
> . .
>
:
The second approximation idea is to match the un = Fnj1, , n1 (yn jy1 ,    , yn1 )
Spearman correlation. Let rS,X be the Spearman corre-
lation coefficient between the transformed variables X1 where u1, u2, , un are samples from the U space;
and X2, which is defined as Fnj1, , n1 (yn jy1 ,    , yn1 ) is the conditional CDF of
Yn given Y1=y1, Y2=y2, ., Yn-1=yn-1. Inverting the
rS, X = rP ðF(x1 ), F(x2 )Þ ð4Þ above equations successively, the desired correlated
Based on equations (1) and (4), we have non-normal variables Y can be obtained as
8
rS, Y = rS, X ð5Þ >
> y1 = F1 1 (u1 )
>
>
< y2 = F1 2j1 (u2 jy1 )
The approximate joint PDF of correlated non-normal . .. ð9Þ
random variables Y1 and Y2, denoted as >
> .. .
>
>
fS12 ðy1 , y2 ; rP, Y Þ, can be expressed as7,8 : y = F1
n nj1, , n1 (un jy1 ,    , yn1 )
 
f12 x1 , x2 ; rSP, X in which F21() is the inverse function of F().
fS12 ðy1 , y2 ; rS, Y Þ = f1 (y1 )f2 (y2 ) ð6Þ Theoretically, the correlated non-normal variables Y
f(x1 )f(x2 ) can be obtained from the independent standard uni-
 
where f12 x1 , x2 ; rSP, X is the joint PDF of bivariate form variables U through equations (8) and (9).
standard normal distribution with the Pearson correla- However, a practical difficulty is that, unless the joint
tion coefficient of rSP, X between X1 and X2, which can CDF of Y is simple in form, the inverse relations
be expressed in terms of the Spearman correlation coef- shown in equation (9) may only be obtained numeri-
ficient rS, X as9 cally. When the numbers of samples are very large, the
p  solution of equation (9) could be time-consuming. In
rSP, X = 2 sin rS, X ð7Þ addition, for multivariate distribution models, it is very
6 difficult to solve equation (9) directly. These potential
It is evident from equations (2) and (6) that the only shortcomings can be removed through approximate
difference in joint PDFs between method P and method methods P and S in a subtle way, which are presented
S is the Pearson correlation coefficient between the as below.
transformed variables X1 and X2, which are determined When the joint probability distribution of random
by equation (3) and equation (7) for methods P and S, variables Y is constructed by method P (see equation
respectively. (2)), equation (9) can be further simplified as
8
< Z = F1 (U)
MCS-based procedures for simulating X = LP Z ð10Þ
:
multivariate distributions and probabilities yi = F1
Yi ðF(xi )Þ
of failure where LP is the lower triangular matrix obtained from
Transformations of independent standard uniform the Cholesky decomposition for the Pearson correlation
variates to correlated non-normal variates matrix RPP, X = (rPP, X )n3n in which rPP, X is the Pearson
correlation coefficient in the X space obtained from
One objective of this article is to provide some closed- equation (3).
form benchmark examples of reliability analyses where Similarly, when the joint probability distribution of
the theoretical joint probability distributions are random variables Y is constructed by method S (see
known. Once the joint probability distributions are equation (6)), equation (9) can also be further simpli-
known theoretically, it is relatively straightforward to fied as
conduct simulations of bivariate distribution using the
8
Rosenblatt transformation.17 We call this analysis < Z = F1 (U)
based on complete joint probability information as the X = LS Z ð11Þ
‘‘exact method’’ in this study. For the exact method, :
yi = F1
Yi ðuui jRank(uui ) = Rank(xi )Þ
the correlated non-normal variables can be obtained
from the independent standard uniform variables as where LS is the lower triangular matrix obtained from
follows. the Cholesky decomposition for the Pearson correlation
112
matrix RSP, X = (rSP, X )n3n in which rSP, X is the Pearson
correlation coefficient in the X space obtained from
equation (7); Rank(uui ) = Rank(xi ) denotes that the
simulated samples ui from the U space are rearranged
as uui with the same rank as xi from the X space.
Simulation of correlated non-normal variates
Having presented the transformations of the indepen-
dent standard uniform variables to the correlated non-
normal variables associated with the three methods, the
next step is to simulate correlated non-normal variates
by the three methods because one of the primary appli-
cations of joint probability distributions is simulation.
The procedures for simulating the physical samples
from a specified multivariate distribution in the
MATLAB environment are presented below.
Simulation of multivariate distributions associated with exact
method
1. Simulate n independent standard uniform random
variables UN3n, in which N is the sample size. This
can be obtained using U=rand(N,n). The function
rand(‘state’,0) is used to fix the initial seed.
2. Substitute the simulated UN3n into equation (9).
Then the correlated non-normal samples YN3n are
obtained. In most cases, this may only be obtained
numerically where nonlinear equation solutions are
often involved.
Simulation of multivariate distributions associated with method
P and method S
1. Simulate n independent standard uniform random
variables UN3n, obtain successively ZN3n using
Z=norminv(U).
2. Calculate the Pearson correlation matrix
RPP, X = (rPP, X )n 3n from the known Pearson correla-
tion matrix RP, Y = (rP, Y )n 3n using equation (3);
or RSP, X = (rSP, X )n3n from the known Spearman cor-
relation matrix RS, X = (rS, X )n 3n using equation (7).
3. Perform the Cholesky decomposition for RPP, X or
RSP, X . The lower triangular matrix LP or LS are
obtained using LP=chol(RP)’ or LS=chol(RS)’.
4. Substitute the simulated ZN3n and LP into equa-
tion (10) or LS into equation (11). Then, the corre-
lated normal samples XN3n are obtained using X=
Z*LP’ or X= Z*LS’.
5. For method P, the correlated non-normal samples
YN3n are readily obtained using Y=X to Y
Convert (X, mean, std, par1, par2) where
‘‘XtoYConvert’’ is an user-defined function.
For method S, the rearranged samples UUN3n are
determined first from UN3n using [num,
index]=sort(X(N,n)), UU(index,n)=sort
(U(N,n)). Then, YN3n are obtained using
Y=XtoYConvert(norminv(UU),mean, std,
par1, par2).
Proc IMechE Part O: J Risk and Reliability 227(2)
Simulation of probabilities of failure
For engineers, the probability of failure may be of the
greatest interest. Let g(Y) be the performance function.
Since the physical samples YN3n from a given joint
probability distribution are obtained using the afore-
mentioned procedures as shown in ‘Simulation of cor-
related non-normal variates’, the probability of failure
for a specified g(Y) can be readily evaluated by substi-
tuting the physical samples into g(Y). It is well known
that the accuracy of MCS highly depends on the num-
ber of samples. The required number of samples N
should satisfy the following relation6
1  pf
N5 ð12Þ
pf 3COV2pf
where pf is the probability of failure associated with
g(Y); COVpf is the coefficient of variation of pf. In this
study, the number of samples is set as 106 with a con-
sideration of accuracy and efficiency. Thus, for com-
monly used values of COVpf =10%, the accuracy is
adequate for pf exceeding 10–4.
Results and discussion
Four examples are presented below to study the validity
of the MCS-based procedures for simulating the joint
probability distributions and estimating the probabil-
ities of failure associated with complex performance
functions involving correlated variables.
Bivariate Frank distribution
In the subsequent three examples, the bivariate Frank
distribution is used to examine the accuracy of the pro-
posed procedures in estimating the probabilities of fail-
ure. Its theoretical joint CDF is given by9,18
(  uð1ey1 Þ  )
y
1 e  1 euð1e 2 Þ  1
F12 (y1 , y2 ) =  ln 1 +
u eu  1
y1 , y2 50 ð13Þ
where –N4 u 4 +N and u is not equal to zero. The
corresponding joint PDF is
y1
ey2 Þ
uðeu  1Þey1 y2 uð2e
f12 (y1 , y2 ) = y1 Þ y2 Þ 2
½ðeu  1Þ + ðeuð1e  1Þðeuð1e  1 Þ
y1 , y2 50 ð14Þ
The marginal CDFs of Y1 and Y2 are derived as

F1 (y1 ) = 1  ey1
ð15Þ
F2 (y2 ) = 1  ey2
Based on equation (15), one can readily see that the
marginal distributions of Y1 and Y2 are standard expo-
nential distributions. Both means and standard devia-
tions are equal to 1.0.
Having obtained the theoretical joint CDF and PDF
of Y1 and Y2, the conditional probability distributions
Li et al. 113

can be derived easily. The conditional CDF of Y1 given

Y2 = y2 is
1 ∂F12 ðy1 , y2 Þ
F1j2 (y1 jy2 ) =
f2 (y2 ) ∂y2

uð1ey2 Þ uð1ey1 Þ

e e 1
= u y y
ðe  1Þ + ðeuð1e 1 Þ  1Þðeuð1e 2 Þ  1Þ
ð16Þ
and the conditional CDF of Y2 given Y1 = y1 is
1 ∂F12 ðy1 , y2 Þ
F2j1 (y2 jy1 ) =
f1 (y1 ) ∂y1
y y

euð1e 1 Þ euð1e 2 Þ  1
= u y y
ðe  1Þ + ðeuð1e 1 Þ  1Þðeuð1e 2 Þ  1Þ
ð17Þ
Three types of Pearson correlation coefficients in X
space
Three types of Pearson correlation coefficients in X
space are involved in computing the probability of fail-
ure. The formulae for calculating these correlation coef-
ficients are presented below.
For the exact method, the Pearson correlation coeffi-
cient between the transformed standard normal random
variables X1 and X2, rEP, X , is given by
Figure 1. Comparison among Pearson correlation coefficients
between correlated normal variables X1 and X2 obtained from
three different methods.
For method S, the Pearson correlation coefficient
rSP, X in the X space can be calculated using equation (7).
For the considered bivariate Frank distribution, the
Spearman correlation coefficient in equation (7) can be
derived as follows
ð1 ð1
rS, X = rS, Y = 12 C(u1 , u2 )du1 du2  3
0 0
ð +‘ ð +‘  ð ð 
12 2 u t2 1 u t
rEP, X = x1 x2 f12 (x1 , x2 )dx1 dx2 ð18Þ =1+ dt  dt ð23Þ
‘ ‘
u u2 0 e t  1 u 0 et  1

According to the isoprobabilistic transformation shown in which C(u1, u2) is the Frank copula function.9,18
in equation (1), f12(x1, x2) can be derived as The above three Pearson correlation coefficients in
the X space are shown in Figure 1. It can be observed
f(x1 ) f(x2 ) that the Pearson correlation coefficients between X1
f12 (x1 , x2 ) = f12 (y1 , y2 ) ð19Þ
f1 (y1 ) f2 (y2 ) and X2 using the three methods are significantly dif-
Based on the following equation ferent from the Pearson correlation coefficients
8 between Y1 and Y2, especially when variables Y1 and
< dx1 = f1 (y1 ) dy1
> Y2 are negatively correlated. However, they are often
f(x1 ) assumed to be equal in structural reliability analysis
ð20Þ
: dx2 = f2 (y2 ) dy2
> without a proper validation. Furthermore, rP,Y can-
f(x2 )
not be close to –1 and 1 owing to the limitation that
Equation (18) can be further expressed as the Pearson correlation coefficients in the X space are
ð+‘ ð +‘ restricted to [–1, 1]. This is a potential pitfall underly-
E
rP, X = F1 ðFðy1 ÞÞF1 ðFðy2 ÞÞf12 (y1 , y2 )dy1 dy2 ing methods P and S. In addition, there exists a small
0 0 difference between the Pearson correlation coeffi-
ð21Þ cients in the X space using the two approximate meth-
ods and the exact solutions, especially for negatively
For method P, the Pearson correlation coefficient correlated Y1 and Y2. For instance, the maximum dif-
rPP, X in the X space can be calculated using equation (3). ference in Pearson correlation coefficients between
According to the definition in Nelson,9 the Pearson cor- two approximate methods and the exact solutions is
relation coefficient between Y1 and Y2 in equation (3) only 0.07.
can be derived as
ð +‘ ð +‘
Cov(y1 , y2 ) Example 1. A simple performance function is adopted
rP, Y = = (y1  1)(y2  1)
s1 s2 0 0
for benchmark purposes because the direct integration
method proposed by Li et al.8 can be employed to cal-
f12 (y1 , y2 )dy1 dy2 ð22Þ
culate the probability of failure in this case. Its perfor-
in which f12(y1, y2) is shown in equation (14). mance function is given by
114 Proc IMechE Part O: J Risk and Reliability 227(2)

g(Y) = y1 + y2  0:7 ð24Þ the proposed procedures. Its performance function is

given by
Applying the aforementioned procedures associated
with the three methods, the probabilities of failure 1=3 2=3
g(Y) = C1  jy1 j1=2 y2  y1  jy2 j3=4 + exp (y1  y2 )
can be obtained by simulation. For the exact method,
substituting equations (15) and (17) into equation (8) ð27Þ
leads to where C1 is a constant. The reliability level can be var-
8 ied when C1 takes different values. It is evident that the
< u1 = 1  ey1

y1 y2
euð1e Þ euð1e Þ 1 ð25Þ probability of failure associated with equation (27) can-
: u2 = y1

y2

not be calculated by the direct integration method. In
ðeu 1Þ + euð1e Þ 1 euð1e Þ 1
this situation, the proposed procedures can be used to
Fortunately, one can obtain the following explicit calculate the probability of failure.
relations based on equation (25) Figure 2 compares the probabilities of failure on log
8 scale associated with the three methods for various val-
< y1 = lnð1  u1 Þ   ues of C1 in the performance function (equation (27)).
1 u2 ðeu 1Þ ð26Þ The difference in the probabilities of failure between
: y2 = ln 1 + u ln 1 + euu1 u2 ðeuu1 1Þ
the two approximate methods and the exact method
increases as the probability of failure decreases. When
It is evident from equation (26) that the samples (y1,
they are negatively correlated, both approximate meth-
y2) can be readily determined based on the samples (u1,
ods underestimate the probability of failure, which is
u2). Then, substituting (y1, y2) into the considered per-
unconservative for structural safety assessment. When
formance function g(Y) and calculating the probability
Y1 and Y2 are positively correlated, both methods P
of g(Y) \ 0, the probability of failure can be easily
and S overestimate the probability of failure, which
determined. Similarly, for methods P and S, the prob-
means they are conservative for structural safety
abilities of failure can also be obtained using the proce-
assessment.
dures shown in ‘Simulation of correlated non-normal
Figure 3 shows the probabilities of failure on log
variates’ and ‘Simulation of probabilities of failure’.
scale for various Pearson correlation coefficients
Table 1 shows the probabilities of failure using the pro-
between Y1 and Y2. The constant C1 is assumed to be
posed procedures and the direct integration method.
5.0. Note that the difference in the probabilities of fail-
Note that all the relative errors in the probability of
ure from the two approximate methods and the exact
failure are smaller than 5%. The small errors may be
method is significant for a strong negative correlation
owing to the limited number of samples. Such results
between Y1 and Y2. In addition, there is a small differ-
indicate that the proposed procedures can produce suf-
ence in the probabilities of failure between method P
ficiently accurate reliability results.
and method S. For the case of rP,Y = –0.60, the prob-
abilities of failure associated with the exact method,
Example 2. Unlike Example 1, a complex performance method P, and method S are 2.11E-03, 2.54 E-04, and
function is employed herein to examine the validity of 2.52 E-04, respectively.

Table 1. Comparison between probabilities of failure using MCS-based procedures and direct integration method.

rP,Y MCS-based procedures Direct integration method Relative error (%)

EM PM SM EM PM SM EM PM SM

–0.6 1.01E-3 1.45E-3 5.20E-4 9.74E-4 1.41E-3 4.97E-4 3.40 3.24 4.53
–0.5 0.022 0.030 0.024 0.022 0.030 0.024 0.37 0.68 1.22
–0.4 0.052 0.063 0.056 0.052 0.063 0.055 0.26 0.61 0.97
–0.3 0.081 0.091 0.085 0.080 0.091 0.085 0.37 0.63 0.56
–0.2 0.108 0.116 0.111 0.107 0.115 0.110 0.56 0.52 0.59
–0.1 0.133 0.137 0.135 0.132 0.137 0.134 0.50 0.50 0.51
0 0.156 0.156 0.155 0.156 0.156 0.154 0.44 0.44 0.47
0.1 0.179 0.174 0.177 0.178 0.173 0.176 0.38 0.40 0.33
0.2 0.200 0.190 0.196 0.199 0.190 0.195 0.33 0.36 0.33
0.3 0.220 0.206 0.214 0.219 0.205 0.213 0.36 0.32 0.31
0.4 0.239 0.220 0.231 0.238 0.220 0.230 0.25 0.31 0.25
0.5 0.256 0.234 0.247 0.255 0.233 0.246 0.35 0.30 0.27
0.6 0.272 0.248 0.262 0.271 0.247 0.261 0.32 0.34 0.28
0.7 0.284 0.260 0.275 0.283 0.259 0.274 0.33 0.33 0.26
0.8 0.292 0.273 0.286 0.291 0.272 0.285 0.28 0.34 0.22

Note: EM, PM, and SM represent the exact method, method P, and method S, respectively.
Li et al.
Figure 2. Comparison among probabilities of failure obtained from three methods for various Pearson correlation coefficients
between correlated non-normal variables Y1 and Y2: (a) rP,Y=–0.6; (b) rP,Y=–0.2; (c) rP,Y=0.2; (d) rP,Y=0.8 (Example 2).
Figure 3. Effect of Pearson correlation coefficients on
probabilities of failure obtained from three methods (Example 2).
Example 3. To further validate the proposed proce-
dures, the following performance function discussed in
Gavin and Yau19 is used
115
g(Y) = C2 + 0:16ðy1  1Þ3  y2  0:04 cosðy1 y2 Þ
ð28Þ
where C2 is a constant. The reliability level can also be
varied when C2 takes different values. Again, the prob-
ability of failure associated with the complex perfor-
mance function (equation (28)) cannot be calculated by
the direct integration method, which can be evaluated
by the proposed procedures.
Figure 4 compares the probabilities of failure on log
scale associated with the three methods for various val-
ues of C2 in the performance function (equation (28)).
Similar to Example 2, when Y1 and Y2 are positively
correlated, the difference in the probabilities of failure
between the two approximate methods and the exact
method increases as the probability of failure decreases.
Unlike Example 2, the probabilities of failure from the
three methods are almost the same for negatively corre-
lated Y1 and Y2. For positively correlated variables, the
two approximate methods underestimate the probabil-
ity of failure, which is unconservative for structural
safety assessment.
116
Figure 4. Comparison among probabilities of failure obtained from three methods for various Pearson correlation coefficients
between correlated non-normal variables Y1 and Y2: (a) rP,Y=–0.6; (b) rP,Y=–0.2; (c) rP,Y=0.2; (d) rP,Y=0.8 (Example 3).
Figure 5. Effect of Pearson correlation coefficients on
probabilities of failure obtained from three methods (Example 3).
Similarly, the probabilities of failure on log scale for
various Pearson correlation coefficients between Y1 and
Y2 are plotted in Figure 5. The constant C2 is assumed
Proc IMechE Part O: J Risk and Reliability 227(2)
to be 4.0. Compared with Example 2, the difference in
the probabilities of failure between the two approxi-
mate methods and the exact method increases as the
positive correlation between Y1 and Y2 becomes stron-
ger. Furthermore, the probabilities of failure associated
with method P are significantly different from those
associated with method S for a strong positive correla-
tion between Y1 and Y2. For rP,Y = 0.80, the probabil-
ities of failure associated with the exact method,
method P, and method S are 7.33 E-03, 2.88 E-03, and
3.29 E-04, respectively.
Example 4. Truss structure: unlike the previous three
examples only involving two random variables, the
reliability of a truss structure with ten non-normal ran-
dom variables studied in Kim and Na20 and Blatman
and Sudret21 is investigated to examine the perfor-
mance of the proposed procedures. The truss structure
with 23 members shown in Figure 6 is used herein. The
statistics of the basic random variables are summarized
in Table 2. Based on studies in Bucher and Bourgund22
Li et al. 117

Figure 6. The calculation diagram of truss structure.

Table 2. Statistical parameters of basic random variables.

Random variables Distribution type Mean Standard deviation Coefficient of variation

E1 of horizontal member (kN/m2) Lognormal 2.13108 2.13107 0.10

A1 of horizontal member (m2) Lognormal 2.0310-3 2.0310-4 0.10
E2 of diagonal member (kN/m2) Lognormal 2.13108 2.13107 0.10
A2 of diagonal member (m2) Lognormal 1.0310-3 1.0310-4 0.10
F1~F6 (kN) Gumbel Max 50 7.5 0.15

and Guan and Melchers,23 the loadings F1 and F2, F3

and F4, and F5 and F6, are assumed to be positively
correlated with each other. For illustrative purposes, it
is further assumed that the correlation coefficients
between the loadings, rF1,F2, rF3,F4, and rF5,F6, are the
same. The unsatisfactory performance underlying this
problem is defined as the vertical displacement at the
midpoint M of the truss exceeding the maximum allow-
able displacement vmax, which is taken as vmax=
0.11 m.20,21 Thus the performance function of the con-
sidered truss structure is expressed as

G(X, vmax ) = vmax  D(X) ð29Þ

where X is a random vector representing the input ran-

dom variables; D(X) is the vertical displacement of the
midpoint M, which is calculated by finite element anal-
Figure 7. Effect of Pearson correlation coefficients on
ysis. It is evident that the performance function shown probabilities of failure associated with three methods
in equation (29) cannot explicitly be expressed as a (Example 4).
function of input random variables, which cannot be
evaluated by the direct integration method as men-
multivariate construction methods appear to be the
tioned previously. However, the probability of failure
same. Furthermore, the difference in the probabilities
associated with this implicit and high dimensional rea-
of failure between two approximate methods and the
listic problem still can be evaluated by the proposed
exact method will approach its maximum value for an
procedures. To produce sufficiently accurate reliability
intermediate Pearson correlation coefficient. These
results, a sample size of 53105 is adopted in this
results indicate that the proposed procedures can also
case. In the meantime, the Gumbel distribution8,9,18 is
evaluate the reliability of realistic problems involving a
used to examine the performance of the proposed
relatively large number of random variables.
procedures.
Figure 7 shows the probabilities of failure for vari-
ous Pearson correlation coefficients between the load-
Conclusions
ings. It can be observed that the probability of failure
associated with method P is slightly different from that Two multivariate construction methods, namely, the
associated with method S, but the former is closer to approximate method P and the approximate method S,
the exact method than the latter. Both methods P and are introduced. The MCS-based procedures are pro-
S underestimate the probability of failure. When the posed for simulating the joint probability distributions
loadings are completely independent or fully correlated, and estimating the probabilities of failure of complex
the probabilities of failure associated with three performance functions. Four examples with theoretical
118
joint probability distributions are presented to examine
the accuracy of the proposed procedures in computing
the probabilities of failure for complex performance
functions. Several conclusions can be drawn from this
study.
1. The physical samples underlying a joint probability
distribution can effectively be simulated by the
MCS-based procedures, which can further produce
reliability results efficiently and accurately. They
provide a useful tool for solving the reliability
problems with complex performance functions
involving correlated variables.
2. The simulation procedures associated with the two
approximate methods are significantly simpler
than the exact method, especially for complex joint
probability distribution functions of random vari-
ables or multivariate distributions. It is recom-
mended that when the theoretical joint probability
distribution of random variables is unknown, the
simulation procedures associated with the two
approximate methods be used for reliability analy-
sis involving correlated variables.
3. The Pearson correlation coefficients in the corre-
lated standard normal X space using the three
methods could be significantly different from those
in the physical Y space for the considered bivariate
Frank distribution. Such difference should be kept
in mind in structural reliability analysis involving
correlated non-normal variables under incomplete
probability information.
4. The difference in the probabilities of failure among
the three methods highly depends on the level of
probability of failure, the form of performance
function, and the degree of correlation between
variables. Generally, this difference increases as the
probability of failure decreases. It should be noted
that when the probability of failure is very low, the
errors associated with the two approximate meth-
ods may be more than one order of magnitude.
Funding
This work was supported by the National Science Fund
for Distinguished Young Scholars [Project No.
51225903], the National Natural Science Foundation of
China [Project No. 51079112] and the Foundation for
the Author of National Excellent Doctoral Dissertation
of PR China [Project No. 2007B50].
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