STRUCTURAL RELIABILITY UNDER

COMBINED RANDOM LOAD SEQUENCES

RDDKER RKKWI’tZt and BERNDFWSLER~

Institut fiir Massivbau,Technical University of Munich, Munich, West Germany

(Received 14 November 1977; received for publication 8 March 1978)

Ahstraet-An algorithm for the calculation of structural reliability under combined loading is formulated. Loads or
any other actions upon structuresare modelkd as independentrandom sequences.The rekvant limit state criterion
is pointwise approximated by a tangent hyperplane. The combination of time-variant actions then reduces to the
calculation of the maximum of a sum of random variables which is facilitated through proper, discrete ap-
proximation of extreme value and other non-normal distribution functions by normal distributions.The iteration
algorithm searches for an approximation point on the limit state criterion where the probabiity content of the
failure domain limited by the tangent hyperpkne reaches its maximum. Any type of continuouslimit state criterion
and any distribution type for the loads can be dealt with. The method is illustrated for a section of a wall without
tensile strengthloaded by a bendingmoment and a normal force.

NOMENCLHIJtE in-time values. In the following the rigorous treatment of

f(.) probability density function
FL) probability distribution function
gu performance state function (if g(.) = 0 it is the limit state
function)
P# probability of occurrence of action i in time-interval ri
r, total possiblerepetition number during reference period of
action i
x. x random basic variable
Y. y standardizedrandom variable
:, z random state variable
tJ mean value
0 standard deviation
sensitivity factor
,pi; standard normal probability density function
Qt.) standardnormal probability distribution function
INTRODUCTION
First order reliability methods as defined in [II and
briefly outlined in a section to follow, have proved to be
efficient tools to substitute multidimensional integration
for the calculation of reliability measures, e.g. the failure
probability by simple algebraic operations. The accuracy
of these methods is in all but extreme cases sufficient for
engineering purposes. Parametric problems, e.g. the
combination of time-variant actions and deterioration or
fatigue problems, however, still require special treatment
and, generally, further simplifications. Among these
problems techniques for load combination deserve spe-
cial attention for the elaboration of probability based
structural codes[2].
Following an idea of Ferry Borges and Castanheta[3],
a first attempt within the first order reliability theory for
the combination of actions is due to Paloheimo[4].
Actions are modelled as independent random sequences.
Another simpler, less accurate and still relatively
laborous one has been investigated by Ditlevsen[S] and
others using the same loading model. The latter method
is a generalization of an earlier proposal of Turkstra[6].
The reliability is checked consecutively at all those
presumably independent points in time where one
contributing action obtains its maximum amplitude dur-
ing the anticipated life time of the structure, while the
other actions obtain their instantaneous, random point-
tDr Ing.. Research Associate.
*DipI.-Ing., Research Assistant.
489
the combination of independent random sequences
within the concept of the first order reliability method is
demonstrated.
THEslWnMrKMtnKL~AcrKms
Assume the following probabilistic model for actions
upon a structure or structural part (see [I] and Fig. 1):
An action is considered as one single action if this
action is stochastically independent in space of any other
assembly of forces or imposed deformations acting on
the structure.
For each action, the reference period T (generally, this
is taken to be the anticipated life-time of the structure),
is divided into r intervals of equal length 7, representing
the time in which the individual action is acting upon the
structure with a constant amplitude.
The occurrence or non-occurrence of the action in
each time interval corresponds to repeated independent
trials (Bernoulli trials), with probability p of occurrence.
Given that the action occurs the probability dis-
tribution of its amplitude is F(x).
Occurrence and amplitude of the actions are in-
dependent.
According to these assumptions the distribution
function, F-(x), of maximum amplitudes within any
time interval k. T is given by
k
Fmax(x)= bi(i; p, k) * F’(x) (1)
in which bi(i; p, k) is the probability of i occurrences,
each with individual probability p, in k intervals of length
T. Obviously, this probability is given by the binomial
probability function. Using the binomial .theorem,
expression (1) can be simplified to:
F-(x) = [ 1 - p . (1 - F(x))]‘. (2)
The foregoing model is an obvious generalization of the
model used by Paloheimo[4] with p = 1. It might be
called a discrete (in-time) Binomial-process.
FIILFFORDERREUAglL.lTYMElVlOIS
In first order reliability methods111 the problem of
finding the reliability of a given design situation is that of
490 R. RACKWITZand B. FIESSLER
Fig. I. Sample path of a Binomial-process.
finding the reliability index /3. It consists essentially of
transforming the set of random variables into uncor-
related, standardized gaussian variables and of searching
for the minimum distance /3 between the limit state
criterion expressed by the surface g( Y,, Y2,. . ., Y.) = 0
in the space of standardized coordinatest and its coor-
dinate origin.
For convex safe regions the reliability index /3 yields
two bounds for the failure probability
1 -O(B) < Pf .=cI- x”2(B2)
where a(.) is the standard normal integral and xnz(.) is
the $-distribution with n degrees of freedom (n cor-
responds to the dimension of the limit state criterion). In
general, the lower bound is a sufficiently accurate esti-
mate of the exact failure probability.
The point at which fi becomes minimal can be found
by an iteration process in which the limit state criterion
is consecutively approximated by a tangent hyperplane.
It is essential for the method to be described in the
following that this local linearization of the limit state
criterion can be made. Further details about the method
and an extensive guide through the literature may be
found in [ll.
APPLICATION TO RANDOM SEQUENCES
Assume n -k + 1 different actions having integer
repetition numbers fi and let them be ordered such that:
where n is the number of random variables Xi of the
design situation and k - 1 time-invariant random vari-
ables are involved.
Once having made the linearization indicated in the
foregoing section any combination of time-variant
random variables reduces to the calculation of the dis-
tribution function of a sum of random variables. For
independent sequences the maximum-in-time of this sum
is required.
Assume a linear functional relationship of the un-
certain variables:
tstandardized coordinatesare obtained by applying the trans-
formation Y = (X - p)/o, if X is the uncertain variable in the
original space, p its mean and o its standarddeviation.
*The set of basic uncertain variables has to be defined before-
hand.
For the time-variant variables in the last part of (4).
having different repetition numbers ri, the amplitude
maxima during given intervals should enter the sum. For
a situation as demonstrated in Fig. 2 Z, may be written
as:
zk = maxT{maxTk{. . . . .max,,_,
Imax,_,&:, . Xl+ PA-, . X,-,}
+.....‘+g;+! 'xk+,}+g;'xk) (5)
in which Ti = ‘I’/ri is the duration of any constant
amplitude of the ith action and gl is the partial derivative
(possibly, the tangents of an approximating tangent
hyperplane) of g(.) with respect to Xi. Clearly, the
operation max,,_,{.} means that the extreme-value dis-
tribution of the expression in the brackets {.} must be
calculated according to eqn (2) for a time-interval of
length Ti-1 (compare also Fig. 2).
Then, this maximum which is the combination of the
nth up to the ith action has to be superposed on an
instantaneous value of the (i - 1)th action and the dis-
tribution function of this sum must be found. The pro-
cedure continues in finding the maxima of this
“combined” action in an interval of length 7i_2 and in
adding the instantaneous value of Xi-z, and so forth-up
to the variable Xk. Thus, the time-variant problem is
reduced to a time-invariant problem involving only the
extreme of the time-variant variables and, of course, the
other time-invariant basic variables.*
The correct evaluation of the corresponding prob-
ability distributions requires the application of extreme
value theory, e.g. by means of eqn (2) and the solution of
n - k convolution integrals. For example, if Zi denotes the
variable produced in the ith step we may write for the
probability density function of Zi-,
where Vi= rilri-c,
fzi.q_,(Zi) = vi ’ F;T’(Zi) * fq(Zi). (6)
As soon as the distribution of Xi-t is not trivial and/or
Fig. 2. Superpositionof 3 Binomial-processes.
 Structural reliability under combined random load sequences 491

the number of tee-v~ant actions exceeds, say 3, the
computation of eqn (6) becomes an extremely laborious
task.
However, approximate results can be obtained by
transforming non-normal distribution functions into
normal ~s~bution functions. in general, the exact
t~sfo~tion z = Cp-‘[FQ)] where F(x) is an arbitrary
distribution function and @-‘[.I is the inverse standard
normal integral, causes prohibitive computational
d~cuities. The authors, therefore, suggested in [7J an
approximate mappingsuch that in a given point both the
original and the approximating normal distribution
functions and their densities have the same vahres,
respectively. This is equivalent to a linear expansion of
the exact ~ansformation. It yields the following
parameters for the approximatingnormal distribution,
&’= x* - o’ * @-‘IF(
easily calculated means and variances. Also, given a
point in the distribution of a sum, it can be decomposed
into two vahres of two other normal variables where
each value is obtained by weighing with the relative
contribution of its variance to the variance of the orig-
inal sum.
~TmrlTmtATloN~
For convenience, the formulation is given in the orig-
inal space of basic variables in which the eqns (7) are to
be applied. Let
&XI, Xi?,. . .‘ X”) = c (8)
be the state function, describing the st~ctur~ behavior
such that for C > 0 safe states are defined whereas C < 0
corresponds to failure. Expand this expression in linear
(7al Taylor series which should equal zero, if the limit state
criterion is fulfilled:

gtx:,
x: ,..‘, xX)+f:gf.(x*-x2)=0.
1-I
(9)
where x* is the approximation point, Ff.) and ft.1 the
~s~bution function and density function of the non- As mentioned, the problem is to find the point
normal distribution, respectively, and &) the standard cx:, x: , . . .,x3 where 6 becomes minimal.The deriva-
normal density. Clearly, this approximationmay become tives g; may first be evaluated at some arbitrary point
more and more inaccurate if the original distribution (x1”, xz(O), * . ., xi’)& According to the first order reiiabii-
becomes increasingly skewed. The same applies for dis- ity theory the limit state criterion is only f&lied if (see
tributions of the type given in eqn (2) if the occurrence Refs. [I], (21or Pff, the point lies on the failure surface.
probability p becomes small. In this case one might Therefore, we set:
approximate by a normal distribution having the same
median and same exceedance probability at the ap- *JO’
, _
-- fixi - ai * p * irxi mt
proximation point x*. Then, it is, e.g. from eqn (2)
for variables with re~tition number ri = I and where the
1-f3w” sensitivity factors oi are given by?
fit = r; = Jy-t

[
I_

P I (7cI

(11)
and

X*-&L’
g’=
cb-'IF(x*)I and the reliability index @ is chosen to fulfill the limit
state criteri0n.S
wherein tbe notations are as before and F*(.) is the Assume for the moment that ail basic variables are
inverse of eqn (2) containing also the case n = p = 1. It normally distributed. To take account of time-variant
appears that there is a whole not yet fully investigated variables one has in starting from the variable X. with
hierarchy of pointwiseapproximationprocedures (see [7] mean ccx, .and standard deviation ox. to form a new
for fu~her results), which admittedly are only meaning- variable 2, related to X,, by:
ful as long as the first order reliability concept used
herein is considered a feasible method. On the other & =g;*x. VW
hand the mathemat~caiand numerical problems might
become hopelessly ~ompiicated-for non-continuous with mean
distribution functions even impossible-when using the &?”= g: * PX” Wb)
exact transformation within this concept. Then, ap-
plication of more involved methods, e.g. the results on and standard deviation
sums of random processes are more in order which
should be available also for more complex stochastic oz. = [WI * OX”11’“. mcf
models but, at present, are limited to only a few eiemen-
tary shapes of the limit state criterion. This is, however, Then, the extreme-value distribution F- ,._,(z’~‘)
no restriction for the algorithm to be described which can be generated from the distribution of Z” =
subsequently. It simply makes use of the fact, that sums g: - X,, using tqn (2). Next, this dis~bution must be
of normally distributed variables are again normal with approx~ated by a normal distribution with mean hi,
and standard deviation 05~ in the pre-selected point
*It can be shown that these sensitivity factors are related to (zn”’ = gl: +x,“$ The new variable Z, now can be
the direction cosines of the approximating hypet@ane. combined with the variable X,-, with distribution
Sit can be shown that in fact. the initial approximation point @(x,-t; c4x,_,,ux._,) according to
need not necessarily lie on the failure surface. This assumption,
however. facilitates greatly the following presentation. Zn-l = Z” +&L.* . x,-t Wa)
492 R. RACKWITZ
and B. RESSLER

yielding the distribution parameters DISCUSSION AND MTENSIONS

!&-I = pcli + g:-1 * PX”_,
UZ”_,= b&.2+ tgA-1 . aX”_,v.
Again, the extreme-value distribution F,,,,,+,(z!,?,)
must be calculated, followed by a normal approximation
in the point {t$‘L,= z.“’ +gL, * x%} from which &_,
and u&_, are obtained. This procedure continues up to adapted by an obvious modification. Such variables must
the combination of the variables &+, and Xk resulting in be combined lirst in the same manner as described in the
the variable & and, then, formally indentical but without
computation of the extremes, up to Z, which has mean general procedure including further possible repetitions.
*z, = pi, and standard deviation uz, = ok,.
Equation (9) is thus reduced to
g(x,‘“‘, x:O’, . . ., x.‘“3 + (2, - 2,‘“)) = 0.
In order to ful8lI (14) the variable zl is substituted by
pz, - az, . p - uz, according to eqn (10) which after some
rearrangement yields
B=g(x:““x:o’, ....x:03+pz,-zI(o)
az, * a~,
Of course, it is UZ,= 1. A first estimate for the reliability
index /3 is available.
In order to improve this estimate a new approximation
point must be found. Fist, an improved value for ZI’” is of amplitudes and occurrences of the different actions in
obtained by solving eqn (14). Decomposition of Z, into
its components follows the inverse of the procedure for
the reduction towards Z,. For example, the new points
z:” and x,(l) may be obtained from application of eqn
(10):
where
az2 -
-0i
uz,.
The concept can also be applied approximately if the
Wb) different repetition numbers are not integer factors of
any other repetition number. However, in this case at
(13c)
least rk should not be too small in order to avoid greater
“end-errors” which are caused by overlapping of the
elemental time-intervals.
If several time-variant actions have the same repetition
number, then, the foregoing procedure can easily be
above without any repetition. Then, one can continue the
It is also obvious, that only minor modifications are
necessary to fit to probabilistic design, that is the deter-
mination of some design parameter, e.g. the dimension or
(14) a distribution parameter of material strength for a given
reliability level. Instead of determining /3 via eqn (15)
such that the scalar C in eqn (8) becomes zero, some
unknown parameter 8 must be determined such that the
limit state criterion which now may be written as
&?(X,,x2, . . .,X.,8) = 0 is fulfilled. Naturally, p then
corresponds to the pre-stated reliability level.
(15)
The foregoing approach is limited to a structural
behavior where the limit state condition does not depend
on the load history nor on changes in time in a deter-
ministic or even stochastic manner. It should also be
mentioned that it appears that stochastic independence
time and space is a limiting pre-supposition. Otherwise,
though theoretically possible, the numerical part
becomes extremely cumbersome. An easy extension is
possible if the processes generating the occurrences are
periodic. Then, one can deal with it at least ap-
proximately by proper scaling of the time-axis. Further
wa) related generalizations, e.g. towards discrete Polya-pro-
cesses or dependent Binomial-processes of the Marko-
UW vian type may also be manageable to a certain extent.
The major advantage of the method is its applicability
to limit state criteria of any differentiable shape and
dimension and to any type of distribution function of the
Wa) variables. Of course, the results are the more accurate
the closer the distribution functions are to the normal
and the less the liiit state criterion deviates from a
(1%) linear form. Although Binomial sequences must be
viewed as one of the simplest stochastic models for
time-dependent actions a large class of problems can be
described realistically.

Similarly, further decomposition can be made using eqns Consider a joint below a supporting structural element
(16)-(V) as recurrence relations (substitute the indices k as shown in Fig. 4. The joint is loaded as indicated in Fig.
and k + 1 by k + 1 and (k + 1)+ 1, respectively) up to the 4 and has no tensile strength. Then, its limit state condi-
variable X.. Then, the iteration may start again with the tion can be written as:
computation of new derivatives g; at the new point
{XI”‘,x:“, . . ., X”“3.
The generalization of the expressions (8)-(17) for any
variable and interaction loop is straight-forward and is
x3 1
given in the flow dii (Pig. 3). The flow dii
also generalized to arbitrary distributional assumptions
is
forx,+x,%
for the basic variables which simply consists in substi-
tuting JLX,and OX, by pii and oh, in eqns (8)-(17) by
using the expressions (7). If the limit state criterion is at
leaat lo&y continuous and monotonic, the iteration
process converges at least towards a local minimum in p
as given by eqn (15) which is the safety index of the
problem. for
1,
6 m-(2
x3 I
 Structural reliability under combined random load sequences 493

I START I

I’
Zl = z1- go

initial approxima-
tion point Z1-p6
B--x
e.g. xi = c,, i=l...n

s
I
calculation of yee
i=i+l
go = g(x, . . X”)
i>n?
i=n+l
I no

4-h
@,=--
6

I
xi = kr
- a,, * Bi . 4,

treme-value distribution of

no
normal distribution

a,, = 9; OYUZ,
’ I 02,
=z,+t= uz,.,
4 output:

[-G-I
x:, /I

I I 1 *Only distribution for

,I I, minima can be wed:
1 f E 1 -(I _y.))‘J”-’

Fig. 3. Iteration algorithm for the combination of random sequences.

in which XI = strength. X, = axial load (see Fig. 4), X, = Table I.

moment inducing load such that the moment is S *X3 and
S = width of the joint. PZ Ui r P
Assume that the variables are uncorrelated and
x1 90 13.5 r, = 1 I
normally distributed with Table 1.
x2 23.76 0.84 r,G31 I
In the following Table 2 some of the results of an X3 3.24 0.54 r3ar, <I
application of the safety checking procedure as
494 R. RACKWITZand B. FIESSLER

SUMMARY
A technique to compute the reliability of structures
under combined loading is presented. It is assumed that
loads or other actions can be modelled by independent.
stationary random sequences. The procedure may be
used directly in probabilistic design or to check more
elementary approaches to load combination.
Jomt
Acknowledgements-The authors take pleasure in acknowledging
the intense discussions with E. Paloheimo whose pilot results
initiated this study. They are also grateful to 0. Ditlevsen and K.
Skov for valuable comments received while the first author was
Fig. 4. Design situation of example. on leave at the Technical University of Denmark. Support for
this research was provided by the Deutsche Forschungsgemein-
schaft.
described in the above are given: REFEBENCl?S
1. First Order Reliability Concepts for Design Codes. Joint
Committee on Structural Safety. CEB Bull. I I?. Paris (1976).
Table 2. 2. Common Unified Rules for Different Types of Construction
and Material. In the Int. System of Unified Standard Codes of
r2 h P3 B p,=l-da)
Practice for Structures, Vol. I. CEB Bull. 116. Paris (1976).
3. J. Ferry Borges and M. Castanheta, Srnrisricol Dejnition and
I 1 I 2.78 2.72. IO-’
Combination of Lands, pp. 43-62. AC1 Publication SP 31.
IO loo 1 2.17 1.50. 10-z
Detroit (1971).
10 1.000 1 1.95 2.53 . IO-’
4. E. Paloheimo, A Generalisation of the Weighted Froctiles
10 1o.ooo I 1.76 3.89. lO-2
Method. Memorandum presented to the Joint Committee on
10 100.000 I 1.59 5.60~lo-2
Structural Safety, Wiesbaden (19751.
100 1.000 I 1.95 2.55 ’ 10-z
5. 0. Ditlevsen, A Collection of Notes Concerning Structural
100 ItXl.00 I 1.59 5.63. IO-*
Reliability in Second International Workshop of Definition.
100 100.000 lo-’ 2.17 1.51 10-2
Classification and Evolution of Code Formats, Mexico City.
loo 100.000 10+ 2.80 2.58. IO-’
Jan. 1976, Dialog 2-76, Danmarks Ingenicarakademi, Lyngby
(1976).
6. C. Turkstra, Probabilistic design formats. In Theory of Struc-
rum1 Design Decisions. Sol. Mech. Div., University of Water-
Sufficient convergence has been reached after 3-5 loo, Studies Series No. 2. Waterloo (1970).
iteration loops. Checking with Monte-Carlo studies 7. R. Rackwitz and B. Fiessler, Note on Discrcre Safety Checking
suggests that the calculated failure probabilities in the when Using Non-normal Stochastic Models for Basic Vari-
last column are at least as accurate as indicated in the ables. Berichte zur Sicherheitstheorie der Bauwerke, Lab. fiir
table. Konstr. Ingb.. Milnchen. H. 14 (1976).