Reliability Engineering and System Safety 142 (2015) 9–18

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Reliability Engineering and System Safety

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

Application of Rejection Sampling based methodology to variance

based parametric sensitivity analysis
Lei Cheng a, Zhenzhou Lu a,n, Leigang Zhang b
a
School of Aeronautics, Northwestern Polytechnical University, Xi'an 710072, China
b
China Academy of Launch Vehicle Technology, Beijing 100076, China

art ic l e i nf o a b s t r a c t

Article history: For estimating the effect of uncertain distribution parameter on the variance of failure probability
Received 11 November 2014 function (FPF), the map from distribution parameters to FPF is built and the high efficient approximation
Received in revised form form is extended to solve the parametric variance-based sensitivity index. Then the parametric variance-
2 April 2015
based sensitivity index can be firstly expressed as the moments of the FPF, and the FPF is approximated
Accepted 25 April 2015
by a product of the univariate functions of the distribution parameters, on which the moments of the FPF
Available online 5 May 2015
approximated by the univariate functions can be easily evaluated by the Gaussian integration using the
Keywords: values of the FPF at the Gaussian nodes. Thus the primary task of evaluating the parametric variance-
Failure probability function (FPF) based sensitivity is transformed to calculate the FPF at Gaussian nodes of the univariate functions, for
Efficient approximation
which Monte Carlo (MC), Extended Monte Carlo (EMC) and Rejection Sampling (RS) are employed and
Parametric variance-based sensitivity index
compared here. Only one set of samples of inputs are needed in either EMC or RS. Several numerical and
Extended Monte Carlo (EMC)
Rejection Sampling (RS) engineering examples are presented to verify the accuracy and efficiency of the proposed approximate
methods. Additionally, the results also reveal the virtue of RS which can be more accurate and more
unlimited than EMC.
& 2015 Elsevier Ltd. All rights reserved.

1. Introduction model [3,8], and the fuzzy set model [9], among which the random
model is especially of interest in engineering applications [10,11],
In contemporary engineering design, an increasing number of namely epistemic uncertainty is also described by probability
model evaluations, especially for finite-element models, have been theory. Then both the two kinds of uncertainties can be character-
established to simulate the behavior of the structures. Whereas, ized by probability theory. If sufficient data is available, the alea-
the large number of unknown uncertainties often preclude the tory model inputs can be considered as random variables with
designers and analysts from identifying useful information and constant distribution parameters, whereas if only sparse data is
making reasonable decisions of model behavior. presented, then the aleatory model inputs can also be considered
Commonly, two kinds of uncertainties are involved in engi- as random variables but with uncertain distribution parameters.
neering reality, i.e. aleatory uncertainty and epistemic uncertainty Note that the distribution parameters can be represented by either
[1–3]. The former one mainly describes the inherent variability confidence intervals in the presence of classical statistic method,
associated with a structural system, which is referred to as irre- or probability density functions (PDFs) under the condition that
ducible, objective uncertainty [3]. While the latter one mostly the Bayesian statistic method is employed [12]. In this paper, the
results from lack of knowledge of fundamental phenomena and is input distribution type is assumed to be known and the distribu-
related to our ability to understand, measure and describe the tion parameters are considered as random variables and repre-
system under study [4], which can be considered as reducible by sented by PDFs.
collecting more information [5]. Employing the probability theory, Sensitivity analysis (SA) is widely used in engineering reliability
the aleatory uncertainty can be modeled as random variable with design, which can be classified into three groups: local SA, global
probability density function (PDF). Whereas when dealing with SA (GSA) and regional SA. Among them, GSA is the most potential
the epistemic uncertainty, more than one theory has been devel- in engineering applications, and the indicators can also be called
oped, such as the random model [6–8], non-probability convex set uncertainty importance measures [13] which have attracted lots of
research interest in the literature. At present, a number of SA
techniques with only aleatory uncertainty, such as a variance-
n
Corresponding author.
based importance method [14–19] for single output or multiple
E-mail addresses: [email protected] (L. Cheng), output under a statistic or stochastic process, transformation
[email protected] (Z. Lu), [email protected] (L. Zhang). invariance property and kinds of the moment-independent importance

http://dx.doi.org/10.1016/j.ress.2015.04.020
0951-8320/& 2015 Elsevier Ltd. All rights reserved.
10 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18

n
measures [20–28], the elementary effect method and the correspond- probability density function (PDF) f X ðxj θ Þ [41] and the output Y is
ing applications [29,30], the derivative-based method [31,32], the a function of X. Consequently, the statistic characteristics of Y,
regional analysis techniques and their evolutions [33–36] and the such as expectation, variance and failure probability and so on,
parametric method [37–39], have been developed by different rese- only depend on θ and can be regarded as functions of θ. Suppose
archers. However, it is also essential for analysts to measure the the relationship between failure probability and distribution
contribution of distribution parameters to the probabilistic response parameters can be represented as P f ¼ ψ ðθÞ, the square integrable
such as the expectation function, standard deviation function and function ψ ðθÞ defined in the hypercube parameters space H n can
failure probability function (FPF) of the model output. be obtained following the high dimensional model representation
In the past decades, plenty of methods have been developed for (HDMR) by Sobol [15]:
estimating the variance-based sensitivity indices including the
X
n X
n
Monte Carlo simulation (MC) [40], which always involves a ‘triple- ψ ðθÞ ¼ ψ 0 þ ψ i ðθ i Þ þ ψ ij ðθi ; θj Þ þ ⋯ þ ψ 1;2;:::;p ðθ1 ; θ2 ; :::; θn Þ
loop’ evaluation; approximate methods by Krzykaca-Hausmann i¼1 1riojrn
[41], which is a single-loop procedure with the computational cost ð1Þ
increasing with the aleatory dimensionality; Fourier amplitude
sensitivity test [42,43]; the metamodel method [44–46], where where
Wang [44] applied the Kriging method to compute the sensitivity ψ 0 ¼ EðP f Þ
index and is a double-loop method; Extended Monte Carlo
ψ i ¼ EðP f j θi Þ  EðP f Þ ð2Þ
method (EMC), where Wei [47] used EMC to estimate the prob-
ψ ij ¼ EðP f j θi ; θj Þ  ψ i  ψ j  EðP f Þ
abilistic response function; separation method, where the aleatory
and epistemic uncertainties in a system is separated by introd-
EðP f Þ and EðP f j dÞ are the unconditional and conditional expec-
ucing a standard uniformly auxiliary variable [48], and so on.
tations of failure probability function ψ ðθÞ respectively. High order
However, all those methods still involves large computational
items can be obtained analogously.
burden. In this paper, the idea of Zhang [49] is introduced to
According to the basic idea of Sobol's measure, the total
parametric sensitivity analysis, where we treat the failure prob-
variance of failure probability can be decomposed into:
ability function (FPF) and the distribution parameters as the
corresponding output–input, thus the map is constructed simi- X
n X
n

larly. Then the FPF is approximated by a product of low dimen- V¼ Vi þ V ij þ ⋯ þ V 1;2;…;n ð3Þ
i¼1 1riojrn
sional functions of distribution parameters [50] and the par-
ametric sensitivity index can be expressed as a form of the where V is the total variance of the failure probability function,
moments of the univariate functions of distribution parameters. and
For symmetric PDFs, based on N-point Gaussian quadrature, only
ðn  1ÞN þ 1 failure probability evaluations (FPEs) are essential (n is V i ¼ Vðψ i Þ ¼ V½EðP f j θi Þ
ð4Þ
the dimensionality of distribution parameters). Then the primary V ij ¼ Vðψ ij Þ ¼ V½EðP f j θi ; θj Þ V ½EðP f j θi Þ  V½EðP f j θj Þ
aim turns to estimating the FPF at Gaussian nodes corresponding
to univariate functions, for which three methods are introduced in are the first order and the second order variance contributions of
this paper: Monte Carlo simulation (MC); Extended Monte Carlo the distribution parameters to the failure probability function
technique (EMC); Rejection Sampling Technique (RS). EMC tech- respectively.
nique shares the similar idea with the importance sampling (IS) Thus the variance-based sensitivity index can be defined as
procedure [47,51], whereas its efficiency is highly affected by the V θi ðEθ  i ½P f j θi Þ
sampling PDF. Then Rejection Sampling (RS) [52,53] is introduced Sθ i ¼ ð5Þ
VðP f Þ
to estimate the FPF with only one set of model evaluations. RS
reuses the original generated samples and selects proper points at Although the variance decomposition of P f is conceptually
given distributions. Comparing with MC, EMC and RS can further simple, its computation in a general setting is a challenging task
decrease the computational effort for they only need one set of as it involves a ‘triple-loop’ high dimensional integrations. Thus
samples. Once the FPF is obtained, the parametric sensitivity index the computational cost can be a large burden for traditional Monte
can be evaluated based on the approximate estimation form, i.e. Carlo (MC) simulation, especially in case of a complex model. Thus
MCA, EMCA and RSA methods are proposed in this paper. simple approximations to substitute and simplify the evaluation of
This paper is organized as follows: Section 2 reviews the Sθi are developed.
definition of the variance-based parametric sensitivity index based
on FPF. Then the idea of Zhang is introduced to construct an
approximation of the sensitivity index in Section 3. Section 4
3. An approximation for the parametric sensitivity
applies the MC, EMC and RS techniques to estimate the FPF
respectively for sake of calculating the sensitivity index. The three
The most popular approximation is called Cut-HDMR, in which
methods are introduced and compared in Section 4. Then the
the corresponding deterministic model can be written as a form of
proposed methods are applied to two numerical and two engi-
summation of univariate functions of input variables. Subse-
neering examples in Section 5. Section 6 gives conclusions.
quently, Zhang proposed an improvement on Cut-HDMR, i.e. mul-
tiplicative form of approximation of the original function (M-DRM)
[50]. Similarly, since the failure probability function is always
2. Review of definition of importance measure
positive, P f ¼ ψ ðθÞ can be transformed into a logarithmic form:
Suppose the distribution parameter uncertainty is involved in φðθÞ ¼ lnðP f Þ ¼ ln ½ψ ðθÞ ð6Þ
structure systems, then the performance function of a model can
be given as Y ¼ gðX; θÞ, where X ¼ ðX 1 ; X 2 ; …; X m Þ is the vector of Then, the Cut-HDMR expansion of φðθÞ is expressed as:
input variables and θ ¼ ðθ1 ; θ2 ; :::; θn Þ is the vector of parameters. X
n X
Holding the parameters θ at a reference value θ , then the
n
φðθÞ ¼ φ0 þ φi ðθi Þ þ φij ðθi ; θj Þ þ… ð7Þ
uncertainty of input variables can be described by conditional i¼1 1riojrn
 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18 11

where and uniform PDFs, thus the number of FPEs can be written as:
8
>
>
φ0 ¼ ln ½ψ ðcÞ X
n
>
< φ ðθ Þ
i i ¼ ln ½ψ ðc1 ; …; ci  1 ; θi ; ci þ 1 ; …; cn Þ  φ0 NFPEs ¼ 1 þ ðN k  1Þ ð17Þ
> φij ðθ i ; θ j Þ
> ¼ ln ½ψ ðc1 ; …; ci  1 ; θi ; ci þ 1 ; …; cj  1 ; θj ; cj þ 1 ; …; cn Þ  φi ðθi Þ  φj ðθj Þ  φ0 k¼1
>
:
…
One can find that once the ρk and ωk are obtained, no extra
ð8Þ
FPEs are essential to complete the sensitivity analysis. Then the
c ¼ ½c1 ; c2 ; …; cn T is the mean vector of the uncertain distribution FPEs for the whole sensitivity analysis based on the approximate
parameters. Here, the approximate representation of FPF is estimation in Eq. (11) is N FPEs .
obtained by retaining only up to the first order components of
Eq. (7):
X
n
4. Methods for estimation of the sensitivity index
φðθÞ  ln ½ψ ðc1 ; …ci  1 ; θi ; ci þ 1 ; …; cn Þ ðn  1Þln ½ψ ðcÞ
i¼1
Thus the primary task for evaluating Sθi is transformed to
X
n
calculate the FPF P f ðθ Þ ¼ ψ ðθk ; c  k Þ corresponding to the set of
G
¼ ln ½ψ ðθi ; c  i Þ  ðn  1Þln ½ψ ðcÞ ð9Þ
distribution parameters θ determined by Gaussian Integration
G
i¼1
Grid, and P f ðθ Þ is expressed as the product of the univariate
G
where c  i ¼ ½c1 ; …; ci  1 ; ci þ 1 ; …; cn T .
functions. Three methods are introduced here to estimate the FPF
By inverting the transformation (Eq. (6)), the original FPF can
in this section, i.e. Monte Carlo simulation (Section 4.1, MC),
be written as:
Extended Monte Carlo simulation (Section 4.2, EMC) and the
 1  n n Rejection Sampling technique (Section 4.3, SA).
P f ¼ ψ ðθÞ ¼ exp½φðθÞ  ψ ðcÞ ∏ ψ ðθ i ; c  i Þ ð10Þ
i¼1

Thus, the FPF is approximated by a product of the univariate 4.1. Monte Carlo simulation
functions of distribution parameters. Based on M-DRM, an approx-
imate estimation of the variance-based sensitivity index of the By definition, P f ðθ Þ can be expressed as:
G
input variables on output response is given in [49]. Analogous to Z
[49], the estimation of parametric sensitivity index in Eq. (5) can P f ðθ Þ ¼
G
I F ðxÞf ðxj θ Þdx ¼ Ef ðxj θG Þ ðI F ðxÞÞ
G
ð18Þ
be approximated as
(
Vi ωi =ρ2i  1 1 gðxÞ r 0
Sθ i ¼ ¼ ð11Þ where I F ðxÞ ¼ is the failure indicator function.
V ð∏nk ¼ 1 ωk =ρ2k Þ  1 0 gðxÞ 4 0
where ρk and ωk are denoted as the mean and mean square of the Eq. (18) indicates that P f ðθ Þ can be expressed as the expecta-
G

univariate function ψ ðθk ; c  k Þ respectively, i.e.

tion with respect to the original joint PDF f ðxj θ Þ, thus can be
G
Z
estimated by the following MC estimator:
ρk ¼ Ek ½ψ ðθk ; c  k Þ ¼ ψ ðc1 ; …; ck  1 ; θk ; ck þ 1 ; …; cn Þf θk ðθk Þdθk
θk
1 X
M
P f ðθ Þ ¼
G
ð12Þ I F ðxðjÞ Þ ð19Þ
Mj¼1
Z
ωk ¼ Ek f½ψ ðθk ; c  k Þ2 g ¼ ½ψ ðc1 ; …; ck  1 ; θk ; ck þ 1 ; …; cn Þ2 f θk ðθk Þdθk
where xðjÞ stands for the jth sample of input variables generated
θk
according to f ðxj θ Þ with the given parameters θ . Apparently,
G G
ð13Þ
assuming the Monte Carlo simulation requires M model evalua-
Then Gaussian integration scheme can be used to compute the
tions to estimate the failure probability for each θ , then N FPEs  M
G
one-dimensional integrals in Eqs. (12) and (13)
model evaluations are needed to compute the sensitivity index
X
Nk
using the approximate estimation in Eq. (11), which can be a great
ρk  wkl ψ ðc1 ; …; ck  1 ; θkl ; ck þ 1 ; …; cn Þ ð14Þ
l¼1
improvement on parametric sensitivity analysis.

X
Nk
ωk  wkl ½ψ ðc1 ; …; ck  1 ; θkl ; ck þ 1 ; …; cn Þ2 ð15Þ 4.2. Extended Monte Carlo simulation
l¼1

where θkl and wkl are the lth Gaussian Abscissa and its corre- However, we want to further reduce the computational burden
sponding weight determined by the probability distribution of θk . of MC. Thus the basic idea of importance sampling (IS) procedure
And N k is the number of Gaussian nodes corresponding to θk . is introduced to the calculation of FPF. Suppose now we have a
n
In the proposed method, we assume that for symmetric distr- joint PDF hx ðxj θ Þ of model input vector with constant distribution
n n n n
ibutions, the middle nodes in n Gaussian quadrature coincide with parameter vector θ ¼ ðθ1 ; θ2 ; …; θn Þ. Then the FPF can be derived
the mean value, thus all the n Gaussian formulas share one as:
common node, i.e. c ¼ ½c1 ; c2 ; …; cn T . Then in a N k -node Gauss Z !
I F ðxÞf x ðxj θ Þ I F ðxÞf x ðxj θ Þ
G G
n
P f ðθ Þ ¼ θ
G
quadrature, the total number of failure probability evaluations n h x ðxj Þdx ¼ E h n ð20Þ
hx ðxj θ Þ hx ðxj θ Þ
(FPEs) for calculating ρk and ωk is merely
n
X
s X
n where hx ðxj θ Þ is the selected importance sampling density of X
N FPEs ¼ 1 þ ðN k  1Þ þ Nk ð16Þ n
with constant distribution parameters θ . Eq. (20) indicates that
k¼1 k ¼ sþ1
failure probability function P f ðθ Þ can be expressed as the expec-
G
n
tation of the function I F ðxÞf x ðxj θ Þ=hx ðxj θ Þ. Given a set of model
G
where s denotes the number of variables with the symmetric
ðjÞ ðjÞ ðjÞ ðjÞ
distribution, and n  s is the number of other distributions. In our input vector samples x ¼ ðx1 ; x2 ; :::; xm Þðj ¼ 1; 2; …; MÞ generated
n
by the joint PDF hx ðxj θ Þ, the failure probability function P f ðθ Þ
G
work, we mainly deal with symmetric PDFs, such as normal PDFs
12 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18

can be estimated by: xð2Þ ; …; xðMÞ g and pick out the corresponding I F ðxðkÞG Þ. Then
P f ðθ Þ can be evaluated.
G

1 X I F ðxðjÞ Þf x ðxðjÞ j θ Þ
M G
Step 3: Iterate Step 2 for NFPEs times.
P^ f ðθ Þ ¼
G
n ð21Þ
Mj¼1 hx ðxðjÞ j θ Þ
From the above steps one can find that at each given θ , we
G
As we can see from Eq. (21), once the M samples are generated,
n only need to select proper samples xG from the original samples x
I F ðxÞ and hx ðxj θ Þ can be calculated. Then given N FPEs different
and their corresponding failure indicator value I F ðxG Þ. Thus in fact,
distribution parameters, we only need to calculate the values of
in the process of estimating the FPF P f ðθ Þ using Rejection
G
f x ðxj θ Þ at each different θ . Comparing Eq. (21) with Eq. (19), it is
G G
Sampling, only one set of samples of input variables are essentially
not hard to find that EMC can avoid repeatedly sampling at each
generated and only M model evaluations are needed.
θG . Then only M samples are generated and only M model
Comparing Section 4.2 with Section 4.3, one can see that only
evaluations are needed to compute the FPF with different θ for
G
M samples are used and only M model evaluations are essential
EMC. Because of the high efficiency of the EMC, it has been widely
needed for both EMC and RS. However, at each given θ , EMC uses
G
used for random parameters to estimate the probabilistic response
all the M original samples to estimate the failure probability;
function. And its efficiency and accuracy mainly depends on the
n whereas RS picks some proper samples out of the M original
selection of the optimal sampling density hx ðxj θ Þ. Thus Rejection
samples each time to calculate the failure probability.
Sampling is introduced in Section 4.3.
Once the FPF is evaluated by the three methods, i.e. MC, EMC
and RS, the parametric sensitivity index Sθi can then be esti-
mated using the approximation in Eq. (11), i.e. the constructed
4.3. Rejection Sampling technique
MCA, EMCA and RSA method. Detailed procedures involve three
steps:
Rejection Sampling is a technique for generating samples of a
desired distribution by sampling from a different distribution.
a. Estimate the FPF P f ðθ Þ ¼ ψ ðθk ; c  k Þ using MC (or EMC or RS);
G
The technique has been developed for both random samples and
b. Evaluate the first and second order moment (i.e.ρk and ωk ) of
quasi-random samples such as low discrepancy sequences [52,53].
the FPF.
Then Rejection Sampling [53] is used to compute the FPF.
c. Employ ρk and ωk to calculate the parametric sensitivity index
Following DeGroot and Schervish [52], let f P j θn ðpÞ be a PDF of a
Sθi using Eq. (11).
desired distribution θ for a random variable P, and let f X j θ ðxÞ be
n

some other PDF for a random variable X, with the property that
there exists a constant r, such that rf X j θ ðxÞ Z f P j θn ðxÞ for all x, To clearly demonstrate the main content in this work, an
where x is a realization of X. The rejection technique can then be illustration is given in Fig. 1. It can be seen that the computational
used to generate J samples of f P j θn ðpÞ as shown in the Algorithm cost for evaluating the parametric sensitivity index Sθi using MCA,
following Wang [53]. The algorithm is rigorous techniques for EMCA and RSA methods are N FPEs  M, M and M respectively,
performing Rejection Sampling on nested uniform distributions. which can be a great improvement comparing with the direct
However, in practice, we may use the bounds of the desired new ‘triple-loop’ MC method (M  M  M  k) and the Sobol's method
interval to do Rejection Sampling directly by rejecting all points (M  M  k).
outside the bounds.

Algorithm: Rejection Sampling for 1D samples

1. (a) Draw a set of random sample, xi ði ¼ 1; 2; …; MÞ, from 5. Examples
f X j θ ðxÞ. (Random sample)
(b) Generate a set of low discrepancy sequence points Two numerical and two engineering examples are demon-
ðξi ; νi Þ A ½0; 12 ; i ¼ 1; 2; …; M. Map ξi to xi for all i, e.g., using strated here to show the rationality and efficiency of the proposed
the inverse CDF method, xi ¼ F xi 1 ðξi Þ, F xi is the CDF of xi . (Low three methods. Thus four methods are involved in this paper,
i.e. MC, MCA, EMCA and RSA methods. Additionally, an index is
discrepancy sample)
defined to measure the discrepancy of FPF estimated by MCA and
2. (a) Draw a set of samples, ui ði ¼ 1; 2; …; MÞ, from a uniform
distribution PDF on [0,1]. (Random sample) other two methods (EMCA and RSA), i.e. Δother
Pf ¼
(b) Let ui ¼ νi . (Low discrepancy sample) NP
FPEs
ðP MC other 2
f t P f t Þ .
3. For i ¼ 1 to M t¼1
If f P j θn ðxÞ=f X j θ ðxÞ Z rui
Example 1. Ishigami function is a commonly used example in
let pj ¼ xi
importance analysis. It was first introduced by Ishigami and
j ¼ jþ1 Homma, then it is commonly used to test sensitivity and
Else reject xi .

Generally, we take the constant r as maxðf P j θn ðxÞu=f X j θ ðxÞÞ. In

this section, we introduce how to compute the FPF P f ðθ Þ using the
G

Rejection Sampling techniques. Detailed procedures can be given

as following:

Step 1: Generate a set of samples of input variables fxð1Þ ;

xð2Þ ; …; xðMÞ g according to f X j θ ðxÞ with the given distribution
parameters θ, and compute the corresponding failure indicator
function I F ðxÞ. Then P f ðθÞ can be computed.
Step 2: For the given parameters θ , using Rejection Sampling
G

(i.e. the Algorithm) to generate xðkÞG of f X j θG ðxÞ from fxð1Þ ; Fig. 1. Illustration of MCA, EMCA and RSA methods.
 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18 13

Table 1
Numerical integration grids of distribution parameters for calculating FPF.

N0. Parameters Numerical integration grid Failure probability P f ðθÞ

a1 a2 a3 b1 b2 b3 MC EMC RS

1 a1  3.0679  2.3562  2.3562 2.6180 2.6180 2.6180 0.1152 0.1118 0.1123

2  2.7791  2.3562  2.3562 2.6180 2.6180 2.6180 0.1151 0.1111 0.1113
3  1.9333  2.3562  2.3562 2.6180 2.6180 2.6180 0.0973 0.0905 0.0908
4  1.6445  2.3562  2.3562 2.6180 2.6180 2.6180 0.0849 0.0736 0.0743
5 a2  2.3562  3.0679  2.3562 2.6180 2.6180 2.6180 0.1285 0.1269 0.1274
6  2.3562  2.7791  2.3562 2.6180 2.6180 2.6180 0.1128 0.1109 0.1118
7  2.3562  1.9333  2.3562 2.6180 2.6180 2.6180 0.1140 0.1130 0.1133
8  2.3562  1.6445  2.3562 2.6180 2.6180 2.6180 0.1222 0.1204 0.1205
9 a3  2.3562  2.3562  3.0679 2.6180 2.6180 2.6180 0.1385 0.1402 0.1396
10  2.3562  2.3562  2.7791 2.6180 2.6180 2.6180 0.1239 0.1272 0.1271
11  2.3562  2.3562  1.9333 2.6180 2.6180 2.6180 0.1040 0.0998 0.1001
12  2.3562  2.3562  1.6445 2.6180 2.6180 2.6180 0.1039 0.0993 0.1000
13 b1  2.3562  2.3562  2.3562 2.1435 2.6180 2.6180 0.1210 0.1174 0.1181
14  2.3562  2.3562  2.3562 2.3361 2.6180 2.6180 0.1159 0.1126 0.1131
15  2.3562  2.3562  2.3562 2.8999 2.6180 2.6180 0.1037 0.1005 0.1010
16  2.3562  2.3562  2.3562 3.0925 2.6180 2.6180 0.1007 0.0970 0.0972
17 b2  2.3562  2.3562  2.3562 2.6180 2.1435 2.6180 0.1127 0.1089 0.1091
18  2.3562  2.3562  2.3562 2.6180 2.3361 2.6180 0.1101 0.1060 0.1058
19  2.3562  2.3562  2.3562 2.6180 2.8999 2.6180 0.1207 0.1186 0.1181
20  2.3562  2.3562  2.3562 2.6180 3.0925 2.6180 0.1310 0.1277 0.1279
21 b3  2.3562  2.3562  2.3562 2.6180 2.6180 2.1435 0.0953 0.0920 0.0918
22  2.3562  2.3562  2.3562 2.6180 2.6180 2.3361 0.0992 0.0955 0.0957
23  2.3562  2.3562  2.3562 2.6180 2.6180 2.8999 0.1244 0.1217 0.1214
24  2.3562  2.3562  2.3562 2.6180 2.6180 3.0925 0.1364 0.1327 0.1323
25 Mean  2.3562  2.3562  2.3562 2.6180 2.6180 2.6180 0.1087 0.1062 0.1065
Error – – – – – – – – 4.1058e-04 3.6509e-04

uncertainty analysis techniques [54]. It can be written as follows: here (corresponding to Table 1, line 4, a1 ¼  1:9333; b1 ¼ 2:6180).
2 In Fig. 2, the gray dots represent the original 1000 sample points of
Y ¼ sin X 1 þ 5 sin X 2 þ 0:1X 43 sin X 1
the original distribution U½  π ; π  and the black star points
where input variables X 1 , X 2 and X 3 are independent and uni- represent the accepted points corresponding to the new distribu-
formly distributed, i.e. X i  Uðai ; bi Þði ¼ 1; 2; 3Þ. Assume that the tion U½  1:9333; 2:6180. That is to say, when given a new
lower and upper bounds are epistemic parameters following distribution, one can select the proper points by reusing the
another uniform distributions ai  U½  π ;  π =2ði ¼ 1; 2; 3Þ, bi  original samples of the original distribution. Samples of other
U½2π =3; π ði ¼ 1; 2; 3Þ. distributions of inputs can also be generated by the similar way.
Table 1 gives the numerical integration grids for calculating FPF. Once the FPF is obtained as can be seen in Table 1, the
n
Then we want to select the hx ðxj θ Þ selected for EMCA and f X j θ ðxÞ parametric sensitivity index can be computed by the four methods
for RSA methods of each input variable. As we can see, the inputs involved in this paper, which is shown in Fig. 3. One can find that
are obeying uniform distributions in Example 1. For uniform the ranking of uniform parameters (ai and bi ) computed by the
distributions, we often choose the minimum interval that could four method is a1 4 b3 4 a3 4b1 4b2 4 a2 . The results verified the
include all the desired distributions, which can not only provide all accuracy and reasonality of the proposed approximate methods.
the possible points but also avoid wasting unnecessary samples. We have stated that for uniform distributions, we often choose
n
Here both hx ðxj θ Þ and f X j θ ðxÞ are chosen as U½  π ; π . the original PDF as the minimum interval which can include all the
Obviously, 6 symmetric parameters are given and 5 Gaussian desired distributions. And we choose U½  π ; π  in Example 1.
nodes are used in Example 1. Then the corresponding FPF by MCA, However, we want to explore the effect of other original PDFs on
EMCA and RSA methods can be computed. Clearly, MCA estimates the relative errors of EMCA and RSA, and we demonstrate the
FPF by traditional Monte Carlo simulation at each given distribution, results in Table 2. As we can see, the RSA often shows lower error
i.e. numbers of cycles are involved. Whereas EMCA evaluates FPF by than the EMCA for arbitrary selected initial PDF around U½  π ; π .
n
Eq. (21) with only one set of samples x generated from hx ðxj θ Þ, That is to say, comparing with EMCA, RSA shows less restricted by
n n
where the ratio values f x ðxj θ Þ=hx ðxj θ Þ at generated inputs x are the selection of the original PDF for uniform input variables.
computed. Similarly, RSA computes FPF by reusing the samples
generated from the original distribution f X j θ ðxÞ. RSA selects the Example 2. Consider a computational model: gðXÞ ¼ 40  18X 1 þ
proper points from the original samples depending on the desired X 22 þ X 2 þ X 23 þ 5X 3 , where X 1 , X 2 and X 3 are three independent
distribution and only uses the chosen samples to compute the FPF. normally distributed variables with parameter uncertainty,
The main difference between EMCA and RSA is that EMCA uses all namely X i  Nðμi ; σ 2i Þði ¼ 1; 2; 3Þ, where μi and σ i are also rep-
the samples generated from the original distribution while RSA picks resented by normal distributions μi  Nð4; 12 Þði ¼ 1; 2; 3Þ and
the proper samples out of the original samples and rejects other σ i  Nð2; 0:52 Þði ¼ 1; 2; 3Þ, respectively. Similarly, the numerical
improper samples. One can clearly see that the FPEs of our proposed integration grids for calculating FPF are given in Table 3. Note that
n
methods are NFPEs ¼ 25. Thus the model evaluations of MCA, EMCA the hx ðxj θ Þ for EMCA and f X j θ ðxÞ for RSA methods of each input
and RSA method are 25  104 , 104 and 104 respectively. variable are both chosen as N½4; 4:52  and N FPEs ¼ 25.
In order to show how Rejection Sampling is used for input In order to show how Rejection Sampling is used for input
variables with uniform distribution, a sequence of 103 samples are variables with normal distribution, a sequence of 103 samples are
shown in Fig. 2. One can clearly see that the original f X ðxÞ is generated with the original PDF N½4; 4:52 , which is obtained by
U½  π ; π , and we take the desired PDF f P ðpÞ as U ½  1:9333; 2:6180 obeying the 3σ -rule as the EMC. Figs. 4 and 5 show the
14 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18

Fig. 2. Rejection Sampling for uniform distribution with different upper and lower bound.

methods can also get the approximate results guaranteeing

enough efficiency.
To further demonstrate the accuracy of EMCA and RSA method,
Table 4 shows the corresponding ΔP f with different selected PDFs
respectively. It can be seen that for input variables with normal
distribution parameters, the RSA method shows higher accuracy
than the EMCA method in situations where the standard deviation
of the selected PDF is near or larger than that for EMCA method
(N½4; 4:52 ).

Example 3. In aircraft industry, sheet metal parts are widely used

and the most common method of assembling them is through
riveting [55]. There are many factors associated with a riveting
process that directly affect the quality of rivets, and one main
Fig. 3. Sensitivity with respect to distribution parameters computed by MC, MCA,
EMCA and RSA methods.
factor is the squeeze stress. If the squeeze stress is too high, it may
induce the failure of the rivet. Hence, controlling the squeeze
stress is of great significance for the safety of aircrafts.
The true riveting process is very complex. In this paper, we take
Table 2
the headless rivet for example and simply divide the riveting
ΔP f of EMCA and RSA under different selected PDFs.
process into two stages as explained in Fig. 7. In stage I, the rivet is
      punched from state A (the initial state of the rivet before impact,
N ¼ 10,000 U½  π; π U  π; 4π
3 U  3π
2;π U  3π
2; 3
4π

without any deformation) to state B (an intermediate state of the

EMCA 4.1058e-04 6.8365e-04 0.0015 0.0030 rivet when the clearance between rivet and hole is zero), then in
RSA 3.6509e-04 7.5662e-04 0.0013 0.0026 stage II the rivet is further punched from state B to state C (the
final state of the rivet after impact, with rivet heads formed).
relationship between the empirical CDF of the chosen original Throughout the riveting process we assume that the hole diameter
samples from f X j θ ðxÞ and those of the samples of the desired always keep the same.
distributions for the cases of changed mean values with the fixed In order to establish a mathematical relationship between the
standard deviation and the cases of fixed mean value with squeeze stress and the geometric dimensions of a rivet, we need to
changed standard deviation respectively. One can clearly see that assume some ideal conditions as following:
proper samples (colorful) of desired distributions can be obtained
by selecting the generated samples (black) from the original distri- 1 The hole is not enlarged in the riveting process.
bution. 2 The change of the rivet volume can be neglected.
Fig. 6 shows the parametric sensitivity index computed by MC, 3 After impact, the rivet driven head has a cylindrical shape.
MCA, EMCA and RSA methods. It can be seen that results by MCA, 4 The material of the rivet is isotropic.
EMCA and RSA methods are in good agreement with those
obtained by the MC method, which indicates the rank of the The initial volume Vol0 of the rivet before impact (as shown in
distribution parameters is μ1 4 μ3 4 μ2 4 σ 1 4 σ 2 4 σ 3 . Besides, Fig. 7(a)) is given by:
readers can refer from Fig. 6 that for input variables with π 2
Vol0 ¼ d h ð22Þ
normal distributions parameters, both the EMCA and RSA 4
 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18 15

Table 3
Numerical integration grid of distribution parameters for calculating FPF.

N0. Parameters Numerical integration grid Failure probability P f ðθÞ

μ1 μ2 μ3 σ1 σ2 σ3 MC EMC RS

1 μ1 1.1430 4 4 2 2 2 0.0387 0.0339 0.0174

2 2.6444 4 4 2 2 2 0.1221 0.1123 0.1125
3 5.3556 4 4 2 2 2 0.4470 0.4392 0.4347
4 6.8570 4 4 2 2 2 0.6712 0.6624 0.6428
5 μ2 4 1.1430 4 2 2 2 0.3844 0.3705 0.3685
6 4 2.6444 4 2 2 2 0.3292 0.3180 0.3215
7 4 5.3556 4 2 2 2 0.1845 0.1760 0.1766
8 4 6.8570 4 2 2 2 0.1078 0.1041 0.1139
9 μ3 4 4 1.1430 2 2 2 0.4818 0.4670 0.4646
10 4 4 2.6444 2 2 2 0.3700 0.3578 0.3679
11 4 4 5.3556 2 2 2 0.1589 0.1531 0.1528
12 4 4 6.8570 2 2 2 0.0755 0.0747 0.0776
13 σ1 4 4 4 0.5715 2 2 0.1733 0.1528 0.1616
14 4 4 4 1.3222 2 2 0.2155 0.2058 0.2178
15 4 4 4 2.6778 2 2 0.2955 0.2873 0.2823
16 4 4 4 3.4285 2 2 0.3296 0.3215 0.3305
17 σ2 4 4 4 2 0.5715 2 0.2688 0.2476 0.2616
18 4 4 4 2 1.3222 2 0.2654 0.2507 0.2572
19 4 4 4 2 2.6778 2 0.2514 0.2447 0.2496
20 4 4 4 2 3.4285 2 0.2464 0.2372 0.2408
21 σ3 4 4 4 2 2 0.5715 0.2496 0.2132 0.2297
22 4 4 4 2 2 1.3222 0.2518 0.2380 0.2541
23 4 4 4 2 2 2.6778 0.2661 0.2576 0.2611
24 4 4 4 2 2 3.4285 0.2706 0.2640 0.2641
25 Mean 4 4 4 2 2 2 0.2594 0.2493 0.2526
Error — — — — — — — — 0.0042 0.0032

1
0.9
0.8
0.7
0.6
CDF

0.5
0.4
0.3
0.2
0.1
0
-15 -10 -5 0 5 10 15 20 25
x

Fig. 4. Rejection Sampling for different mean values.

Fig. 6. Sensitivity with respect to distribution parameters computed by MC, MCA,
EMCA and RSA methods.

1
0.9
Table 4
0.8
ΔP f of EMCA and RSA under different selected PDFs.
0.7
0.6
N ¼ 10,000 N½4; 32  N½4; 3:52  N½4; 42  N½4; 4:52  N½4; 52  N½4; 5:52  N½4; 62 
CDF

0.5
0.4 EMCA 0.0034 0.0032 0.0056 0.0042 0.0070 0.0114 0.0123
0.3 RSA 0.0068 0.0033 0.0036 0.0032 0.0030 0.0035 0.0024
0.2
0.1
0 where D0 and h1 are the rivet diameter and rivet length in state B,
-15 -10 -5 0 5 10 15 20 25
respectively.
x
After stage II, we assume the top and bottom heads of the
Fig. 5. Rejection Sampling for different standard deviations. formed rivet in state C have the same dimensions, then the volume
Vol2 of the rivet in state C can be written as:
where d and h are the rivet diameter and rivet length in state A,
respectively. π π
Vol2 ¼ D20 t þ 2  D21 H ð24Þ
At the end of stage I, the volume Vol1 of the rivet in state B can 4 4
be calculated as follows:
where t is the whole thickness of the two sheets, the parameters
π D1 and H are the diameter and the height of the driven rivet head
Vol1 ¼ D20 h1 ð23Þ in state C, respectively.
4
16 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18

Fig. 7. Simplified riveting process.

According to the power hardening theory, the maximum Table 5

squeeze stress σ max in the y-direction can be expressed as: Distribution parameters of the input variables of the headless rivet.

σ max ¼ Kðεy ÞnSHE ð25Þ Input variable d (mm) h (mm) D0 (mm) t (mm) K (MPa)

Mean μd μh μD0 μt μK
where K is the strength coefficient, the parameter nSHE is the strain
Standard deviation 0.5 2 0.051 0.05 10.944
hardening exponent of the rivet material, and εy is the true strain
in the y-direction of the rivet head in its formation. And in our
model, the true strain εy is composed of two parts: the strain εy1
caused in stage I and the strain εy2 caused in stage IIstrain εy can
be expressed as follows: Table 6
Distribution parameters of the mean values of the input variables.
εy ¼ εy1 þ εy2 ð26Þ
Parameter μd μh μD0 μt μK
where εy1 ¼ ln hh1 and εy2 ¼ ln h12H t.
Mean 5 20 5.1 5 547.2
Combining the Eqs. (22)–(26) and assuming that the volume
Standard deviation 0.1 0.5 0.051 0.05 5.472
change of the rivet can be neglected, one can obtain the maximum
squeeze stress for a certain riveting process as follows:
!nSHE
2
d h  D20 t
σ max ¼ K ln 2
ð27Þ
2Hd

In this paper, the material of the rivet is 2017-T4 and its strain
hardening exponent is nSHE ¼ 0:15, its ultimate squeeze strength is
σ sq ¼ 580 MPa. Then we can obtain the limit state function as
follows:

g ¼ σ sq  σ max ð28Þ

We assume that the height of the driven rivet head is

H ¼ 2:2 mm, while other input variables are all random variables
with normal distributions, and their distribution parameters are Fig. 8. Sensitivity with respect to distribution parameters computed by MC, MCA,
listed in Table 5. It is assumed that the means of the input EMCA and RSA methods.
variables are uncertain and also follow normal distributions with
parameters tabulated in Table 6.
For the riveting process issue, one can find from Fig. 8 that the Example 4. A ten-bar structure in engineering is used in this
sensitivity index computed by the four methods is μh 4 μD0 4 μd 4 example to testify the efficiency and accuracy as well as engineer-
μK 4 μt . Using EMCA and RSA methods, the sensitivity analysis can ing applicability of the presented method. The diagram of ten-bar
be carried out with only one set of samples of the input variables. structure is shown in Fig. 9. The lengths and sectional areas of the
Additionally, readers can easily see that the proposed RSA method horizontal and vertical bars are denoted as L and Ai ði ¼ 1; ⋯; pffiffiffi6Þ, the
can be more accurate than EMCA method. lengths and sectional areas of the diagonal bar are 2L and
The results indicate that the mean of h is the most important, Ai ði ¼ 7; ⋯; 10Þ, respectively, the elastic modulus of all bars is E,
following by the mean of D0 and d. And the mean of K and t are P 1 , P 2 and P 3 are the external loads. We assume L, Ai ði ¼ 1; ⋯; 10Þ, E
less essential ones. Then in the design and optimization of the and P i ði ¼ 1; 2; 3Þ are normal aleatory variables with the same
riveting process, one need to pay more attention to collecting the coefficient of variation 0.05. The means of these normal variables
information and improving the understanding of the three impor- are normal epistemic variables with distribution parameters listed
tant parameters to decrease their uncertainties, especially the in Table 7. Taking the perpendicular displacement of node 2 not
mean of h. Thus the uncertainty of failure probability can be exceeding 0.004 m as the constrain condition, the following
reduced to a maximum extent and be well controlled. Further- performance response model can be constructed: Y ¼ g ¼ 0:004 
more, with the ranking of the distribution parameters, one can j Δ2 j , where Δ2 is an implicit function of the input variables, i.e.,
neglect the relatively unimportant parameters to reduce the Δ2 ¼ ΔðAi ; L; P 1 ; P 2 ; P 3 ; EÞ ði ¼ 1; 2; …; 10Þ, and is determined by the
dimensionality and simplify the analysis. finite element model.
 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18 17

Fig. 11. Sensitivity of parameter of L, E and P1 with respect to distribution

parameters computed by MC, MCA, EMCA and RSA methods.

parameters (Fig. 11), and the ranking of distribution parameters

is μE 4 μL 4 μP 1 . Once again, the RSA method shows higher
accuracy than the EMCA method.
As also revealed by Fig. 11, the three parameters have the most
influential effect on the failure probability. This indicates that in
the design and analysis of the ten-bar structure, we should pay
more attention to the mean of the length L, the elastic modulus E
and load P in sake of possibly maximum decreasing the failure
probability. Moreover, one can see in Fig. 10 that many parameters
barely show influence on the failure probability since their
sensitivity indices are rather small. Thus we can neglect those
relatively unessential parameters to simplify the analysis model.

Fig. 9. A planar ten-bar structure: (a) schematic representation; (b) finite element 6. Conclusions
model built in Ansys.
In this paper, we extend the M-DMR based high efficient
approximate form of the variance based sensitivity into the
Table 7 parametric sensitivity analysis. Then the parametric sensitivity
Distribution parameters of the means of the input variables. index can be estimated by three approximate methods, i.e. MCA,
EMCA and RSA.
Parameter μL μAi μE μP 1 μP 2 μL
Firstly, the map of distribution parameters to FPF is con-
Mean 1 0.001 100 80 10 10 structed, then the parametric sensitivity index is similarly
Cov 0.01 expressed as the form of the moments of the FPF, and the FPF
can be approximated by a product of the univariate functions of
the distribution parameter.
Secondly, the Gaussian integration technique is used to calcu-
late the moments of the approximate FPF.
At last, three methods, i.e. MC, EMC and RS, are introduced to
compute the FPF at Gaussian nodes of the univariate functions.
Comparing with the ‘triple-loop’ direct Monte Carlo simulation,
the proposed MCA method only requires NFPEs  M model evalua-
tions. And the EMCA and RSA methods can further improve the
computational efficiency of analyzing the parametric importance
with only M model evaluations: EMCA calculates the values of PDF
at the set of samples; RSA selects points from the original samples.
Several examples are used to demonstrate the rationality and
efficiency of the proposed three methods. Besides, the results also
show that comparing with the EMCA method, RSA method can
provide more accurate results with fewer limitations from the
Fig. 10. MCS for sensitivity of all distribution parameters. selection of PDF.

Fig. 10 shows the sensitivity indices computed by the MC Acknowledgments

method, which indicates that parameters of L, E and P 1 have
relatively larger effect on failure probability. Thus MCA, EMCA and This work was supported by the National Natural Science
RSA method are used to compute the importance of the Foundation of China (Grant nos. NSFC 51175425 and NSFC
18 L. Cheng et al. / Reliability Engineering and System Safety 142 (2015) 9–18

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