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Monte Carlo

This document discusses various reliability analysis methods including FOSM, AFOSM/HL, RF, and SORM. It then focuses on Monte Carlo simulation, describing it as a numerical process that calculates mathematical operators with random variables of prescribed probability distributions. The key steps of Monte Carlo simulation are defined as: 1) defining the problem in terms of random variables, 2) quantifying the probabilistic characteristics of the variables, 3) generating random numbers and evaluating the problem, and 4) extracting probabilistic information from multiple realizations. Accuracy and efficiency of the simulation depends on the number of realizations.

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100 views23 pages

Monte Carlo

This document discusses various reliability analysis methods including FOSM, AFOSM/HL, RF, and SORM. It then focuses on Monte Carlo simulation, describing it as a numerical process that calculates mathematical operators with random variables of prescribed probability distributions. The key steps of Monte Carlo simulation are defined as: 1) defining the problem in terms of random variables, 2) quantifying the probabilistic characteristics of the variables, 3) generating random numbers and evaluating the problem, and 4) extracting probabilistic information from multiple realizations. Accuracy and efficiency of the simulation depends on the number of realizations.

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SUNDARAVEL
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© © All Rights Reserved
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RELIABILITY

METHODS

FORM

FOSM
AFOSM/HL
RF

SORM

MVFORM
cannot incorporate any information about
the random quantities beyond the second
moments, even if this information is available.
more importantly, lacks invariance with
respect to equally viable definitions of the limit
state function.

AFOSM/Hasofer-Lind

clc
mGaR=15.7;sGaR=1.57;mC=20;sC=10;mGaf=17;sGaf
=1.7;
H=9;L=2;Nc=16.88;Ny=7.13;
GaR=mGaR;Gaf=mGaf;
C=((GaR*H)-(0.5*Gaf*L*Ny))/Nc;
n=1;
j=1;
while n>0.000000001
zGaR=(GaR-mGaR)/sGaR;zC=(C-mC)/sC;zGaf=(GafmGaf)/sGaf;
G1=((C*Nc + (Gaf*L*Ny)/2)/(GaR^2*H))*sGaR;G2=(Nc/GaR*H)*sC;
G3=-((0.5*L*Ny)/(GaR*H))*sGaf;
G=[G1;G2;G3];
z=[zGaR;zC;zGaf];
9

if j>1
n=(Beta-Beta1)/Beta1;
end
Beta1=Beta;
alpha=G/sqrt(G'*G);
zGaR=alpha(1)*Beta;GaR=mGaR+zGaR*sGaR;
zGaf=alpha(3)*Beta;Gaf=mGaf+zGaf*sGaf;
C=((GaR*H)-(0.5*Gaf*L*Ny))/Nc;
zC=(C-mC)/sC;
j=j+1;
end
j
Beta
pf=normcdf(-Beta,0,1)
j =3
Beta =1.8807
pf =0.0300
10

MONTE
CARLO
SIMULATION
S

Monte Carlo Simulation

What is it?

Numerical Process of repeatedly calculating a mathematical operator in which the


variables are random with prescribed probability distributions.

Why the name?

The modern version of the Monte Carlo method was invented in the late 1940s
by Stanislaw Ulam (a Polish mathematician), while he was working on nuclear
weapon projects at the Los Alamos National Laboratory. It was named so
by Nicholas Metropolis (American physicist), after the Monte Carlo Casino, where
Ulam's uncle often gambled.

12

Why Monte Carlo

Monte Carlo simulation enables us to model situations that present


uncertainty and play them out thousands of times on a computer.

In cases other than summation of normal RVs and products/ quotients


of lognormal RVs, the probability distributions of the functions of RVs
are difficult to determine.
When the function is a nonlinear function of several variables, the
distribution is often practically impossible to determine analytically.

More importantly we can simulate some results numerically without


actually doing any physical testing.

13

How to Do It.

Define the problem in terms of all the RVs.


Quantify the probabilistic characteristics of all the
RVs.
Generate the values of the RVs based on the prob.
Characteristics.
Evaluate the problem deterministically for each set of
realisations of all the RVs-numerical experimentation.
Extract probabilistic information from N such
realisations.
Determine the accuracy and efficiency of the
simulation.
14

Defining the Problem in terms of RVs

P
w

15

Probabilistic Characteristics of RVs

16

Generate Random Numbers and Evaluate the Problem

17

Matlab Functions

18

Extracting Probabilistic Information

Get mean(M), std(M) etc.


Plot histogram or on a probability paper, perform ChiSquare test/ Kolmogorov-Smirnov tests etc., and find
out the probability distribution.
If MR is the capacity of the beam, then (g=MR-M)<0
represents failure and Pf=P(g<0).
If Nf represents the no: of cycles when g<0. Then,
Pf = Nf/N.

The accuracy of the estimate depends on number of


cycles.
19

Accuracy and Efficiency of


Simulation

20

clc
n=0;
j=1;
for N=10200000:100000:11000000
%N=1000000;
Nc=16.88;Ny=7.13;L=3;H=10;
for i=1:N
Gaf=normrnd(17,1.7);
GaR=normrnd(15.7,1.57);
C=normrnd(20,10);
if C>0;
R=(C*Nc)+(0.5*Gaf*L*Ny);
A=(GaR*H);
g=R/A;
if g<1
n=n+1;
end
else
21

N=N-1;
end
end
n
N
pf=(n/N);
Beta(j)=-norminv(pf,0,1);
j=j+1;
end
N=[10200000:100000:11000000];
plot(N,Beta)
N =977120
pf =0.0085
Beta =2.3848

22

THANKYOU
23

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