Accepted Manuscript

Towards h-p adaptive generalised ANOVA

Souvik Chakraborty, Rajib Chowdhury

PII: S0045-7825(16)30401-7
DOI: http://dx.doi.org/10.1016/j.cma.2017.03.028
Reference: CMA 11385

To appear in: Comput. Methods Appl. Mech. Engrg.

Received date : 18 May 2016

Revised date : 12 February 2017
Accepted date : 21 March 2017

Please cite this article as: S. Chakraborty, R. Chowdhury, Towards h-p adaptive generalised
ANOVA, Comput. Methods Appl. Mech. Engrg. (2017),
http://dx.doi.org/10.1016/j.cma.2017.03.028

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 Towards h-p adaptive Generalised ANOVA
Souvik Chakraborty, Rajib Chowdhury
Department of Civil Engneering, Indian Institute of Technology Roorkee, Roorkee, India

Abstract

This paper presents a novel h-p adaptive generalised analysis of variance decomposition (G-
ANOVA) for high dimensional stochastic computations. Firstly, an iterative scheme based
on variance based global sensitivity analysis is proposed to determine the optimal polynomial
order and important component functions (p adaptivity) of G-ANOVA. Then, a homotopy
algorithm is employed to determine the unknown expansion coefficients. Moreover, a novel
distribution adaptive sequential experimental design (h-adaptivity) is utilized at each step
and the accuracy of the G-ANOVA based surrogate model is computed using leave one
out statistical test. It is observed that significantly less number of component functions
are retained. As a consequence, the proposed approach is highly efficient and is applicable
for solving problems involving large number of stochastic dimensions. Implementation of
the proposed approach has been illustrated with four high dimensional applied mechanics
problems. The proposed approach is found to yield accurate and efficient results. Finally,
the proposed approach has been applied for structural reliability analysis of a large scale real
life problem.
Keywords: h adaptive, p adaptive, ANOVA, PCE , stochastic computations

1 1. Introduction

2 All physical systems are having some inherent associated randomness. This randomness may
3 either be in model formulation (epistemic uncertainties) [13], heterogeneous material prop-
4 erties, external loading and/or boundary conditions. Naturally, it is essential to incorporate
5 uncertainties in analysis and design. This is achieved by utilizing a framework that blends

Email addresses: csouvik41@gmail.com (Souvik Chakraborty), rajibfce@iitr.ac.in (Rajib

Chowdhury)

Preprint submitted to Computer Methods in Applied Mechanics and Engineering March 22, 2017
 6 mathematical and physical sciences and characterizes the discrepancy between model-based
7 simulations and physical reality by utilizing the concepts of probability and statistics. How-
8 ever, such a framework is often computationally intensive, specifically for complex practical
9 problems, solution of which involve costly finite element analysis. The uncertainty quan-
10 tification tools that are considered to be the most promising are perhaps the collocation
11 techniques [4, 5] and surrogate based approaches [614]. On contrary, popular methods for
12 structural reliability analysis, which can be viewed as an extension of uncertainty quantifi-
13 cation, include first-order reliability methods (FORM) [15], second-order reliability methods
14 (SORM) [16] and simulation based approaches [1721]. However, almost all the above men-
15 tioned methods are having their own limitations. While most of the available surrogate
16 models and collocation techniques are only applicable to small and medium scaled problems,
17 FORM yields accurate results for linear or weekly nonlinear problems. SORM, on the other
18 hand, yields satisfactory results for low dimensional problems only [22]. In fact for high di-
19 mensional problems, results obtained using FORM are often superior to that obtained using
20 SORM [2326]. Additionally, if the underlying system is having multiple comparable design
21 points, both FORM and SORM yield erroneous results [27]. The other possible alternatives
22 for reliability analysis are the Importance sampling (IS) and subset simulation. However, IS
23 [21] is heavily reliant on the choice of importance sampling density which again relies on the
24 knowledge regarding the failure domain. As for subset simulation [20], there is further scope
25 of improvement. Therefore, efficient methods for probabilistic treatment of high-dimensional
26 systems need to be developed.
27 Several attempts to address the aforementioned concerns may be found in literature. Ganap-
28 athysubramanian and Zabaras [28] proposed a dimension adaptive tensor product quadrature
29 technique for reducing the actual number of function evaluations. It was argued that this
30 method, when applied to the stochastic collocation scheme, reduces the computational cost
31 significantly. Reduced stochastic basis method is another aspect that has gained significant
32 attention [29, 30]. In this method, the model response is evaluated onto a priori reduced
33 stochastic basis, namely a basis of a low-dimensional Krylov subspace. Ma and Zabaras
34 [31] proposed an adaptive sparse grid collocation based high dimensional model representa-
35 tion (ASGC-HDMR) for solving stochastic partial differential equations. As demonstrated,

2
36 ASGC-HDMR is capable of solving problems with as large as 500 random variables. Yang et
37 al. [32] proposed an adaptive ANOVA decomposition of stochastic incompressible and com-
38 pressible flows. In this work, three adaptive schemes were proposed based on the mean and
39 standard deviation of the component functions. However, all the above mentioned methods
40 are intrusive in nature and, therefore, require knowledge regarding the governing differential
41 equation of the system.
42 A few adaptive schemes based on the nonintrusive approaches are also available in litera-
43 ture. On one hand, Blatman and Sudret [33] proposed an adaptive sparse polynomial chaos
44 expansion for large scale problems. In this method, the significant terms are determined
45 by employing a hyperbolic index sets. As demonstrated, this method yields excellent result
46 for high dimensional problems with independent input variables. However, if the underlying
47 system is having correlated variables, one has to resort to some ad hoc transformation for
48 generating an equivalent system with only independent random variables. This, in turn, in-
49 troduces some error into the system. On the other hand, Yadav and Rahman [34] proposed
50 an adaptive-sparse polynomial dimensional decomposition method for industrial problems.
51 This method yields excellent results for moderate dimensional problems (system having
52 maximum 34 variables was illustrated). However, its performance on systems having large
53 number of variables needs to be examined.
54 Recently, a new surrogate model, referred to as generalised analysis of variance (G-ANOVA)
55 decomposition has been proposed in [3537]. As illustrated in [3844], G-ANOVA, in its
56 crude form, yields excellent results for moderate dimensional problems. Therefore, judi-
57 ciously derived adaptive approximations rooted in G-ANOVA by developing relevant cri-
58 teria and acceptable error thresholds, should be investigated. It is expected that these
59 enrichments, when blended with the crude G-ANOVA, will significantly alleviate the compu-
60 tational cost. This, in turn, will make the proposed framework suitable for high dimensional
61 problems.
62 In this paper, an adaptive G-ANOVA has been presented. The significant features of the
63 proposed approach are:

64 Since, the proposed approach utilizes G-ANOVA, it is capable of treating both indepen-
65 dent and dependent variables without the necessity of any ad hoc transformations. To

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66 the best of our knowledge, this is the first instance where an adaptive scheme capable
67 of treating both dependent and independent variables has been proposed.

68 The proposed approach performs a multi-level adaptivity. In the first level, optimal
69 polynomial order is determined. Next, the important component functions are identi-
70 fied. These two steps are collectively termed as p adaptivity. Moreover the optimum
71 number of training points required are determined by utilizing a novel distribution
72 adaptive sequential experimental design. This is termed as the h adaptivity.

73 Other important features of G-ANOVA, such as the optimality in Fourier sense, least
74 square convergence [40] are also retained.

75 The rest of the paper is organised as follows. In Section 2, a brief description of G-ANOVA
76 has been presented. The proposed algorithm has been formally presented in Section 3. In
77 Section 4, implementation of the proposed approach for stochastic computations has been
78 presented. Section 5 reports structural reliability analysis of a large scale problem, solved
79 using the proposed h-p adaptive G-ANOVA. Finally, conclusions are drawn in Section 6.

80 2. G-ANOVA

81 Suppose i = (i1 , i2 , . . . , iN ) NN
0 be a multi-index with |i| = i1 + i2 + + iN . Now

82 considering x = (x1 , x2 , . . . , xN ) to be the random inputs, the unknown response g (x) can
83 be expressed as [45]:
N
X
g (x) = gi (xi )
|i|=0
(1)
N
X X
= g0 + gi1 i2 ...ik (xi1 , xi2 , . . . , xik )
k=1 i1 <i2 <<ik

84 where gi (xi ) are the component functions.

85 Definition 1: The univariate terms (i.e., the terms corresponding to k = 1) in Eq. (1)
86 are termed as first order component functions. Similarly, the bivariate terms (terms corre-
87 sponding to k = 2) are termed as second order component functions. g0 is the zeroth order
88 component function.
89 Remark 1: First order component function does not indicate linear variation and consists

4
 90 of higher order terms. Order in ANOVA indicates number of cooperative terms involved in
91 the expression.
92 Remark 2: The component functions defined in Eq. (1) must be orthogonal to each other.
93 This is an essential condition to ensure uniqueness of the solution.
94 Eq. (1) is the basic functional form of ANOVA decomposition. Over past decade or so,
95 different variants of ANOVA has emerged such as classical ANOVA decomposition [45], an-
96 chored ANOVA decomposition [4648] and the polynomial based ANOVA decomposition
97 [4952]. Of late, a new variant of ANOVA decomposition, referred to as generalised ANOVA
98 (G-ANOVA) has been proposed by the same authors group [53]. The primary idea is to
99 represent the component functions of ANOVA decomposition by using the polynomial chaos
100 expansion (PCE). The functional form of G-ANOVA can be represented as:

N X
X
g (x) = g0 + jii ji (2)
|i|=1 |ji |=1

101 From practical point of view, Eq. (2) needs to be truncated. Considering an M th order
102 ANOVA and rth order PCE, Eq. (2) reduces to
M X
X r
g (x) = g0 + jii ji (3)
|i|=1 |ji |=1

103 Eq. (3), termed as M th order rth degree G-ANOVA, can be rewritten in matrix form as:

= d (4)

104 where is a matrix consisting of the orthogonal basis, vector consists of the unknown
105 where g = (g1 , g2 , . . . , gNS )T is a vector consisting of the
coefficient vector and d = g g
106 = (g0 , g0 , . . . , g0 )T is the mean response
observed responses at NS training points and g
107 vector. Pre-multiplying Eq. (4) by T yields

B = C (5)

108 where B = T and C = T d. Close inspection of reveals identical columns. Thus,

109 B has identical rows. These rows are redundants and can be removed. Removing identical
110 rows of B and corresponding rows of C, one obtains:

B0 = C0 (6)

5
111 where B0 and C0 are B and C, respectively, after removing the redundants. Eq. (6) represents
112 a set of underdetermined equations and naturally, there exists an infinite number of solutions.
113 The goal is to determine the best solution from all the available solutions.
114 Definition 2: Out of all the possible solutions of Eq. (6), the solution that minimizes the
115 least squared error and satisfies the hierarchical orthogonality criteria of G-ANOVA defined
116 in Remark 2, is termed as the best solution.
117 In this work, the homotopy algorithm (HA) [5456] has been used to determine the unknown
118 coefficient vector . Using HA, the solution of Eq. (6) is given as:
h
1 T i
T
HA = Vqr Uqr Vqr Uqr 0 (7)

119 where U and V are matrices obtained by singular value decomposition of PW matrix:

Ar 0
PW = U VT (8)
0 0
120 For detailed derivation of Eq. (7), interested readers may refer [5456]. P in PW is computed
121 as:

P = I (B0 ) B0 (9)

122 where (B0 ) is the generalised inverse of (B0 ) satisfying all four Penrose conditions [57]. W
123 is the weight matrix used to formulate the objective function in homotopy algorithm. For
124 details regarding the weight matrix W, interested readers may refer [35, 37]. A step-by-step
125 procedure for G-ANOVA is provided in Algorithm 1.
Algorithm 1 Step-by step procedure for G-ANOVA
Initialize: Input the design matrix and responses at the training points. Also
provide statistical parameters of the input variables.
1. Select appropriate basis and formulate matrix
126

2. Formulate B and C matrices. Remove redundants to obtain B0 and C0 matrices.

3. Obtain the least squared solution, P matrix and weight matrix W
4. Compute U and V matrices. Eq. (8)
5. Determine the unknown coefficient vector . Eq. (7)
127 One interesting aspect of the G-ANOVA resides in the fact that it is possible to derive
128 analytical formulae for the first two statistical moments of the G-ANOVA. To be specific,

6
129 the mean and the variance of G-ANOVA are given as [53]:

E (
g (x)) = g0 (10)

130 and
M X
X r

2
var (
g (x)) = jii (11)
|i|=1 |ji |=1

131 Eq. (10) and Eq. (11) will be immensely useful in formulating the h-p adaptive G-ANOVA,
132 which is the primary goal of this paper.

133 3. Proposed approach

134 For practical problems involving large number of stochastic dimensions, constructing a full
135 G-ANOVA involves enormous computational cost. In fact, a second order fourth degree
136 G-ANOVA for problems involving 100 stochastic dimensions involves 119200 unknown co-
137 efficients. In order to address this issue, a h-p adaptive G-ANOVA has been proposed.
138 The proposed approach constructs a sparse G-ANOVA in a sequential manner by consider-
139 ing only the significant components. The proposed framework primarily have three goals:
140 (1) Selection of optimal degree (2) Selection of important components and (3) selection of
141 optimal training points. In order to achieve the first two goals, a variance based global sensi-
142 tivity analysis, which can be performed by post-processing the computed unknown coefficient
143 vector , has been employed. The third goal is achieved by utilizing a novel distribution
144 adaptive sequential experimental design [53]. Next, brief description of the tools utilized in
145 h-p adaptive G-ANOVA has been presented.

146 3.1. Global sensitivity analysis

147 The global sensitivity analysis quantifies the influence of individual or subset of input vari-
148 ables on the output response. In the proposed approach, variance based global sensitivity
149 analysis [45, 58] has been utilized to determine the optimal order of PCE (i.e., degree of
150 G-ANOVA) and important component functions of G-ANOVA.
151 Suppose x = [x1 , x2 , . . . , xN ] be the input variables and y = g (x) be the output response.
152 The variance based global sensitivity index v of xv , where v {1, 2, . . . , N } and v 6= is

7
153 given as:
E (yv2 (x))
v = (12)
2
154 where 2 is the overall variance and E (yv2 (x)) denotes the variance contributed by xv . A
155 component having higher sensitivity index indicates its higher influence on the output. On
156 contrary a component having a lower sensitivity index indicates its minimal influence on the
157 output.
158 Utilizing Eq. (11),
r

X
2
E yv2 (x) = jvi (13)
|ji |=1

159 Substituting Eq. (11) and Eq. (13) into Eq. (12):
P r
2
jvi
|ji |=1
v = (14)
P
M P
r
2
jii
|i|=1 |ji |=1
160

161 Remark 3: Note that the denominator of Eq. (14) is dependent on the order and degree of
162 the G-ANOVA. Therefore, with increase in order and degree of G-ANOVA, the denominator
163 also changes, resulting in erroneous result.
164 In order to address the issue specified in Remark 3, a corrector step is incorporated in
165 the proposed framework. The details regarding the corrector step has been provided in the
166 later part of this paper. Next, the second tool, namely the distribution adaptive sequential
167 experimental design, has been discussed

168 3.2. Distribution adaptive sequential experimental design (DA-SED)

169 DA-SED [53] is a novel sequential experimental design developed to be used in conjunction
170 with the proposed G-ANOVA. This scheme generates distribution adaptive design points in
171 a sequential manner. The algorithm stops when convergence, defined by some appropriate
172 criteria, is achieved. The step-by-step procedure of DA-SED is given in Algorithm 2

8
 Algorithm 2: Algorithm for generating distribution adaptive training points
Initialize: Input number of random variables and their type
1) Generate uniformly distributed training point.
2) Input correlation matrix
173

3) Obtain independent standard normally distributed training points

4) Obtain dependent standard normally distributed training points
5) Obtain dependent uniformly distributed training points
6) Transform to obtain distribution adaptive training points
174 For detailed description and derivations of DA-SED, interested readers may refer [53].

175 3.3. h-p adaptive generalised ANOVA

176 Utilizing the tools described in preceding section, an efficient framework, referred to as h-p
177 adaptive G-ANOVA, has been presented. While the term h adaptive refers to adaptivity in
178 the number of training points, the term p adaptive refers to adaptivity in order and degree
179 of G-ANOVA. Since the proposed framework incorporates both, the name h-p adaptive has
180 been used.
181 Suppose, each component function gi is associated with a weight i > 0, that describes the
182 contribution of the component function to the overall G-ANOVA expansion. In this work,
183 the sensitivity indexes i of the component functions, given by Eq. (14), are considered to
184 be the weights. Moreover, each component function is represented using a truncated PCE,
185 and it is also essential to determine the optimal order of PCE for satisfactory performance of
186 the proposed framework. The authors propose to utilize the change in weight i to deter-
187 mine the optimal order of PCE. Using this information, the authors intend to automatically
188 determine the optimal index sets and the optimal order of PCE rk , k S.
189 In order to determine S and rk , a first order G-ANOVA expansion, the component functions
190 of which are represented using a first order PCE, is first constructed. Next, the weights
191 of individual component functions are determined. However, as already stated in Remark
192 3, the sensitivity indexes obtained using Eq. (14) may be erroneous. In order to address
193 this issue, an additional step has been incorporated. This step, referred to as the corrector
194 step, is meant to stabilize the ranking of sensitivity indexes. Starting from first order PCE,

9
195 the order is increased gradually until the ranking of the component functions converges.
196 Algorithm 3 shows the steps involved in ranking the component functions. The corrector
197 step is depicted in Algorithm 4. The order of PCE obtained at the end of corrector step is
198 considered to be the starting point for determining the optimal degree (i.e., order of PCE)
199 and order of G-ANOVA.
Algorithm 3: Algorithm for ranking the component functions
for i =1:num component
200 Compute i Eq. (14)
end for
[ sort , rank ] = sort ()

10
 Algorithm 4: Algorithm for the corrector step
Initialize: Input the error tolerance 3 and order of ANOVA (S)
err1 = 1;
count = 0;
orderpce = 0;
while (err1 > 3 )
count = count + 1;
orderpce = orderpce + 1;
Rank the S th order component functions Alg. 3
if count = 1
orderpce = orderpce + 1;
201

continue;
else
count2 = 0;
for i =1:num component
if rank {count} (i) 6= rank {count 1} (i)
count2 = count2 + 1;
end if
end for
err1 = count2/num component;
end if
end while
202 After the corrector step, the component functions are considered one at a time and the
203 order of PCE is increased, until convergence is achieved. Considering 2 to be the tolerance,
204 the convergence criterion is given as:
irk irk 1
i = 6 2 , irk 1 6= 0 (15)
irk 1
205 The step by step procedure for selecting the optimal order of PCE is shown in Algorithm 5.

11
 Algorithm 5: Algorithm for determining the optimal order of PCE
Initialize: Input the error tolerance 2 and order of ANOVA (S)
(1) Obtain minimum PCE order from Algorithm 4.
(2) count = 1;
for i =1:num component
count = 0;
err2 = 1;
while (err2 > 2 )
count = count + 1;
206

obtain sensitivity index for the ith component Eq. (14)

if count = 1
orderpce (i) = orderpce (i) + 1;
continue;
else
Compute change in sensitivity (err2) Eq. (15)
end if
end while
end for
207 Once optimal PCE order for all the first order component functions are obtained, the weights
208 associated with each component function are calculated. Considering 1 to be the tolerance,
209 the component functions having weights more than 1 are considered to be important, and
210 hence retained. The other components are neglected. The procedure for selecting the im-
211 portant components has been shown in Algorithm 6.

12
 Algorithm 6: Algorithm for selecting the important components of G-ANOVA
Initialize Input the error tolerance 1
(1) Obtain optimal PCE order of each component function from Algorithm 5.
(2) Obtain the weights/sensitivity index i , i of each component function
Eq. (14)
212 (3) for i =1:num component
index = null;
if (i) > 1
index = [index, i] ;
end if
end for
213 In the next step, the higher order component functions are formulated using the important
214 dimensions obtained from Algorithm 6. In order to further illustrate this step, an example
215 has been presented. Suppose after performing the above mentioned steps, 2, 4 and 5 are
216 found to be the important dimensions. Under this circumstances, only {24}, {25} and {45}
217 are initially considered to be the possible second order component functions. Similarly if
218 {24} and {45} are found to be the important second order component functions, then {245}
219 is initially considered to be the only possible third order component function. On contrary
220 if only {24} is found to be important second order component function, it is assumed that
221 there exists no feasible third order component function. Once the possible components are
222 determined, the above mentioned steps (i.e., Algorithm 3 Algorithm 6) are repeated. The
223 process is repeated until the possible higher order component functions becomes nil. The
224 step-by-step procedure for determining the important dimensions and possible component
225 functions are shown in Algorithm 7.
Algorithm 7: Algorithm for formulating the possible higher order component functions
(1) Obtain the important lower order components from Algorithm 6.
226 (2) Determine the important stochastic dimensions
(3) Formulate all possible component functions using stochastic dimensions obtained in
Step 2.
227 Remark 4: Note that there are two additional criteria imposed for determining the optimum

13
228 PCE order for higher order component functions. Firstly, the order of individual variables
229 in higher order component functions, i.e., S > 2, should not be larger than the estimated
230 PCE order for the first order component function. Secondly, the total order of higher order
231 component functions should not exceed the highest PCE order for first order component
232 functions. It is worth mentioning that similar criteria has previously been utilized by Gavin
233 and Yau [59] in the high-order stochastic response surface method.
234 The procedure described till now only incorporates adaptivity in order and degree (i.e., order
235 of PCE corresponding to each component function) of G-ANOVA, and hence can be termed
236 as p adaptive G-ANOVA. However, for further refinement, it is essential to incorporate
237 adaptivity in training points (h adaptivity ) as well. This is achieved by utilizing the DA-
238 SED proposed in previous section and leave one out statistical test. An algorithm depicting
239 the step by step procedure for obtaining optimal number of training points using DA-SED
240 and leave one out (LOO) statistical test is given in Algorithm 8. The basic idea of Algorithm
241 8 is to iteratively refine the experimental design set until convergence, defined in term of a
242 tolerance parameter, is achieved. However, there are two issues that needs to be addressed.
243 Firstly, there is no guideline regarding the initial number of training points. Furthermore,
244 no concrete guideline for increment size is present. In this work, the initial straining points
245 is considered to be equal to the number of variables. As for the increment size, a scheme for
246 determining the step size based on the error obtained in previous step has been prescribed.
247 The proposed scheme considers five intervals, namely (i) error is greater than ten times the
248 tolerance, (ii) error is within ten times the tolerance but greater than five times the toler-
249 ance, (iii) error resides between twice the tolerance and five times the tolerance, (iv) error
250 is within twice the tolerance and 1.5 times the tolerance and (v) error is greater than the
251 tolerance but less than 1.5 times the tolerance. Among the above mentioned five cases, case
252 (i) is considered to be the worst case scenario and hence, it can be argued that significant
253 increase in number of training points is required to achieve convergence. Thus, the initial
254 number of training points is considered to be the size of increment. Case (ii) is compara-
255 tively better than case (i). Naturally, the increment size (half that of the training set size)
256 considered is comparatively smaller than case (i). In cases (iii) and (iv), the increment size
257 is reduced even further. In case (v), the error is very close to the tolerance and hence, the

14
258 training points are increased one at a time.
259

260 Remark 5: Algorithm 8 is only applicable when G-ANOVA yields sufficiently accurate re-
261 sults. Therefore, it is not appropriate to use Algorithm 8 during formulating the p adaptive
262 G-ANOVA. However, once the p adaptive G-ANOVA has been formulated, Algorithm 8
263 can be utilized to determine the optimal number of training points.
264 In order to address the issue highlighted in Remark 5, an alternative algorithm for de-
265 termining the optimum number of training points has been proposed. This algorithm is
266 independent of the accuracy of G-ANOVA and hence, is appropriate for coupling with the
267 p adaptive G-ANOVA at the initial stage. The error after each step is computed as:
v
u P
u p ct ct1
2
u
u 1 i=1 i i
err4 = u (16)
tp Pp
(ict )2
i=1
0
268 where s are unknown expansion coefficients associated with the bases, p is the number
269 of unknown coefficients and ct is the step counter. The algorithm stops when the error
270 computed using Eq. (16) is less than a given tolerance 4 . The step-by-step procedure is
271 shown in Algorithm 9.

15
Algorithm 8: Algorithm for generating optimal training points using DA-SED and LOO
Initialize: Input the error tolerance 5 . Also input initial training size NS .
Obtain responses at the training points
err = 1;
err3 = 0;
while (err > 5 )
for i =1:NS
(a) leaving the ith training point, formulate G-ANOVA Alg. 1
(b) Predict response at the ith training point
(c) Compute error as:

ypred yact
yact , yact 6= 0
r = , where is a small positive integer
( pred ) act + ) , y = 0
y + (y
(yact + ) act

(d) err3 = err3 + r

end for
err3
err = NS

if err > 105

= 1;
NS = NS + NS ;
else if err > 55 and err 6 105
= 0.5;
NS = NS + NS ;
else if err > 25 and err 6 55
= 0.25;
NS = NS + NS ;
else if err > 1.55 and err 6 25
= 0.125;
NS = NS + NS ;
else
NS = NS + 1;
end if
end while

16
 Algorithm 9: Alternative algorithm for generating optimal training points using
DA-SED.
Initialize: Input the error tolerance 4 . Also input initial number of training points
NS .
(1) Obtain responses at the training points
(2) Formulate G-ANOVA based surrogate and compute the unknown coefficients
Alg.1
(3) Compute error err4 Eq. (16)
(4) if err4 > 104
= 1;
NS = NS + NS ;
272 else if err4 > 54 and err4 6 104
= 0.5;
NS = NS + NS ;
else if err4 > 24 and err4 6 54
= 0.25;
NS = NS + NS ;
else if err4 > 1.54 and err4 6 24
= 0.125;
NS = NS + NS ;
else
NS = NS + NS ;
end if
273 In order to incorporate h adaptivity into the previously proposed p adaptive G-ANOVA,
274 both algorithms (Algorithm 8 and 9) have been utilized. While Algorithm 9 ensures optimum
275 size of design matrix in the initial stage, Algorithm 8 is utilized to obtain the optimum
276 training points in the final stage of the proposed framework. A flowchart depicting the
277 whole procedure of h-p adaptive G-ANOVA has been shown in Fig. 1. Note that there are
278 five parameters, namely 1 5 , that governs the performance of the proposed approach.
279 The first parameter 1 modulates which component functions should be retained. As the

17
280 magnitude of 1 decreases, more number of component functions are retained. Ideally when
281 1 = 0, all the component functions are retained and the proposed h-p adaptive G-ANOVA
282 yields identical results as a full G-ANOVA. The second parameter 2 modulates the order
283 of PCE within each component function of G-ANOVA. Similar to 1 , as the magnitude of
284 2 decreases, the optimum order of PCE in a component function increases. This results
285 in an increased accuracy albeit at the cost of computational efficiency. On contrary, as the
286 magnitude of 2 increases, the optimum order of PCE within a component function decreases.
287 This results in an increased efficiency but a reduced accuracy. The third parameter 3 decides
288 whether the algorithm for the Corrector step has converged or not. When 3 = 0, the
289 algorithm converges when ranking of all the component functions in previous step do not
290 change with increase in the order of PCE. However, setting 3 = 0 will result in an increased
291 computational effort. A better choice is to set 3 to be small positive number. In this
292 work, 3 = 0.2 has been considered for all the examples. This indicates that the Corrector
293 step converges if ranking of not more than 20% variables changes due to increase in PCE
294 order. The other two parameters, namely 4 and 5 , modulates the two algorithms for h
295 adaptivity. While 4 corresponds to Algorithm 9, 5 corresponds to Algorithm 8. Both these
296 parameters acts in the similar manner and modulates when convergence in training points is
297 achieved. Having said so, it is suggestive to set a higher value of 4 as compared to 5 . This
298 is because 4 modulates training point generation at initial stage and hence, its influence on
299 final accuracy of the proposed h-p adaptive G-ANOVA is comparatively less. In this work,
300 4 = 102 has been considered. On contrary, influence of 5 on the final results is significant.
301 Hence, a lower value of 5 should be set. In this work, 5 considered has been varied in the
302 the range of 102 106 .

303 4. Numerical examples

304 In this section, uncertainty quantification and reliability analysis of four numerical examples
305 have been presented. The estimates of the related quantities of interest, namely probability
306 density function (PDF), statistical moments and probability of failure, have been obtained by
307 post-processing the expansion coefficients of h-p adaptive G-ANOVA. Various case studies,
308 by setting different values of the tolerance criteria, have also been presented. Additionally,

18
Figure 1: Flow-chart for h-p adaptive G-ANOVA

19
309 results obtained have been validated against results obtained using the MCS, FORM, IS
310 and conventional 2nd order 3rd degree G-ANOVA. For details regarding the construction of
311 conventional G-ANOVA, interested readers may refer the authors previous works [35, 3840]

312 4.1. Example 1: Two degree of freedom damped oscillator

313 In this example, a damped oscillator [13, 38], having two degrees of freedom, has been
314 considered. Schematic diagram of the system under consideration is shown in Fig. 2. The
315 system is characterised by two masses mp and ms , damping ratios p and s and spring
316 stiffnesses kp and ks . The system is subjected to a base acceleration S (t). In this work, the
317 base acceleration is considered to be Gaussian white noise. It is assumed that the system
318 fails if force developed in the secondary spring exceeds the force capacity Fs . Hence, the
319 limit-state function for the above mentioned system is given as:

g (x) = Fs ks . max |xs (t)| (17)

t[0; ]

320 where denotes the duration of the excitation and is the peak factor. In this work,
321 = 3 has been considered. All the parameters namely, two masses, two damping ratios, two
322 stiffnesses, have been considered to be random. Moreover, the intensity of white noise S0
323 and FS are considered to be random. Hence, the system is having eight random variables.
The details of the random variables are presented in Table 1

Figure 2: 2-DOF primary secondary oscillator in Example 1

324

325 The proposed h-p adaptive G-ANOVA has been employed to predict the PDF of g (x) in
326 Eq. (17). Fig. 3 shows the PDF obtained using h-p adaptive G-ANOVA and Monte Carlo
327 simulation (MCS). Various cases, by the varying the tolerances for order of G-ANOVA (1 )

20
 Table 1: Statistical properties of random variables for Example 3
Variable Distribution Mean COV
mp Lognormal 1.5 0.1
ms Lognormal 0.01 0.1
kp Lognormal 1 0.2
mp Lognormal 0.01 0.2
p Lognormal 0.05 0.4
s Lognormal 0.02 0.5
FS Lognormal 15 0.1
S0 Lognormal 100 0.1

328 and degree of G-ANOVA (i.e., order of PCE) (2 ), have also been investigated (Fig. 4 and
329 Fig. 5). Significant changes in number of training points, required for convergence, has been
330 observed. The first two statistical moments of g (x) and probability of failure have also been
331 computed. Table 2 presents the first two statistical moments obtained using the proposed
332 approach, conventional G-ANOVA and MCS. Probability of failure obtained is shown in
333 Table 3. For both cases, results predicted using h-p adaptive G-ANOVA outperforms the
conventional G-ANOVA, both in terms of accuracy and efficiency.

Table 2: First two statistical moments of g (x) defined in Eq. (17)

MCS 2nd order 3rd Proposed
degree G ANOVA approach
First moment 9.75 9.79 9.76
Second moment 105.97 103.73 105.56
MCS is performed with 106 sample points

requires 300 training points
334

335 4.2. Example 2: An antenna structure

336 In this example, an antenna structure, as shown in Fig. 6 has been considered. The structure
337 consists of reflector/dish and structural support system. The bottom of the antenna is

21
 Figure 3: PDF of response obtained using MCS and proposed approach, implemented with two different
thresholds (PA1 and PA2). PA1 corresponds to 1 = 1 103 , 2 = 1 104 and 5 = 1 103 . PA2
corresponds to 1 = 1 105 , 2 = 1 105 and 5 = 1 106 . Number of training points required for PA1
is 64. Training points required for case 2 is 187.

Table 3: Probability of failure of system described in Example 1

MCS FORM SORM 2nd order 3rd Proposed
degree G ANOVA approach
Reliability index 2.5899 2.0160 3.2472 2.5828 2.5899
Probability of failure 00048 0.0219 0.0005827 0.0049 0.0048
MCS is performed with 106 sample points
Results for FORM and SORM has been taken from [60]

requires 300 training points

338 fixed in the ground. The dimensions of the structure is shown in Fig. 6(b). Total 18
339 random variables including three Youngs modulus, three Poissons ratio, two shear modulus,
340 four cross-sectional areas, four moment of inertias and two depth, are associated with this
341 problem. The statistical properties of the random variables are listed in Table 4

22
 Table 4: Statistical properties of random variables for Antenna structure
Sl. Variable Description type Mean COV
No. (%)


1 E1 lbf in2 Elastic modulus of support beams Lognormal 3 107 4
(P.support, S.support and V.support)


2 G1 lbf in2 Shear modulus of support beams Lognormal 1.16 107 5
(P.support, S.support and V.support)
3 1 Poissons ratio of support beams Lognormal 0.29 1
(P.support, S.support and V.support)


4 E2 lbf in2 Elastic modulus of reflector and con- Lognormal 1.0 107 4
nector
5 2 Poissons ratio of reflector and connec- Lognormal 0.33 1
tor


6 E3 lbf in2 Elastic modulus of Beam 1 Lognormal 1.59 107 4


7 G3 lbf in2 Shear modulus of Beam 1 Lognormal 4.5 106 5
8 3 Poissons ratio of Beam 1 Lognormal 0.1 1
9 d1 (in) Thickness of reflector Rayleigh 0.03 3
10 d2 (in) Thickness of connector Rayleigh 0.05 3


11 A1 in2 Area of beam marked as V.support Uniform 9.4 102 8


12 I1 in4 Moment of inertia of beam marked as Uniform 1.05 101 8
V.support


13 A2 in2 Area of beams marked as P.support Uniform 7.07 8


14 I2 in4 Moment of inertia of beams marked as Uniform 18.1 8
P.support


15 A3 in2 Area of Beam 1 Uniform 5.98 101 8


16 I3 in4 Moment of inertia of Beam 1 Uniform 1.20 8


17 A4 in2 Area of beams marked as S.support Uniform 4.71 102 8


18 I4 in4 Moment of inertia of beams marked as Uniform 5.28 102 8
S.support

23
 Figure 4: Variation of required training points with change in error tolerance 1 . 2 = 1 104 , 3 = 0.2
and 4 = 1 102 has been considered.

342 The typicality of this problem arises from the fact that the variables involved are correlated.
343 The correlation matrix () for this problem is given as:

E1 1

.. ...
.


d2 1


A1 1 0.6


I1 0.6 1 0


= A2 0 1 0.6 (18)


I2 0.6 1 0


A3 0 1 0.6


I3 0.6 1 0


A4 0 1 0.6

I4 0.6 1
344 The objective is to perform stochastic free-vibration analysis to determine the moments of

24
 Figure 5: Variation of required training points with change in error tolerance 2 . 1 = 1 105 , 3 = 0.2
and 4 = 1 102 has been considered.

345 first four frequencies of the whole system. Furthermore, moment of maximum Von-mises
346 stress at the junction of reflector and connector is also determined.
347 The structure is modelled using ABAQUS T M version 6.8 [61]. While the reflector/dish is
348 modelled as eight noded doubly curved thin shell element, with five degrees of freedom per
349 node (S8R5), the structural support system is modelled using two noded linear beam element
350 (B31). The structural component connecting the beam and the disk (connector) is modelled
351 using eight noded doubly curved thin shell element, with five degrees of freedom per node
352 (S8R5).
353 h-p adaptive G-ANOVA has been employed to determine the statistical moments of the first
354 four natural frequencies and Von-Mises stress. The results obtained have been tabulated in
355 Table 5 and Table 6. Four cases by considering different combinations of tolerance values
356 has been considered. Results obtained have been benchmarked against MCS solution and
357 2nd order 3rd degree G-ANOVA solution. It is observed that the proposed approach yields
358 highly accurate result from considerably less training points.

25
 (a) (b)

(c)

Figure 6: Details of Antenna structure considered in Example 2

359 4.3. Example 3: Settlement of foundation

360 In this example, the problem on settlement of foundation resting on a soil having spatial
361 variability in its material properties has been considered [33]. A schematic diagram of the
362 foundation is shown in Fig. 7. The soil width is considered to be 120m and soil layer
363 thickness (t) is 30m. The foundation is having a width of 20m. It is assumed that the soil

26
 Table 5: First two statistical moments of frequencies for Antenna structure described in Example 2. h-p
adaptive G-ANOVA is employed with four different tolerances, viz.,(1) 1 = 0.01, 2 = 0.01, 5 = 0.01
(NS = 27) (2) 1 = 0.001, 2 = 0.01, 5 = 0.01 (NS = 48) (3) 1 = 0.001, 2 = 0.01, 5 = 0.001 (NS = 72)
and (4) 1 = 1 104 , 2 = 1 104 , 5 = 1 104 (NS = 137). 3 = 0.2 and 4 = 0.01 is considered for
all the cases.
h-p adaptive G-ANOVA MCS G-ANOVA
M1 M2 NS M1 M2 M1 M2
3.1579 10.037 27
First
3.1802 10.1183 48
Frequency 3.1766 10.1103 3.1781 10.1051
3.1797 10.1026 72
(cycles/sec)
3.1771 10.1112 137
3.5595 12.8722 27
Second
3.5706 12.7557 48
Frequency 3.5601 12.6981 3.5616 12.7169
3.5659 12.7136 72
(cycles/sec)
3.5606 12.6961 137
4.0834 16.677 27
Third
4.0894 16.6449 48
Frequency 4.0771 16.6417 4.0755 16.6435
4.0781 16.6435 72
(cycles/sec)
4.0774 16.6424 137
4.3192 18.6576 27
Fourth
4.3171 18.644 48
Frequency 4.3213 18.7082 4.3247 18.717
4.3248 18.7168 72
(cycles/sec)
4.3219 18.7101 137

MCS is performed with 5000 sample points

2nd order 3rd degree G-ANOVA requires 256 training points.

364 is subjected to an uniform pressure P , originating from the structure to be constructed on

365 this foundation. The soil is modelled as a linear isotropic material.
366 The system is modelled using ABAQUS T M [61]. The soil is discretized into 448 four noded
367 rectangular elements. Deformed and undeformed meshing configuration is shown in Fig. 8.
368 The elastic modulus of the soil is considered to vary in both vertical and horizontal direction,

27
 Table 6: First two statistical moments of Von-mises stress for Antenna structure described in Example 2.
h-p adaptive G-ANOVA is employed with four different tolerances, viz.,(1) 1 = 0.01, 2 = 0.01, 5 = 0.01
(NS = 27) (2) 1 = 0.001, 2 = 0.01, 5 = 0.01 (NS = 48) (3) 1 = 0.001, 2 = 0.01, 5 = 0.001 (NS = 72)
and (4) 1 = 1 104 , 2 = 1 104 , 5 = 1 104 (NS = 137). 3 = 0.2 and 4 = 0.01 is considered for
all the cases.
h-p adaptive G-ANOVA MCS G-ANOVA
M1 M2 NS M1 M2 M1 M2
0.1502 0.02411 27
Von-mises
0.1497 0.02361 48
stress 0.1493 0.02341 0.1491 0.02351
0.1495 0.02351 72
(lbf/in2 ))
0.1493 0.02344 137

MCS is performed with 25000 sample points

2nd order 3rd degree G-ANOVA requires 256 training points.

Figure 7: Soil foundation described in Example 3

369 and modelled as lognormal random field. The mean value of elastic modulus E is assumed
370 to be 50 GPa and its coefficient of variation E is assumed to be 0.3. The autocorrelation
371 function of the underlying Gaussian field takes the following form:

    
 x1 x2   y 1 y 2 
N (x, y) = exp    (19)
bx   by 

28
 (a) undeformed (b) deformed

Figure 8: Mesh configuration for soil foundation described in Example 3

372 where bx = by = 15 m. The underlying Gaussian field is discretized using the Karhunen-
373 Loeve (KL) expansion [62, 63], and recast as a function of independent standard Gaussian
374 random variables. As already demonstrated in [33], a relative error of less than 1% is obtained
375 by truncating the KL expansion at N = 38, where N is the number of terms retained in KL
376 expansion.
377 The primary objective is to determine the PDF and statistical moments of average vertical
378 displacements under the foundation. h-p adaptive G-ANOVA, with various tolerance limits,
379 is employed to determine the PDF and statistical moments of response. Fig. 9 depicts the
380 PDF obtained using the proposed approach and MCS. It is observed that h-p adaptive G-
381 ANOVA yields highly accurate result from significantly less number of training points. The
382 first two statistical moments obtained using the proposed approach is tabulated in Table 7.
383 Results obtained using h-p adaptive G-ANOVA are almost identical to the MCS solutions.

Table 7: First two statistical moments for settlement of foundation problem considered in Example 3. PA1
corresponds to h-p adaptive G-ANOVA with 1 = 0.01, 2 = 0.01, 5 = 0.01. PA2 corresponds to h-p
adaptive G-ANOVA with 1 = 1 103 , 2 = 1 106 , 5 = 1 104 . 3 = 0.2 and 4 = 0.01 is considered
for all the cases.
h-p adaptive G-ANOVA
MCS
PA1 PA2
First moment 0.0389 0.0312 0.0389
Second moment 0.0015 0.0012 0.0016
384

385 Reliability analysis of the system described above with uthreshold = 0.029 m has also been
386 performed. The probability of failure obtained are tabulated in Table 8. Results obtained

29
 Figure 9: Probability density function of average displacement for settlement of foundation problem con-
sidered in Example 3. PA1 corresponds to h-p adaptive G-ANOVA with 1 = 0.01, 2 = 0.01, 5 = 0.01.
PA2 corresponds to h-p adaptive G-ANOVA with 1 = 1 103 , 2 = 1 106 , 5 = 1 104 . 3 = 0.2
and 4 = 0.01 is considered for all the cases. For PA1, 225 training points is required. For PA2, 496 training
points is required.

387 using 2nd order 3rd degree G-ANOVA, FORM and IS have also been presented. It is ob-
388 served that the proposed approach yields highly accurate result outperforming 2nd order 3rd
389 degree G-ANOVA, FORM and IS. Additionally, number of training points required using
390 the proposed approach is significantly less as compared to 2nd order 3rd degree G-ANOVA
391 and IS.

392 4.4. Bending of simply supported beam

393 In this example, a simply supported beam subjected to uniformly distributed loading is
394 considered [33]. The schematic diagram of the problem considered is shown in Fig. 10. The
395 length and moment of inertia of the beam are considered to be 3 m and 0.8 105 m4 .
396 Magnitude of applied pressure is 13 MPa. The elastic modulus is considered to be random
397 and modelled as a lognormally distributed random field. The mean E of the random field

30
 Table 8: Results of reliability analysis for settlement of foundation problem considered in Example 3. PA1
corresponds to h-p adaptive G-ANOVA with 1 = 0.01, 2 = 0.01, 5 = 0.01. PA2 corresponds to h-p
adaptive G-ANOVA with 1 = 1 103 , 2 = 1 106 , 5 = 1 104 . 3 = 0.2 and 4 = 0.01 is considered
for all the cases.
Reliability index Failure probability NS
MCS 2.1862 0.0144 105
FORM 2.1084 0.0175 309
IS 2.1727 0.0149 5000
h-p adaptive PA1 2.1799 0.0146 225
G-ANOVA PA2 2.1838 0.0145 496
2nd order 3rd degree G-ANOVA 2.1675 0.0151 4500

398 is 210MPa and its coefficient of variation is E = 0.2. The autocorrelation function of the
399 underlying Gaussian field is:
 
|x1 x2 |
N (x) = exp (20)
l
400 where l = 0.5 m. Using the KL expansion [62, 63], the random field is discretized into
401 independent standard Gaussian random variables. As demonstrated by [33], considering 100
402 terms (i.e., 100 random variables) in KL expansion yields a relative variance of less than 1%.
403 For such a large system, employing a 2nd order 3rd degree G-ANOVA yields 74450 unknown
404 coefficients, solution of which is not possible using the limited computing power available at
405 Indian Institute of Technology Roorkee (workstation with 2.4 GHz (24 CPUs) and 48 GB
406 RAM). Hence, results obtained using h-p adaptive G-ANOVA has only been presented.
407 h-p adaptive G-ANOVA has been employed to determine the PDF of maximum deflec-
408 tion. Fig. 11 depicts the PDF obtained using the proposed approach and MCS. Three cases
409 (namely PA1, PA2 and PA3), by considering different values of tolerances, have been shown.
410 For all the cases, the results obtained are in close proximity of the MCS solution. Moreover
411 for the PA3 (1 = 105 , 2 = 107 and 5 = 105 ), the result obtained is almost identical
412 to that obtained using MCS. The first two statistical moments, obtained using the proposed
413 approach are presented in Table 9. Results obtained are in excellent agreement with the
414 benchmark solution obtained using MCS. Moreover, training points required is also minimal

31
 Figure 10: Simply supported beam with uniformly distributed load considered in Example 4.

for such a system that involves 100 random variables.

Figure 11: PDF of response for the simply supported beam considered in Example 4. The total number of
training points required for PA1 (1 = 0.01, 2 = 0.01 and 5 = 0.01 ), PA2 (1 = 103 , 2 = 103 and
5 = 103 ) and PA3 (1 = 105 , 2 = 107 and 5 = 105 ) are respectively 765, 1145 and 1490 respectively.
3 = 0.2 and 4 = 0.01 has been considered in all the three cases.
415

32
 Table 9: First two statistical moments for simply supported beam considered in Example 4. The total
number of training points required for PA1 (1 = 0.01, 2 = 0.01 and 5 = 0.01 ), PA2 (1 = 103 , 2 = 103
and 5 = 103 ) and PA3 (1 = 105 , 2 = 107 and 5 = 105 ) are respectively 765, 1145 and 1490
respectively. 3 = 0.2 and 4 = 0.01 has been considered in all the three cases.
h-p adaptive G-ANOVA
MCS
PA1 PA2 PA3
First moment 8.1590 8.1365 8.1468 8.1579
Second moment 67.6278 67.3014 66.5644 67.6258

Table 10: Results of reliability analysis for simply supported beam considered in Example 4. The total
number of training points required for PA1 (1 = 0.01, 2 = 0.01 and 5 = 0.01 ), PA2 (1 = 103 , 2 = 103
and 5 = 103 ) and PA3 (1 = 105 , 2 = 107 and 5 = 105 ) are respectively 765, 1145 and 1490
respectively. 3 = 0.2 and 4 = 0.01 has been considered in all the three cases.
Reliability index Failure probability NS
MCS 2.3999 0.0082 25000
FORM 2.3999 0.0142 422
IS 2.3999 0.0078 7500
PA1 2.2801 0.0113 765
h-p adaptive
PA2 2.3911 0.0084 1145
G-ANOVA
PA3 2.3954 0.0083 1490

416 Reliability analysis, by considering threshold uthreshold = 6 mm , has also been performed.
417 Table 10 presents the results obtained using MCS, IS, FORM and the proposed approach.
418 It is observed that results obtained using PA1 are erroneous. However, PA2 and PA3 yield
419 excellent results. Results obtained using FORM are also erroneous. As for IS, the number of
420 actual simulation required is considerably more as compared to the proposed h-p adaptive
421 G-ANOVA.

422 5. Application: structural reliability analysis of a large scale problem

423 In this section, the capability of the proposed h-p adaptive G-ANOVA in solving large scale
424 practical civil engineering problems has been illustrated. The problem considered comprises

33
425 a six- storey building subjected to gravity and wind load. The objective is to compute the
426 probability of failure of the system.

427 5.1. Problem description

428 A six storey building, as shown in Fig. 12, has been considered. The building is subjected
429 to lateral load arising due to wind and gravity load. The plan area of the building is
430 18 (m) 18 (m). Each floor is having 16 columns at spacing of 5 m. Furthermore, a lift-wall
is situated at the centre of the building. The floor to floor height is considered to be 3.6 m.

Figure 12: Schematic diagram of six storey building

431

432 The building described above is modelled using ABAQUST M version 6.8 [61]. While the
433 floors and walls (lift wall and load bearing wall of ground floor) are modelled as 4-noded
434 shell element (S4), the columns are modelled as 2-noded beam element (B31). The soil is

34
435 modelled as 8-noded brick element (C3D8I).
436 The cross-section (both depth (dc ) and width (wc )) of columns, thickness of slabs (both floor
437 (tf loor ) and staircase slab (tstair )), thickness of walls (tcellular ), density () and elastic modulus
438 (E) of concrete, cellular material (used for load bearing wall) and soil, upper (YU ) and lower
439 yield point (YL ) of concrete are considered to be independent random variables. The seven
440 lateral loads, namely Pf 1 , Pf 2 , Pf 3 , Pf 4 , Pf 5 , Pf 6 and Psurf , acting at floor 1-6 and terrace
441 lift wall respectively are also considered to be independent random variables. The system
442 has 39 random variables. The details of random variables are shown in Table 11
443 The limit-state function for the system described above is given as

g (x) = 0 (mises )max (21)

444 where (mises )max is the maximum von mises stress and 0 is the threshold value. Here,
445 0 = 1.1 107 N/m2 is considered.

446 5.2. Results and discussion

447 h-p adaptive G-ANOVA has been employed to determine the probability of failure of the
448 above mentioned system. In order to demonstrate the superiority of the proposed approach,
449 results obtained have been compared with that obtained using FORM, IS, conventional 2nd
450 order 3rd degree G-ANOVA and distribution adaptive sequential experimental design based
451 G-ANOVA (can also be termed as h-adaptive G-ANOVA). Results obtained using MCS
452 with 20000 sample points is considered to be the benchmark solution.
453 Table 12 shows the results obtained using various methods. While 2nd order 3rd degree
454 G-ANOVA (Pf = 0.1452) underestimates the failure probability by 1.89%, h-adaptive G-
455 ANOVA (Pf = 0.1471) underestimates the same by 0.6%. FORM and IS underestimate
456 the failure probability by 50.06% and 35.27% respectively. Since both FORM and IS yield
457 erroneous results, one may conclude that the error in prediction is primarily because of the
458 error in identifying the design point. Additionally, it may be noted that the excessive sample
459 points required in FORM is due to the implementation of finite difference method within
460 the framework of FORM. h-p adaptive G-ANOVA with 1 = 2 = 5 = 105 , 3 = 0.1 and
461 4 = 0.01 yields the best solution with computational error of 0.13%. Moreover, the number
462 of training points required using the h-p adaptive G-ANOVA (NS = 1658) is significantly

35
 Table 11: Details of random variables for six storey building
Variable no. Variable Mean COV Distribution
1 ECellular (N/m2 ) 2.5 1010 0.05 Lognormal


2-4 Ecol , Ef loor , Estair N/m2 3.5 1010 0.05 Lognormal
5 Gcol (N/m2 ) 1.4 1010 0.05 Lognormal
6-8 col , f loor , stairs (kg/m3 ) 2500 0.1 Normal
9 YL (N/m2 ) 2.0 107 0.05 Lognormal
10 YU (N/m2 ) 2.2 107 0.05 Lognormal
11 tstair (m) 0.1 0.2 Uniform
12 tcellular (m) 0.5 0.2 Uniform
13-18 tf loor1 (m) tf loor6 (m) 0.125 0.2 Uniform
19 Esoil (N/m2 ) 5 109 0.1 Lognormal
20 soil (kg/m3 ) 1800 0.15 Normal
21-24 dcf 1 , wcf 1 , dcf 2 , wcf 2 (m) 0.8 0.2 Uniform
25-28 dcf 3 , wcf 3 , dcf 4 , wcf 4 (m) 0.6 0.2 Uniform
29-32 dcf 5 , wcf 5 , dcf 6 , wcf 6 (m) 0.4 0.2 Uniform
33 P1 (N/m) 2722 0.15 Rayleigh
34 P2 (N/m) 2528 0.15 Rayleigh
35 P3 (N/m) 2917 0.15 Rayleigh
36 P4 (N/m) 3111 0.15 Rayleigh
37 P5 (N/m) 3306 0.15 Rayleigh
38 P6 (N/m) 1750 0.15 Rayleigh
39 Psurf (N/m2 ) 800 0.15 Uniform

463 less as compared to 2nd order 3rd degree G-ANOVA (NS = 5000) and h-adaptive G-ANOVA
464 (NS = 2628).

465 6. Conclusions

466 In this paper, a novel approach, referred to as h-p adaptive generalised analysis of vari-
467 ance decomposition (G-ANOVA) has been presented. While the term h-adaptive refers to

36
 Table 12: Failure probability for six-storey building obtained using various method
Method Reliability index Failure probability Ns
Full-scale MCS 1.0450 0.1480 20000
FORM 1.4473 0.0739 4594
IS 1.3059 0.0958 4000
2nd order 3rd degree G-ANOVA 1.0572 0.1452 5000
h-adaptive G-ANOVA 1.0490 0.1471 2628
h-p adaptive G-ANOVA 1.0459 0.1478 1658

Ns indicates total number of actual function evaluation.

468 adaptivity in selecting the training points, p-adaptive means adaptivity in selecting the
469 important component functions and its degree (i.e., order of PCE for that component func-
470 tion). The method proposed, in an iterative manner, determines the important component
471 functions and its degree (i.e., p-adaptivity ) by utilizing variance based global sensitivity
472 analysis. The optimal number of training points (i.e., h-adaptivity ) at each step is calcu-
473 lated by utilizing a novel distribution adaptive sequential experimental design.
474 The method proposed is first tested on a damped oscillator having two degrees of freedom. It
475 is demonstrated that the proposed algorithm can reach very high level of accuracy. Moreover,
476 it is illustrated that the proposed approach outperforms the classical 2nd order 3rd degree G-
477 ANOVA both in terms of accuracy and efficiency. Next the method is tested on three finite
478 element models involving large number of random variables (max 100 stochastic dimensions
479 has been illustrated). For all the examples the proposed h-p adaptive G-ANOVA yields
480 highly accurate result from significantly less number of training points. Finally, h-p adaptive
481 G-ANOVA is applied for structural reliability analysis of a six-storey building, demonstrating
482 its ability in handling large-scale problems.

483 Acknowledgement

484 SC and RC acknowledges the support of CSIR via grant no. 22/712/16/EMR-II.

37
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44
Highlights
h-p adaptive generalised ANOVA has been presented.

Method developed is suitable for large scale stochastic problems.

Proposed approach outperforms conventional ANOVA.

Proposed approach is applicable to both dependent and independent random variables.