Extending Ferry-Borges Method for Combination of Time

Dependent Loads with Time-invariant Modelling Uncertainties

using FORM

Assist. Prof. Engin Aktas, Ph. D.

Department of Civil Engineering, Izmir Institute of Technology, Gulbahce Campus, Urla Izmir 35430
Turkey enginaktas@iyte.edu.tr

Abstract
In calibration of design codes, combination of time dependent loads complicates the problem
because of its stochastic nature. Various practical combination techniques have been
developed, namely Turkstras Rule, Ferry-Borges Method and Wens Coincidence Method. This
paper focuses on Ferry-Borges Method, which assumes loads as independent rectangular
pulses with constant duration. However, the modelling uncertainties in load models are not time
variant, and load pulses are dependent. Because the load combination process relies on the
assumption of independency between load pulses, in order to be consistent, the load model
needs to be separated into time dependent and independent parts. The conditional probability
along with the Numerical Integration and FORM can be used to solve for probability of failure. In
this paper, in order to reduce the time cost on Numerical Integration, Nested Reliability Analysis
is used to estimate the probability of failure and safety index, for the combination of time
dependent loads with the modeling uncertainties. The Nested Reliability Analysis results are
compared with the results obtained by Numerical Integration+FORM.
Keywords
FORM; Load combination; Ferry-Borges Method; Nested Reliability Analysis
Introduction
Most of the loads show variation in time, which makes them stochastic processes. In design
codes simultaneous act of different loads needs to be considered, and maximum effect of the
combined loads is required to be evaluated. When acting loads show no variation in time then
the combination process simply turns to finding total effect of random variables. However, most
of the loads show variation in time and in code calibration, practical approaches are used in the
literature to evaluate the probability of failure. Turkstras Rule which is a deterministic approach,
assumes while a load acts on its maximum value others act at their arbitrary point in time value.
This approach extensively used in code calibration because of its simplicity. Ferry-Borges
Method takes into account time in evaluation but method omits the load pulse dependency.
Wens Load Coincidence Method depends on the upcrossing rates of the stochastic processes.
In an attempt to use Reliability Based Cost Optimization in code calibration (Aktas et al. 2001),
the annual probability of failures for the design life is calculated repeatedly for a family of design
samples to find annual cost of failures. The Ferry-Borges Method is accurate enough to use in
such an analysis, and Rackwitz-Fiessler algorithm is very efficient to adopt the method. The only
shortcoming was the assumption of single event independency, the modelling uncertainties in
load models violates that assumption. This shortcoming is overcome by separating the modelling
uncertainties in load models, and the expected value of the conditional probability is used in
calculation which brings an excessive computing time to evaluate annual probability of failure for
every year in design life. Nested Reliability Analysis would be efficiently used to reduce the
computing time required to find annual probability of failures. In this paper the application of the
Nested Reliability Analysis on combination of time dependent loads with time invariant modelling
uncertainties.


Ferry-Borges Process
Ferry-Borges Method models the load process as rectangular pulses that change after
prescribed, equal and deterministic intervals (Turkstra and Madsen (1980)). It is assumed that
load intensities are independent and constant during the interval. The lifetime of the structure is
an integer multiple of the load intervals, and also the individual loads intervals are integer
factors of each other as shown in Figure 1.


t
3
t
3
t
3
t
3
t
3
t
3
t
3
t
3
t
3
t
3
t
3
t
3
t
2
t
2
t
2
t
2
t
2
t
2
t
1
t
1
t
1
X
3
(t)
X
2
(t)
X
1
(t)
t
t
t
t
2
/ t
3
=n
2
t
1
/ t
2
=n
1
T / t
1
=n

Figure 1 Ferry-Borges Model
In Figure 1 the t
1
, t
2
, t
3
are the single event duration times and T is the lifetime of the structure.
The combination of X
1
(t), X
2
(t) and X
3
(t) is given as in Equation (1). The maximum effect of Z(t)
can be written as;
( ) ( ) ( ) ( ) { }

'

'

+ + t X t X t X t Z
t t T T
3 2 1
3 2
max max max max (1)
The cumulative distribution CDF of the maximum effect of the combination of the loads can be
calculated using a convolution integral (Melchers (1999)). For example the maximum CDF for
( ) ( ) { }

'

+ t X t X
t
3 2
3
max can be calculated by
( ) ( ) ( ) [ ] d x F x f x F
t
t
X
x
X
3
2
3 2
max

(2)
where f
x2
(x) is the probability density function of X
2
, F
X3
is the CDF of X
3
. The convolution
integral in Equation (2) can be calculated using FORM. In this paper the calculation of probability
of failure, P
f
, algorithm developed by Rackwitz and Fiessler (1978) based on FORM is used. The
effects of the load repetitions are taken into account during the conversion of non-normal
variates to normal variates. For instance the CDF of X
3
in time span t
2
is

( ) ( ) [ ]
3
2
3 2
*
3 ) at t (
*
3
t
t
X
x F x CDF (3)
where
*
i
x represent the design point or most probable point which can be defined as the point at
the limit state function with the highest probability density (Melchers (1999)). At time t
2
the
combined effect of X
2
and X
3
has a CDF of
( ) ( ) ( ) [ ]
3
2
3 2 2
*
3 2
*
) at t (
*
3
*
2
t
t
X X
x F x F x x CDF + + (4)
and at t
1
the CDF of the combined effect of X
2
and X
3
is
( ) ( ) ( ) [ ]
2
1
3
2
3 2 1
*
3
*
2 ) at t (
*
3
*
2
t
t
t
t
X X
x F x F x x CDF

'

+ + (5)
the combined effect of X
1
, X
2
, and X
3
at t
1
is then
( ) ( ) ( ) ( ) [ ]

'

'

+ + + +
2
1
3
2
3 2 1 1
*
3
*
2
*
1 ) at t (
*
3
*
2
*
1
t
t
t
t
X X X
x F x F x F x x x CDF (6)
finally the combined effect of X
1
, X
2
, and X
3
in lifetime T has a CDF of
( ) ( ) ( ) ( ) [ ]
n
t
t
t
t
X X X
x F x F x F x x x CDF

'

'

+ + + +
2
1
3
2
3 2 1
*
3
*
2
*
1 ) T at (
*
3
*
2
*
1
(7)
The equivalent normal mean and standard deviation is found according to the CDF values
calculated by Equations (3) to (7).
The Ferry-Borges Method is still a simplification because the time durations for every load pulse
is assumed to be constant and without fluctuations during the duration. But it is more accurate
compared to Turkstras Rule, because in Turkstras Rule time duration and rate of occurrence
are not considered at all. Ferry-Borges Method is suitable to handle the separated time
dependent and independent parts of the load effects.

Separation of Time Variant and Invariant Random Variables
The correlation between the individual load effects due to modelling uncertainties may produce
conservative results. For example, consider wind load effects; the velocity of the maximum wind
used to model the load effects is independent from storm to storm, but the modelling
uncertainties that are not time variant are the same for every storm and this makes the load
effects correlated. A mathematical model tries to duplicate realizations of the real life, but the
model most of the time is not perfect, or is an empirical one, so the real life situation may be
different than the mathematical model realization. For instance, in predicting earthquake or wind
effects on a structure the ground motion and wind speed data are used, respectively. This
prediction depends on the mathematical model used to convert, for example, the wind speed to
pressure on a structure. It is hard to claim that this conversion fully replicates the real life. So,
predicted and observed show a variation and this is best represented by introducing modelling
uncertainties into the reliability analysis. The modelling uncertainties do not show variance in
time. Since the Ferry-Borges Model depends on the independency of the single load realizations
the time dependent r.v.s are separated into time dependent and independent parts and only the
latter are used in the evaluation of the convolution integral in Equation (2).
The Ferry-Borges Model can be used without modification in a case when there is only one time
dependent load in a load combination case. When the number of time dependent loads is two or
more, conditional probability is used to evaluate the probability of failure. Assume a load
combination having two random variables Y
1
and Y
2
, where Y
1
and Y
2
are time dependent r.v.s.
Since both Y
1
and Y
2
consists of time independent modelling uncertainties these r.vs are
separated as follows;
2 2 2
1 1 1
Q X Y
Q X Y

(8)
where X={X
1
,X
2
} is the time independent and Q={Q
1
,Q
2
} is the time dependent parts of Y. The
conditional probability of failure ( ) X Q
f
P can be written for a limit state function G(X,Q) as;
( ) ( )

0 ) , ( x q G
f
dq x q f P
X Q
X Q (9)
where ( ) x q f
X Q
is the joint distribution of Q, given X. Equation (9) can also be written in the
form of a convolution integral given in Equation (2). The Ferry-Borges Method is capable of
solving Equation (9) for a realization of X, but the unconditional probability of failure is required
for reliability analysis. The unconditional probability of failure can be evaluated by using
expectation. The probability of failure is
( ) [ ] ( ) ( )dx x f P P E P
X
f f f X
X Q X Q

(10)
where f
X
(x) is the joint distribution function of X
Evaluation of P
f

Evaluation of expected probability of failure given by Equation (10) can be performed by using
Numerical Integration with FORM or Nested Reliability Analysis.
Numerical Integrations with FORM requires performing reliability analysis for realizations of X as
integration points. Therefore FORM Analysis has to be repeated for each integration point. It is
clear that as number of r.v.s increases the Numerical Integration becomes cumbersome.
Another way of solving Equation (10) is using Nested Reliability Analysis. In order to solve the
conditional probability problem let us define a limit state function, h
( ) X + u h (11)
where u is a standard normal variate and '(?X)is the safety index given X. The solution for limit
state, h is same as Equation (10), Der Kiureghian (1990) shows that these two solutions are
identical as
( )
( ) ( ) ( )
( ) [ ]
( ) ( ) ( )dx x f P dx x f du u f dudx x f u f
f
P
u
u
u
f
X
X
X
X
X Q
X
X Q
X Q


1
1
]
1

< +
1
0
(12)

In Nested Reliability Analysis two limit state functions; h defined in Equation (1) and g defined for
'(X) (=-
-1
(P
f
(Q|X)) are used simultaneously in solution. The iterative solution process starts
with assigning initial design values for u and X in h, then '(x
*
) is evaluated using Ferry-Borges
Method as x
*
values being deterministic and Q as the random variables. Once convergence
criteria is met inner loop of the reliability analysis is completed and new design values are
evaluated for outer loop and the process is repeated until the convergence criteria is met for .
Numerical Example


In order to show the implementation of the method an example load combination case is studied.
Consider a column; the total load consists of two time dependent loads which contain time
invariant modelling uncertainties. The limit state function to check for the safety of a member is
given as
2 1
Y Y R G (13)
where R is the resistance of a structural member and Y
1
, Y
2
are two time variant loads, but since
these loads contain modelling uncertainties the application of the Ferry-Borges Method would
lead to conservative results therefore the modelling uncertainties are separated. X
1
, X
2
are the
time invariant modelling uncertainties and Q
1
, Q
2
are the time dependent load effects. The
statistical data for the random variables for a single event for before and after separation are
given in Table 1.

Table 1 Statistical data
R.V. Distr. Nominal BIAS COV Time duration
R Logn. 320 1.12 0.10 T
Y
1
Logn. 125 0.40 0.37
t
1
X
1
Logn. 1.00 1.00 0.20
T
Q
1
Logn. 125 0.40 0.30
t 1
Y
2
Logn. 150 0.20 0.60
t
2
X
2
Logn. 1.00 1.00 0.30
T
Q
2
Logn. 150 0.20 0.50
t
2

T t t
1 2


The limit state function, G can be rewritten as
2 2 1 1
Q X Q X R G (14)
First in order to show the effect of correlation of single events due to modelling uncertainties, a
sample case of n
1
=t
1
/t
2
=100, n=50 annually is analyzed. The limit state functions in Equation (13)
and (14) are used in analysis for unseparated and separated modelling uncertainties,
respectively. Later case is solved by Numerical Integration+FORM as previously discussed.

Figure 2 Safety index, values for unseperated and separated cases
Figure 2 shows the variation of the safety index, over the life time for both cases. In 75 years
is equal to 2.52 if a separation is performed, if not the is 2.42. As predicted, due to the
correlation between the single events, the analysis using limit state function in Equation (13)
gives conservative results.

Next the effectiveness of Nested Reliability Analysis in Ferry-Borges Method compared to
Numerical Integration+FORM is demonstrated. Two limit state functions as given in Equation
(15) are used simultaneously to evaluate the probability of failure.
( )
2
2
*
1
1
*
2 1
,
Q x Q x R g
X X u h

+
(15)
For different n
1
and n values both Numerical Integration+FORM and Nested Reliability Analysis
the calculated safety index, . In Table (2) along with the safety index,
50
values, the computing
time ratio is given for Numerical Integration+FORM and Nested Reliability Analysis. The
computing time ratio clearly states the efficiency of the Nested Reliability Analysis.

Table 2 7
75
values for Numerical Integration+Form (NI+FORM) and Nested Reliability Analysis
(NRA)
n
1
n NI+FORM NRA Computing time ratio
100 5
100 50
1000 50
5000 100

Conclusion
An efficient way of solving time variant load combination with considering the modelling in load
models is demonstrated. The procedure can be used in code calibration considering reliability
based cost optimization if the necessary cost data would be available in the future to decide on
the optimal target reliabilities.
References
Aktas, E., Moses, F., Ghosn, M. (2001). Cost and Safety Optimization of Structural Design
Specifications Reliability Engineering and System Safety, Vol. 73, No. 3, pp. 205-212.
Der Kiureghian, A. (1990). Bayesian Analysis of Model Uncertainty in Structural Reliability
Reliability and Optimization of structural Systems, Proceedings of the 3rd IFIP WG 7.5
Conference, Berkeley, CA. A. Der Kiureghian, P. Thoft-Christensen eds., Springer-
Verlag, New York.
Rackwitz, R., Fiessler, B. (1978). Structural Reliability under Combined Random Load
Sequences Computers and Structures, Vol.9, pp. 489-494.
Turkstra, C. J., Madsen, H.O. (1980). Load Combination in Codified Structural Design Journal
of Structural Division (ST12), ASCE Vol.106, pp. 2527-2543.












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