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Application of saddlepoint approximation in reliability analysis of dynamic systems

Ka-Veng Yuen (阮家荣), 1, Jia Wang (王 家)1 and Siu-Kui Au (区兆驹)2

  1. Faculty of Science and Technology, University of Macau, Macao, China
  2. Department of Building and Construction, City University of Hong Kong, Hong Kong, China

Abstract: The application of the saddlepoint approximation to reliability analysis of dynamic systems is investigated. The failure event in reliability problems is formulated as the exceedance of a single performance variable over a prescribed threshold level. The saddlepoint approximation technique provides a choice to estimate the cumulative distribution function (CDF) of the performance variable. The failure probability is obtained as the value of the complement CDF at a specified threshold. The method requires computing the saddlepoint from a simple algebraic equation that depends on the cumulant generating function (CGF) of the performance variable. A method for calculating the saddlepoint using random samples of the performance variable is presented. The applicable region of the saddlepoint approximation is discussed in detail. A 10-story shear building model with white noise excitation illustrates the accuracy and efficiency of the proposed methodology.

Keywords: cumulant generating function; failure probability; reliability analysis; saddlepoint approximation


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Copyright© 2009 IEM. Journal of Earthquake Engineering and Engineering Vibration. All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except as described below, without written permission from the Publisher. Copying of articles is not permitted except for personal and internal use, to the extent permitted by national copyright law, or under the terms of a license issued by the National Reproduction Rights Organization of China.