Computers and Geotechnics 38 (2011) 196204

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Computers and Geotechnics

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Efcient system reliability analysis illustrated for a retaining wall and a soil slope
B.K. Low a,, J. Zhang b, Wilson H. Tang c
a
School of Civil and Environmental Engineering, Nanyang Technological University, Singapore
b
Key Laboratory of Geotechnical and Underground Engineering of Ministry of Education, Department of Geotechnical Engineering, Tongji University, Shanghai, China
c
Department of Civil and Environmental Engineering, The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong

a r t i c l e i n f o a b s t r a c t

Article history: Although rst-order reliability method is a common procedure for estimating failure probability, the for-
Received 15 July 2010 mulas derived for bimodal bounds of system failure probability have not been widely used as expected in
Accepted 19 November 2010 present reliability analyses. The reluctance for applying these formulas in practice may be partly due to the
Available online 23 December 2010
impression that the procedures to implement the system reliability theory are tedious. Among the meth-
ods for system reliability analysis, the approach suggested in Ditlevsen 1979 is considered here because it
Keywords: is a natural extension of the rst-order reliability method commonly used for failure probability estima-
System reliability
tion corresponding to a single failure mode, and it can often provide reasonably narrow failure probability
Probability
Slope
bounds. To facilitate wider practical application, this paper provides a short program code in the ubiqui-
Retaining wall tous Excel spreadsheet platform for efciently calculating the bounds for system failure probability. The
Multiple failure modes procedure is illustrated for a semi-gravity retaining wall with two failure modes, a soil slope with two
and eight failure modes, and a loaded beam with three failure modes. In addition, simple equations are
provided to relate the correlated but unrotated equivalent standard normals of the Low and Tang 2007
FORM procedure with the uncorrelated but rotated equivalent standard normals of the classical FORM
procedure. Also demonstrated are the need for investigating different permutations of failure modes in
order to get the narrowest bounds for system failure probability, and the use of SORM reliability index
for system reliability bounds in a case where the curvature of the limit state surface cannot be neglected.
2010 Elsevier Ltd. All rights reserved.

1. Introduction estimating the system failure probability are generally tedious

Performance of engineering systems often involve multiple
failure modes. For instance, the geotechnical failure modes to be
considered in the design of a semi-gravity retaining wall may in-
clude rotation about the toe of the wall, horizontal sliding along
the base of the wall, and bearing capacity failure of the soil beneath
the wall. Procedures for estimating failure probability of a system
have been summarized in [16], for example. While it is usually
difcult to calculate system reliability exactly, methods for esti-
mating the bounds of system reliability have been suggested, for
example [713]. The unimodal bounds (e.g., [7]) are often too wide
for practical use. Bimodal (e.g., [8]) or higher order bounds (e.g.,
[10]) would be needed if a more accurate estimate is desirable.
Yet, the formulas derived for bimodal or high order probability
bounds are still not widely used as expected. There is an apparent
gap between research in system reliability and their applications in
practice. One possible reason for this is that procedures for
Corresponding author. Address: School of Civil and Environmental Engineering,
Nanyang Technological University, Singapore 639798, Singapore. Tel.: +65 67905270;
fax: +65 67910676.
E-mail address: bklow@alum.mit.edu (B.K. Low).
for practicing engineers.
Among the techniques for estimating probability bounds, the
method for calculating the bimodal bounds suggested by Ditlevsen
[8] is considered here for two reasons. First, it is a natural exten-
sion of the widely used rst-order reliability method (FORM) for
estimating the failure probability of a single failure mode. Second,
it can often provide reasonably narrow probability bounds. The
objective of this paper is to provide a convenient procedure for
assessing the bounds of system failure probability based on the
method suggested by Ditlevsen [8]. The structure of this paper is
as follows. First, simple equations are provided to relate the corre-
lated equivalent standard normal variates of Low and Tang [14]
FORM approach to the uncorrelated but rotated dimensionless
variates of the classical FORM approach; the reliability indices for
individual modes and associated design points obtained by either
FORM approach are required in subsequent system reliability anal-
ysis. Next, the established expressions for estimating the bounds of
system failure probability are reviewed, and simple and short
spreadsheet function codes are created in a ubiquitous spreadsheet
platform to enable efcient evaluation of the lower and upper
bounds on system failure probability. Finally, three examples are
used to illustrate the procedure for assessing the bounds of system

0266-352X/$ - see front matter 2010 Elsevier Ltd. All rights reserved.
doi:10.1016/j.compgeo.2010.11.005
 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204 197

failure probability, with insights, discussions, and comparisons sign point n = (1.2939, 0.8934, 2.2930), which translates to
with Monte Carlo simulations. u = L1n = (1.2939, 0.4101, 2.2930), practically the same as
the design point u (1.2943, 0.4098, 2.2926) obtained via Rosen-
2. Relationship between two computational approaches for blatt transformation in Appendix II of Low and Tang [14]. (The Excel
FORM VBA code for obtaining the lower triangular matrix L of the correla-
tion matrix R is simple and available in the public domain, as
This section relates the unrotated equivalent standard normal described in the Appendix.)
vector n of the Low and Tang [14] FORM approach with the ro- Note that the uncorrelated u vector of the classical FORM ap-
tated equivalent standard normal vector u of the classical FORM proach is not unique and may differ somewhat depending on
approach. Either FORM approach can be used to obtain the in- whether in the classical approach one is using the eigenvector
puts for system reliability analysis. The results will be virtually and eigenvalue transformation approach or the Rosenblatt trans-
identical. Practice-inclined readers may focus on Eqs. (1), (7a), formation approach. In the former case, the components ui of the
(7b) and (8a), (8b) below which are used in subsequent sections. u vector may also emerge in different sequence, depending on
Eqs. (2a), (2b), (3), (4), (5), (6a), (6b) provide the basis for Eqs. the assembling of the eigenvectors in forming the coordinate rota-
(7a), (7b) and (8a), (8b), but are not themselves used in later tion matrix T.
sections. The direction cosine vector a, required in system reliability
The Low and Tang 2007 FORM procedure [14] is an alternative analysis, can be obtained via the design point u or n, as follows:
to the Low and Tang 2004 FORM procedure [15], and uses the fol-
u L1 n
lowing equation for the reliability index b of a single failure mode: a 4
b b
s
 T  
xi  lNi p
1 xi  li
N
It may be noted that when the random variables are uncorrelated,
b min R min nT R1 n 1
x2F N
ri ri N x2F u = n by Eq. (3), because then L1 = I (the identity matrix).
For system reliability evaluation, the correlation coefcients qij
where x is the vector of random variables, F the failure domain, lNi
between failure mode i and failure mode j are needed and can be
and rNi the equivalent normal means and standard deviations, and R
estimated from the following established equation (e.g., Ang and
the correlation matrix of the random variables. The reliability index
Tang [1]):
b and the numerical values of the dimensionless equivalent stan-
dard normal vector n at the design point (denoted as n) are ob- qij aTi aj uT 
i uj =bi bj 5
tained via spreadsheet-automated constrained optimization. The
original random variables xi (on which the performance functions which can also be evaluated in terms of the n vectors if the Low
are formulated) are computed automatically from the probabilistic and Tang 2007 FORM procedure [14] is used, as follows:
connections between ni and xi. (If desired, the original correlation  T  
L1 ni L1 nj nT T 1 1 
matrix R can be modied in line with the equivalent normal trans- uT
i uj i L L nj
formation, as suggested in Der Kiureghian and Liu [16]. For the qij
bi bj bi bj bi bj
cases illustrated herein, the correlation matrix thus modied differs 1 
only very slightly from the original correlation matrix R. Hence, for nT
i LU nj
6a
simplicity, the examples of this study retain the original unmodied bi bj
correlation matrices.)
The next few paragraphs provide the basis of some useful equa- nT 1 
i R nj
tions which enable users to relate the vector n of Eq. (1) with the i:e:; qij 6b
bi bj
vector u of the classical FORM approach.
It is long established that the correlation matrix R can be The correlation matrix q of a system of m failure modes can be
decomposed into a lower triangular matrix L and an upper triangu- assembled efciently from the vectors ni and the reliability indices
lar matrix U, i.e., R = LU, in which U = LT. Hence, based on the basic bi of the m failure modes, as follows:
properties of the inverse and transpose of matrices, namely  
(AT)1 = (A1)T, (AB)T = BTAT, (AB)1 = B1A1, e.g., Anton and Ror- n1 n2 n
A ; ;...; m 7a
res [17], one can rewrite Eq. (1) as follows: b1 b2 bm
p q
b min nT R1 n min nT LU1 n q AT R1 A 7b
x2F x2F
q q
It can be shown that the element in the ith row and jth column of
min n L L n min L1 nT L1 n
T T 1 1
2a
x2F x2F the q matrix is exactly the correlation coefcient between failure
mode i and failure mode j implied by Eq. (6b).
Alternatively, if the uncorrelated standard normal vectors ui in
p
i:e:; b min uT u 2b the rotated space of the classical FORM approach have been used to
x2F obtain the reliability indices of the different failure modes, the sys-
where tem correlation matrix q can be obtained as follows:
 
u L1 n 3 u1 u2 u
B ; ;...; m ; 8a
b1 b2 bm
in which u is the uncorrelated standard equivalent normal vector in
the rotated space of the classical mathematical approach of FORM. q BT B 8b
The equation u = L1n provides a very useful relationship between
the vector n of one FORM approach and the vector u of the other The vector of FORM reliability indices bi obtained using either
FORM approach. For example, for the case with correlated nonnor- the Low and Tang 2007 FORM procedure [14] or the classical
mals and performance function = YZ  M in Ang and Tang [1], the FORM procedureand the correlation matrix q of the failure
Low and Tang 2007 computational approach [14] obtained the de- modes (by Eqs. (7a), (7b) or (8a), (8b)) are the inputs required in
198 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204

( " #)
the practical spreadsheet algorithm for system reliability bounds X
m X
i1

explained next. PE1 max PEi  PEi Ej ; 0  PF;sys

i2 j1
( ( ))
X
m
 
3. Practical spreadsheet algorithm for system reliability bounds 6 PE1 PEi  max PEi Ej 9
i2 j<i
For a series system with m limit state functions (failure modes),
violation of any limit state function would result in system failure. where P(Ei) = the failure probability corresponding to the ith failure
Let Ei denotes the event that the ith limit state is violated, and PF,sys mode; and P(EiEj) = the probability that the i and jth limit state func-
denotes the probability of system failure. Exact calculation of PF,sys tions are violated simultaneously.
is often difcult. The following bimodal bounds which account for In Eq. (9), P(Ei) can be assessed via a variety of methods, such as
the correlation between pairs of potential failure modes are sum- point estimate methods (e.g., Rosenblueth [22]), FORM (Hasofer
marized, for example, in Ang and Tang [1], Madsen et al. [18], Mel- and Lind [23]; Rackwitz and Fiessler [24]), Monte Carlo simulations
chers [2], Haldar and Mahadevan [19], and Tung et al. [6], based on (e.g., Melchers [2]), or SORM (e.g., Haldar and Mahadevan [19],
Kounias [20], Hunter [21], and Ditlevsen [8]: Melchers [2]). Calculating P(EiEj), which is the intersection of two

Fig. 1. Excel function code for automatically computing the KouniasDitlevsen bi-modal bounds for systems with multiple failure modes.
 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204 199

failure events, is generally not easy. A weakened version of Eq. (9) in which bi and bj = reliability indices corresponding to failure
was due to Ditlevsen [8], who suggested that the lower and upper modes i and j, respectively; and qij = correlation coefcient between
bounds of P(EiEj) can be calculated as follows: failure modes i and j. Substituting the bounds of Eqs. (10a) and
(10b) into Eq. (9), the upper and lower bounds for PF,sys can be esti-
maxa; b  PEi Ej  a b; for qij  0 10a
mated. In this way, the complex problem of estimating system fail-
ure probability is reduced to problems of estimating failure
0  PEi Ej  mina; b; for qij < 0 10b
probabilities corresponding to various single limit states as well
where a and b are dened as: as the correlation coefcients among various failure modes.
0 1 Although Eqs. (9), (10a), (10b), (11a), (11b) for calculating prob-
b  q b ability bounds are well established, direct calculations based on
B j ij i C
a Ubi U@ qA 11a them could be tedious for practicing engineers when there are
1  q2ij three or more failure modes. To develop a convenient procedure
for system reliability assessment, Eqs. (9), (10a), (10b), (11a),
0 1
(11b) have been coded in the Visual Basic programming environ-
B b i  qij bj C ment of spreadsheet software Microsoft Excel, as shown in Fig. 1.
b Ubj U@ qA 11b
1  q2ij One only needs to paste the function code in a module sheet in
the Visual Basic Editor environment of Microsoft Excel, and uses

Fig. 2. System reliability analysis of a semi-gravity retaining wall.

200 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204
it like other Excel functions. For program codes like Fig. 1 to work,
the Macro Security level has to be set to medium in Excel 2003 and
earlier, or the Enable Contents option activated in Excel 2007. The
VBA code of Fig. 1 can be converted readily for use in other plat-
forms (e.g., MatLab) if desired.
In Fig. 1, the rst function code SysProbLowerBound evaluates
the left-hand term of Eq. (9), the second function code SysProbUp-
perBound evaluates the right-hand term of Eq. (9), and the third
function code ProbFiFjinvoked by both the rst two function
codesevaluates the lower and upper bounds of P(EiEj) according
to Eqs. (10a), (10b), (11a), and (11b). The upper and lower bounds
of P(EiEj) are used in the left and right terms of Eq. (9), respectively,
thereby yielding the lower and upper bounds of system failure
probability PF,sys.
The use of the algorithm in Fig. 1 to facilitate system reliability
evaluation is illustrated in the three examples to follow.
4. System reliability bounds for a semi-gravity retaining wall
Low [25] analyzed a semi-gravity retaining wall for FORM reli-
ability indices with respect to rotation and sliding modes, and also
obtained unimodal system reliability bounds. The case is revisited
in this section to illustrate bimodal system reliability bounds, rst
for the case with correlated normal random variables, then with
correlated lognormals. The steps for evaluating system reliability
are as follows:
(i) Obtain the reliability index and the design point for each
failure mode. In Fig. 2, for the case with correlated normals,
the reliability indices are 2.491 for overturning mode and
3.102 for sliding mode. The design point information is con-
tained in the standard normal vectors n1 (2.4492, 2.2329,
0.0) and n2 (1.6752, 1.3963, 2.6092) based on the Low
and Tang 2007 spreadsheet FORM procedure [14]. (The clas-
sical FORM procedure can also be used, to obtain the uncor-
related u1 and u2 vector instead of the n1 and n2 vectors.)
(ii) Obtain the 3  2 matrix A according to Eq. (7a), and then the
2  2 matrix of intermodal correlation matrix q according to
Eq. (7b). The latter is computed easily by selecting a 2  2
block of cells, and typing the following array formula for
Eq. (7b): = mmult(transpose(MatrixA),mmult(minverse
(RMatrix),MatrixA)), where RMatrix is the selected block
Fig. 3. FORM results for two reliability-based critical slip circles followed by system reliability analysis.
of 3  3 correlation matrix among the random variables u,
d and ca shown at the top of Fig. 2. (Array formulas have to
be entered while pressing the Ctrl + Shift keys.) The results
are shown in the 2  2 matrix q below the retaining wall
in Fig. 2, in which the correlation coefcient between the
rotation mode and sliding mode is 0.5364. Had the rotated
and uncorrelated u vectors been obtained via the classical
FORM computations, Eqs. (8a), (8b) can be used (instead of
Eqs. (7a) and (7b)) to obtain the same intermodal correlation
matrix q.
(iii) Assuming that the function code shown in Fig. 1 has been
inserted in a module sheet in the Visual Basic Editor of
Microsoft Excel, and that the macro is enabled (as described
in the previous section), one obtains the system lower bound
of the PF,sys in Eq. (9) by simply entering the formula = Sys-
ProbLowerBound(b vector, q matrix) in a cell. In the for-
mula, b vector and q matrix are the selected two cells
of b1 and b2, and the 2  2 matrix q, respectively. The lower
bound is 0.705% as shown. Likewise, one obtains the system
upper bound of the PF,sys in Eq. (9) by simply entering the for-
mula = SysProbUpperBound(b vector, q matrix) in a cell,
yielding 0.717% as the upper bound of system failure
probability.
The system failure probability bounds of 0.7050.717% is
remarkable when compared with the failure probability of
0.715% from Monte Carlo simulation (Latin Hypercube sampling
of size 800,000, using @RISK program, http://www.palisade.com).
The bimodal bounds are also much sharper than the unimodal
bounds of 0.6370.732% obtained in Low [25].
In this case when there are only two failure modes, Eq. (9) re-
duces to the following:
fPE1 maxPE2  PE1 E2 ; 0g  PF;sys  fPE1 PE2  PE1
E2 g, and a manual check is possible and instructive: with
P(E1)  U(b1) = NormSDist(b1) = 0.6366%, P(E2)  U(b2) = Nor-
mSDist(b2) = 0.0961%, lower bound of P(E1E2) = ProbFiFj(b1, b2,
0.5364, 0) = 0.0157%, upper bound of P(E1E2) = ProbFiFj(b1, b2,
0.5364, 1) = 0.0273%, where typing ProbFiFj(. . .) in a cell invokes
the third function code in Fig. 1 to execute Eqs. (10a), (10b),
(11a), and (11b). Then, using 0.0273% and 0.0157% for the P(E1E2)
in the left and right terms, respectively, of the above expression
for PF,sys, one obtains 0.705% 6 PF,sys 6 0.717%, identical with the re-
sults obtained much more efciently by directly entering in two
 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204
spreadsheet cells the formulas SysProbLowerBound (. . .) and
SysProbUpperBound (. . .) thereby engaging the codes shown in
Fig. 1. When there are three or more failure modes to be considered
(as in the next section) and the sharpest bounds on PF,sys is to be
obtained by trying all permutations of the failure modes, manual
computations of Eq. (9) are virtually ruled out and the merit of
the function code in Fig. 1 increases.
The lower right of Fig. 2 also shows the system reliability anal-
ysis for the case with lognormally distributed random variables
which have the same mean and covariance values as the normally
distributed random variables analyzed above. The system failure
probability bounds of 0.2620.264% is remarkably close to that
(0.2560.260%) from Monte Carlo simulations. That the Monte
Carlo average (0.258%) did not quite lie within the system reliabil-
ity bounds (0.2620.264%) is in this case due to the approximation
involved in transforming the original lognormals to equivalent
standard normals in FORM computations. The error introduced
by this approximation is very slight in this case.
5. System reliability bounds for a slope with two equally likely
failure modes
The limit equilibrium single-mode slope reliability analysis of
Low [26] is extended to a system reliability analysis accounting
for multiple failure modes. Other approaches and issues of deter-
ministic and probabilistic slope analysis have been studied by
Wu and Kraft [27], Vanmarcke [2829], Chen and Morgenstern
[30], Li and Lumb [31], Christian et al. [32], Morgenstern [33],
Low and Tang [34], Low et al. [35], Au and Beck [36], Nadim
et al. [37], and Low et al. [38], among others.
Ching et al. [39] analyzed several slopes using Monte Carlo sim-
ulation (MCS) and importance sampling (IS) methods. The results
were compared with single-mode FORM analysis. It was concluded
that FORM is computationally less demanding and hence a pre-
ferred method over the MCS and IS methods for problems with a
single failure mode. On the other hand, for a slope in two clayey
soil layers, Ching et al. [39]s single-mode FORM analysis yielded
a probability of failure smaller than half the failure probabilities
obtained by MCS and IS methods. It was then concluded that sin-
gle-mode FORM analysis signicantly underestimated the failure
probability, and that both the IS and MCS methods provided unbi-
ased estimates for the failure probability.
Ching et al. [39]s slope in two clayey soil layers is analyzed in
this section, using system reliability bounds for multiple failure
modes. It will be shown that when two (rather than one as was
done in [39]) reliability-based critical slip surfaces are considered,
the system failure probability bounds are consistent with the MCS
and IS results, and hence the perceived inadequacy of FORM (rela-
tive to MCS and IS) was due entirely to performing single-mode
analysis when multiple mode system reliability could have been
done. The latter part of this section also investigates the effect of
increasing the number of failure modes to eight.
As shown in Fig. 3, the upper clay layer is 18 m thick, with un-
drained shear strength cu1; the lower clay layer is 10 m thick, with
undrained shear strength cu2. The undrained shear strengths are
lognormally distributed and independent. A hard layer exists be-
low the second clay layer.
Since the shear strengths are characterized by cu1 and cu2, with
uu = 0, Bishops simplied method and the ordinary method of
slices yield the same results, and either can be used. Also, in this
case where the upper clay layer is weaker than the lower clay
layer, it is logical to locate two reliability-based critical slip cir-
cles, as shown in Fig. 3, one entirely in the upper clay layer and
the other passing through both layers. The FORM reliability indi-
ces for the two modes are 2.795 and 2.893, respectively. It is
201
30 = 2.795
= 2.893
20
10
Clay layer 1
0 Clay layer 2
-10 0 10 20 30 40 50
-10
Fig. 4. Variation of reliability indices with the x-coordinate of the lower exit point
of slip circles, and the two reliability-based critical slip circles with lower exit
points at xexit of 1.5 m and +9 m, respectively.
interesting to note that although cu1 and cu2 are uncorrelated,
there is correlation between the two failure modes (q12 =
0.4535), because cu1 affects both slip circles. The bounds on sys-
tem failure probability, computed in two cells in Fig. 3 by enter-
ing the functions of Fig. 1 which implement Eqs. (9), (10a), (10b),
(11a), (11b), are 0.4320.441%, compared with the MCS estimated
one-sigma range of 0.370.51% (from Ching et al. [39]s reported
MCS mean of 0.44% and c.o.v. of 15.04%).
The two reliability-based critical slip circles in Fig. 3 have the
smallest b values among all possible slip circles tangent to the bot-
toms of the upper and lower clay layers, respectively. One can
search for more reliability-based critical slip circles corresponding
to different trial tangent depths. Alternatively, a series of b values
can be obtained as a function of the x-coordinate values of the low-
er exit end of critical slip circles, as shown in Fig. 4, where the exis-
tence of two stationary values (troughs) of b is obvious. It would
be interesting to investigate the effect on the bounds of system
failure probability when more reliability-based modes are consid-
ered. This is done in Fig. 5, which, in contrast to Fig. 3, has three
additional modes (b3, b6, b7) adjacent to the mode corresponding
to the local minimum b1, and three additional modes (b4, b5, b8)
adjacent to the mode corresponding to the local minimum b2.
It was noted, for example in Ang and Tang [1], that the bimodal
bounds on failure probability of systems with multiple failure
modes will depend on the ordering of the individual failure modes.
It was suggested, for example in Madsen et al. [18], Melchers [2]
and Haldar and Mahadevan [19], that ordering the failure modes
in decreasing probabilities of failure (i.e., increasing b values) will
lead to closer bounds. This has been done in Fig. 5, yielding
0.416% 6 PF,sys 6 0.441%, practically the same range as that in
Fig. 3 when only the two local minimum modes were considered.
A simple VBA code was also created to investigate the effects of
all possible permutations (8!) of the eight failure modes on the sys-
tem failure probability bounds. The narrowest bounds were
202 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204
Fig. 5. System reliability analysis considering eight failure modes, including the two reliability-based critical modes of Fig. 3.
0.432% 6 PF,sys 6 0.441% (the same as the two-critical-mode case),
obtained when the eight b values (and associated vectors n) are
in the order b2, b1, b4, b5, b8, b6, b3, b7.
That the system reliability bounds of the eight modes in Fig. 5
differ little from the bounds of the two local minimum modes of
Fig. 3 can be attributed to the strong correlations among modes
1, 3, 6 and 7, and among modes 2, 4, 5 and 8, as seen from the very
high (1.0) intermodal correlation coefcients of q13, q16, q17, and
of q24, q25, q28. Physically this means that the direction vectors
(linking the mean value point and design points of the failure
modes) are nearly parallel for modes 1, 3, 6 and 7, and for modes
2, 4, 5 and 8. The implied overlapping of the failure probability con-
tents for modes 1, 3, 6 and 7, and also for modes 2, 4, 5 and 8 means
that it is sufciently accurate to calculate the bounds for the sys-
tem failure probability by considering only the two stationary val-
ues of reliability index, namely b1 and b2 of Fig. 3.
6. Use of SORM reliability index in system reliability evaluation
Example 7.2 in Ang and Tang [1] is used to illustrate how the
bounds for system failure probability can be rendered more accu-
rate (by using reliability index based on SORM rather than FORM)
when one of the three limit state surfaces has signicant curvature.
In this example, a simply supported beam subjected to uniformly
distributed load w with three possible failure modes is investi-
gated. The three failure modes are shear failure, bending failure,
and failure under the combined effect of bending and shear. The
uncertain variables involved in estimating the performance of the
beam are the load w, the shear capacity V0, and the bending capac-
ity M0. These three random variables are assumed to follow the
normal distributions and are statistically independent. The statis-
tics of these three variables are shown in Fig. 6. Let x = (w, M0,
V0). The three performance functions for the beam are (Ang and
Tang [1]):
g 1 x M 0  wL2 =8 12
g 2 x V 0  wL=2 13
!
wL2 wM 0
g 3 x 1  14
8M 0 2V 20
where L denotes beam length and is equal to 6.1 m.
Based on the FORM reliability index of each failure mode as well
as the correlation coefcients between various failure modes ob-
tained from Eqs. (7a) and (7b), the bounds of the system failure
probability are 5.775.84%, as shown in Fig. 6. For comparison,
the lower and upper bounds in Ang and Tang [1] are 5.82% and
5.87%, respectively, which were obtained based on manual calcula-
tion with round-off.
Six Monte Carlo simulations each with Latin Hypercube sam-
pling of size 100,000 yielded probabilities of failure varying from
6.21% to 6.29%, with an average of 6.25%, which is outside the
5.775.84% bounds shown in Fig. 6. This is because the reliability
index bi for each failure mode is calculated based on FORM, and
the relationship P(Ei) = U(bi) used in the code of Fig. 1 for Eqs.
(9), (10a), (10b), (11a), (11b) is exact only if the random variables
are normally distributed and the limit state surface is a hyperplane.
In this case the random variables w, M0 and V0 are indeed normally
distributed, and two of the three limit state surfacesEqs. (12) and
 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204
Fig. 6. System reliability analysis of a simply supported beam, and use of SORM to account for the curvature of the limit state surface of mode 3.
(13)are linear and are hence hyperplanes in the 3-D space of w,
M0 and V0. However, the third limit state surface, Eq. (14), is non-
linear. It would be interesting to see whether reliability indices in-
ferred from SORM (which accounts to some extent for curvatures
of limit state surfaces near the FORM design points) can lead to
more accurate bounds on the system failure probability. This is
done below.
For the limit state surface of Eq. (14), a SORM analysis yielded
probability of failure equal to 6.20%. The equivalent FORM b3 for
use in Eqs. (9), (10a), (10b), (11a), (11b) (and in their Excel codes
of Fig. 1) should therefore be b3 = U1(10.062) = Norm-
SInv(0.938) = 1.538, denoted as b3,SORM at the bottom of Fig. 6, in
contrast to the original FORM b3 of 1.573. (The values of b1 and
b2 remain unchanged whether one uses FORM or SORM, because
their corresponding limit state surfaces are hyperplanes with zero
curvature.) Another assumption is needed, and is logical: the direc-
tion cosine vector of b3,SORM is the same as that of the original b3,
that is, n3,SORM/b3,SORM  n3/b3. With these, and arranging the
modes in increasing values of b (i.e., decreasing values of failure
probabilities), namely b3,SORM, b1, b2, the bounds on system failure
probability, 6.20% 6 PF,sys 6 6.23%, computed at the bottom of
Fig. 6, are much more consistent with the Monte Carlo bounds of
203
6.21% 6 PF,sys 6 6.29% mentioned at the beginning of the previous
paragraph.
7. Summary and conclusions
This paper began by providing a simple equation (Eq. (3)) and
an example to relate the correlated but unrotated equivalent stan-
dard normal vector n of the Low and Tang 2007 efcient spread-
sheet FORM procedure [14] to the uncorrelated but rotated
vector u of the classical mathematical FORM procedure. The
component reliability indices and intermodal correlation matrix
(Eqs. (7b) or (8b)), which are required for system reliability evalu-
ation, can be obtained by either FORM procedure. The paper next
presented a simple program code (Fig. 1) for automatic and ef-
cient implementation (in a ubiquitous spreadsheet platform) of
the KouniasDitlevsen bimodal bounds (Eqs. (9), (10a), (10b),
(11a), (11b)) for systems with multiple failure modes. The short
program code can be rewritten readily in other programming lan-
guages for other platforms (e.g., Matlab), if desired. The system
reliability evaluation procedure was then illustrated using three
examples, namely a semi-gravity retaining wall with two failure
204 B.K. Low et al. / Computers and Geotechnics 38 (2011) 196204
modes, a slope with two and eight failure modes, and a loaded
beam with three failure modes. The following may be noted:
(i) The code of Fig. 1 renders it virtually effortless to compute
the lower and upper bounds of system failure probability
once the component reliability indices and the intermodal
correlation matrix have been obtained, as explained in the
three steps of the retaining wall example.
(ii) For the example of the slope with two clay layers, system
FORM reliability analysis is an attractive and efcient
alternative to Monte Carlo simulations and importance
sampling method. It is sufcient to use only the stationary
values (i.e., local minimums, or troughs) of component
reliability indices and their respective design points in sys-
tem reliability evaluation. For the case in hand, the two
stationary b values of 2.795 and 2.893 (Fig. 3) and their
design points (vectors n1 and n2 obtained using the Low
and Tang 2007 FORM approach [14], or vectors u1 and u2
of the classical FORM approach) lead to practically the
same narrow bounds on system failure probability as the
eight modes shown in Fig. 5, of which six modes are adja-
cent to the two local minimums, but are not local mini-
mums themselves.
(iii) The two-layered slope example has two equally likely failure
modes. If one recognizes only one failure mode, the failure
probability would have been underestimated, whether by
FORM, importance sampling, or MC simulations. On the
other hand, provided one accounts for the two most critical
failure modes, the computed system failure probabilities are
similar whether one uses FORM or MC simulations, with
FORM (in combination with bimodal bounds) being more
efcient.
(iv) In principle, one needs to consider all permutations of failure
modes in order to get the narrowest bounds. For examples 2
and 3, the established suggestion of ranking failure modes in
decreasing failure probabilities is sufcient to produce rea-
sonably sharp failure bounds.
(v) As shown in the last example, SORM-based reliability indices
may improve the accuracy of bounds on system failure prob-
ability if some of the more-probable failure modes have limit
state surfaces with signicant curvatures. In many geotech-
nical problems (including those with complicated or implicit
performance functions such as slope stability) the limit state
surfaces encountered are almost hyperplanes in the vicinity
of the design points, and system reliability evaluation based
on FORM results are sufciently accurate for practical
purposes.
Appendix
The lower triangular matrix L obtained from the LU decomposi-
tion of the correlation matrix R is useful in relating the correlated
standard normal vector n of the Low and Tang 2007 FORM ap-
proach [14] to the uncorrelated (but rotated) standard normal vec-
tor u of the classical FORM approach, via Eq. (3). The very short
Excel VBA code (about 25 lines) for Cholesky LU factorization is
available in the public-domain and free, for example from http://
www.vbnum.com/math.
(The Cholesky LU decomposition is not required for the system
reliability approach of this paper, since Eq. (7a) and (7b), instead of
Eqs. (3) and (8a), (8b), can be used to obtain the intermodal corre-
lation matrix had the Low and Tang 2007 approach [14] been used
to obtain the component bi and ni.)
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