Proban DM PDF

SESAM
USER MANUAL
Proban Distributions
Continuous, Discrete and Correlated Distributions
DET NORSKE VERITAS

SESAM
User Manual
Proban
Distributions
Continuous, Discrete and Correlated
Distributions
Octber 1st, 2004
Valid from program version 4.4
Developed and marketed by

DET NORSKE VERITAS
DNV Software Report No.: 94-7089/ Revision 3, October 1st, 2004
Copyright © 2004 Det Norske Veritas
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Table of Contents
1 INTRODUCTION ............................................................................................................1-1
1.1 Terminology..................................................................................................................................... 1-2

1.2 Proban in the SESAM System ......................................................................................................... 1-5
1.3 How to Read this Manual ................................................................................................................ 1-6
1.4 Changes from the Previous Revision............................................................................................... 1-6
2 DISTRIBUTION LIBRARY- CONTINUOUS DISTRIBUTIoNS ..............................2-1
2.1 Introduction...................................................................................................................................... 2-1

2.2 Beta Distribution.............................................................................................................................. 2-3
2.3 Burr Distribution.............................................................................................................................. 2-7
2.4 Chi-Square Distribution................................................................................................................... 2-9
2.5 Exponential Distribution................................................................................................................ 2-12
2.6 Gamma Distribution ...................................................................................................................... 2-14
2.7 Generalized Gamma Distribution .................................................................................................. 2-16
2.8 Generalized Pareto Distribution..................................................................................................... 2-18
2.9 Gumbel Distribution ...................................................................................................................... 2-20
2.10 Hermite Transformation Model - Second Order............................................................................ 2-22
2.11 Hermite Transformation Model - First Order ................................................................................ 2-25
2.12 Inverse Gauss Distribution............................................................................................................. 2-28
2.13 Lognormal Distribution ................................................................................................................. 2-30
2.14 Longuet-Higgins Distribution........................................................................................................ 2-32
2.15 Maxwell Distribution..................................................................................................................... 2-34
2.16 Multinormal Distribution............................................................................................................... 2-36
2.17 Normal Distribution....................................................................................................................... 2-38
2.18 Onesided-Normal Distribution ...................................................................................................... 2-40
2.19 Oval Distribution ........................................................................................................................... 2-42
2.20 Probability of Detection Distribution............................................................................................. 2-44
2.21 Rayleigh Distribution..................................................................................................................... 2-46
2.22 Splined Distribution, One Dimension............................................................................................ 2-48
2.23 Student-t Distribution..................................................................................................................... 2-52
2.24 Triangle Distribution...................................................................................................................... 2-55
2.25 Truncated Normal Distribution...................................................................................................... 2-58
2.26 Uniform Distribution ..................................................................................................................... 2-60
2.27 Weibull Distribution ...................................................................................................................... 2-62
3 DISTRIBUTION LIBRARY - DISCRETE DISTRIBUTIONS................................... 3-1
3.1 Introduction...................................................................................................................................... 3-1

3.2 Binomial Distribution ...................................................................................................................... 3-2
3.3 Poisson Distribution......................................................................................................................... 3-4
4 OTHER DISTRIBUTIONS ............................................................................................. 4-1
4.1 Generated Distribution..................................................................................................................... 4-1

4.1.1 General .............................................................................................................................. 4-1
4.1.2 Proban: Create X as Generated Distribution of Z(y)......................................................... 4-2
4.2 Extreme Value Distributions............................................................................................................ 4-3
4.2.1 General .............................................................................................................................. 4-3
4.2.2 Maximum of n Independent Realizations of X ................................................................. 4-3
4.2.3 Minimum of n Independent Realizations of X .................................................................. 4-3
4.2.4 Some Notes........................................................................................................................ 4-3
4.2.5 Proban: Create Xn as Maximum of n Independent Realizations of X .............................. 4-4
4.3 Correlation ....................................................................................................................................... 4-5
4.3.1 Nataf Model....................................................................................................................... 4-5
4.3.2 References ......................................................................................................................... 4-6
4.4 Conditional Distributions................................................................................................................. 4-7
4.4.1 General .............................................................................................................................. 4-7
4.5 Continuous Time Dependent Stochastic Process............................................................................. 4-8
4.5.1 General .............................................................................................................................. 4-8
4.5.2 Create a Continuous Time Dependent Process ................................................................. 4-9
4.6 Distributions Defined by User (UNIX).......................................................................................... 4-10
4.6.1 User Defined Distributions.............................................................................................. 4-10
SESAM Proban Distributions
Program version 4.4 01-OCT-2004 1-1
1 INTRODUCTION
The Proban Distributions Manual describes the distribution models available for Proban variables.
• Twenty eight standard distributions are available in the Proban Distributions Library.
• A function of random variables may be treated as a univariate distribution type. This distribution type is
then generated by Proban.
• The results of a distribution analysis may be fitted to a number of the distribution types available in the
Proban Distributions Library.
• A random variable may be modelled to take the distribution of the maximum or the minimum of an inte-
ger number of independent realisations of the basic random variable.
• Correlation of univariate random variables is modelled assuming a Nataf distribution model.
• A continuous time dependent stochastic process is defined in terms of a random variable and its time
derivative.
• An argument of a random variable may itself be modelled as a random variable. This permits distribution
models in which parameters like mean and standard deviation are random variables. Therefore quite
complex conditional distribution models can be defined.
The command CREATE VARIABLE defines the input of random variables and their distribution types. A
variable is identified by name.
A variable is a vector if the corresponding distribution is multivariate. A coordinate is referred to by name-

index.
The command ASSIGN EXTREME-VALUE allows for the maximum or minimum extreme value input.
The command ASSIGN-CORRELATION defines the correlation input.
The command ASSIGN CONTINUOUS-PROCESS defines the input of a time dependent stochastic proc-
ess.
Proban Distributions SESAM
1-2 01-OCT-2004 Program version 4.4
The commands CREATE-VARIBLE, ASSIGN EXTREME-VALUE, ASSIGN CORRELATION, and

ASSIGN COCONTINUOUS-PROCESS are described in the Proban User Manual.
A typical CREATE VARIABLE situation is shown in Figure 1.1.
1.1
Figure 1.1 Create a Random Variable
1.1 Terminology
Table explains some basic statistical quantities.
The density distribution of the random vari-

Density f( x)
able X.
x
The probability distribution of the random
Cumulative F( x)= ∫ f ( s ) ds variable X.
–∞
∞
n n
Moment E(( X – a) )= ∫ ( s – a ) f ( s ) ds The nth moment of X about a.
–∞
Mean µ = E( X) The expectation or average of X.

Median m The value x so that F ( x ) = 0.5
2 0.5 Measures the spread of the distribution of X

Standard Deviation σ = E(( X – µ) ) about µ.
σ
Coefficient of Variation cov = ------ ,µ ≠ 0
µ
3 Measures the symmetry of the distribution

E((X – µ) ) of X about µ. The Normal distribution has
Skewness δ = ----------------------------
3
-
σ skewness equal to 0.
4 Measures the peakedness of the distribution
E((X – µ) ) of X about µ. The Normal distribution has
Kurtosis κ = ----------------------------
4
-
σ kurtosis equal to 3.
Table is about standard functions used in the text.
1
r–1 s–1
Beta B(r,s) ∫t (1 – t) dt
0
B-spline no. i of n of order k defined

B-spline B i, k, t ( x )
on t = t j ;j = 1, 2, …, n + k ;t j < t j + 1
∞
a – 1 –s
Complementary Incomplete Gamma Function Γ ( a, x ) ∫s e ds
x
∞
a – 1 –s
Gamma Function Γ(a) ∫s e ds
0
x
a – 1 –s
Incomplete Gamma Function γ ( a, x ) ∫s e ds
0
Inverse Complementary Incomplete Gamma Func- –1

Γ ( a, x ) Solves y from x = Γ ( a, y ) .
tion
–1
Inverse Incomplete Gamma Function γ ( a, x ) Solves y from x = γ ( a, y ) .
–1
Inverse Standard Normal Distribution Function Φ (x) Solves y from x = Φ ( a, y ) .
∞
–x
Riemann Zeta function –1
ζ (x) ∑n
n=1
2
1 x
Standard Normal Density function ϕ(x) ---------- exp  – ----- 
2π  2 
x
Standard Normal Distribution Function Φ(x) ∫ ϕ ( s ) ds

–∞
Euler Constant γe 0.577215664...

1.2 Proban in the SESAM System

1.2
Figure 1.2 SESAM Overview

1.3 How to Read this Manual

Chapter 2 DISTRIBUTION LIBRARY- CONTINUOUS DISTRIBUTIoNS explains each continuous distri-
bution in the Proban Distribution Library.
Chapter 3 DISTRIBUTION LIBRARY - DISCRETE DISTRIBUTIONS explains each discrete distribution

in the Proban Distribution Library.
Chapter 4 OTHER DISTRIBUTIONS explains the Generated Distribution, The Max and Min Extreme
Value Distributions, Correlation, Conditional Distributions and the Time-dependent Stochastic process.
1.4 Changes from the Previous Revision

The Burr distribution has been added to the Proban Distribution Library.
2 DISTRIBUTION LIBRARY- CONTINUOUS DISTRI-

BUTIONS
2.1 Introduction
The Proban Distribution Library is a built-in collection of distributions. Each distribution has a name, e.g.,
the Normal distribution has the name Normal. A distribution may have more than one parameter set (input
sequence), e.g., the Normal distribution has the parameter sets Mean-StD and Mean-CoV. Each parameter
has a name, e.g., the parameters of the set Mean-StD have the names Mean and Stand-Dev.
In Proban a parameter can be assigned a random variable or a numeric value (a number or a type fixed vari-
able). In the latter case a parametric sensitivity factor can be calculated.
A distribution may be multivariate. In this case the dimension of the distribution will be required as input.
Note that the dimension is not considered a parameter of a distribution (parametric sensitivity cannot be cal-
culated with respect to dimension).
The continuous distributions available are shown in Table .
Beta Beta Distribution

Burr Burr Distribution
Chi-Square χ
2
-Distribution
Exponential Exponential Distribution
Gen-Gamma Generalized Gamma Distribution
Gen-Par Generalized Pareto Distribution
Gumbel Gumbel Distribution
Hermit-Secon Hermite Transformation Model - Second Order
Hermit-Trans Hermite Transformation Model - First Order
Inv-Gauss Inverse Gauss Distribution

Lognormal Lognormal Distribution
Long-Higgins Longuet-Higgins Distribution
Maxwell Maxwell distribution
Multinormal Multivariate Normal Distribution
Normal Normal Distribution
Onesi-Normal One-Sided Normal Distribution
POD-Distrib Probability Of Detection Distribution
Oval Oval Distribution
Rayleigh Rayleigh Distribution
Spline-1Dim One Dimensional Splined Distribution
Student-t Student-t Distribution
Triangle Triangle Distribution
Trunc-Normal Truncated Normal Distribution
Uniform Uniform Distribution
Weibull Weibull Distribution
2.2 Beta Distribution
Name Beta
1
Density - ( x – a )r – 1 ( b – x )t – r – 1
f ( x ) = ------------------------------------------------
t–1
( b – a ) B ( r, t – r )
x
1 t–r–1
Cumulative - ∫ ( v – a )r – 1 ( b – v )
F ( x ) = ------------------------------------------------ dv
t–1
( b – a ) B ( r, t – r )
a
Restrictions a ≤ x ≤ b, r > 0, t > r

s (parameter) s = t–r
Lower Bound a
Upper Bound b
n Γ ( r + n )Γ ( t ) n
Moments E ( ( X – a ) ) = ------------------------------- ( b – a )
Γ ( r )Γ ( t + 1 )
r
Mean µ = a + (b – a)-
t
r t–r
Standard Deviation σ = ( b – a ) - ----------------------
t r(t + 1)
t – 2r t + 1
Skewness δ = 2 ------------- ---------------------
t + 2 r(t – r)
2
Kurtosis 3 ( t + 1 ) ( ( r + 2 )t – ( r + 6 )t + 6 )
κ = -------------------------------------------------------------------------------
r(t + 2 )(t + 3 )(t – r )
Parameter Set Parameter Names Symbol Restriction

Mean µ
Stand-Dev σ >0
Mean-StD-Lim
Lower-Bound a <µ
Upper-Bound b >µ
Mean µ ≠0
Coef-of-Var |σ|/µ >0
Mean-CoV-Lim
Lower-Bound a <µ
Upper-Bound b >µ
R r >0
T t >r
R-T-Lim
Lower-Bound a
Upper-Bound b >a
R r
S s >0
R-S-Lim
Lower-Bound a
Upper-Bound b >a
Lower-Bound a < ml
a + 4ml + b b–a
Low-MostL-Up Most-Likely ml µ = ---------------------------- ,σ = ------------
6 6
Upper-Bound b > ml
The Beta distribution is a flexible tool for modelling the distribution of a bounded random variable.
The “Most-Likely” parameter is not an exact most likely value for the distribution. It is used to calculate a
mean and a standard deviation for the distribution as above.
2.3 Burr Distribution
Name Burr
ck x – γ c – 1  x – γ c –k – 1
Density f ( x ) = ------------  ------------ 1 +  ------------ 
m – γ  m – γ   m – γ 
x – γ c –k
Cumulative F ( x ) = 1 –  1 +  ------------ 
  m – γ 
Restrictions x ≥ γ, m > 0, c > 0, k > 0
Lower Bound γ
1⁄k 1⁄c
Median (m – γ )(2 – 1) +γ
n n n
E ( ( x – γ ) ) = ( m – γ ) B  1 + ---, k – --- , k > ---, else ∞
n n
Moments  
c c c
1 1 1
Mean ( m – γ )B  1 + ---, k – --- + γ, c > ---
 c c k
2 2 1 1 2 2
Standard Deviation ( m – γ ) B  1 + ---, k – --- – B  1 + ---, k – --- , c > ---, else ∞
 c c   c c  k
3 3 1 1 2 2 1 1 3
B  1 + ---, k – --- – 3B  1 + ---, k – --- B  1 + ---, k – --- + 2B  1 + ---, k – ---
 c c  c c  c c  c c
Skewness -------------------------------------------------------------------------------------------------------------------------------------------------------------------------- , c > 3---
B1 + 2 2 1 1 2 3⁄2 k
---, k – --- – B  1 + ---, k – --- 
  c c  c c 
4 3 2 2 3
E ( ( x – γ ) ) – 4E ( x – γ ) ( E ( ( x – γ ) ) ) + 6E ( x – γ ) ( E ( ( x – γ ) ) ) – 3E ( x – γ ) 4
Kurtosis -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------, c > ---
2 2 2 k
(E((x – γ) ) – E(x – γ) )

M m >γ
C c >0
M-C-K-Low
K k >0
Lower-Bound γ
2.4 Chi-Square Distribution
Name Chi-Square
ν x–γ
--- – 1
– -----------
1 x–γ 2
f ( x ) = ----------------  -----------
2
Density e
ν  2 
2Γ  ---
 2
ν x–γ
γ  --- ,-----------
2 2 
Cumulative F ( x ) = ------------------------
ν
Γ  ---
 2
Restrictions x ≥ γ ,ν > 0
Number of degrees of freedom ν
Lower Bound γ
–1 ν ν
Median 2γ  --- ,0.5Γ  ---  + γ
2  2 
ν
Γ  --- + n
n 2 n 
Moments E ( ( X – γ ) ) = 2 ----------------------
ν
Γ  ---
 2
Mean µ = ν+γ
Standard Deviation σ = 2ν
1
Skewness δ = ----------
2ν
12
Kurtosis κ = 3 + ------
ν

Mean µ
Mean-Low
Lower-Bound γ <µ
Deg-of-Freed ν >0
DoF-Low
Lower-Bound γ
The χ 2 distribution is the Generalized Gamma distribution with parameters a=ν/2, b=1, c=2
The χ 2 distribution is the Gamma distribution with parameters k=ν/2, λ=1/2.
2.5 Exponential Distribution
Name Exponential
–λ ( x – γ )
Density f ( x ) = λe
–λ ( x – γ )
Cumulative F(x) = 1 – e
Restrictions x ≥ γ ,λ > 0
Rate λ
Lower Bound γ
ln ( 0.5 )
Median – ------------------ + γ
λ
n –n
Moments E ( ( X – γ ) ) = n!λ
–1
Mean µ = λ +γ
–1
Standard Deviation σ = λ
Skewness δ = 2
Kurtosis κ = 9

Mean µ
Mean-Low
Lower-Bound γ <µ
Rate λ >0
Rate-Low
Lower-Bound γ
The Exponential distribution is the Generalized Gamma distribution with parameters a=1, b=1, c=1/λ.
The Exponential distribution is the Gamma distribution with parameters k=1.

The Exponential distribution is the Weibull distribution with parameters β=1 and δw=λ
2.6 Gamma Distribution
Name Gamma
λ k–1
Density f ( x ) = ----------- ( λ ( x – γ ) ) exp ( – λ ( x – γ ) )
Γ(k)
γ ( k ,λ ( x – γ ) )
Cumulative F ( x ) = -------------------------------
Γ(k)
Restrictions x ≥ γ ,k > 0, λ > 0
Lower Bound γ
–1 –1
Median λ γ ( k ,0.5Γ ( k ) ) + γ
n –n Γ ( k + n )
Moments E ( ( X – γ ) ) = λ --------------------
Γ(k)
–1
Mean µ = kλ +γ
–1
Standard Deviation σ = λ k
2
Skewness δ = ------
k
6
Kurtosis κ = 3 + ---
k

Mean-StD-Low Mean µ
Stand-Dev σ >0
Lower-Bound γ <µ
Mean-CoV-Low Mean µ ≠0
Coef-of-Var |σ|/µ >0
Lower-Bound γ <µ
K-Lambda-Low K k >0
Lambda λ >0
Lower-Bound γ
The Gamma distribution is the Generalized Gamma distribution with parameters a=k, b=1, and c=1/λ.
When k is an integer the distribution is also called the Erlang distribution.

2.7 Generalized Gamma Distribution
Name Gen-Gamma
b x – γ ab – 1 x–γ b
Density f ( x ) = --------------  ----------- exp  –  ----------- 
cΓ ( a )  c    c  
x–γ b
γ  a , ----------- 
Cumulative, b > 0   c  
F ( x ) = ----------------------------------
Γ(a)
x–γ b
Γ  a , ----------- 
Cumulative, b < 0   c  
F ( x ) = -----------------------------------
Γ(a)
Restrictions x ≥ γ ,a > 0, b ≠ 0, c > 0
Lower Bound γ
1
---
Median –1 b
cγ ( a ,0.5Γ ( a ) ) + γ
n
Γ  a + ---
Moments n n  b
E ( ( X – γ ) ) = c ----------------------
Γ(a)
c 1
Mean µ = ----------- Γ  a + --- + γ
Γ(a)  b
0.5
c  2 1 2
Standard Deviation σ = -----------  Γ ( a )Γ  a + --- – Γ  a + --- 
Γ(a)   b  b 
3 1 2 1 3
Γ ( a ) Γ  a + --- – 3Γ ( a )Γ  a + --- Γ  a + --- + 2Γ  a + ---
2
 b  b  b  b
Skewness δ = ----------------------------------------------------------------------------------------------------------------------------------------
1.5
 a + 2  – Γa + 1  
2
 Γ ( a )Γ --
- --
-

 b  b 
4 1 3
s = Γ ( a ) Γ  a + --- – 4Γ ( a ) Γ  a + --- Γ  a + ---
3 2
 b   b   b
1 2 2 1 4
t = 6Γ ( a )Γ  a + --- Γ  a + --- – 3Γ  a + ---
Kurtosis  b  b  b
s+t
κ = -------------------------------------------------------------------------2
 a + 2  – Γ a + 1  
2
 Γ ( a )Γ --
- --
-

 b  b 

Alpha a >0
B b ≠0
Al-B-C-Low
C c >0
Lower-Bound γ
2.8 Generalized Pareto Distribution
Name Gen-Pareto
1
– --- – 1
1 ξ(x – γ) ξ
Density f ( x ) = ---  1 + -------------------
σ σ 
1
– ---
ξ(x – γ) ξ
Cumulative F ( x ) = 1 –  1 + -------------------
 σ 
Restrictions x ≥ γ ,ξ > 0 , σ > 0
Lower Bound γ
σ
Median --- ( 0.5 –ξ – 1 ) + γ
ξ
n
Moments n σ n!
E ( ( x – γ ) ) = ----------------------------------------------------------------
( 1 – ξ ) ( 1 – 2ξ )… ( 1 – nξ )
σ
Mean ----------- + γ, ξ < 1
1–ξ
σ 1
Standard Deviation ----------------------------------------- , ξ < ---
( 1 – ξ ) ( 1 – 2ξ ) 2
2 ( 1 + ξ ) 1 – 2ξ 1
Skewness ---------------------------------------- , ξ < ---
1 – 3ξ 3
2
Kurtosis 3 ( 1 – 2ξ ) ( 3 + ξ + 2ξ ) 1
-------------------------------------------------------- , ξ < ---
( 1 – 3ξ ) ( 1 – 4ξ ) 4

Sigma σ >0
Sig-KsiP-Low KsiP ξ >0
Lower-Bound γ
2.9 Gumbel Distribution
Name Gumbel
Density f ( x ) = α exp ( – α ( x – β ) – exp ( – α ( x – β ) ) )
Cumulative F ( x ) = exp ( – exp ( – α ( x – β ) ) )

Restrictions α>0
1
Median – --- ln ( – ln 0.5 ) + β
α
∞
–1 n
E ( ( X – β ) ) =  ------
n n –s
Moments  α ∫ ln ( s ) e ds
0
γe
Mean µ = ---- + β
α
π
Standard Deviation σ = -----------
6α
ζ(3)
Skewness δ = – 2 ----------------
1.5
= – 1.13954710
ζ(2)
ζ(4)
Kurtosis κ = 3 + 6 ------------2- = 5.40
ζ(2)

Mean µ
Mean-StD
Stand-Dev σ >0
Mean µ ≠0
Mean-CoV
Coef-of-Var σ / |µ| >0
Alpha α >0
Alpha-B
B β
2.10 Hermite Transformation Model - Second Order
Name Hermit-Second
Density f(x) = φ(u(x))
Cumulative F(x) = Φ(u(x ))
2 3
x ( u ) = µ i + ασ i ( u + c 3 ( u – 1 ) + c 4 ( u – 3u ) )
6κ i – 14 – 2
c 4 = ------------------------------
36
κi > 3
δi
c 3 = --------------------------
6 ( 1 + 6c 4 )
2 2
α = 1 + 2c 3 + 6c 4
2 3
u ( x ) = y – c 3 ( y – 1 ) – c 4 ( y – 3y )
x – µi
y = 6c 3 c 4 + -------------
ασ i
( κ i – 3 ) ( 35 – 9κ i )
κi < 3 c 4 = -------------------------------------------
192
δi
c 3 = ---------------------------
6 1 + 24c 4
2 2
α = 1 + 10c 3 + 42c 4
Restrictions σ i > 0, κ i > 0
2 8
Limit for all distributions δ i < --- κ i
9
Limit for the monotonity of the 2 2 2 1
δ i ≤ – ( 81h 4 + 27h 4 ) ( 1 + h 4 ) ; h 4 = --- ( κ i – 3 ) ( 35 – 9κ i )
transformation when κ i < 3 . 8
Limit for the monotonity of the 2 δi 1

h 3 < 3h 4 ( 1 – 3h 4 ) ; h = ------------------------- - ( 1 + 1.5 ( κ i – 3 ) – 1 )
- ; h 4 = -----
transformation when κ i ≥ 3 . 3
6 ( 1 + 6h 4 ) 18
Input Moments µ i, σ i, δ i , κ i
Median –1
m = u (0)
Mean µ
Standard deviation σ = E((x – µ) )

2
3
E(( X – µ) )
Skewness δ = ----------------------------
3
-
σ
4
E((X – µ) )
Kurtosis κ = ----------------------------
4
-
σ

Mean µi
Stand-Dev σi >0
Moments
Skewness δi δi*δi ≤ (8/9) κi
Kurtosis κi >0
Mean µi
Variance σi2 >0

Central-Mom
Third-C-Mom δiσi3
Fourth-C-Mom κiσi4 >0
The Hermite Second Order Model yields a distribution with moments, µ, σ, δ, κ, which are close to, but not
identical, the corresponding input moments µi, σi, δi, κi.
The Hermite Second Order Model is identical to the Hermite First Order Model except for κi < 3 where it
yields moments closer to the input moments than the latter model does.
Winterstein,S.R.,“Non-normal Responses and Fatigue damage”, Journal of Engineering Mechanics, ASCE,

Vol 111, No. 10, Oct 1985, pp. 1291-1295.
Winterstein,S.R.,“Nonlinear Vibration Models for Extremes and Fatigue”, Journal of Engineering Mechan-
ics, ASCE, Vol 114, No. 10, Oct 1988, pp. 1772-1790.
2.11 Hermite Transformation Model - First Order
Name Hermit-Trans
Density f(x) = φ(u(x))
Cumulative F(x) = Φ(u(x ))
2 3
x ( u ) = µ i + ασ i ( u + c 3 ( u – 1 ) + c 4 ( u – 3u ) )
6κ i – 14 – 2
c 4 = ------------------------------
36
κi > 3
δi
c 3 = --------------------------
6 ( 1 + 6c 4 )
2 2
α = 1 + 2c 3 + 6c 4
2 3
u ( x ) = y – c 3 ( y – 1 ) – c 4 ( y – 3y )
x – µi
y =  -------------
 σi 
κi < 3
( κi – 3 )
c 4 = ------------------
24
δi
c 3 = ----
6
Restrictions σ i > 0, κ i > 0
2 8
Limit for all distributions δ i < --- κ i
9
Limit for the monotonity of the 2 9
δ i ≤ ------ ( 3 – κ i ) ( 5 + κ i )
transformation when κ i < 3 . 16
2
h 3 < 3h 4 ( 1 – 3h 4 )
Limit for the monotonity of the δi

h 3 = --------------------------
transformation when κ i ≥ 3 . 6 ( 1 + 6h 4 )
1
h 4 = ------ ( 1 + 1.5 ( κ i – 3 ) – 1 )
18
Input Moments µ i, σ i, δ i , κ i
Median –1
m = u (0)
Mean µ
Standard Deviation σ = E((x – µ) )

2
3
E((X – µ) )
Skewness δ = ----------------------------
3
-
σ
4
E((X – µ) )
Kurtosis κ = ----------------------------
4
-
σ

Mean µi
Stand-Dev σi >0
Moments
Skewness δi δi*δi ≤ (8/9) κi
Kurtosis κi >0
Mean µi
Variance σi2 >0

Central-Mom
Third-C-Mom δiσi3
Fourth-C-Mom κiσi4 >0
The Hermite First Order Model yields a distribution with moments, µ, σ, δ, κ, which are close to, but not
identical, the corresponding input moments µi, σi, δi, κi.
The model uses response moments to construct non-gaussian contributions, made orthogonal through a Her-
mite series. The results are found to compare well with exact results for various nonlinear models, including
nonlinear oscillator responses and quasi-static responses to non-Gaussian (Morison) wave loads.
Winterstein,S.R.,“Non-normal Responses and Fatigue damage”, Journal of Engineering Mechanics, ASCE,

Vol 111, No. 10, Oct 1985, pp. 1291-1295.
Winterstein,S.R.,“Nonlinear Vibration Models for Extremes and Fatigue”, Journal of Engineering Mechan-
ics, ASCE, Vol 114, No. 10, Oct 1988, pp. 1772-1790.
2.12 Inverse Gauss Distribution
Name Inv-Gauss
1 λ  λ ( x – γ – ξ )2 
Density f ( x ) = ---------- ---------------------- exp  – ------------------------------
-
2π ( x – γ ) 3  2ξ 2 ( x – γ ) 
λ(x – γ) λ λ(x – γ) λ λ
Cumulative F ( x ) = Φ  ----------------------- – ---------------  + Φ  – ----------------------- – ---------------  exp  2 --- 
 ξ x–γ   ξ x–γ   ξ
Restrictions ξ > 0, λ > 0

–1
Median m = F ( 0.5 )
Mean µ = ξ+γ
ξ ξ
Standard Deviation σ = ----------
λ
ξ
Skewness δ = 3 -------
λ
ξ
Kurtosis κ = 15 --- + 3
λ

Mean µ
Mean-StD-Low Stand-Dev σ >0
Lower-Bound γ
Mean µ ≠0
Mean-CoV-Low Coef-of-Var σ/|µ| >0
Lower-Bound γ
Ksi ξ >0
Ksi-Lamb-Low Lambda λ >0
Lower-Bound γ
2.13 Lognormal Distribution
Name Lognormal
1 1 ln ( x – γ ) – µ l 2
Density f ( x ) = -------------------------------- exp  – ---  -------------------------------- 
2πσ l ( x – γ )  2 σl  
x
1 1 1 ln ( s – γ ) – µ l 2
Cumulative F ( x ) = ---------- ∫ --------------------- exp  – ---  --------------------------------  ds
2π σ l ( s – γ )  2 σl  
γ
Relation to Standard Normal ln ( x – γ l ) – µ l

F ( x ) = Φ  ---------------------------------
Distribution  σl 
Restrictions x ≥ 0, σ l > 0
Median exp ( µ l ) + γ
2
n  ( nσ l ) 
Moments E ( ( x – γ ) ) = exp  --------------- + nµ l
 2 
2
 σl 
Mean µ = exp  ------ + µ l + γ
2 
2
 σl  2 0.5
Standard Deviation σ = exp  ------ + µ l ( exp ( σ l ) – 1 )
 2 
2 0.5 2
Skewness δ = ( exp ( σ l ) – 1 ) ( exp ( σ l ) – 2 )
2 2 2
Kurtosis κ = exp ( 4σ l ) + 2 exp ( 3σ l ) + 3 exp ( 2σ l ) – 3

Mean µ
Lower-Bound γ <µ
Mean µ ≠0
Lower-Bound γ <µ
Sigma σl >0
Sigma-Lamb-Low Mu µl >0
Lower-Bound γ
2.14 Longuet-Higgins Distribution
Name Long-Higgins
2Nx x 2 x 2
---------- exp  –  ------ – N exp  –  ------  
Density 2   δ lh   δ lh  
δ lh
f ( x ) = -----------------------------------------------------------------------------------------
1 – exp ( – N )
x 2
exp  – N exp  –  ------   – exp ( – N )
Cumulative    δ lh  
F ( x ) = -----------------------------------------------------------------------------------
1 – exp ( – N )
Restrictions x ≥ 0, N > 0, δ lh > 0
Number of cycles N
0.5
1
Median δ lh  – ln  – ---- ln ( 0.5 ( 1 + exp ( – N ) ) ) 
  N 
n
--- N n
n 2 ---
δ lh ( ln ( N ) ) ln ( s ) 2
E ( ( x ) ) = ------------------------------ ∫ 1 – -------------- exp ( – s ) ds

Moments n
1 – exp ( – N )  ln ( N )
0
δ lh γ e
Mean µ ∼ δ lh ln ( N ) + ------------------, N ∼ ∞
ln ( N )
πδ lh
Standard Deviation σ ∼ -----------------------------------------, N ∼ ∞
6 ( γ e + 2 ln ( N ) )

N-Cycles Ν >0
NCycle-Delta
Delta δlh >0
2.15 Maxwell Distribution
Name Maxwell
4 x–γ 2 x–γ 2
Density f ( x ) = ----------  ----------- exp  –  ----------- 
πθ  θ    θ  
3 x–γ 2
γ  ---,  ----------- 
2  θ  
Cumulative F ( x ) = -----------------------------------
3
Γ  ---
 2
Restrictions x ≥ γ, θ > 0
–1 3 π 0.5
Median m = θ Γ  ---, ------- + γ
2 4 
3 n
Γ  --- + ---
n  2 2n
Moments E ( ( x – γ ) ) = θ ----------------------
3
Γ  ---
 2
2θ
Mean µ = ------- + γ
π
3 4 0.5
Standard Deviation σ =  --- – --- θ = 0.476190 θ
 2 π
16 – 5π
δ = ----------------------- = 0.48569
Skewness 3 4 1.5
--- – ---
 2 π
2
15π + 16π – 192-
Kurtosis κ = ------------------------------------------
2
= 3.10816
( 3π – 8 )

Mean µ
Mean-Low
Lower-Bound γ <µ
Theta θ >0
Theta-Low
Lower-Bound γ
The Maxwell distribution is the Generalized Gamma distribution with parameters a=1.5, b=2 and c=θ.
2.16 Multinormal Distribution
Name Multinormal
1
- exp ( – ( x – µ ) T C –1 ( x – µ ) )
φ ( x ;C ) = ---------------------------------
Density n
--- ---
1
2 2
( 2π ) det ( C )
x1 x2 xn
Cumulative Φ ( x ;C ) = ∫ ∫ … ∫ φ ( s ;C ) ds1 ds2 … dsn

–∞ –∞ –∞
Random variables X = ( X 1, X 2, …, X n )
Dimension n
Covariance Matrix C
Mean = Median µ = ( µ 1, µ 2, …, µ n )
0.5 0.5 0.5

Standard Deviations σ = ( σ 1, σ 2, …, σ n ) = ( C 11 , C 22 , …, C nn )
–1 –1
Correlation Matrix R = Σ CΣ , Σ ii = σ i, Σ ij = 0, i ≠ j
Restrictions C and R must be positive definite.
Input of Dimension
Proban: Dimension
User: Gives n ≥ 1
Parameter Set Parameter Names Symbol Examples

Corr-i-j Rij Corr-1-2, Corr-1-3,...,Corr-2-3, Corr-2-4,...
Cor-StD-Low StDev-i σi StDev-1, StDev-2,...
Mean-i µi Mean-1, Mean-2,...
Covar-i-j Cij Covar-1-1, Covar-1-2,...,Covar-2-2, Covar-2-3,...
Cor-StD-Low
Mean-i µi Mean-1, Mean-2,...
The indices i and j of the parameters takes the following values:
In the case of a correlation matrix, j runs from i+1 to n and i runs from 1 to n.
In the case of a covariance matrix, j runs from i to n and i runs from i to n.
In the case of mean values and standard deviations, i runs from 1 to n.
The Multinormal distribution may also be input by using the Nataf correlation model, see Section 4.3.
2.17 Normal Distribution
Name Normal
1 1 x–µ 2
Density f ( x ) = -------------- exp  – ---  ------------ 
2πσ  2 σ  
x
2
1 1 s–µ
Cumulative F ( x ) = --------------
2πσ
∫ exp  – --2-  ----------
σ 
-  ds

–∞
Restrictions σ>0
Median m = µ
n+1
------------
2 n
2 σ n+1
Moments E ( ( x – µ ) ) = ------------------ Γ  ------------ ; if neven, else 0.
n
2π  2 
Mean µ
Standard Deviation σ
Skewness δ = 0
Kurtosis κ = 3

Mean µ
Mean-StD
Stand-Dev σ >0
Mean µ ≠0
Mean-CoV
CoV σ/|µ| >0
The Standard Normal Distribution is the Normal Distribution with parameters µ=0 and σ=1.
2.18 Onesided-Normal Distribution
Name Onesi-Normal
2 1 x – µn 2
Density f ( x ) = ----------------- exp  – ---  -------------- 
2πσ n  2  σn  
x
2 1 s – µn 2
Cumulative F ( x ) = ----------------- ∫ exp  – ---  --------------  ds
2πσ n  2  σn  
µn
Restrictions x ≥ µ n, σ > 0
Lower bound µn
0.5
–1 1 π
Median m = σ n 2Γ  ---, ------- + µn
2 2 
m
----
2 m
Moments 2 σn m+1
E ( ( x – µ n ) ) = ------------- Γ  -------------
m
π  2 
2
Mean µ = ------- σ n + γ n
π
2 0.5
Standard Deviation σ =  1 – ---  σ n
 π
2(4 – π )
Skewness δ = -----------------------
1.5
- = 0.9952717
(π – 2)
2
3π – 4π – 12
Kurtosis κ = --------------------------------
2
- = 3.869177
(π – 2)

Mean µ
Mean-Low
Lower-Bound µn <µ
Sigma σn >0
Sigma-Low
Lower-Bound µn
The Onesided Normal Distribution is the upper half of the Normal Distribution with mean µn and standard
deviation σn, and scaled to become a probability distribution function.
The Onesided Normal Distribution is the Generalized gamma Distribution with parameters a=0.5, b=2 and
c= 2 σn.
2.19 Oval Distribution
Name Oval
2 x – µ 2 0.5
Density f ( x ) = -----  1 –  ------------ 
πs   s  
1 π x–µ x – µ 2 0.5 x–µ

Cumulative F ( x ) = ---  --- + ------------  1 –  ------------  + Arcsin  ------------ 
π 2  s   s    s 
Restrictions µ – s ≤ x ≤ µ + s, s > 0
Scale s
Median m = µ
n+1
Γ  ------------
n s
n  2 
Moments E ( ( x – µ ) ) = ------- ---------------------- ; if n even, else 0.
π n
Γ --- + 2
2 
Mean µ
Standard Deviation σ = 0.5s
Skewness δ = 0
Kurtosis κ = 2

Mean µ
Mean-Scale
Scale s >0
2.20 Probability of Detection Distribution
Name POD-Distrib
1
---
β β–1
(m – γ) β(x – γ) -
Density f ( x ) = ------------------------------------------------
x – γ β 2
 1 +  ----------- -
 m – γ  
1
F ( x ) = 1 – -------------------------------β-
Cumulative x–γ
1 +  ------------ 
m – γ 
Restrictions m > γ, β > 0
Median m
n n
E ( X ) = ( m – γ ) B  1 + ---, 1 – --- ; if β > n, else ∞.
n n
Moments  β β
1 1
Mean µ = ( m – γ )B  1 + ---, 1 – --- + γ, if β > 1, else ∞.
 β β
Standard Deviation 2 2 0.5

σ = ( E ( X ) – µ ) , if β > 2, else ∞.
1 3 2 3
Skewness δ = -----3- ( E ( X ) – 3µE ( X ) + 2µ ), if β > 3, else ∞.
σ
1 4 3 2 2 4
Kurtosis κ = -----4- ( E ( X ) – 4µE ( X ) + 6µ E ( X ) – 3µ ), if β > 4, else ∞.
σ

Median m
Med-Beta-Low Beta β >0
Lower-Bound γ <m
2.21 Rayleigh Distribution
Name Rayleigh
x–γ 1 x–γ 2
Density - exp  – ---  ----------- 
f ( x ) = ----------
2  2 θ  
θ
1 x–γ 2
Cumulative F ( x ) = 1 – exp  – ---  ----------- 
 2 θ  
Restrictions x ≥ γ, θ > 0
Median m = θ 2 – ln ( 0.5 ) + γ
n
---
n
E ( ( X – γ ) ) = 2 θ Γ  1 + ---
Moments n 2 n
 2
π
Mean µ = ------- θ + γ
2
0.5
π
Standard Deviation σ = 2θ  1 – ---
 4
2 π ( 2π – 6 )
Skewness δ = ------------------------------
1.5
- = 1.262221
(4 – π)
2
32 – 3π
Kurtosis κ = --------------------2- = 3.245089
(4 – π)

Mean µ
Mean-Low
Lower-Bound γ <µ
Theta θ >0
Theta-Low
Lower-Bound γ
The Rayleigh Distribution is the Generalized Gamma Distribution with parameters a=1, b=2 and c=θ 2 .
2.22 Splined Distribution, One Dimension
Name Spline-1Dim
n
Cumulative F(x) = ∑ ci Bi, k, t ( x )

i=1
Restrictions Lower Bound < x < Upper Bound
Input Options Description

Lower Bound Start point for distribution
Upper Bound End point for distribution
Unweighted All weights equal to 1
Weighting
Weighted Weights are input
Unimodal Free Shape
Low n=6 n=4
Accuracy
Medium n=(m+11)/2 n=m/2+3(+1 if equal density tail values)
High n=m+5 n=m+2(+2 if equal density tail values)
Free Multi modality permitted
Shape
Unimodal Unimodal distribution, zero density at end points
Equal Equal at end points
Density Tail Values Free Decided by algorithm
Vanish Forced to zero
Fractile m ≥ 3 distribution arguments
Cumulative probability Corresponding probabilities
Weight Corresponding weights if weighted
The n B-spline polynomials Bi,k,t(x), i=1,2,...,n are defined on a monotone sequence of points t=tj,
j=1,2,...,n+k, the ith polynomial being positive on ti < x < ti+k and zero else.
A weighted least squares method is used to calculate the vector c. Thus the following least squares sum is
minimized:
m
2
LSQ ( c ) = ∑ wl ( F ( xl ) – yl )
l=1
in which (xl, yl ,wl), l=1,2,...,m are the m fractiles, probabilities and weights respectively.
2.23 Student-t Distribution
Name Student-t
ν+1
2 – ------------
2
1 (x – µ)
Density f ( x ) = --------------------------  1 + ------------------- 
1 ν  ν 
νB  ---, ---
 2 2
x ν+1
2 – ------------
2
1 (s – µ)
Cumulative F ( x ) = -------------------------- ∫  1 + -------------------  ds
1 ν  ν 
νB  ---, --- – ∞
 2 2
Restrictions ν≥2
Degrees of Freedom ν
Median m = µ
n+1 ν–n
Γ  ------------ Γ  ------------
n
---
nν  2   2 
2
Moments E ( ( X – γ ) ) = ------- -------------------------------------------- , n even, 0 else.
π ν
Γ  ---
 2
Mean µ
2 –0.5
Standard Deviation σ =  1 – --- 
 ν
Skewness δ = 0
3(ν – 2)
Kurtosis κ = -------------------- , ν > 4
(ν – 4)

Deg-of-Freed ν ≥2
DoF-Mean
Mean µ
The Student-t Distribution is the ratio of a Standard Normal distributed random variable to the square root of
a χ2 distributed random variable divided by its number of degrees of freedom.
A Student-t distributed random variable may be replaced by a Normal distributed random variable with
mean = µ and standard deviation σ = 1 if ν is large, say ν ≥ 100.
2.24 Triangle Distribution
Name Triangle
x–a
 2 ----------------------------------
-, a ≤ x ≤ m
 (m – a)(b – a)
Density f(x) = 
b–x
 2 ----------------------------------
-, m < x ≤ b
 (b – m)(b – a)
 (x – a) -
2
 2 ---------------------------------- , a≤x≤m
 (m – a )(b – a )
Cumulative F(x) = 
2
 (b – x) 
  1 – ( b – m ) ( b – a -) , m < x ≤ b
----------------------------------

2a + b a + 2b
Restrictions a ≤ x ≤ b, a ≤ m ≤ b, --------------- ≤ µ ≤ ---------------
3 3
Most likely value m
Lower Bound a
Upper Bound b
 a + 0.5 + ( m – a ) ( b – a ), F ( m ) ≤ 0.5
Median m= 
 b – 0.5 + ( b – m ) ( b – a ), F ( m ) > 0.5
n+1 n n+1
Moments n (b – m) + ( –1 ) ( m – a )
E ( ( X – γ ) ) = 2 ---------------------------------------------------------------------------
( b – a )( n + 1 )( n + 2)
a+b+m
Mean µ = -----------------------
3
2 2 2
Standard Deviation a + b + m – ab – am – bm
σ = --------------------------------------------------------------------------
18
2 2 2
2 2a + 2b – 5ab + ma + mb – m -
Skewness δ = ------- ------------------------------------------------------------------------------- ( a + b – 2m )
5 2 2 2 1.5
( a + b + m – ab – am – bm )

Lower-Bound a ≤m
Low-MostL-Up Most-Likely m
Upper-Bound b ≥m
Lower-Bound a <µ
Low-Mean-Up Mean µ (2a+b)/3 <= µ <= (a+2b)/3
Upper-Bound b >µ
2.25 Truncated Normal Distribution
Name Trunc Normal
1 x–µ
------ φ  -------------n-
σn  σn 
Density f ( x ) = ---------------------------------------------------------
b – µn a – µn
Φ  -------------- – Φ  --------------
 σn   σn 
x – µn a – µn
Φ  -------------- – Φ  --------------
 σn   σn 
Cumulative F ( x ) = ---------------------------------------------------------
b – µn a – µn
Φ  -------------- – Φ  --------------
 σn   σn 
Restrictions a ≤ x ≤ b, σ n > 0
a – µn b – µn
Definitions s a = sign ( a – µ n ) ;s b = sign ( b – µ n ) ;A = -------------- ;B = --------------
σn σn
2 2
m + 1 m + 1 B  m + 1 m + 1 A 
  X – µ n  s b γ  2 , 2  – s a γ  2 , 2 
m ------------- ------ ------------- ------
Moments E   ---------------  = --------------------------------------------------------------------------------------------------
  σn 2   2 π(Φ(B) – Φ(A) )
φ(A) – φ(B)
Mean µ = σ n -------------------------------- + µ n
Φ(B) – Φ(A)
0.5
 Aφ ( A ) – Bφ ( B ) φ(A) – φ(B) 2 
Standard Deviation σ = σ n  1 + -------------------------------------- –  -------------------------------- 
 Φ ( B ) – Φ ( A )  Φ ( B ) – Φ ( A ) 

Mu µn
Sigma σn >0
Mu-Sigma-Lim
Lower-Bound a
Upper-Bound b >a
Mu µn ≠0
Coef-of-Var σn/|µn| >0
Mu-CoV-Lim
Lower-Bound a
Upper-Bound b >a
2.26 Uniform Distribution
Name Uniform
1
Density f ( x ) = ------------
b–a
x–a
Cumulative F ( x ) = ------------
b–a
Restrictions a≤x≤b
Lower Bound a
Upper Bound b
a + b-
-----------
Median
2
n 1 1 n
Moments E ( ( X – µ ) ) = ----n- ------------ ( b – a ) , n even, 0 else.
2 n+1
a+b
Mean µ = ------------
2
b–a
Standard Deviation σ = ------------
2 3
Skewness δ = 0
Kurtosis κ = 1.8

Lower-Bound a
Limits
Upper-Bound b >a
Mean µ
Mean-Low
Lower-Bound a <µ
Mean µ
Mean-StD
Stand-Dev σ >0
Mean µ ≠0
Mean-CoV
Coef-of-Var σ/|µ| >0
2.27 Weibull Distribution
Name Weibull
β–1 β
Density f ( x ) = δw β ( x – γ ) exp ( – δ w ( x – γ ) )
β
Cumulative F ( x ) = 1 – exp ( – δ w ( x – γ ) )
Restrictions x ≥ γ, δ w > 0, β > 0
Lower Bound γ
1
– ---
Alpha β
α = δw
1
---
Median – ln ( 0.5 ) β
 --------------------
- +γ
 δw 
n
– ---
β  n n
+ --- = α Γ  1 + ---
Moments n n
E((X – γ) ) = δw Γ 1
 β  β
1
Mean µ = αΓ  1 + --- + γ
 β
2 1 2 0.5
Standard Deviation σ = α  Γ  1 + --- – Γ  1 + --- 
  β  β 
3 1 2 1 3
Γ  1 + --- – 3Γ  1 + --- Γ  1 + --- + 2Γ  1 + ---
 β  β  β  β
Skewness δ = --------------------------------------------------------------------------------------------------------------
2 1.5
-
 Γ  1 + --2- – Γ  1 + --1- 
  β  β 
4 1 3
s = Γ  1 + --- – 4Γ  1 + --- Γ  1 + ---
 β  β  β
1 2 2 1 4
t = 6Γ  1 + --- Γ  1 + --- – 3Γ  1 + ---
Kurtosis  β  β  β
s+t
κ = --------------------------------------------------------------
2 2
 Γ  1 + --2- – Γ  1 + --1- 
  β  β 

Mean µ
Lower-Bound γ <µ
Mean µ ≠0
Lower-Bound γ <µ
Delta δw >0
Delt-Bet-Low Beta β >0
Lower-Bound γ
Alpha α >0
Alp-Bet-Low Beta β >0
Lower-Bound γ
The Weibull Distribution is the Generalized Gamma Distribution with parameters a=1, b=β, and c= α.
3 DISTRIBUTION LIBRARY - DISCRETE DISTRIBU-

TIONS
3.1 Introduction
The Proban Distribution Library -Discrete Distributions is a built-in collection of discrete distributions. The
available ones are given in Table .
.
Binomial Binomial Distribution
Poisson Poisson Distribution
3.2 Binomial Distribution
Name Binomial
n! x n–x
Pointwise Probability p ( x ) = ----------------------- p ( 1 – p )
x! ( n – x )!
Cumulative F(x) = ∑ p(z)

z≤x
Restrictions x ∈ ( 0, 1, 2, …, n ) ;0 ≤ p ≤ 1
Number of Observations n
Probability p
Mean µ = np
Standard Deviation σ = ( np ( 1 – p ) )

Number n >0
N-Probab
Probability p 0≤p≤1
3.3 Poisson Distribution
Name Poisson
x
Pointwise Probability µ exp ( – µ )
p ( x ) = ---------------------------
x!
Cumulative F(x) = ∑ p(z)

z≤x
Restrictions x ∈ ( 0, 1, 2, …, n ) ;µ ≥ 0
Mean µ
Standard Deviation σ = µ

Mean Mean µ >0
4 OTHER DISTRIBUTIONS
4.1 Generated Distribution
4.1.1 General
The Generated Distribution permits a function of random variables as a distribution type.
Let Z be a random variable and W the variables of the model for Z. Create a variable X as a Generated Dis-
tribution of Z to assign the distribution of Z to X.
Conditioning of X on a subset Y of the variables W, yields X(y; α ) distributed as Z(y). The values of the con-
ditioning variables y, together with the numerical parameters, α , in the model for Z(y) become parameters
for the distribution of X.
The random variables X1(y1; α 1 ) and X2(y2; α 2 ) generated from the same random variable Z or different
random variables Z1 and Z2 are treated as mutually independent (zero correlation) unless a correlation is
specified for X1(y1; α 1 ) and X2(y2; α 2 ) by use of the Nataf correlation model.
Create X as the Generated Distribution of Z, Z being distributed as W1+W2, where Wi, i=1,2, is distributed as
2
Normal ( µ i ,σ i ). The parameters µ i and σ i are constants.
This allows three distribution models for Z.
1 When W1 and W2 are not conditioned on then X( µ 1 ,µ 2 ,σ 1 ,σ 2 ) is distributed as Nor-

2 2
mal( µ 1 + µ 2 ,( σ 1 + σ 2 ) ).
2
2 When W1 but not W2 is conditioned on then X( w 1 ,µ 2 ,σ 2 ) is distributed as Normal( w 1 + µ 2 ,σ 2 ).
2
3 When W2 but not W1 is conditioned on then X( w 2 ,µ 1 ,σ 1 ) is distributed as Normal( µ 1 + w 2 ,σ 1 ).
The present example gives three possible Normal distributions for X(y; α ) and X(y; α ) may therefore (per-
haps preferably) be modelled as such. However, in general the resulting distribution for X(y; α ) does not
correspond to a standard distribution type. The Generated Distribution therefore yields a forceful extension
to the random variable modelling in Proban.
The distribution of X(y) is calculated using FORM - First Order Reliability Method - on Z(y) ≤ x. The result-
ing distribution of X(y) is therefore a FORM approximation to the true distribution of X(y).
4.1.2 Proban: Create X as Generated Distribution of Z(y).

The variable X is created by use of the following commands.
CREATE VARIABLE X ’Generated by Z(y)’ GENERATED Z
ASSIGN CONDITIONING X ( ONLY W1 W5 W7 )
Two other commands are useful:

CHANGE VARIABLE X ...
DEFINE ANALYSIS OPTION GENERATED DISTRIBUTION
4.2 Extreme Value Distributions
4.2.1 General
When X is a univariate continuous random variable, i.e., a generated distribution or a continuous univariate
random variable from the built-in distributions library, then Xn, the maximum or minimum of n independent
realizations of X can be modelled.
4.2.2 Maximum of n Independent Realizations of X

The distribution of Xn becomes:
n
FX ( xn ) = FX ( x ) (4.1)
n
in which FX(x) is the cumulative distribution of X.
4.2.3 Minimum of n Independent Realizations of X

The distribution of Xn becomes:
n
F Xn ( x n ) = 1 – ( 1 – F X ( x ) ) (4.2)
in which FX(x) is the cumulative distribution of X.
4.2.4 Some Notes

If a parameter τ of the distribution of X is modelled as a random variable, then the current realization of τ
becomes a distribution parameter for Xn.
n
F X ( x n ;τ ) = F X ( x ;τ ) (4.3)
n
and
n
F X ( x n ;τ ) = 1 – ( 1 – F X ( x ;τ ) ) (4.4)
n
For a Generated Distribution the values of the variables conditioned on together with numerical values in
the model for X serves as distribution parameters.
When a max/min extreme value distribution is modelled, the variable named X takes on the distribution of
Xn.
A random variable which takes on a max/min extreme value distribution may be correlated with other con-
tinuously distributed random variables. The correlation is then with Xn and not with X.
4.2.5 Proban: Create Xn as Maximum of n Independent Realizations of X

The variable X20 is created by use of the following command.
ASSIGN EXTREME-VALUE X MAX-OF-N 20
4.3 Correlation
4.3.1 Nataf Model

The Nataf model permits correlation also between non-Normal random variables. For example, if X1 is
Weibull distributed and X2 Lognormal distributed, then a correlation ρ X ,X between them is permitted.
1 2
The Nataf distribution model for X1 and X2 with correlation ρ X1 ,X2 is obtained by mapping of X1 and X2
onto the Standard Normal random variables V1 and V2 by
–1
v i = Φ ( F x i ( x i ) ) ;i = 1 , 2 (4.5)
and thereafter by defining their joint distribution to be the Bivariate Normal distribution:
 v2 + v2 –2 v v ρ 
1
f V ,V ( v 1 ,v 2 ) = ---------------------------------- exp  – -----------------------------------------------
1 2 1 2 V 1 ,V 2
- (4.6)
 2 
2 ( 1 – ρ V 1 ,V 2 ) 
1 2 2
2π 1 – ρ V ,V 
1 2
There is a one-one relation between the correlations ρ X1 ,X2 and ρ V1 ,V2 so that the correlation coefficient
may optionally be entered as
Basic, i.e., ρ X
1 ,X 2
or as
Normal, i.e., ρ V .
1 ,V 2
The variables X1 and X2 may both be correlated with other variables. The only restriction is that the result-
ing correlation matrix, ρV, for the normalized variables must be positive definite, i.e., the correlations must
be valid and not produce linear dependency between variables.
If X1 and X2 are jointly Normal, then the Nataf model yields the Bivariate Normal distribution. (In Proban:
The Multivariate Normal distribution of dimension 2.) If X1 and X2 are jointly Lognormal, the Nataf model
yields the usual definition of the Multilognormal distribution.
If X1 or X2 is a Generated Distribution, then the correlation input is restricted to ρ V .

1 ,V 2
The Nataf model is the natural generalisation of the Multivariate Normal distribution to non-normal random
variables. The correlation matrix, ρV, measures linear dependency between the corresponding normalised
variables which, in general, implies non-linear dependency between the basic variables.
If a multivariate distribution model is not precisely known, then experience shows that the Nataf model may
still be useful.
4.3.2 References
Nataf,A., “Determination des Distribution dont les Marges sont Donnees,” Comptes Rendus de l’Academie
des Sciences, Paris1962, Vol 225, pp. 42-43.
Winterstein, S.R., De, R.S., and Bjerager, P., “Correlated Non-Gaussian Models in Offshore Structural relia-
bility,” Proceedings, 5th International Conference on Structural Safety and Reliability, San Francisco, Cali-
fornia, August 1989, pp 239-242.
Liu, P.L., Der Kiureghian, A., “Multivariate Distribution Models with Prescribed Marginals and Covari-
ances,” Probabilistic Engineering Mechanics, 1986, Vol 1, No 2, pp. 105-112.
4.4 Conditional Distributions
4.4.1 General
A random variable is allowed as a model for a parameter of another random variable. The only restriction is
that a variable may not (in)directly reference itself.
As an example, let the variable X be normally distributed with mean being the sum S of Y, W and Z, and
standard deviation 0.3. Create the variables Y, W and Z, and a new variable S=Sum(Y,W,Z). Create a variable
X as normally distributed with mean S and standard deviation 0.3. The distribution of X is now conditioned
on the current value of S.
The theory which permits this modelling is the Rosenblatt Transformation. This transformation maps the
random variables (X1,X2,...,Xn) onto a set of independent standard normal random variables (U1,U2,...,Un).
The basic form of the transformation is:
Φ ( u1 ) = FX ( x1 )
1
Φ ( u2 ) = FX ( x2 x1 )
2
… = …
Φ ( un ) = F X ( x n x 1 , x 2 , …, x n – 1 )
n
Note that many multivariate distributions are actually standard one-dimensional distributions with random
parameters.
Rosenblatt,N., “Remarks on a Multivariate Transformation,” Annals of Mathematical Statistics, Vol 23, pp.
470-472.
4.5 Continuous Time Dependent Stochastic Process
4.5.1 General
A continuous time dependent stochastic process X(t) can be seen as a particle that moves in time. An infinite
number of replications of the process yields statistical uncertainty for both the position of the particle and
the slope of its instant movement and also for its correlation with other particles.
A time dependent continuous process has a starting time TS, and a duration D, measured from the starting
time. The Rice formulation, (Rice 1944), in which the statistics of the process is represented in terms of the
process variable X(t), its time derivative X· ( t ) , and their joint statistics is employed. The actual calculation
method is the parallel system sensitivity factor method based on Madsens Formula, (Hagen and Tvedt,
1991).
The calculation method implemented requires the mean of X· ( t ) to be zero, i.e., drift cannot be modelled
through the time derivative. As shown below, a model for a time dependent stochastic process can always be
formulated to comply with this restriction.
The variables X(t) and X· ( t ) have continuous distributions. The continuous distribution models in the
Proban Distributions Library, the Generated distribution, the Max and Min Extreme value distributions,
conditional distributions and correlated distributions are all permitted.
·
Let X· ( t ) have mean µ ( t ) and let failure be described by
G(X(t)) < 0 (4.7)
Then by using
Y(t) = X(t) – γ(t) (4.8)
there is
G( Y( t ) + γ( t) ) < 0 (4.9)
Since
Y· ( t ) = X· ( t ) – d γ ( t ) (4.10)
dt
there is
t
·
γ(t) = ∫ µ ( s ) ds (4.11)
TS
·
and Y· ( t ) has zero mean. As an example, if the expectation µ ( t ) is a constant C, then γ ( t ) = C ( t – T S )
Rice, S.O., “Mathematical Analysis of Random Noise”, Bell System Technical Journal, pp. 46-156.
Reprinted in Selected Papers in Noise and Stochastic Processes, ed. N. Wax, Dover, New York, 1954.
Hagen, Ø., and Tvedt, L., “Vector Process Out-Crossing as Parallel System Sensitivity Measure”, Journal of
Engineering Mechanics, Vol 117, No. 10, October 1991.
4.5.2 Create a Continuous Time Dependent Process
Create one variable, X, to model the position of X(t) and a variable XDOT to model X· ( t ) . Assign XDOT as
the time derivative of X.
ASSIGN CONTINUOUS-PROCESS X XDOT
Explicit time dependency is modelled through the variable TIME.

4.6 Distributions Defined by User (UNIX)
4.6.1 User Defined Distributions

To add a user defined distribution to Proban requires that the distribution is programmed, and then linked
into Proban.
Use the following sequence to add a user defined distribution:
1 Select a three character routine prefix for the distribution. This prefix should begin the name of each rou-
tine programmed with the distribution. For illustration of the process, assume that the chosen prefix is
XXX. These prefixes cannot be used:
ATR BET BPM CDI CH2 CGR CHK CIQ COP CPM DDI DES DFU DIM DIS EXP EXT FOX
FU FX GAM GGM GUM HTM ICO IDI IIQ ING INI IPM IQ IQC LNM LOH LSC LSD
LSI MNR MOM MSG MXW NAM NMS NPM NRM NUM ONE OP OVA PAR PM PMI PMN PTZ
RAY SP1 SP2 STN STU TAC TOC TPA TRA TRI TRU TST UAT UNI USR VTZ WBL ZTV
ZVP
2 The distribution, input sequence and parameter(s) must be installed by modifying the routine USRINI.
During start-up, Proban calls USRINI to install any user defined distributions. The delivered version of
USRINI does not install any user defined distributions.
The distribution is allowed to have one input sequence. The input sequences that are in use in Proban al-
ready may be reused, or a new input sequence may be installed. The same applies to the parameters in the
input sequence. If an existing input sequence or parameter is used, all restrictions that apply to the input
sequence and parameters will also be in effect for the new distributions.
Other details about the installation are described in USRINI itself. The location of USRINI is described
in the installation guide. At the same place there is an example routine: USRINI.TST showing how the
TST distribution is implemented.
3 Program the DDI routine for the distribution (e.g. named XXXDDI). This routine calculates the density
function, distribution function and complementary distribution function from a fractile in the distribu-
tion. Proban is delivered with an example, called TSTDDI, that should be used as a template for the rou-
tine. The location of this routine is specified in the installation guide.
Proban requires good accuracy in the tail of the distribution, and may call the DDI routine with extreme
tail values. Please be aware of this, and take special note of the possibility of an overflow (e.g. in the exp
function) if a tail value is extreme.
4 The DDI routine is activated through the routine USRDDI. USRDDI must be modified by inserting a call
to the DDI routine for the distribution. See the documentation in USRDDI itself for further clarification.
Proban is delivered with a USRDDI routine that does not call any user defined distributions. The location
of USRDDI is described in the installation guide. At the same place there is an example routine:
USRDDI.TST showing how the TST distribution is implemented.
5 Proban is delivered with an object library, called USER. The location of the library is described in the
installation guide. This library contains the user defined distributions (it is delivered with only USRINI
and USRDDI). Take a copy of this library. Then compile USRINI, USRDDI and the distribution DDI
routine (e.g. XXXDDI) (and possibly other routines that are needed by the new DDI routine) and place
the object codes in the USER library.
6 Link the USER library into Proban using the link command file or makefile delivered with Proban The
procedure for doing this is installation dependent and is described in the installation guide.
7 Check the distribution by use of the PRINT DISTRIBUTION command. The HIGH-RESOLUTION
print option will print warnings if the DDI routine seems to give wrong results. Also try giving some
extreme tail values using the FRACTILE and PROBABILITY options.

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SESAM

Continuous, Discrete and Correlated Distributions

DET NORSKE VERITAS

Octber 1st, 2004

Valid from program version 4.4

Developed and marketed by

Copyright © 2004 Det Norske Veritas

1.1 Terminology..................................................................................................................................... 1-2

2 DISTRIBUTION LIBRARY- CONTINUOUS DISTRIBUTIoNS ..............................2-1

2.1 Introduction...................................................................................................................................... 2-1

3 DISTRIBUTION LIBRARY - DISCRETE DISTRIBUTIONS................................... 3-1

3.1 Introduction...................................................................................................................................... 3-1

4 OTHER DISTRIBUTIONS ............................................................................................. 4-1

4.1 Generated Distribution..................................................................................................................... 4-1

• Correlation of univariate random variables is modelled assuming a Nataf distribution model.

A variable is a vector if the corresponding distribution is multivariate. A coordinate is referred to by name-

The command ASSIGN-CORRELATION defines the correlation input.

The commands CREATE-VARIBLE, ASSIGN EXTREME-VALUE, ASSIGN CORRELATION, and

A typical CREATE VARIABLE situation is shown in Figure 1.1.

Figure 1.1 Create a Random Variable

The density distribution of the random vari-

Mean µ = E( X) The expectation or average of X.

Median m The value x so that F ( x ) = 0.5

2 0.5 Measures the spread of the distribution of X

3 Measures the symmetry of the distribution

Table is about standard functions used in the text.

B-spline no. i of n of order k defined

Inverse Complementary Incomplete Gamma Func- –1

Standard Normal Distribution Function Φ(x) ∫ ϕ ( s ) ds

Euler Constant γe 0.577215664...

1.2 Proban in the SESAM System

Figure 1.2 SESAM Overview

1.3 How to Read this Manual

Chapter 3 DISTRIBUTION LIBRARY - DISCRETE DISTRIBUTIONS explains each discrete distribution

1.4 Changes from the Previous Revision

2 DISTRIBUTION LIBRARY- CONTINUOUS DISTRI-

The continuous distributions available are shown in Table .

Beta Beta Distribution

Inv-Gauss Inverse Gauss Distribution

2.2 Beta Distribution

Restrictions a ≤ x ≤ b, r > 0, t > r

Parameter Set Parameter Names Symbol Restriction

2.3 Burr Distribution

Restrictions x ≥ γ, m > 0, c > 0, k > 0

Parameter Set Parameter Names Symbol Restriction

2.4 Chi-Square Distribution

Number of degrees of freedom ν

Parameter Set Parameter Names Symbol Restriction

2.5 Exponential Distribution

Parameter Set Parameter Names Symbol Restriction

The Exponential distribution is the Gamma distribution with parameters k=1.

2.6 Gamma Distribution

Parameter Set Parameter Names Symbol Restriction

When k is an integer the distribution is also called the Erlang distribution.

2.7 Generalized Gamma Distribution

Parameter Set Parameter Names Symbol Restriction

2.8 Generalized Pareto Distribution

Restrictions x ≥ γ ,ξ > 0 , σ > 0

Parameter Set Parameter Names Symbol Restriction

2.9 Gumbel Distribution

Density f ( x ) = α exp ( – α ( x – β ) – exp ( – α ( x – β ) ) )

Cumulative F ( x ) = exp ( – exp ( – α ( x – β ) ) )

Parameter Set Parameter Names Symbol Restriction