(Lecture Notes in Engineering 21) B. F. Spencer Jr. (Auth.) - Reliability of Randomly Excited Hysteretic Structures-Springer-Verlag Berlin Heidelberg (1986)

Lecture Notes in
Engineering
Edited by C. A. Brebbia and S. A. Orszag
21
B. F. Spencer, Jr.
Reliability of Randomly
Excited Hysteretic Structures
Spri nger-Verlag
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Series Editors
C. A. Brebbia . S. A. Orszag
Consulting Editors
J. Argyris . K.-J. Bathe' A. S. Cakmak . J. Connor' R. McCrory
C. S. Desai' K.-P. Holz . F. A. Leckie' G. Pinder' A. R. S. Pont
J. H. Seinfeld . P. Silvester' P. Spanos' W. Wunderlich' S. Yip
Author
B. F. Spencer, Jr.
Department of Civil Engineering
University of Notre Dame
Notre Dame, Indiana 46556
USA
ISBN-13: 978-3-540-16863-8 e-ISBN-13: 978-3-642-82863-8
001: 10.1007/978-3-642-82863-8
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© Springer'Verlag Berlin, Heidelberg 1986
Softcover reprint of the hardcover 15t edition 1986
216113020·543210
To my grandmother and father
ACKNOWLEDGEMENT
I would like to express my gratitude to Professor L.A. Bergman for his
guidance, inspiration and support throughout the research reported herein.
My appreciation goes to Professor Y.K. Wen for encouragement and many
helpful discussions.
The support of the National Science Foundation during the early stages
of this work and of the Research Board of the University of Illinois at
Urbana-Champaign and the Computing Services Office at the University. In
particular, the assistance of Mr. Warner D. Brigham and Mr. Bruce E. Gletty
is acknowledged.
My special thanks go to Mrs. Vivian Sprau, Mrs. Sheryl Reynolds, Mrs.
Darlene Mathine, Mrs. Jan Weaver and Miss Christy Cauffman who expertly
typed this manuscript.
Finally, I would like to thank my family, especially my father Billie
F. Spencer, Sr., for their support and encouragement during my studies.

ABSTRACT
ON THE RELIABILITY OF NONLINEAR HYSTERETIC STRUCTURES

SUBJECTED TO BROADBAND RANDOM EXCITATION
by
B.F. Spencer, Jr.
A method to determine the ordinary statistical moments of time to
first passage and to determine the probability of first passage failure for
a simple oscillator, incorporating the modified Bouc hysteresis model, has
been developed. Two boundary value problems are formulated from Markov
process theory and solved by a Petrov-Galerkin finite element method. The
first is known as a generalized Pontriagin-Vitt equation, which when solved
yields the ordinary moments of time to first passage as a function of the
oscillator's initial displacement, initial velocity and initial hysteretic
force. In the second formulation, an initial-boundary value problem
related to the backward Kolmogorov equation is derived and solved directly
for the cumulative function of oscillator reliability, also in terms of the
initial state of the oscillator. A comparison of the finite element
results with those obtained by Monte Carlo simulation is then given to
demonstrate the accuracy of the finite element method. Finally, a method
to estimate the reliability of the hysteretic oscillator having prescribed
the first few moments of first passage time is considered.

LIST OF TABLES
4.1 First and second ordinary moment.'> of time to first passilge of

the hysteretic oscillator computed from the reliability
function and the deviation from the direct solution of the
generalized Pontriagin-Vitt equation; w=l, 5 0 =.12, A=l,
y=~=.5, a=1/21 ••• ••••••• ••••••••••••• ••••••••••••••••••••••••• 78
4.2 Comparison of the direct solution of the generalized

Pontriagin-Vitt equation with Monte Carlo simulation for
various initial conditions; n=l, '=0, w=l, 5 0 =.12, A=l,
y=~=.5,a=1/21 (10,000 reali:>:ations) ••••••••••• •••• •••• ••• ••••• 84
4.3 Comparison of the direct solution of the generalized

Pontriagin-Vitt equation with Monte Carlo simulation for
quiescent initial conditions; w=l, 5 0 =.12, A=l, y=p=.5,
a=1/21, (10,000 realt~ations) ••••••••••••••••••••••••••••••••• 85
5.1 Normalized moments of the hysteretic oscillator; n~l, w=l,

80 =.12, A=l, y=~=.5, a=1/21, quiescent initial conditions ••••• 99
5.2 Coefficients for the maximum entropy distributions for the

hysteretic oscillator; n=l, '=0.0, w=l, 80 =.12, A=l, y=~=.5,
a=1/21, quiescent initial conditions •••••••••••••••••.•••••••• 100
5.3 Coefficients of the maximum entropy distributions for the

hysteretic oscillator; n=l, '=0.08, w=l, 5 0 =.12, A=I, y=~=.5,
a=1/21, quiescent initial conditions .•••••••••••••••••.••••••• 101
LIST OF FIGURES
1.1 Single degree-of-freedom oscillator subjected to random

excitation •••••••••••••••••••••••••••••••••••••••••••••••••••• 3
2.1 Possible stable hysteresis curves obtained by varying y and ~;

n=l. (a) y+~>O, ~-y<O (b) y+~>O; ~-y=O (c) y+~>~-y>O
(d) y+~=O, ~-y<O (e) ~-y<y+~<O ••••••••••••••••••••••••••••••• 15
2.2 Typical force-displacement curves for the modified Bouc

hysteresis model subjected to psuedo white noise acceleration
at the base; n=l, '=0, w=l, So=.12, A=l, y=~=.5, a=1/21 ••••••• 16
2.3 Stable hysteresis curves for n = I, 2 and 00; '=0, w=l, So=.12,
A=l, y=~=.5, «=1/21 ••••••••••••••••••••••••••••••••••••••••••• 18
2.4 (a) Schematic of the modified Bouc hysteresis model (b)

viscous damping force component (c) linear restoring force
component (d) hysteretic restoring force component ••••••••••• 20
2.5 Single degree-of-freedom linear oscillator with absorbing

displacement barriers ••••••••••••••••••••••••••••••••••••••••• 25
2.6 The two-dimensional phase plane of initial conditions with

absorbing boundaries superimposed ••••••••••••••••••••••••••••• 27
2.7 Single degree-of-freedom hysteretic oscillator with absorbing

displacement barriers ••••••••••••••••••••••••••••••••••••••••• 29
2.8 Cross section of the three-dimensional phase space of

initial conditions; initial velocity vs. initial hysteretic
variable •••••••••••••••••••••••••••••••••••••••••••••••••••••• 31
3.1 Typical finite element for the two-dimensional problem........ 39
3.2 Typical finite element for the three-dimensional proble~ •••••• 42
3.3 The "safe" domain Qy for the three-dimensional first passage

problem. ••••••••••••••••••••••••••••••••••••••••••••••••••••••• 46
3.4 Cross sectional surface plot for moment 1 of time to first

passage of the hysteretic oscillator; '=0, w=l, So=.12, A=l,
y=~=.5, a=1/21, n=l.
(a) zo=O.O, T(1)(O,O,O)=8.0584 sec

(b) zo=0.2, T(1)(O,O,O.2)=7.9462 sec
(c) zo=0.4, T~1)(O,O,O.4)=7.5709 sec
(d) zo=0.6, T 1)(0,0,0.6)=6.9790 sec •••••••••••••••••••••••••• 49
IX

passage of the hysteretic oscillator; '=0, w=1, So=.12, A=1,
y=~=.5, a=1/21, n=1.
(a) zo=O.O, T(2)(O,O,0)=104.21 sec 2

(b) zo=0.2, T(2)(0,O,O.2)=10Z.17 sec 2
(c) zo=0.4, T(2)(0,O,0.4)=95.581 sec 2
(d) zo=0.6, T(2)(0,0,0.6)=84.992 sec Z ••••••••••••••••••••••••• 50

passage of the hysteretic oscillator; '=0, w=1, 50 =.12, A=1,
y=~=.5, a=1/21, n=1.
(a) zo=O.O, T(6)(0,0,0)=0.53653E08 sec 6

(b) zo=0.2, T(6)(0,0,0.2)=0.52479E08 sec 6
(c) zo=0.4, T(6)(0,0,0.4)=0.48717E08 sec 6
(d) zo=0.6, T(6)(0,0,0.6)=0.42688E08 sec 6 ••••••••••••••••••••• 51
3.7 Moments of time to first passage for the hysteretic oscillator

vs. initial displacement for various normalized damping
ratios; n=1, w=l, 50 =.12, A=1, y=~=.5, a=1/21, xo=O, zo=O.
(a) Moment 1 (b) Moment 2 (c) Moment 3 (d) Moment 4 •••••••• 53

vs. initial velocity for various normalized damping ratios;
n=1, w=1, 50 =.12, A=1, y=~=.5, a=1/21, xo=O, zo=O.
(a) Moment 1 (b) Moment 2 (c) Moment 3 (d) Moment 4 ••••••• 54

vs. initial hysteretic variable for various normalized damping
ratios; n=1, w=1, 50 =.12, A=1, y=~=.5, a=1/21, xo=O, xo=O.

vs. initial displacement for various normalizen damping
ratios; n=2, w=1, So=.12, A=1, y=~=.5, a=1/21, io=o, zo=O.
(a) Moment 1 (b) Moment 2 (c) }10ment 3 (d) Moment 4 •••••••• 56

vs. initial velocity for various normalized damping ratios;
n=2, w=1, 50 =.12, A=1, y=~=.5, a=1/Z1, xo=O, zo=O.

ratios; n=2, w=1, So=.12, A=1, y=~=.5, a=1/21, xo=O, xo=O.
(a) Moment l(b) Moment 2 (c) Moment 3 (d) Moment 4 •••••••••• 58

vs. initial displacem;nt for n = 1 and 2; ,=0.0, w=l, So~.12,
A=1, y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1
(b) Moment 2 •••••••••••••••••••••••••••••••••••••••••••••••••• 60
x
'3.14 Moments of time to fi~st passage fo~ the hvste~etic oscillator

vs. initial displacem~nt fo~ n - 1 and 2; C-O.OB, w=l, So-.12,
A=l, y-~=.5, a=1/21, xo-O' 2 0 -0. (a) Moment 1
(b) Moment 2 ............................................................................................ .. 61
'3.15 Moments of time to fi~st passage for the hysteretic oscillator

vs. initial velocity for 11 = 1 and 2; C=O.O, w=I, So=.12, A=I,
y=~=.5, a=1/21, xo=O, 2 0 =0. (a) Moment 1 (b) }ioment '2 ........ 62
3.16 ~10rnents of time to first passage for the hysteretic oscillator

vs. initial velocity for n = 1 and 2; C=O.OB, w=I, So=.12,
A=I, y=~=.5, 1X=1/21, lto=O, zo=O. (3.) Moment 1 (b) Moment 2 .... 63
'3.17 Moments of time to first passage for the hysteretic oscillator

vs. initial hysteretic variable for n = 1 and 2; C=O.O, w=l,
5 0 =.12, A=I, y=~=.5, a=1/21, xo=O, xo=O. (a) Moment 1
(b) Moment '2 .................................................................................................. .. 64

vs. initial hysteretic variable for n = 1 and 2; C=O.OB, w=I,
So=.12, A-I, y-~=.5, a=1/21, xo=O, xo=O. (a) Moment I
(b) Moment '2 .................................................................................................. .. 65
3.19 Homents of time to first passage for the hysteretic oscillator

vs. initial displacement for various widths of the absorbing
bound in the hysteretic variable direction; C=O.O, w=l,
So=.12, A=I, y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1
(b) Moment 2 ............................................................................................ .. 67
'3.20 Moments of time to first passage for the hysteretic oscillator

vs. initial velocity for various widths of the absorbing bound
in the hysteretic variable direction; C=O.O, w=I, So=.12,
A=I, y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1 (b) Moment 2 ••• 68
3. '21 Transient finite element results for various initial

conditions; n=l, C=O.O, w=I, So=.12, A=l, y=~=.5, a=1/21.
(a) cumulative probability of failure (b) probability density
function •••••••••••••••••••••••••••••••••••••••••••••••••••••• 70
3.22 Transient finite element results for various initial

conditions; n=l, C=O.OB, w=I, So=.12, A=I, y=~=.5, a=1/21.
function ..................................................................................... 71
3.23 Transient finite element results for various initial

conditions; n=2, C=O.O, w=I, 50 =.12, A=I, y=~=.5,
a=1/21. (a) cumulative probability of failure
(b) probability density function •••••••••••••••••••••••••••••• 72
3.24 Transient finite element results for various values of the

normalized damping ratio; quiescent initial conditions; n=l,
w=I, 50 =.12, A=I, y=~=.5, a=1/2l. (a) cumulative probability
of failure (b) probability density functio~ •••••••••••••••••• 74
XI
'3.25 Transient finite element results for n=1 and n=2; quiescent
initial cunditions; '=0.0, w=1, 50 =.12, A=1, y=~=.5, a=1/21.
function ••••••••••••••••••••••••••••••••••••••••••••••••••••••• 75
3.26 Transient finite element results for various wi~ths of the

absorbing bound in the hysteretic variable direction; n=1,
1>0.0, w=1, 50 =.12, A=1, y=~=.5, a=1/21. (a) cumulative
probability of failure (b) probability density function •••••• 76
4.1 5ample function of the psuedo white noise excitation use~ in

the Monte Carlo simulation •••••••••••••••••••••••••••••••••••• 80
4.2 Comparison of the finite element results with Monte Carlo

simulation for quiescent initial conditions; n=1, '=0.0, w=1,
5 0 =.12, A=1, y=~=.5, a=1/21 (10,000 realizations).
function...................................................... 87

simulation for quiescent initial conditions; n=1, '=0.08, w=1,
50 =.12, A=1, y=~=.5, a=1/21 (10,000 realizations).
funct ion •••••••••••••••••••••••••••••••••••••••••••••••••••••• 88

simul.~tion for quiescent initial conditions; n=1, '=0.08, w=1,
functio'l ••••••••••••••••••••••••••••••••••••••••••••.••••••••• 89

simulation for quiescent initial conditions; n=2, '=0.0, w=l,
function •••••••••••••••••••••••••••••••••••••••••••••••••••••• 90

5 0 =.12, A=1, y=~=.5, a=1/21, D=.9, (10,000 realizations).
function •••••••••••••••••••••.••••••••••••••••••••.••••••••••• 91

So=.12, A=1, y=~=.5, a=1/21, 0=.7, (10,000 realizations).
funct ion •••••••••••••.•••.••••••.••....••.•......•.••....••••. 92
XII

simulation for quiescent initial conditions; n=l, C=O.O, w=l,
80 =.12, A=l, y=~=.5, a=1/21, D=.5, (10,000 realizations).
function •••••••••••••••••••••••••••••••••••••••••••••••••••••• 93
5.1 Comparison of the finite element results with the maximum

entropy distributions for quiescent initial conditions; n=l,
C=O.O, fJl=l, 8 =.12, A=l, y=~=.5, a=1/21. (a) cUlllulative
probability o~ failure (b) probability density function •••••• 102
5.2 Comparison of the finite element results with the maximum

C=0.08, w=l, So=.12, A=l, y=~=.5, a=1/21. (a) cumulative
probability of failure (b) probability density function •••••• 103
III. 1 Sample function of the psuedo white noise excitation used in

the Monte Carlo simulation with the shifted time axis ••••••••• 122
TABLE OF CONTENTS
I. INTRODUCTION •••••••••••••••••••••••••••••••••••••••••••••••• 1
A. General Remarks ••••••••••••••••••••••••••••••••••••••••• 1

B. Literature Review....................................... 8
c. Objective and Scope ••••••••••••••••••••••••••••••••••••• 11
II. PROBLEM DEFINITION AND FORMULATION •••••••••••••••••••••••••• 13
A. The Modified-Bouc Hysteresis Model •••••••••••••••••••••• 13

B. Formulation of the First Passage Problem •••••••••••••••• 21
1. The Initial-Boundary Value Problem •••••••••••••••••• 21
2. The Generalized Pontriagin-Vitt Equation •••••••••••• 32
III. NUMERICAL SOLUTION OF THE FIRST PASSAGE PROBLEM 35
A. A Petrov-Ga1erkin Finite Element Method for Three-

Dimensional Convection-Diffusion Problems ••••••••••••••• 35
B. Solution of the Generalized Pontriagin-Vitt Equation
for the Ordinary Moments of Time to First Passage ••••••• 44
C. Solution of the Initial-Boundary Value Problem for
Oscillator Reliability •••••••••••••••••••••••••••••••••• 66
IV. VALIDATION 0' RESULTS ••••••••••••••••••••••••••••••••••••••• 77
A. Demonstration of the Consistency Between the Steady State

and Transient First Passage Formulations •••••••••••••••• 77
B. Monte Carlo Simulation of the Failure Process ••••••••••• 79
C. Comparison of the Finite Element Results with the
Slmulat ion •••.•••.••.•...•••.••••••••.•••••.•.•..•..••.• 83
V. ESTIMATING OSCILLATOR RELIABILITY USING ORDINARY MOMENTS 94
A. The Maximum Entropy Distributions ••••••••••••••••••••••• 94

B. Estimating Reliability of the Hysteretic Oscillator ••••• 97
VI. CONCLUSIONS AND RECOMMENDATIONS 105
APPENDICES
I. Derivative Moments •••••••••••••••••••••••••••••••••••••••••• 109

II. Derivation of the Finite Element Matrices ••••••••••••••••••• 115
III. Derivation of Spectral Density for a Rectangular ~ulse
Excitation •••••••••••••••••••••••••••••••••••••••••••••••••• 121
IV. Maximum Entropy Distribution Algorithm •••••••••••••••••••••• 126
REFERENCES •••••••••••••••••••••••••••••••••••••••••••••••••••••••••• 128

CHAPTER I
INTRODUCTION
A. GENERAL REMARKS
During the last century, probabilistic methods for design and analysis of
engineering systems have assumed a prominent place as an engineering tool. No
longer do engineers naively believe that all problems can be analyzed with
deterministic methods; but rather, it has been recognized that, due to uncer-
tainties in the model and the excitation, it may only be possible to describe
the state of a system in terms of some random measure. Thus, with the need to
address safety and design issues adequately and simultaneously to minimize the
cost of a system, much attention has been given to the development of
probabilistic criteria which can be applied in a systematic manner [l]t.
These techniques allow for uncertainties in the parameters of the model as
well as for uncertainties in both the static and dynamic loadings to be
considered and therefore give a better measure of the reliability of a system.
Widespread application of probabilistic methods can be found in disciplines
ranging from civil, mechanical and electrical engineering to biology,
economics and political science.
Often, when a dynamic system is subject to random excitation, the need to
determine the probability that the system will not malfunction during a
specified period of time is of importance. When failure is considered to
occur upon the Eirst excursion of the response process out of some prescribed
"safe" domain, the failure process is generally characterized as "first
passage failure" and the problem of determining the reliability of the system
tNumbers in square brackets, as [1], refer to numbered references at the end

of thi.s report.
2
as a first passage problem. Dependin~ upon the application, the response
process may be defined as a characteristic voltage, current, displacement,
velocity, energy, etc., and the "safe" domain as the range of parameters which
are allowable. Prior research into first passage type problems for engineer-
ing systems has been extensive due to its applicability to the more general
reliability problem. These efforts, though, have yet to lead to the exact
solution of this difficult problem, even for the case of the single degree-of-
freedom (SDOF) linear oscillator. While a well-posed, two-dimensional
initial-boundary value problem has been given from Markov process theory by
Yang and Shinozuka [134), which when solved yields the cumulative probability
of failure for the system, an analytical solution to this problem has evaded
researchers. The SDOF oscillator depicted in Figure 1.1, however, represents
the simplest example of a system of engineering interest, and an extensive
body of approximate solutions has been developed for the SDOF oscillator so
that first passage problems can be better understood. Each of these
approximate solutions, though, has only a limited range of applicability and
often depends upon the system being lightly damped and the response process
being narrow-banded. The approximate solutions of the first passage problem
for the SDOF linear oscillator can be categorized under three rather broad
headings. These include: (1) methods based upon the computation of various
response statistics assuming that the response process is nearly Gaussian; (2)
methods based on direct computer simulation of the response process; and (3)
methods based on modeling the response process as either a one-dimensional or
two-dimensional Markov process. An extensive list of first passage references
is included in the back of this thesis for the interested reader. In
addition, the basic work which has been conducted will be discussed here.
3
M
! U(tl, lJ(t)
Relative Displacement, X (t) =U(t) - N(t)
Figure 1.1 Single degree-of-freedom oscillator subjected to random

excitation
4
A wide ran~e of work has been reported which can be categorized under the
first of these three approaches. If a linear system is subjected to a
stationary Gaussian e~citation, then the system response is a Gaussian
process. Thus, in essence, these methods determine the statistics of the
intersection between the trajectories of the Gaussian response process and
some prescribed barrier level. These statistics are then used to construct an
approximation to the density function for first passage time. The basis for
much of this research can be attributed to Rice [84] who gave an expression
for the average rate of upcrossings of a prescribed barrier level by a
stochastic process with the density function p(x,I).
One of the simplest methods to approximate the first passage density
function assumes that the crossings of the barrier are independent events and
thus can he modeled as a Poisson process. Coleman [26] first obtained
estimates of the first passage density function using the results of ~ice and
assuming independent crossings of the barrier. The assumption of independent
crossings is conservative for narrow band systems [31] because the crossings
tend to occur in clumps. It is, however, asymptotically exact for any
Gaussian process as the bounds are moved to infinity [30], but may be
unconservative for a wide band process in which the bounds are narrow.
In order to obtain more accurate estimates of the first passage density
function, several improvements have been suggested. These include: assuming
independent peaks [31]; assuming independent envelope crossings [62]; assuming
independent envelope peaks [33]; accounting for the clump size [71,79,80] or
the time spent above the threshold [121,122]; and various other approaches.
Digital [28,32] and analog [8] computer simulation of the response
process, or Monte Carlo simulation, are probably the easiesttconceptual
formulations of the first passa>;e prohl.;,m. A t"andom excitation is generated

5
on the computer, and the equations of motion are numerically integrated in
time. When the system response exceeds the level which has been designated as
"safe", the sample time is recorded and the simulation is reinitialized. The
density function and statistics of the failure process can be calculated when
a sufficient number of sample failure times have been determined. The major
deficiency in this approach is the computer time required to perform the
simulation. Cook [28] and Crandall, et al. [32] were some of the first
researchers to report a detailed and successful algorithm for digital
simulation of linear mechanical systems. They reported results for single
sided (B), double sided (D) and circular (E) type barriers and bounds from one
to four standard deviations of the response process. This work has been used
as a standard for comparison for much of the later research, and the
algorithms involved will be futher discussed and utilized in Chapter IV of
this work.
The third approach for approximating the first passage reliability of a
system is drawn from Markov process theory. A recent, very complete review
article by Roberts [97] gives a detailed description of various approximate
solutions based upon the Markovian nature of the SDOF oscillator response. No
attempt will be made to duplicate this review; however several of the more
fundamental articles will be mentioned.
The probability of failure for the SDOF linear system is governed by a
two-dimensional initial boundary value problem, and while the general
analytical solution is not available, numerous articles have been published in
which some characteristic of the respons,~ is modeled as a one-dimensional
diffusion process. Typically, either the amplitude of the response or the
energy envelope of the response are, through a variety of arguments,
approximated as a one-dimensional Markov process. If the damping is

6
sufficiently light, these results are reasonably good. Among the earliest
researchers to formulate and solve the first passage problem in this manner
were He1mstrom [45], Rosenb1euth and Bustamente [99] and Gray [40] for the
amplitude envelope; and Roberts [89] and Zhu [138] for the energy envelope.
These researchers have made significant contributions to the understanding of
the first passage problem; however, this approach is relevant only for lightly
damped systems and cannot be applied in general.
The two-dimensional nature of the boundary value problem governing the
first passage process makes analytical solution presently impossible. There
have been no known analytical solutions for this problem to date [97]. Even
numerical solution is difficult. Yang and Shinozuka [134] first defined the
boundary value problem but reported no success in solution via a finite
difference technique. Crandall, et al. [32] and Chandiramani [25] used the
Gaussian nature of the response process to numerically diffuse probability out
of the "safe" domain with a discrete approximation to the Chapman-Ko1mogorov-
Smo1uchoski equation. Fairly good results were obtained for both zero-start
and stationary start conditions for type B, D and E barriers. Toland and Yang
[120] developed a random-walk analog of the continuous Markov process.
Results were reasonable for the linear oscillator; however attempts to extend
the method to nonlinear systems appear to be in error [116,118]. In recent
work by Bergman and co-authors [10-17,116-118], a successful solution
procedure has been developed for the first passage boundary value problem
proposed in Reference [134]. A Petrov-Galerkin finite element method
introduced by Heinrich, et a1. [44] has been employed to obtain extensive
results for both the linear and several nonlinear oscillators. The finite
element method can provide the probability density and distribution functions
as well as the ordinary moments of time to first passage over the entire phase
7
space of "safe" initial conditions. This is accomplished without limiting the
system to light damping or the response to narrow-bandedness. The bound
widths of the systems which can be examined are limited only by the size of
available computing facilities, and symmetric bound widths as large as five
standard deviations of the response have been accurately accommodated for the
snop linear system [15]. In addition, it has been demonstrated [116] that the
difference in results between the finite element solution and Monte Carlo
simulation, assuming a sufficient sample size, is negligible over a wide range
of damping ratios, bound widths and initial conditions. The results of this
work represent a significant advance in the state of knowledge of the first
passage behavior of such systems.
Since nearly every dynamical system of interest in engineering exhibits
some inherent nonlinearity, researchers have extended many of these methods to
memoryless nonlinear systems sllch as Duffing and VanderPol oscillators, etc.
The approximations again are generally limited to systems with light damping
and small nonlinearities. Examples of these approximations to the solution of
the first passage problem for nonlinear systems include: digital simulation of
the response process [39,77]; a discrete analog of the continuous theory
Fokker-Planck method or random walk model [120]; modeling of the response
envelope by a one-dimensional Markov process [90,92,93,101,114]; experimental
investigation [98]; and finite element solution of the two-dimensional Fokker-
Planck-Kolmogorov equation [15-17,116,11R]. The finite element method has
provided the most accurate solutions to the first passage problem and has no
limitations on the size of the nonlinearity or the damping ratio.
Often, though, the need to design for severe random loads which cause
excursions into the inelastic range makes the assumption of a nonhysteretic
constitutive relation inappropriate. A constitutive relation with memory must

8
be employed so that accurate moclels can be developecl to portray the nonlinear
and hysteretic behavior of the dynamical systems. When a system exit., the
elastic range of response and enters the plastic or post-yield region,
permanent damage is most likely being done to the system. In this case, the
force-displacement characteristics of the system become a function of the
previous history of the system. It must be known not only how the system
responds as it is loaded in the pre-yield and post-yield regions, but also
what the permanent deformation in the system is. As can be surmised, several
problems hamper the solution of the first passage problem for nonlinear
hystetetic systems: (1) tractably representing the nonlinear hysteretic
constitutive relation; (2) the nonlinearities and hysteresis make the
governing equations even more complex and difficult to handle.
B. LITERATURE REVIEW
The equation of motion for a single degree-of-freedom oscillator modeling
the hysteretic system shown in Figure 1.1 is given by
MX(t) + Q(X(.),X(.), 0 ( • ( t; t) = - MN(t) (1.1)
There are numerous ways in which the hysteretic restoring force Q can be
modeled, some of which are more tractable than others. One of the
difficulties in solving Equation 1.1 is that the hysteretic force is a
function of its previous history. A recent review of methods for random
vibration of nonlinear (including hysteretic) mechanical systems has been
gi \Ten by Roberts [95,96]. 'lome of these methods IIThich pertain to nonlinear
hysteretic systems will be examined.
The most elementary and well known approximation for the hysteretic
restoring force is the bilinear model. The response of single and multi
degree-of-freedom systems with bilinear hysteresis has been thoroughly

9
investigated. Caughey [20,21] investigated the response statistics of a
system which exhibits hysteresis for both deterministic sinusoidal excitation
and stochastic excitation. The method of equivalent linearization was
employed utilizing the method of slowly varying averages, or the Krylov-
Bogoliubov (KB) technique, after asserting the narrow band behavior of the
response. Iwan and Lutes [48] performed a Monte Carlo simulation on an analog
computer and showed that the KB method gives accurate results only for systems
with small nonlinearities. It was also shown in this work that the response
is, in general, non-Gaussian. Kobori, et al. [56] used a modified
linearization scheme which took into consideration the eccentric fluctuation
of the response about the initial equilibrium position. Karnopp and Brown
[52] and Karnopp and Scharton [53] used a technique which relies on the
balance of power supplied by the forcing function and dissipated in
hysteretic effects. Lutes anrl. Takemiya [70] then used a modified power
balance scheme to obtain improved results over methods utilizing the KB
method. Vanmarcke and Veneziano [123] treated the response of the bilinear
system as the sum of a zero mean elastic component and a non-zero mean plastic
or drift component. The peak distribution and first excursion statistics for
the plastic deformation are given in terms of the specified yield level.
Similarly, Grossmayer [42] used a two state approach based on a separate
treatment of the elastic and plastic parts of the response and a conditional
Gaussian probability density for the plastic response. Mean crossing rates
were calculated and a first passage time estimate was given based upon these
crossing rates. Lutes [68] developed a memoryless nonlinear system for which
there is an approximate equivalence with the hysteretic system and for which
the exact probability density function of stationary response was known. Kaul
and Penzien [54J and Karasudhi, et al. [51] employed a technique wherein the
10
nonlinear terms in the FPK equation are replaced with linear terlns which
minimize the weighted mean square error. Roberts [86,94] defined a response
energy envelope and noted that as the nonlinearity approaches zero, the
envelope process is Markovian. The appropriate FPK equation was then solved,
and estimates were obtained for the response statistics. Discretizing the
dynamic process both in time and space and examining equivalent response
paths, Paez and Yao [76] found response statistics for the bilinear
oscillator.
A variation of the bilinear hysteresis model was developed by Iwan
[47]. The hysteretic behavior was modeled as an infinite collection of linear
springs and slip elements with different characteristics connected in
parallel. This procedure gives a smoothly varying hysteresis loop. A similar
procedure was used by Spanos [112].
A polynomial approximation for the skeletal force-displacement curve,
first proposed by Ramberg and Osgood [81], was used by Jennings [49] to
examine the response of yielding structures to generated ground motion. Goel
and Berg [38] showed that elasto-plastic hysteresis behavior tends to
overestimate the response as compared with that of the Ramberg-Osgood model.
A versatile and tractable mathematical description of the hysteretic
restoring force first suggested by Bouc [19], was modified and used by Wen
[127]. In this work, Wen formulated an appropriate FPK equation for the
oscillator and solved it for response statistics via a Galerkin method. In
later work, ~ [128,129] and Baber and Wen [5,6] analyzed the model by
stochastic equivalent linearization obtaining the zero time lag covariance
matrix as well as approximate maximum response predictions based upon the
statistics obtained from the linearized model. One of the key elements of
this analysis is that the KB approximation was not employed, and thus the
11
analysis was not limited to systems with narrow band response. The results
compared favorably with digital simulation over a wide range of system
parameters. Constantinou and Tadjbakhsh [27] have since used the modified
Bonc model to optimize the parameters of a hysteretic base isolation system
for a large structure excited by filtered white noise by equivalent
linearization.
Of all the work in this area of random vibration, however, few
researchers have attempted to solve the first passage problem for either
severely nonlinear or hysteretically damped systems. Baber and Wen [6] gave
approximate statistics of the first passage process for the hysteretic system
based upon the mean square statistics obtained from the linearized model.
These estimates use intersection methods which depend upon the Gaussian nature
of the response; however, the response of the Bonc model cannot be Gaussian
[48]. Vanmarcke and Veneziano [123] gave an approximation to mean time to
first passage of a specified plastic level of deformation, but not for the
mean time to first passage of the total response. Grossmayer [42] also gave
an approximation to first passage probability using a two state approach to
compute the mean upcrossing rates. These results are, at best, correct only
as the failure bounds become large [30].
C. OBJECTIVE AND SCOPE
The objective of this research is to formulate, solve and verify the
solution of the first passage problem for a single degree-of-freedom
hysteretic system. The modified Bouc hysteresis model will be discussed in
detail in Chapter 2. A well posed initial-boundary value problem which
completely describes the first passage distribution of the hysteretic system,
as well as the associated Pontriagin-Vitt equation for the moments of the

12
distribution, will also be formulated in Chapter 2. Chapter 3 addresses lhe
numerical solution of the first passage problem by a three-dimensional Petrov-
Galerkin finite element method, as well as presenting a number of numerical
examples. The finite element results are compared to extensive Monte Carlo
simulation to demonstrate their accuracy in Chapter 4. The issue of obtaining
the reliability of a system having only the first few moments of the time to
failure is discussed in Chapter 5. Finally, Chapter 6 summarizes the work and
gives recommendations for future investigations.

CHAPTER II
PROBLEM DEFINITION AND FORMULATION
A. THE MODIFIED BOue HYSTERESIS MODEL
Of the models utilized to date to describe the hysteretic constitutive
relation for a simple system, one of the most versatile and tractable for
dynamic applications is the modified Bouc model [19]. The original model was
modified by Wen [127] in order that the smoothness of the transition between
the pre-yield and post-yield regions of the force-deflection curve could be
controlled. The constitutive relation for the modified Bouc hysteresis model
can be stated for the SDOF oscillator in Figure 1.1 as
• • 2 2
Q(x(.), x(.), 0 ( • ( t; t) = M(2~wx + aw x + (1 - a)w z) (2.1)
where 7. is an evolutionary variable described by the first order
differential equation
(2.2)
and w is the undamped natural frequency of the oscillator when a = 1. The
parameters a, ~, y, n and A are shape parameters of the hysteresis loops which
can also be functions of time. The quantities Maw 2x and M(I-a)w 2z in Equation
2.1 are the linear and hysteretic portions of the total restoring force,
respectively, and M(2r.wx) is the force associated with viscous dissipation.
Baber and Wen [6] have shown that the hysteretic restoring force for the SDOF
oscillator can be effectively modeled by Equations 2.1 and 2.2. Their report
provided insight into the effect of each of the shape parameters on the
hysteretic constitutive relation. These effects shall be discussed here for
completeness.
14
In order to see the effects of the parameters of interest on the modified
Bouc model, Equation 2.2 is broken into four differential equations and each
is divided by dx/dt. We then have
dz = A - (y + ~)zn
dx
z ) 0; ·
x ) 0 (2.3a)
.2!.= A -
dx
(~ _ y)zn z ) 0; ·<
x 0 (2.3b)
dz
dx = A +
(_1)n+1 (y + ~)zn z < 0; x <0 (2.3c)
dz
dx =
A + (_1)n+1 (~ _ y)zn z < 0; ·
x ) 0 (2.3d)
Thus for each quadrant in the phase plane of velocity, x, and hysteretic
"force" variable, z, there is a first order differential equation describing
the behavior of the restoring force of the system. Letting n=l, Equations
2.3a-d become linear ordinary differential equations which can easily be
solved analytically. Figure 2.1 shows the effects of varying y and ~ for
the case where n=l. There are, however, some restrictions which must be
placed on the hysteresis parameters. Thermodynamic laws dictate that the
model must have a positive energy dissipation through each complete cycle.
This criterion is met if the parameter y is positive. The case of primary
interest for this thesis is shown in Figure 2.1b where y + ~ >0 and y - ~ =
O. This system has been termed the "smooth" model by ~ [127-130] and has
several desirable attributes which might be expected in a constitutive
relation for structural steel as well as other engineering materials. These
include: linear unloading; reloading very closely along the previous
unloading path; and smooth transition between the pre-yield and post-yield
regions of response. A typical plot of the total force versus the
displacement which illustrates these points is given in Figure 2.2 for this
15
z z
--+--If--+-.--X
(0 ) (b)
---,~~~-- x
(e) (d)
----,oL-I-,C----X
Figure 2.1 Possible stable hysteresis curves obtain.ed by varying y and ~:

n=1 (a) y+~>O. ~-y<O (b) y+~>O. ~-y=O (c) y+p~-y>O
(d) y+~=O. ~-y<O (e) p-y<y+~<O
16
Q( • )
Figure 2.2 Typical force-displacement curves for the modified Bouc

hysteresis model subjected to psuedo white noise acceleration at
the base; n=l, ~=O, w=l, So=.12, A=l, y=~=.5, a=1/21
17
model subjected to pseudo-white noise. In addition, the hysteretic exponent n
governs the transition between the pre-yield and post-yield regions of the
response. As n increases, so does the sharpness of the transition. Figure
2.3 shows the stable loops for n = I, 2 and for the "smooth" system. As
can be seen from this figure, the modified Bouc model approaches the bilinear
model as the hysteretic exponent n increases. ~ [127] has indicated that
for an infinite value of n, Equation 2.2 can be written as
z = 2x [sgn(z + A) - sgn(z - A)] • (2.4)
In later work, Asano and Iwan [3] have given an equivalent representation
using unit step functions rather than signum functions.
A number of other useful quantities can be derived for the modified Bouc
model including: the ultimate hysteretic strength Zu given by
z (_A_)I/n (2.5)
u y + ~
the initial stiffness Ki ,
Ki = MW2 (a + (1 - a)A) (2.6)
the post yield stiffness ~,
(2.7)
and the yield level fy,
f = HW 2 (1 - a) (_A_)I/n (2.8)
y y + ~
For the special case of A=I, it can also be seen that
(2.9)
18
STABLE LOOP
Figure 2.3 Stable hysteresis curves for n 1, 2 and 00; C=O, w=l, 50 =.12,
A=l, y=~=.5, a=1/21
19
Thus the modified Bouc model can be curvefit to a particular material response
through variation of the shape parameters of the system. Equations 2.5-8 can
then be used to determine some of the characteristics of the model.
The physical significance of the hysteretic variable z is not easy to
characterize. As stated earlier, the restoring force can be separated into
three components. The first is due to viscous damping and is given by
M(2~~). The second term is the nonhysteretic linear restoring force given
by Maw 2x. The final term is the hysteretic or time dependent component of the
restoring force, M(1-a) w2 z. Schematically, the system can be depicted as in
Figure 2.4. Thus, it can only be said that the hysteretic variable is
proportional to the explicitly time dependent portion of the restoring force,
which is related to the stress in the system.
Additional flexibility can be added to the model. For instance, the
system parameters can be changed with time in order to model deteriorating
systems [6]. Also, through the addition of other state variables, Baber [4]
and Baber and Noori [7] have modeled nonzero mean and pinching hysteretic
behavior. Thus, the versatile modified Bouc model will be incorporated into
the context of first passage problems for the remainder of this work.
Several authors have also recognized the usefulness of the modified Bouc
model and have implemented it in their research. These include: Constantinou
and Tadjbakhsh [27] who curve fit the modified BOllc model to experimental
force-displacement curves and then optimized a base isolation system with
respect to the mean square response of a structure; Spencer and Bergman [117]
who examined the first passage failure characteristics of this hysteretic
system; Baber and Noori [7] who investigated hysteretic systems with nonzero
mean and pinching behavior; and others.

20
akx
~ j~Q)k' I
(0)
m
I
cit
----------------~~---------------it
(b)
akx
--------------~~~--~--------x
(c)
(I-a)kz
----------~--~F_--~----------x
(d)
Figure 2.4 (a) Schematic of the modified Bouc hysteresis model (b) viscous
damping force component (c) linear restoring force compone~t
(d) hysteretic restoring force component
21
B. FORMULATION OF THE FIRST PASSAGE PROBLEM
In a dynamic environment, it is generally difficult to analyze systems in
which the response is nonlinear and even more difficult if there are
hysteretic effects. Problems arise because the restoring force is a function
of the entire previous history of the system. However, casting the equations
of motion into a state space representation and augmenting them with an
additional state equation for the evolutionary hysteretic variable z, a system
of first order nonlinear differential equations can he developed which governs
the response of the hysteretic system subjected to dynamic excitation.

• T
Choosing the stochastic response vector (X,X,Z) we can
recast equations 2.1 and 2.2 into the following form
·
Y1 Y2 (2.10a-)
·
Y2
1
2
- NCt) - 2Z;w Y2 _ a.w 2 y - (1 - a.)w Y3 (2.10b)
·
Y3 =- yl y2 1 IY3 1(n-l)Y3 - ~ Y21Y31n + AY Z (2.10a)
In early work by Wen [127], it was asserted that the response vector ! is a
vectored Markov process if the excitation is Gaussian shot noise. Thus all of
the attendant theory pertaining to Markov processes becomes available, and two
well-posed problems can be formulated which, when solved, yield the cumulative
probability of failure and ordinary moments of time to first passage failure
for the hysteretic oscillator, respectively.
B.l. THE INITIAL-BOUNDARY VALUE PROBLEM
The stochastic excitation must first be restricted to the class of
stationary Gaussian processes such that

22
E[N(t)] = a (2.11)
.. ..
E[N(t) N(t + ~)] = 2nS &(~) (2.12)
o
where So is the magnitude of the constant, two-sined spectral density
function and &(.) is the Dirac delta function. For a vectored Markov
process, it is well known [6Z] that the conditional transition probability
density function f = f(y,tly ,t ) satisfies both the Fokker-Planck-

~ _0 0
Kolmogorov equation (FPK) and its adjoint, the backward Kolmogorov equation.
The quantity f(x,tlx o ,t 0 )dX is defined as the probability that
at time t given that X = Xo at time to' having never
previously exited from the "safe" domain Q.
The FPK equation for an arbitrary vectored Markov process is given by
[110 ]
of mol
l: -,,- [cx.(~,t)f] + -Z
m oZ
-,,-,,- [cx • • (x,t)f]
"8t= j=l VXj J
l:
i,j=l uX i uX j ~J ~
(Z.13)
where the derivate moments are defined by
lim
6t~0 ~t
~E{[X.(t+lIt)-X.(t)]IX(t)=x}
J J ~ ~
(Z.14a)
cx .. (x, t)
~J ~
~~~o kE{[Xi(t + lit) - Xi(t)] [Xj(t + 6t) - Xj(t)]I~(t) =,3}
(Z.14b)
with initial condition
f(x,t
~
Ix ,t 0 ) = &(x
0 ~o ,..,
- '"
Yo)' (Z.15)
Similarly, the adjoint of the FPK equation, the backward Kolmogorov equation,
for a vectored Markov process is [110]

23
of
~-
(2.16)
The derivate moments for the hvsteretic oscillator, ai and aij , are
formulated in Appendix I and are given by
Y20 (2.17a)
(2.17b)
(2.17c)
21tS (2.17d)
o
i,j "* 2 (2.17e)
Thus, the backward partial differential equation which governs the transition
probability density function for the hysteretic oscillator is given by
of of 2
~ = Y20 oY10 - [ 2CwY 20 + aw Y10 -
( 1 - a ) w2Y30 1 6
of
Y20
+ [A Y20 - Y Y20 I I IY30 I(n-1) Y30 -
of of
where we have used the relationship ~ =- ~ It is not of general
o
interest, however, to know the probability that a system moves from one state
to another; but rather, one should ask for the probability that the oscillator
remains in some prescribed region Q given that the response originally
started in Q and has never exited. Denoting R = R(tlx

. 0
,t ;
0
X0 £ Q) as this
probability, it can be seen that

24
(2.19)
Since the independent spatial variables in Equation 2.18 are the backward
coordinates Xo ' integration with respect to the forward coordinates, ~,
does not alter the form of the equation. Thus it is apparent that the
cumulative reliability function also satisfies a form of the backward equation
and is given by
oR _ oR [ 2 ( ) 2 oR +
bt - Y20 oY10 - 2CwY20 + aw Y10 + 1 - a w Y30 1 6Y20
(2.20)
with initial condition
R(Olx0,t ; ~ E
00 Q) = 1 (2.21)
The governing partial differential equation for the reliability of the
oscillator and its initial condition is given by Equations 2.20 amd 2.21,
respectively. It should he noted that modulation of the excitation N(t) by a
temporal function ~(t) results in a simple modification to Equation 2.20 and
thus allows the study of nonstationary excitation [1341. However, the choice
of the region Q and the corresponding boundary conditions still need to be
addressed.
A discussion of houndary conditions for the first passage problem for the
SDOF linear oscillator will give considerable insight into the boundary condi-
tions for the hysteretic oscillator. Consider the SDOF linear oscillator
depicted in Figure 2.5 with ahsorbing barriers placed at some positive and
negative values of the displacement. This might physically represent bottom-
ing out of the oscillator against the base, the maximum rated displacement of
25
o
UU), U(t)
I • N (t)
M ~
c
1..-- B -----.!~I
14 -B--j
t+--r
relative displacement, X(t) = U(t) - N(t)
Figure 2.5 Single degree-of-freedom linear oscillator with absorbing

displacement barriers
26
the spring, etc. The backward equation, a two-dimensional convection-
diffusion equation that governs the flow of probability in the phase plane of
initial conditions, is given by [14]
of _ (2Cw x + w2 x ) of (2.22)
Ox o 0
o o~
o
.
The partial differential equation is in terms of the spatial variables,
initial displacement Xo and initial velocity x Yang and Shinozuka [134]

o
and Crandall [31] have stated that a well posed initial-boundary value problem
is obtained when the following initial and boundary conditions are prescribed,
respectively
R(olx o ' ~ 0 ) (2.23)
R(tIB, ~o) = 0, x >0 (2.24a)
.
0
R(tl-B, ~ )
0
0, x
0
<0 (2.24b)
R(tlx , ~ ) .. 0,
o 0 I~ol .. CD
(2.24c)
Here the displacement boundaries are symmetrically disposed at ± B, which is
not a general requirement. Figure 2.6 depicts these boundary conditions in
the phase plane of initial conditions. As can be seen, the absence of the
second derivative with respect to Xo in Equation 2.22 implies that there are
only partial boundaries in the initial displacement direction. The boundaries
in the initial velocity direction are natural, or placed at infinity. The
physical significance of these boundaries can be seen by considering several
possible initial states of the oscillator. Assume that the initial
displacement of the oscillator is at B-E and the initial velocity is
positive. For an infinitessimal E, any positive velocity will immediately

27
--~--~--r---------+---------~~--~---Xo
B Artificial Boundory
Imposed for Discretization
Figure 2.6 The two-dimellsional phase plalle of initial conditions with

absorbillg boulldaries superimposed
28
cause the oscillator to collide with the absorbing barrier at +B. Thus a
boundary is required at +B for all positive initial velocities. Again,
consider the initial displacement at B-e. Let the initial velocity be
negative. Regardless of the excitation, the oscillator will not collide with
the barrier for some finite time. Alternatively, for any e , the trajectory
in the phase plane of initial conditions will be into the "safe" domain, and a
boundary is not needed at +B when the initial velocity is negative. A similar
argument can be made for boundaries in the other half of the phase plane nue
to symmetry about the origin.
The boundary conditions for the hysteretic oscillator are more difficult
to prescribe due to the increase of the dimensionality of the phase space from
two to three. Again, absorbing barriers are placed at some positive and
negative displacements of the oscillator as depicted in Figure 2.7; however,
absorbing bounds are also placed on the value of the hysteretic variable, z.
This might represent the ultimate hysteretic strength or the maximum rated
hysteretic stress of the oscillator. Examining equation 2.20 it can be seen
that the second partial derivatives in the initial displacement, Ylo' and the
initial hysteretic variable, Y3o' are not present. This leads to the
conclusion that only partial boundaries should be present in the initial
displacement and initial hysteretic force directions. It is apparent that
similar arguments can be made for the boundaries in the initial displacement
directions as were made for the linear oscillator, and the boundaries will be
placed similarly in the phase space. In addition, the boundaries in the
initial velocity direction are natural and are again placed at infinity.
However, the boundaries in the hysteretic force direction need to be more
closely examined.
29
M
akx
I-a)kx
N(t)
Figure 2.7 Single degree-of-freedom hysteretic oscillator with absorbing

displacement barriers
30
It must first be realized from Equation 2.2 that there is a direct
relationship between the displacement, x , and the hysteretic variable, z.
Therefore, one can surmise that if the first derivative of the displacement is
positive, so must be the derivative of the hysteretic variable. Consider the
cross section of the phase space depicted in Figure 2.8 in which the initial
hysteretic variable is plotted versus the initial velocity and partial
boundaries in the initial hysteretic variable direction are overlaid. If the
initial hysteretic variable has a value of D-e: and the initial velocity is
positive, then dz/dt is positive and the maximum value of the hysteretic force
will be exceeded immediately. Thus a partial boundary is needed at zo=+D for
all values of positive initial velocity. However, if the initial value of Zo
remains at D-e:, but the initial velocity is negative, the trajectory will be
into the "safe" domain, Q, and a boundary is not necessary at +D for negative
values of the initial velocity. A similar argument can be made for the
boundary at zo=-n due to symmetry about the origin. Finally, at time t=O, if
the initial coordinates are in the "safe" domain Q, then the probability of
failure at time t=O is zero, or alternatively, the reliability at time t=O for
these points is one. Restating Equation 2.20 along with the initial and
boundary conditions, the well-posed initial-boundary value problem is
oR(tlxo,t o ; Xoe: Q) oR
Ot Y20 eiY10 -
(2.20)
(2.21)
31
•Xo
1+---0
1 c
o Artificial Boundary
Imposed for Discretization
Figure 2.8 Cross section of the three-dimensional phase space of initial

conditions; initial velocity vs. initial hysteretic variable
32
R(tIB'Y20'Y30)
° Y20 > ° ¥ Y30 (2.25a)
R(tl-B'Y20'Y30)
° Y20 < ° ¥ Y30 (2.25b)
R(tIY10'Y20'Y30) + 0, IY 20 1 + co ¥ v 10' Y30 (2.25c)
R(tIY10'Y20' D) 0, Y20 > ° ¥ Y10 (2.25d)
R(tIY10'Y20' -D) 0, Y20 < ° ¥ Y10 (2.25e)
If the problem stated'rn equations 2.20-21 and 2.25 could be solved, then the
probability of failure, or equivalently, the reliability of the hysteretic
oscillator, would be known as a function of time for all initial states.
However, despite considerable efforts by numerous researchers, the analytical
solution to the first passage problem for even the simplest systems of
engineering interest has not been achieved. Thus, one of the thrusts of this
wo"rk is to present an accurate numerical solution to the initial-boundary
value problem which governs the first passage process for the hysteretic
oscillator.
B.2. THE GENERALIZED PONTRIAGIN-VITT EQUATION
A computationally simpler problem is the generalized Pontriagin-Vitt
equation which, when solved, yields the ordinary moments of time to first
passage failure. The rth ordinary moment of first passage time
T(r) = T(r)(X.o )' r = 0, 1, 2, •••• , can be obtained from
(2.26)
33
where
(2.27)
It can be seen from the defi.nition of a probability density function that
(2.28a)
(2.28b)
and thus the Stieltjes form of Equation 2.26 is
(2.29)
Integrating Equation 2.29 by parts, it is found that
'"
f rt r - 1 R(tlx )dt
o
(2.30)
o
Now, multiplying equation 2.20 by rt r - 1 and integrating from t = 0 to t = "',

the generalized Pontriagin-Vitt equation for the ordinary moments of first
passage time for the hysteretic oscillator is obtained and given by
(r-1) aT(r)
-r T = Y20 ~-
2 2 aT(r)
[ 2CwY 20 + aw Y10 + (1 - a) w Y30 1 aY20 +
[AY 20 - rlY201
IY30 I(n-1 ) Y30 - ~Y201Y301n1
aT ( r)
aY30
a2T(r)
+ 'ltS o - 2 - - r = 1, 2, •••• (2.31)
aY20
34
subject to the boundary conditions
T(r)(tIB'Y20'Y30)
° Y20 > ° sr Y30 (2.32a)
T (r) (t I -B, Y20 'Y30)

° Y20 < ° sr Y30 (2.32b)
T(r)(tl ) + 0, Iy 20 I + '" V (2.32c)

Ylo'Y20'Y30 Ylo' Y30
T
(r) I
(t Y10 'Y20' 0) 0, Y20 > ° V Y10 (2.32d)
T(r)(tIYI0'Y 20 ' -0) 0, Y20 < ° sr Y10 (2.32e)
Equation 2.31 is a recursive system of partial differential equations, which,
when solved, yields the ordinary moments of time to first passage failure for
the SOOF hysteretic oscillator. An analytical solution to this boundary value
problem has yet to be ohtained. By eliminating the time component in deriving
the generalized Pontriagin-Vitt equation, the computational aspects of the
reliahility problem have heen simplified; however the effects of nonstationary
excitation can no longer be studied. It is this steady state problem which
will first be solved in Chapter III. Then the more difficult transient
problem presented in Equations 2.20-21 and 2.25 will be addressed, and the
reliability of the oscillator will he ohtained directly.

CHAPTER III
NUMERICAL SOLUTION OF THE FIRST PASSAGE PROBLEK
A. A PETROV-GALERKIN FINITE ELEKENT KETHOD FOR THREE-DlKENSIONAL CONVECTION

DIFFUSION PROBLEKS
Consider the general form of the three-dimensional convection-diffusion
equation given by
~ k oq, + 2. k oq, + ~ k a(\> u oq, oq, u o (3.1)

ox x ox oy y oy oz z ~ - x ox - uy oy - z
where kx/C, ky/C and kz/C are the diffusion coefficients; ux/C, uy/C
and uz/C are the velocities; Q/C is the source term; and the boundary
conditions are appropriately defined. The nonlinear partial differential
equations developed in Chapter II which govern the first passage behavior of
the simple hysteretic oscillator are degenerate forms of Equation 3.1. The
nature of Equation 3.1 for many engineering problems gives little hope for
analytical solution; thus numerical methods must be adopted to solve the
problem.
It has long been known that conventional numerical techniques applied to
convection-diffusion equations of any dimension are unstable when the flows
are highly convective; that is when the first derivatives, the convection
terms, have significant coefficients as in the first passage problem. This
unstable behavior can also be found in convective heat transport problems,
high Reynolds number fluid flow problems, and other transport problems where
the velocities are high. Traditional finite difference techniques using
central difference approximations to the derivatives are known to be unstable
when the local Peclet number becomes large (44). If kx=ky=kz=k and h is a
characteristic mesh spacing, it can be demonstrated (44) that the critical
value of the local Peclet number r

36
(3.2)
When r > 2 , backward difference or "upwind" approximations are used to

stabilize the solutions, albeit at some loss of accuracy due to artificial
diffusion.
The same problem of oscillation arises in the finite element solution
when a standard Bubnov-Galerkin weighted residual formulation is employed.
Thus a Petrov-Galerkin finite element method is utilized wherein the weighting
functions are quadratic, and the shape functions are linear [44]. The
coefficients of the quadratic weighting functions are chosen for each element
according to the value of the local Peclet number. By suitable choice of
these coefficients, accurate, stable solutions are obtained.
In order to fully understand the logic hehind this Petrov-Galerkin finite
element method, one Inust first examine the one-dimensional analog of Equation
3.1. Following Reference [44], consider the one-dimensional convection-
diffusion equation given by
k 4-
dx
u :~ = 0 (3.1)
with boundary conditions
I , x 0
<I> ={ (3.4)
o, x =
where u/k is a positive constant. The analJtical solution is
ux u u
(ek _ ek)/O _ ek ) (3.S)
Applying the central finite difference method or the standard Bubnov-Galerkin

37
finite element method to this problem, it is found that for values of the
Peclet number greater than two, r > 2, the solution is oscillatory. Thus in
the finite difference case, a backward difference scheme is used to
approximate the first derivative while a central difference scheme is employed
for the second derivative to solve the problem. In the finite element
context, [44] it has been shown that a Petrov-Galerkin weighted residual
formulation can be successfully implemented, in which nonsymmetric quadratic
weighting functions Wi and linear shape functions Ni are used. The
weighting functions are of the form
0.6a)
for element (i-l):i and
0.6b)
for element i:(i+1). Here F(x) is any positive function in which

h
f F(x)dx = h/2 and F(x) is zero at the nodes. Choosing F(x) to be
o
parabolic, one can write
3
F(x) - 2" x(x - h) • 0.7)
h
Using this variation for F(x), a typical equation for node i from the
finite element assembled equation system is
(1 + f (a + l»~i-l - (2 + ra)~i + (1 + f (a - l»~i+l = 0 (3.8)
It should be noted that when a = 0 , Equation 3.8 is precisely the expression

obtained using central finite differences, and when a = 1 the stable
"upwind" finite difference scheme is obtained. In addition, i f the "upwind"
parameter is chosen properly, then the solution is exact at the nodes. This
is true even in the presence of constant or linear source terms. This optimal
38
"upwind" parameter is given by
r - r2
ex = (coth '2) 0.9)
Thus one can use finite elements to immediately take advantage of the local
nature of the solution. Now, variable size elements and variable coefficients
of the differential equation are accommodated, and the "upwind" parameter can
be made optimal for each element.
The extension to two-dimensional problems was reported by Heinrich, et
al. [44] and is presented as follows. Working in isoparametric coordinates
~ and ~ through a linear transformation, the shape functions can he
constructed as products of their one dimensional analog and given for the
element depicted in Figure 3.1 by
(-1 ( (1;., TJ ( 1) (3.10 )
4
N (~,~) = 41 (1 - ~)(1 + TJ)
Letting ex and ~ be the "upwind" parameters in the 1;. and 11 directions,
respectively, the biquadratic weighting functions are seen to be

39
Figure 3.1 Typical finite element for the two-dimensional problem

40
N2(~,n)[1 + 23a (1 - ~)][l - ~

2
(1 + n)]
(1- " en " 1) 3.11)

3
W (~,n) N4(~,n)[1 + ~a (1 - ~)][1 + ~~ (1 - n)]
This two-dimensional Petrov-Galerkin finite element scheme has been
employed in numerous applications in heat transfer and fluid mechanics
[139]. In addition, the technique has been applied successfully to
Kolmogorov-type equations governing the reliability of single-degree of
freedom linear and nonlinear oscillators subjected to Gaussian white noise
excitation [10-17,116,118]. The success of the algorithm is futher
highlighted by the inability of finite difference methods to solve the
boundary value problem for oscillator ~eltability [134], and to the author's
knowledge, the Petrov-Galerkin finite element method is the only solution
technique to successfully solve this difficult problem.
Illustrating the ve~satility of the finite element method as applied to
reliability problems for memoryless linear and nonlinea~ oscillato~s,
Refe~ence [15] gives a parametric study of the linea~ oscillato~ fo~ bound
widths from one to five standa~d deviations of the ~esponse as well as damping
ratios from 0.01 to 0.08. In addition, several memoryless nonlinear
oscillato~s were investigated to determine the effects of the nonlinearities
and initial conditions on the expected life of the systems. However few
enginee~ing systems which a~e subjected to severe random loading ~emain
entirely in the elastic ~ange of response. Thus, in o~der to model realistic
dynamical systems, the modified Bouc hyste~esis model described in Chapte~ II

41
is to be investigated to determine the characteristics of the failure process
of engineering structures with memory.
The Petrov-Galerkin finite element method, used previously for the two-
dimensional problem, was chosen to obtain solutions to the hysteretic three-
dimensional problem. As was the case for the two-dimensional scheme, the
shape functions are chosen to be products of the one-dimensional analog and
are given for the element depicted in Figure 3.2 by
N1 (~,n,A) = 81 (1 - ~)(1 - n)(1 - A)
N2 (~,n,A) = 81 (1 + ~)(1 - n)(1 - A)
N3(~,n,A) = i (1 + ~)(1 + n)(1 - A)
N4 (~,n,A) = 81 (1 - ~)(1 + n)(1 - A)

(-1 ~ ~,n,A ~ 1) (3.12)
N5 (~,n,A) = 81 (1 - ~)(1 - n)(1 + A)
N6 (~,n,A) = 81 (1 + ~)(1 - n)(1 + A)
N7 (~,n,A) = 81 (1 + ~)(1 + n)(1 + A)
N8(~,n,A) = i (1 - ~)(1 + n)(1 + A)

The associated weighting functions are then determined, also by the product of
one-dimensional analogs, and are given for node i by
wl(~,n,A) = Nl(~,n,A)[1 - ~ (1 + ~)][1 - ~~ (1 + n)][1 - ~p (1 + A)]
W2 (~,n,A) N2(~,n,A)[1 + ~ (1 - ~)][I - ~ (1 + n)][1 - ~ (1 + A)]

42
N8 (C.'7].A) A
W8 (C.'7].A)
N7 (C.'7].A)
W7 (C.'7].A) /
, /
'/
I ,
I I
I I
I , /
~5~_ _ _ _ _....;1_---..!1~ / 6 e: A
N5tC.'7].A) 1 16/ / ~6~{:~' A\
wi (, '7]. A) : k. - - - --J'-------1i--- C
I
/
4J.- - - - - - - - - - - 3-
/ / N4 (C.'7].A)
/ / W4 (C.'7]. A)
/
/
/
/
/
/
1/ 2
N'(C.'7].A)
W'(C.'7].A)
Figure 1.2 Typical finite element for the three-dimensional prohlem

43
W3 (~,l),A.) = N3(~,l),A.)[1 + 3a (l - 1;)](1 + ¥ ( l - l ) ] ( 1

2
- 2.e.
2
(l + A.)]
w4 (~,l),A.) = N
4
(~,l),A.)[1
_ 3a (1 + O][l +~
2 2
(l -l)](1 -le..(l
2
+A.)]
(-1 .; ~,l),A.'; 1) (3.13)
\01 5 (~,l),A.) = N5(~,l),A.)[1

_ 3a (1 +
2
~)]( 1 - ~~ (1 + l)](1 + ¥- (1- A.)]
W6 (~,l),A.) = N6 (1;,l),A.)[1 + 3a (1 -
2
~)][1 - ~
2
(l + l)](1 + 2.e.
2
(l - A.)]
7
W (~,l),A.) = N7 (1;,l),A.)[1 + 3a (1 - O][l + ~ (1 - l)][1 + le.. (1 - A.)]
2 2 2
W8 (1;,l),A.) = N8 (1;,l),A.)[1
_ 3a (l + 1;)][1 + ~ (l - l)][1 + 3p (l - A.)]
2 2 2
The values for the "upwind" parameters a , ~ and p are given by
rx 2
a = (coth 2) -r x
(3.14a)
11 (t:.x)
x
rx =-k-- (3.14b)
x
r 2
~ = (coth / ) -r y
(3.15a)
u (t:.y)
ry = ....:L.....:...
k
(3.15b)
Y
rz 2
p = (coth 2) -r z
(3.16a)
u (t:.z)
z
rz =-k-- (3.16b)
z
44
where ~x, ~Y and ~z are the element lengths in their respective
coordinate directions. This algorithm will be implemented for the solution of
the first passage problem.
B. SOLUTION OF THE GENERALIZED PORTRIAGIN-VITT EQUATION FOR THE ORDINARY

MOMENTS OF TIME TO FIRST PASSAGE
The generalized Pontriagin-Vitt equation is of the type rliscussed in the
previous section, in which solution by the Petrov-Galerkin finite element
method has proven to be very successful. The problem deviates from most
convection-diffusion problems in that the coefficients of the second partial
derivatives are zero for two of the independent spatial variables in the
equation. This has the effect of making the respective local Pee let numbers
infinite over the entire domain. Thus, the optimal "upwind" parameter for
each of the elements is the negative signum function of the coefficient of the
first partial derivatives of the respective spatial variables. The "upwind"
parameters for the first passage problem can be written as
1, Y20 <0
a { 0, Y20 0 (3.17)
-I, Y20 >0
r
Y 2
~ coth r-r Y
(3. Sa)
2 2
(2(;WY20 + aw Y10 + (l - a)w Y30)~Y20
r (3.18 )
Y 1tS
0
I, Uz >0
p
= { 0, Uz 0 (3.19a)
-I, Uz < 0
u
z - AY20 + ~Y2olY3oln + yIY2oIIY3ol(n-l)Y30 (3.19b)
45
In order to facilitate discretization of the infinite three-dimensional "safe"
domain, artificial boundaries must be introduced at plus and minus some large
value YZo = ±C in the initial velocity direction as depicted in Figures Z.8
and 3.3. The value of C is chosen such that the solution in the interior of
the domain is not affected, and this finite domain is denoted Qy. The
generalized Pontriagin-Vitt equation for the hysteretic system is cast into
the weak form and discretized over Qy using the shape and weighting
functions given above (see Appendix II).
The discretized form of the Pontriagin-Vitt equation is
~ (r-l) (r = I,Z,3, •••• ) (3.Z0)
where
OW i ON j oN. Z ZaN.
E J {- n;5 - - + W [y _J_ - (ZI;wyZo+ aw y + (l-a)w y )_J
N Q o oYZooYZo i Zo oYl0 10 30' oYZo
e y
(3.Z1)
and
- r E (3.ZZ)
N
e
Note that the summation is over the number of elements Ne in the mesh. This
is a system of linear difference equations which, when solved recursively,
yields r ordinary moments of time to first passage for the oscillator with a
hysteretic restoring force.
It should be noted that symmetry witl-t respect to the origin exists in
which
(3.Z3)
46
Figure 3.3 The "safe" domain Qy for the three-dimensional first passage
problem
47
Thus solution can be sought over only half of the "safe" domain. It is easily
seen that if the mesh is numbered uniformly row-wise or column-wise and the
solution vector T(r) has NN components then
(r)
TNN +1- i (3.24)
Therefore, the system of equations to be solved can be rewritten as
~ [k ij + k i (NN+1_j)]T~r) = b~r-1) (3.25 )

J
Thus, little more than half of the elements have to be formulated and
assembled, and the computational effort is reduced by nearly half. In
addition, the nodes at which homogeneous boundary conditions are prescribed are
eliminated from the system of equations. Finally, it should also be noted that
the "stiffness" matrix is not a function of r, and thus is formulated and
decomposed only once. Formulation of the new right hand side vector bi and
subsequent forward and backward substitution is all that is required to obtain
higher moments of first passage time.
In order to demonstrate the versatility of the finite element method as
applied to the solution of the generalized P-V equation, a parametric study of
the hysteretic oscillator utilizing the modified Bouc hysteresis model was
performed. Five normalized damping ratios from C = 0.00 to C = 0.08;

hysteretic exponents n =1 and n = 2; and four bounds on the hysteretic
force variable from D = 0.5 to D 1.0 were studied for the "smooth"
hysteresis model. The parameters of the "smooth" model are w = 1, A = 1,

y = ~ = 0.5 and a = 1/21. The displacement bound and the magnitude of the
two-sided constant spectral density of the excitation are B = 2.0 and So =

0.12 ,respectively. In addition, unless otherwise specified, the bound in the
hysteretic variable direction will be D = 1.0. This corresponds to the bound

in the hysteretic variable direction being absent since, for the "smooth"
48
model, z is asymptotic to as the displacement becomes large.
Thus, all failures will be across the displacement boundary when D = 1.0 •
For each of the cases examined, six moments of first passage time were
calculated. A tremendous amount of information is obtained with a single
finite element solution, and in fact, a four-dimensional plot would be required
to depict the solution over the entire domain of "safe" initial conditions.
Even if this were possible, little information could be drawn from this type of
figure. Cross sectional surface plots of the solution, however, do provide
valuable insight into the character and smoothness of the solution. In
addition, effective meshes are more easily obtained and refined by examining
these surface plots. Figures 3.4a-d show surface plots of cross sections of
the first moment for the "smooth" system with (; = 0, n = and D = 1. As
can be seen, the solution at the central region is non-oscillatory even at Zo
= 0.6, 60% of the distance from the origin to the hysteretic variable failure
bound, D. Figures 3.5a-d and 3.6a-d provide similar plots for the second and
sixth moments, respectively. Since the generalized Pontriagin-Vitt equation is
a recursive system, the accuracy and stability of the solution for the higher
moments depends upon the solution for the lower moments. The accuracy of these
higher moments will be addressed in Chapter IV; however, examining Figure 3.6a-
d, it is found that error propagation has not introduced oscillations in the
central region of the "safe" domain, even after five recursions of the solution
procedure required to obtain the sixth moment of first passage time.
It was desired to investigate the effects of viscous damping on the
expected life of the hysteretic oscillator. Thus, five values of the
normalized viscous damping (; were considered: 0.0, 0.01, 0.02, 0.04 and
0.08. In the results presented herein, it should be assumed that all initial
conditions which are not specified are quiescent. Figures 3.7a-d and 3.10a-d
49
M0 ENT 0. I M ME T • 1
SURFACE PL0T F R Z= 0 . 0000 SURF CE Pl F R Z= .2000
(b)
M ME T . I M ~Er T J • I
SURFACE Pl0T F R 2= . '1000 SURFACE PL T F R Z = . ~OGO
(c) (d)
Figure 3.4 Cross sectional surface plot for moment 1 of time to first
passage of the hysteretic oscillator; C=O, w=l, 50 =.12, A=I,
y=~=.S, a=I/21, n=1.
(a) zo=O.O, T(1)(O,O,O)=S.US84 sec

(b) zo=O.2, T(I)(O,O,O.2)=7.9462 sec
(c) zo=O.4, T(1)(O,O,O.4)=7.S709 sec
(d) zo=O.6, T(I)(O,O,O.6)=6.9790 sec
50
t-' ME T . 2
SURF~CE PL T F R Z= 0. 0000 SURFRC . tOOO
(a) ( b)
M EIT . 2 E IT . 2
SURF~CE PL FRZ = . 'i000 SURF CE PL T F R Z = . 6000
(c) (d)
Figure 3.5 C['oss sectional surface plot for moment 2 of time to fi['st
passa~e of the hyste['etic oscillato['; C=O, w=l, 50 =.12, A=I,
y=~=.5, a=1/21, n=l.
(a) zo=O.O, T(2)(0,0,0)=104.21 sec 2

(b) zo=0.2, T(2)(0,0,0.2)=102.17 sec 2
ee ) ~o= O.4, T(2)(0,0,0.4)=95.581 sec 2
(d) zo=0.6, T(2)(0,0,0.6)=84.992 sec 2
51
0 . 0000 SU FACE Pl~T F~ Z- .2 0
(a) (b)
r-< E TN . 6 r·' T ~ • 6
SURFRCE Pl T F R Z = . '1000 SURF Cf Pl 'r r R Z = . ' 000
(d (d)
Figure 3.6 Cross sectional surface plot for moment 6 of time to first
passage of the hysteretic oscillator; C=O, w=1, 5 0 =.12, A=l,
y=~=.S, a=1/21, n=1.
(a) zo=O.O, T(6)(O,O,O)=O.S36S3E08 sec 6

(b) zo=O.2, T(6)(O,O,O.2)=O.S2479E08 sec 6
(c) zo=O.4, T(6)(O,O,O.4)=O.48717E08 sec 6
(d) zo=O.6, T(6)(O,O,O.6)=O.42688E08 sec 6
52
depict the first four moments of first passage time versus initial displacement
for these damping ratios for n = 1 and n = 2, respectively. As expected, a
nonzero initial displacement decreases the life of the oscillator, but this
effect is sharpened as the viscous damping is increased. However, the addition
of viscous damping increases the expected life of the oscillator for all values
of initial displacement.
Four moments of first passage time versus initial velocity for the various
damping ratios for n = and n = 2 can be found in Figures 3.8a-d and
3.11a-d respectively. The effects of nonzero initial velocity are much more
pronounced than were those for nonzero initial displacement. Again, regardless
of the inital velocity, increasing the viscous damping increases the expected
life of the hysteretic oscillator.
Plotted in Figures 3.9a-d and 3.l2a-d are the four moments of first
passage time versus the initial hysteretic variable for n = and n = 2 ,
respectively. Here it is seen that small oscillations occur in the solution
near the boundaries in the inital hysteretic variahle direction. These
oscillations occur due to the partial boundaries in the z direction which cause
the solution to be singular along Zo = ± D , x O. Departing from this

o
boundary, however, the solution stabilizes rapidly, and it will be shown in
Chapter IV that accuracy is preserved.
It was also desired to determine the effect of increasing the hysteretic
exponent, n. As discussed in Chapter II, the hysteretic exponent regulates
the sharpness of the transition between the pre-yield and post-yield regions of
the force dicplacement curve (see Figure 2.3). This will be an indicator of
what should be expected when the bilinear hysteresis model is used to represent
the constitutive relation for a material which has a smooth transition between
pre-yield and post-yield. Fip;ures 3.l3a,h portray the first and second moments
53
o o
ot<
u
"'
o'-" 0
~o
III 0
_ (1
u -
~
•
~
00
-
I
~
- - - - ( · 000
'lz
- - - - ( - 000
- - - - ( - 001 - - - - C - O OI
ON
O - - - - - ( - 002
-------- C - 00 -
- - - - - C-002
-------- , - 00.
l ( - ooe ( - ooe
o o
- 2 o 2 - 2
N AL OISP L.AC E.'-'4E T
"- "-
(3) (b)
o o
o o
- - - - t - 000 -- -- t - 000
- - - - t - 001 - - - - t - O OI
- - - -- ( - 0 02 - - - - - t - 002
------ -- t -00 - ---- -- -- , - 0 0.
~ ( o Oo e to oo e
---
------
,..,---- ...........
/:---------.---
...
,,'
, ""/
, ~--:--
,:~y
'L.
o
- 2 o -, 0
'- N I 'A L OI SP L..AC E~E""' T
J(. ~ N ITI ""L Ot SPLA C E~£N T
(c) (d)
Figure 3.7 Moments of time to first passage for the hysteretic oscillator
vs. initial displacement for various normalized damping ratios;
n=1, w=l, S =.12, A=1, y=~=.S, a=1/21, xo=O, zo=O.
(a) Moment? (b) }1oment 2 (c) Moment 3 (d) Homent 4
54
o o
o
-- --t . 000
W - - - - t - 000
----t-OO I
- - - - - '-001 III
----t - OOI
- - - - - t-OOl
- - ....... - - . t .. 00411
""' -
- - - - - - - - , - 00.
t • 001 , - 0 O.
- 0
_Ill
Q:
:>
.•
.J
0 0
.... 0
"'>:1
...o
o
.... '"
...Z1
o
1
o
-6 -2 o
"L
2
ELOC T"V
o
-6 -2 o 2 ..
;, I I
"- INITIAL VELOCITY
(a) (b)
o
o
-- --t - 000 - - - - t. 000
----t-OO I - - - - ' - 001
- - ---t - 001 - - - -- t - oot
--------, - 00 .
t - 001 o- 0 - - - - - - - - t - 0 O.
, - 001
to.
o
• 0
~ '"
...1 '"
o
l
o o
-6 -6 -2 o 6
ITlA!.. VELOCITY
(e) (d)
vs. initial velocity for various normalized damping ratios; n=1,
w=1, 50 =.12, A=1, y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1
(b) Moment 2 (c) Moment 3 (d) Moment 4
55
o o
~:I
"'0
-0/
~Ol
:J
~
• on t-
0 0
I
~
. ~,:-.:---,---
"'ott .' "~"..... ___
'--
. ~//
./
... ./
o
-- --c - 000 --c - 000
- - - - ( -00 1
----t - 001 ....
- --
--------c - 00-
-- t - ooz ,.z - - - - o C-002
-------- C- 00_
1 t - 001
( - ooe I)
~
o
-'0
o '0
IT AL .... vS,TERETIC IAR ABL.E
z.
(b)
~ 01
VlO
9 "0
• r
:r:J 0
0 ~
-- -- t -
- - - - C - O OI
000
- - - - - ( - OOZ
--------C - 00 _
C - ooa
.................... '"
..- ,.. -------

--------- --
--
... """-
-
--
------
-......-----
.-;.;:::.--
.- ...
~----------:-.......
fr
-- -- t -
----C-OO I
- - - - . c -0 .02
000
--~--' -- -.....:: ;'
- - - -- -- -C - 0 o.
t - 001
o
-'0 - ~ o '0 -'0 , v
~. . NI AL t1vSTE~r; C VA IABL E
(c) (d)
vs. initial hysteretic variable for various normalized d a mping
ratios; 11=1, w=l, 5 0 =.12, A=l, y=~=.5, <1=1/2l, xo=O, xo=O.
(a) Homent 1 (b) Moment 2 (c) Moment 3 (d) Moment 4
56
o
'",
~
"'~
!?
~
a .,
t.. l- I:
I
?V
0
(
0
- - - - t· 000
i...
1
~ - - - - ( - 001
- - - - - (-002
------- - ( - 00 .
.:z (\
w
0 I-
j,/p
)
-- -- t -
----(
- - - -- (
-
-
000
001
002
-------- ( - 00 _
( - ooa
v'
l l
0 ( - 001
l
0
2 -2
'- '-
(a) ( )
1)
p
:;;0 ,.
0
0
-
1)
-- -- t - 000
----(-001
- - - - - (-002
- - - - - - - - ( - 00 _
( - 0 o•
-
---
..-
- ---
. / ' ----
0 ,//
0 I-
., '" //'/"'"
/......-
",
.0/ - - - - t - 000 o
,,;'i'
...l -
~
Z 0 - - - - ( - 001 .: .n /
/,.~
;Y :::::--=::~ : ~~!
0
l (- ( - ooa ~
n o
-2 2 o ,
'- '. N · 'At. OI S" ..... C EME'T
(c) Cd)
vs. initial displacement for various normalized damping ratios;
n=2, ~=I, S =.12, A=l, y=~=.5, a=1/21, ~o=O, zo=O.
(a) Moment Y
(b) Moment 2 ee) Moment 3 (d) Moment 4
57
u '"
-- -- t - 0 00 r - - - - t - 000
- - - - t - oo. - - - - ( - 00.
------- -C-
- - - - - t - 00 2
00 4
C - 001
'"- 0
- - - - - ( - 00 2
- - - - - - - ( - 00 .
t - 001
~O
...::; ...o
I-
...lZ _,
... 0
Z .n
I') w
l ::!
o
::!
o o
6 -2 -6 o 2
;.. '. NL AL vE'LOC "TV
(a) (b)
o o
...o - - - - t - 00 0 '", -- -- t - 0 00
-- - - ( - 00' - - - -(- 00.
to.
------- -C
- - -
-oa -
- - ( - 00 2
t • 001
'"- 0 - - - - -( -
-------- ( -
002
00 4
~O ( - 001
.0
•
o
0
~
r-
~
... 0
::! 0
;: .,
t..
0 o0 0
....
0
I-
Z .,
Z 0
... 0 ...::!
5::! - 0
-.
::!
<.: 0
-6 -2 o 2 6 -6 -2 o 2
'- LT A t.. 'oJEL.OC TV T J&. ~ \lEt..OCI'!"V
(c) (d)
VS. initial velocity for various normalized damping ratios; n=2,
w=l, 50 =.12, A=l, y=~=.S, a=1/21, xo=O, zo=O. (a) Moment 1
(b) Moment 2 (c) Moment 3 (d) Moment 4
58
o
" .n
....oJ
111 0
w. 0_
l:
:l
_..... -- ..
•o
.J
... ,,' , - - - - .........

" """ -----
~'::00
" , '----
/"""'--
- ," /'//'"
/"
... "'~
o ... :--~//
... -- -- ( - 000
~ :~ y
-- - - ( - 000
...
Z or.
1 N
----( -
-' - -. ( -
001
002
... 0
Z "
- - - - t - OOI
- - - - - (-002
-------. ( - 00 - <oJ
(]
l --_···-- t - 00 .
1 ( - 001 0
1 t - 0 O'
o 0
0 10
o 10 -1
'. z.
(a) (b)
- - - - ( - 000
- - - - ( - 00 1
- - - - - ( - 0 .02
. • - ••• -- ( - 00 -
t - 001
.
---
" ~.".,.---- .... .........
,~/
-, , / /
: __ ' / /
~ .......
..".-- --- -
---------- .............
- - - - t. 000
....
o
o "
.",.,..
----.--
--------
........ ~ ........ : - - - - -
Z ,..,;/' - - - - ( - 001 Z on •• /;,----_ _
- - - - - (-0 0 1
<oJ ~ ~/,...--
1 ---_ . . -- ( - 00 '
o ( - 001 o
l l
o o
-10 , 0
-10 10
'. '.
(c) (d)
ratios; n=2, w=l, 5 0 =.12, A=l, y=~=.5, a=1/21, xo=O, xo=O.
(a) Moment 1 (b) Moment 2 (c) Moment 3 (d) Moment 4
59
of first passage time versus initial position for ,= 0.0 for n =1 and
n = 2. Examining these plots, it is found that for zero initial conditions,
increasing the hysteretic exponent increases the expected life of the
oscillator. However, for a large enough inital displacement, the expected life
of the structure is decreased as the hysteretic exponent increases. This
indicates that the bilinear hysteresis model is nonconservative for large
initial displacements. Similar trends can be seen in Figure 14a,b when the
damping is increased to ,= 0.08.
Two moments of first passage time are plotted versus initial velocity in
Figures 3.15a,b and 3.16a,b for ,= 0.0 and ,= 0.08 , respectively, for
n = 1 and n 2. These plots show that increasing the hysteretic exponent
increases the expected life of the oscillator for all initial velocities,
holding all other initial variables to zero. Figures 3.17a,b and 3.18a,b plot
the first two moments of first passage time versus the initial hysteretic
variable for ,= 0.0 and ,= 0.08 , respectively, for n =1 and n =2 •
It can be surmised from these figures that increasing the sharpness of the
transition between the pre-yield and post-yield range also increases the
expected life of the oscillator for all values of the initial hysteretic
variable, holding the initial displacement and velocity to zero.
Thus, it can be concluded that use of the bilinear hysteresis model
provides nonconservative estimates of the life of the hysteretic oscillator for
the case of zero start when the actual constitutive relation has a continuous
first derivative. However, conservative results may be found when a nonzero
initial displacement is prescribed.
Finally, the effect of decreasing the bound in the hysteretic variable
direction was examined. Four values of D were considered: 0.5, 0.7, 0.9 and
1.0. Two values of the hysteretic exponent, n = 1 and n = 2 , were also

60
~Ol
~aI
..
- - - ... -. 110 · '
--- ,
....
30
~
o
::I
o~1__~__~__~__~
-2 o 2
".. I ITIA 0 SPLACE"'E"'T
(a)
--- ...
- ...... _-- . • - I
,J
o
-2
( b)
vs. initial displacement for n = 1 and 2; ~=O.O, w=l, So=.12,
A=1, y=B=.5, a=1/21, xo=O, zo=O. (a) Moment 1 (b) Moment 2
61
:- .. _.' ..,
~'I
<1\0
~
'.' .,,\--- • • 2
....0-
I
It
}
-'
~
<:
o ... l-
I-
o
-2 o
...... iTI .... L DISPLACEMENT
'.
(a)
------·,, - 1
- - - .'2
o L-_ _ _ ~ ___ ~ _ _ _ _ _L __ _ _
-2 -1 o
Ji(. INITIAL. OISPL....ACEM(NT
(b)
vs. initial displacement for n = 1 and 2; '=0.08, w=l, So=.12,
A=l, y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1 (b) Moment 2
62
0
<>
.... _--_ . .. ,
u
w --- . ·2
"'0
woe
a:
:J
.J
<
... 0
...0.0
w
l
;: 0
:5 •
..z 0
'0l" '"
l
0
-G -2 o G
INI lA L VELOCrrv
(a)
-._ ... __
- - - ..2
.. -.
...l 0
;: on
...0
.. ...
N
Z ..
.
'0l"
l
o
- G -2 o 2 6
I NIT tAL VELOCl'ry
(b)
vs. initial velocity for n = 1 and 2; '=0.0, w=l, 50 =.12, A=I,
y=~;.S, a=I/21, xo;O, zo=O. (a) Moment I (b) Moment 2
63
-----_
---.·z
..-,
0
-6 -2 0 ~
-.
- ~
N ITIAt.. vEL.OC rv
(a)
l
...0
0"
'" 0
~o
wi
'"
~
" ...
<c
...
0
-
..
0
lO
~ ~
...
0
,
,..0
z on
'0"
~
0
-6
.; INI TIAl. VELOCITY
(b)
vs. initial velocity for n = 1 and 2; ~=O.08, w=l, 50 =.12, A=I,
y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1 (b) Moment 2
64
0
~
~
.. _-- - - • • a l
u
w ~- •• z
., 0
..;
Q: ~ ~-- .~, ~
,
:)
• .J
..
L. 0
~
0
.
1
;; 0
~
~ 0
1
o
1
o
-'0 , 0
(a)
.,
U - ---- ... '
'"
111
~
- -
--- . ·2
"
0 ..
~
..;
Q:
::J
•...."
.I
0
,
to
o
-10 o , 0
z. INITIAL HYSTERETIC VARIABLE
( b)
vs. initial hysteretic variable for n = 1 and 2; '=0.0, w=l,
5 0 =.12, A=l, y=(3=.5, a=I/21, xo=O, xo=O. (a) ~1oment 1
(b) Moment 2
65
on
~
------· .-1
U
.- ... --- ... - .. - - - .'1
r
"'0
.0
"'a: ~ , .
...
J
....
~
/
g .
..~
0
o on
Z on
'"::I
0
::I
0
-10 - ~ 0 :I 0
z. fNIT'AL .... vS"'l'E~ET\C V.ARIABlE
(a)
..z oon
bI
::I
o
1
o
-10 o o
z. I ITIAL HYSTERETIC VARIABL.E
(b)
vs. initial hysteretic variable for n = 1 and 2; ~=O.08, w=l,
So=.12, A=I, y=~=.5, a=I/21, xo=O, xo=O. (a) Moment 1
(b) Moment 2
66
studied, and the normalized damping ratio was zero for all cases. Decreasing
o will reduce the size of the "safe" domain. Obviously, this will reduce the
expected life of the hysteretic oscillator. However, Figures 1.19a,b and
3.20a, b indicate that when the bound is narrowed in the di"rection of the
hysteretic variable, increasing the hysteretic exponent decreases the expected
life of the oscillator. This is in contrast to the case of D = 1.0 when
increasing the hysteretic exponent increases the expected life of the
structures. An explanation can be found by examining Figure 2.3 and noting
that for the bound, D, less than the ultimate hysteretic strength, zu' the
value of x at which z intersects the boundary decreases as n increases.
Thus as x is increased, the oscillator with n = 2 reaches the hysteretic
bound sooner than the oscillator with n = 1 •
C. SOLUTION OF THE INITIAL-BOUNDARY VALUE PROBLEM FOR OSCILLATOR RELIABILITY
Often it is not sufficient to have only the statistics of the first
passage process; rather one must have the probability of failure. The problem
of determining the probability of failure, or alternatively the reliahility of
a system having prescribed ordinary statistical moments will be addressed in
Chapter V. In this section, consider the direct solution of the initial-
boundary value problem for oscillator re1iahility given in Equation 2.20 with
initial and boundary conditions given in Equations 2.21 and 2.25 respectively.
Again, the partial differential equation is discretized in space using the
Petrov-Galerkin algorithm; however, the equations must now be numerically
integrated in time. In applying the finite element method to equation 2.20, a
system of equations of the form
3.26
is obtained, where
67
o
o ,-----------------------
(11)
• r .- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
-2 o 2
( b)
Figure 3.19 Homents of time to first passage for the hysteretic oscillator
vs. initial displacement for various widths of the absorhing
bound in the hysteretic variable direction; C=O.O, w=l, 50 =.12,
A-I, y=p=.5, a=1/21, ~o=O. zo=O. Ca) Moment 1 Cb) Moment 2
68
I
0
--- ."
l . . ,,
0 ·~--·-· "' · l
w "
III
0
oJ"'
I
II:
:J
-'
~ 0
0\0
0-
W
.
1
;::
0
~
~
I-
~ 0
1
0
l
0
-8 -4 -2 0 2 6
;. lNIT AL 'JEL.OC~TY
(a)
on
U
'"
"'
•
~o
0 [ --- .' 1
- - - - -- ,, - 2
..;
II:
.tll1 ~
:J
~
...lo
;::",
...
0
N
I-
Z '"
\oJ
l
0
:I
0
; . NI
"'-
('l)
vs. initial velocity for various widths of the absorbing bound
in the hystereti~ variable direction; '=0.0, w=1, 50 =.12, A=1,
y=~=.5, a=1/21, xo=O, zo=O. (a) Moment 1 (b) Moment 2
69
3.27
and ~ is as given before. Upon discretizing equation 3.31 in time via the
Crank-Nicholson scheme, one finds
(~ - .S~t ~)~(t+~t) = (~ + .S~t ~)~(t) 3.28
It should be noted that the coefficients on the left hand side of Equation 3.28
are constant; thus as long as ~t does not change, the left hand side matrix
is constant and need be assembled and factored only once. In addition, the
right hand side vector can be obtained through a simple matrix multiplication.
Then the solution at the next time step can be determined merely by forward and
backward substitution. The case of a modulated excitation in time is a simple
extension; however, the finite element matrices must be reformulated at every
point in time in which the magnitude of the excitation changes. Again, the
symmetry with respect to the origin exists and the solution need be sought over
only half of the "safe" domain.
The solution of Equation 3.26 provides the reliability and failure density
functions for the hysteretic oscillator over the entire phase space of initial
conditions. Due to space limitations, however, only four sets of initial
conditions have been chosen for further examination. They are: (1) Xo = 0,
x
o 0; (2) Xo = 0.8, ~o = 0, Zo = 0; (3) Xo = 0, ~o = 1.0, Zo = 0; (4)
0, Zo = 0.6. Figures 3.21-3.22 depict (a) the cumulative
probability of failure and (b) the probability density function of failure for
normalized damping ratios of C = 0.0 and C = 0.08 , respectively, with a

unit hysteretic exponent, and Figure 3.23 portrays the same for the case of C
= 0.0 and n = 2. Trends which are similar to those found in the previous
section may be seen in these figures. An interesting note is that the tails of
the density functions are nearly the same regardless of initial conditions. In
70
w
<r
3
.•
0)
...
o
~
:;
ijj
~
m •
o
<r
a.
- - - - h- Q.O.i..-oo ••• _ 0.0
... - ........ "''''''' ... a.•. l.·Q.O ... ·oo
-- - - - .. -0.0." -1.0 .... -0.0
- - - _ .•• -oO.L.- OO, M-O.
o 10 20 30
TIME. SECONOS
(a)
o
~ ~,----------------------------~
r,
(:.
~ ~ I
w
0 0 j f \
• _0
I-
............ -.. -.. a.- 0.0 . ••..-0.0

.J - - - - b· .... 00
ijj ~'.i 0.0..... 0..0
<
~
<r
.,
0 -- - - - •• -0.0 ... · ' 0,.,.·00
- - - _ .•• ·00 ... . 00, ... ·0,.
It
0
0 '0 20 30
T.ME SECONOS
Figure 3.21 Transient finite element results for various initial conditions;
n=1, '=0.0, w=1, 8 0 =.12, A=1, y=~=.5, a=1/21. (a) cumulative
probability of failure (b) probability density function
71
- - - - ... · 0 0 .•• - OO. r.- 0 0

... . . - .- .. _.. ... o.•. i.· O'O,l.· OO
... _ - - - •• · 0.0.1.· 10 ... . - 0 . 0
- - - _ . ... - OO. Lo- OO. r..- O 4
o
o '0 20 :30 "0
T ME . SECONDS
(a )
- - - - a.- o.O. i..OO.h- OO

............... - ... . . · O • i.
. ·O'O..l .· O'O
... - - - - • • - 0.0.1. - 10.z .- 00
- - - _ · ... ·OO. i.. · OO. a.. - O ..
o lC ~o :30 "0
T' .... E. SECONDS
( b)
n=l, C=O.08, w=l, 50 =.12, A=l, y=~=.5, a=1/21. (a) cumulative
72
- - - - 16-0..0.; . -00.,. · 00
--- .. - ........ ... · 0.•. 1.· 0.0 .... · 00
- - - - - .. · a.o ... · .o ... · oo
- - - - ... - 00, .. - 00, ... - 0"
o 10 20 ,)0
TO M E SECONDS
(a)
~ I~0
VI 0 I'
• " 1-1
o )'
- - - - .. · O'O.i. · o.O ... . · OO

...... -_ .. - - II.• - o.•.i.- 0.0 ... . - 00
-- - - - • • · 0.0 .... • ..0.1.· 00
~ - - - - " .- OO.i.- O'O,I.- O "
.....
-.::::-
o 10 20 30 <0
TI M E SECO N OS
( b)
n=2, ~=O.O, w=1, 5 0 =.12, A=1, y=~=.5, a=1/21. (a) cumulative
73
addition, the characteristic oscillations which occur in the density function
for the linear oscillator at an interval of n/w are also present in the
density function of the hysteretic oscillator [31].
Figures 3.24a and 3.24b depict the cumulative probability of failure and
the probability density functions, respectively, for two values of the
hysteretic exponent. Examining Figure 3.2Sb it is seen that the tails of the
density functions are again nearly identical.
Finally, the distribution and density functions for the four values of the
bound in the hysteretic variable direction are given in Figures 3.26a and
3.26b, respectively.
74
- - - - ( - 000
---- - --- ( - 0 0 1
·- ---(-OOl
- - - - - ( - 00·
- - - - ( - 008
o 10 20 ;)0
TI""E SECONDS
(a)
~
iii
z
W 0
----t - 000
...,.:;
0" ·_·_---- t-oo l
. -- - - t - OOZ
- - - - - ( - 00.
iii" - - - - ( - 001
~N
o
J:
II.
o
o 10
'ME SEeo '0
(b)
Figure 3.24 Transient finite element results for various values of the
normalized damping ratio; quiescent initial conditions; n=I,
w=I, 5 0 =.12, A=I, y=~=.5, a=1/2l. (a) cumulative probability of
failure (b) probability density function
75
:[
o D _
...;.J
~
•
ill •
o
Ok
II.
- - - 0"
-----w-,., _2
o 20 3) "0
"'E, SECONDS
(a)
- - - 0"
------·" -2
o
o '0 20 30
• ME SECONDS
(b)
Figure 3.25 Transient finite element results for n=l and n=2; quiescent
initial conditions; C=O.O, w=l, So=.12, A=l, y=~=.5, a=1/21.
function
76
--- 0-'0
••. - . . . 0 - 0..
- --- 0 - 01
---- 0 - 0'
o
o '0 20
"'E. SECONOS
( )
o
o
- - - 0-10
....... --- D-o..
- - - - 0 - 01
----0 - 0
Figure 3.26 Transient finite element results for various widths of the
absorbing bound in the hysteretic variable direction; n=1,
~=O.O, w=l, 50 =.12, A=l, y=~=.5, a=1/21. (a) cumulative
atAPTER IV
VALIDATION OF RESULTS
A. DEMONSTRATION OF THE CONSISTENCY BETWEEN THE STEADY STATE AND TRANSIENT

FIRST PASSAGE FAILURE
Given the cumulative distribution function of oscillator reliability R,
the computation of the ordinary moments of time to first passage failure can be
easily calculated by Equation 2.30. The inverse problem, calculation of the
cumulative probability distribution function given the ordinary moments of the
distribution, is a much more formidable task and will be addressed in Chapter
V. In this section, however, the comparison of the ordinary moments of first
passage time found in Chapter III by directly solving the steady state
Pontriagin-Vitt equation will be compared with those found by using Equation
2.29 in conjunction with the transient solution of the first passage problem.-
Equation 2.29 can be approximated by
(4.1)
where R is the cummulative distribution function of oscillator reliability.
Thus, using Equation 4.1 in conjunction with the reliability functions found in
Chapter III by direct solution of the initial-boundary value problem given in
Equation 2.20, one can determine if there is consistency between the
formulation and solution techniques presented in Chapter III. Recall from
Chapter III that the generalized Pontriagin-Vitt equation is a steady state
problem requiring only a simple inversion of the coefficient matrix. Thus,
assuming an adequate mesh, good accuracy is expected. The transient solution
has to be stepped through time numerically, and thus both the mesh and time
step must be sufficiently refined. Table 4.1 gives a tabulation of the
ordinary moments calculated by both methods along with a percent deviation from
78
Initial
Initial Initial Hysteretic
Hysteretic Normalized Z-Bound Displacement Velocity Variable T(l) (sec) T(2) (oec 2 )
Exponent, n Damping, C D Xo Xo '0 [% deviation] [% deviation]
0.0 1.0 0.0 0.0 0.0 8.0246 102.36

[- 0.4] [- 1.7]
0.0 1.0 0.8 0.0 0.0 7-.3335 89.833

[- 0.4] [- 1.7]
0.0 1.0 0.0 1.0 0.0 6.6433 81.042

[- 0.4] [- 1.8]
0.0 1.0 0.0 0.0 0.6 6.9522 83.524

[- 0.4] [- 1.7]
0.01 1.0 0.0 0.0 0.0 8.2986 IOQ.82

[- 0.6] [- 2.3]
0.08 1.0 0.0 0.0 0.0 10.463 175.81

[- 2.9] [- 9.3]
0.0 1.0 0.0 0.0 0.0 8.7265 117.43

[- 0.5] [- 2.2]
0.0 0.9 0.0 0.0 0.0 7.4737 85.485

[- 0.1] [- 0.7]
0.0 0.7 0.0 0.0 0.0 4.1325 25.714

[+ 0.01] [+ 0.01]
0.0 0.5 0.0 0.0 0.0 2.3942 8.3274

[+ 0.02] [+ 0.02]
Table 4.1 First and second ordinary moments of time to first passage of the
hysteretic oscillator computed from the reliability function and
the deviation from the direct solution of the generalized
Pontriagin-Vitt equation; w=l, So=.12, A=l, y=~=.5, a=1/21
79
the moments found by direct solution of the generalized Pontriagin-Vitt
equation. As can be seen, the agreement is excellent, with no more than 2.9%
deviation in T(I) and 9.3% deviation in T(2) at any point investigated. As
expected, though, there are some numerical difficulties when near the
boundaries in the solution. An internal consistency in the formulation and
solution is thus demonstrated. A need to verify the solution via digital
simulation of the failure process must still be addressed.
B. MONTE CARLO SIMULATION OF THE FAILURE PROCESS
In order to demonstrate the accuracy of the finite element method as
applied to the first passage problem for hysteretic systems, the failure
process was simulated by Monte Carlo methods. Monte Carlo simulation has been
used for over twenty years to investigate the first passage behavior of
dynamical systems. Crandall, et al. [32] was one of the first to address
simulation of first passage failure processes via high speed digital
c~mputers. In this early investigation, the SDOF linear oscillator is
subjected to a psuedo white noise excitation. The equations of motion are
integrated exactly on the computer, and the statistics of the time until the
oscillator collides with the absorbing boundaries are collected. From this, it
can be seen that there are three basic parts of the Monte Carlo simulation:
the generation of the Gaussian white noise excitation; the integration of the
equations of motion; and the collection of the statistics of the failure
process.
A psuedo Gaussian white noise excitation can be modeled as a sequence of
rectangular pulses of equal width with the signed area of each pulse being a
zero mean Gaussian random variable. A typical realization of this excitation
is portrayed in Figure 4.1. The spectral density of the excitation is shown in

80
••
N(t)
0-.
I I
I I
I I
I
I
--.J
I
I ~
I I I t
I I
b-, I
6-.-J I
I
I
I I
I
6-J
I
I
<W
I
b-J
Figure 4.l Sample function of the psuedo white noise excitation used in the
Monte Carlo simulation
81
Appendix III to be
s(w) (4.2)
indicating that the spectral content of the psuedo white noise approaches a
true white noise as the pulse width 6t approaches zero. Thus, depending upon
the response characteristics of the system under consideration, 6t should
be chosen sufficiently small such that the frequency content of the
excitation is constant across the bandwidth of the response. Crandall, et al.
[32] gave a suggested maximum pulse width for simulation of the response of the
linear oscillator to be
1t
6t = lOw 4.3
n
when performing Monte Carlo simulation. A ~eneral rule for the pulse width
when simulating the hysteretic system is more difficult to ohtain due to the
f~ct that the transfer function of the response shifts and changes shape when
the magnitude of the excitation changes [20]. One must, in general, perform
several refinements of the time step in order to ensure convergence of the
simulation. This, too, is often difficult to assess due to statistical
variations. The equations of motion can now be integrated in time in order to
obtain the oscillator response and failure statistics. The equations of motion
for the linear oscillator can be integrated exactly; however, the nonlinear
equations of motion for the hysteretic oscillator cannot and must be integrated
numerically.
Numerous numerical schemes are available to integrate the equations of
motion for the hysteretic oscillator. A versatile self-starting constant time
stepping scheme is the fourth order Runge-Kutta algorithm. This algorithm is

82
used for systems of first order differential equations, both linear and
nonlinear, and is therefore well suited for the integration of the equations
describing the the temporal behavior of the hysteretic oscillator. In
addition, the representation of the psuedo white noise as a sequence of
rectangular pulses gives a constant force across each time step, thus
simplifying the numerical integration. Finally, the error in the Runge-Kutta
scheme is of order (l',t)5 [20].
At each step in the integration, the response must be checked to determine
whether or not it has passed out of the prescribed "safe" region. Each time
that the response leaves the "safe" domain, the time at which it exits is
recorded, the oscillator's state is reset to its initial conditions and the
simulation is restarted. When a sufficient number of realizations has been
collected, the Monte Carlo simulation is terminated. A sufficient sample size
can be determined by invoking the central limit theorem which states that the
distribution of the sample means of a population approaches a Gaussian
distribution as the number of sample means collected increases, regardless of
the distribution of the parent population [1]. Thus a 95% confidence interval
can be determined for the population mean ~ and is given by
~ ± 1.96 .L (4.4)
/j;"
where s is the population standard deviation and p is the sample size.
Finally, depending on the acceptable relative error, one can estimate the
required sample size.
The three stages of Monte Carlo simulation of the failure process for the
SDOF oscillator employing the modified Bouc hysteresis model have been
implemented in an efficient Fortran computer program used to verify the finite
element solution [20].

83
c. COMPARISON OF THE FINITE ELEMENT RESULTS WITH THE SIMULATION
The Monte Carlo methon described in the previous section is used in this
section to demonstrate the accuracy of the Petrov-Galerkin finite element
method applied to the solution of the first passage prol)lem for the hysteretic
oscillator. The simulation was performed for several sets of initial
conditions in order that the solutions be verified over the entire phase space
of initial conditions. It shouln be remembered that the solution is symmetric
with respect to the origin; thus each point can be reflected into its
respective octant in the phase space to verify other points in the solution.
In addition, ten thousand realizations were used so that accurate comparisons
could be made. ~ecalling Equation 4.5 and using the sample mean and variance
found from the simulation to approximate the population mean and variance, the
95% confidence interval for the mean using ten thousand realizations is
approximately ±1.5% of the mean. Tables 4.2 and 4.3 compare the first six
moments of first passage time obtained by direct solution of the generalized
Pontriagin-Vitt equati.on to those obtained by Monte Carlo simlllation. Table
4.2 presents a comparison for several sets of initial conditions in one
particular solution, while Table 4.3 verifies the solutions for all of the
oscillators examinen in Chapter III for quiescent initial conditions. It is
seen that the agreement is excellent although the discrepancy is larger for the
higher moments. It was desired to see if this error in the higher moments is
in the finite element solution or is simply due to statistical variation in the
simulation. Thus, a sample size of 100,000 was used to obtain the moments of
time to first passage for the case of quiescent initial conditions, n = 1,
c = 0.08 and D = 1. Whereas the deviation of the sixth moment was -29%
with 10,000 samples, the deviation was reduced to -5.6% when 100,000 samples
were taken. The deviation between the Monte Carlo simulation and the finite
lnlt la 1
lnltlal Inltlal Hysteretic
Displacement Velocity Variable r( I) r(2) T(3) r(-) r(» T(6)
(sec) (.ee 2 ) (see 3 ) (sec 4 ) (sec» (.ec 6 )
Xo Xo '0
F.E.H. 0.0 0.0 0.0 8.0S84 104.21 1940.4 0.47692EOS 0.14069E07 0.53653E08
H.C.S. 8.IOS9 l05.34 1971.7 0.48543E05 0.l4694E07 O.5l917E08
% Deviation -0.6 - l.l l.6 -l.8 -0.6 +3.3
F.E.H. 0.8 0.0 O.U 7.3623 9l.409 1673.6 0.40874E05 0.l2492E07 D.45845E08
H.C.S. 7.3307 91.l34 l695.5 O.42846E05 .13638E07 0.51284E08
% Deviation +0.4 + 0.3 1.3 -4.6 -8.4 -lO.6
F.E.H. 0.0 1.0 0.0 6.6696 82.486 lS23.4 0.37372W5 O.ll44lE07 0.420llE08
H.C.S. 6.7337 83.820 l5S2.2 0.37685E05 O.lL090E07 C.37427E08
% Deviation -l.O - 1.6 1.9 -0.8 +3.2 +12.2
"" F.E.H. 0.0 0.0 0.6 6.9790 84.992 1554.9 0.38026E05 0.ll630E07 0.42688E08
!Xl H.C.S. 6.9175 83.991 1531.3 0.36976EOS 0.10951E07 0.37820E08
% Deviation +0.9 + 1.2 + 1.5 +2.8 +6.2 +12.9
F.E.H. 0.8 1.0 0.6 6.1162 74.677 1373.1 0.37372EOS O.10287E07 0.37768E08
H.C.S. 6.1474 75.591 1394.7 0.37396EOS 0.99643E06 0.33873E08
% Deviation -0.5 - 1.2 1.5 -D. I +3.2 +1l.5
Table 4.2 Comparison of the direct solution of the generalized Pontriagin
-Vitt equation with Monte Carlo si~ulation for various initial
conditions; n=l, C=O, w=l, 80 =.12, A=l, y=~=.5, a=1/21 (10,000
realizations)
85
. ..
, IU Till TI I TC\) Tho'
Hqr ... tlu4 Z·lovnd Til )
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( . . ~l) (uc"', ( .:\}
(.il!c) ( •• .:1 )
CIIL"nf'M, O.. ~II'I. (
O.H609,,,tl) U.I b09t.,d1 O. \}b\)t.Ofi

'.1:.111. 0. 0 1. 0 a.QU-" I . 11 \'9"0 ."
0." \ 1EO\ 1').I .. b U:ul O.)L "H7 l}
,.tUS IOI.l. 1911.7
N. C. 5.
t ",\,uIDn - o. - 1.1 I.' I.a ".0 l.l
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0 , \\'11£11\ O. IIIIIt t:01 I). btl., , H.O~
,.0 !.14~Z 112.11 I11b1 .
P.t.toI . 0.0' 11'91 . , 0 .11011 0\ O.IJ1U[nI 1'.b:lO'fU!OIl
1.11\9 til . '9b
III.C.S.
0.,,1 ., tOft - 0." - 0.\ o. 0.1 I.a Itl."
•
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- O.Il! II. )).1)
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'.£ .... 0.0 0 .' ) . )1 I flo.9'" '\'\1.21
luI
-
1 let'l'b 1).b"~tII
,.) ,1 "".1j ) .. 0 .11 0 . 11)•• '1..0\ fl .
.\.
.... C.5.
l o.~I.II~ 0 .0 - 1.1 '.1 - lO . 11.
, ..". If. In
, ..
.. ,
).QUI 1).01140 7)). }) 1 8.1 V.I I'IOql:. IQ
0.0 0.1
I). 'l~U 90.UIS 111. 10 Sa .. . K 0 .1 ·,,1
~. C .II).
).U'\1«11
I•
t ,Ia( lol"! - n.l _ 0.1 1.1 1. 1
&\H . l
n.o iUo . O)
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I.
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t Dnla'l~
Table 4.3 Comparison of the direct solution of the generalized Pontriagin

-Vitt equation with Monte Carlo simulation for quiescent initial
conditions; w=1, 50 =.12, A=1, y=~=.S, a=1/21, (10,000
realizations)
86
element solution decreased in a similar manner for the lower moments. It
should be noted here that each Monte Carlo simulation provides moment and
reliability estimates for only a single set of initial conditions while the
finite element algorithm provides solution for all possibl~ initial conditions
in the "safe" domain.
The sample probability density and cumulative distribution functions were
also calculated from the simulation data and are comp1red with the transient
finite element results in Figures 4.2-4.~. ExcelLent agreement can be seen
over the entire life of the osciLlator. Figures 4.3a,h and 4.4a,b correspond
to the same oscillator using sample sizes of 10,000 and 100,000,
respectively. Thus, one can surmise from Figure 4.4b that the Monte Carlo
simulation wilL continue to approach the finite element results as the sample
size increases. In addition, the simulation data presented in Figures 4.5b and
4.6b verify the characteristic oscillatory behavior of the density function
which was predicted in Chapter III by the finite element solution.

87
...
o
~
J
L
o
a:
a.
o 10 20 30
Tl .... E. SECONDS
( )
o
iii
e
i~
00
;:
o
-
z
... .,
~
~ ....
iii
z
wo
o iii
~
J
iii.,
~
oa:
a.
o 10 30 "0
( b)
Figure 4.2 Comparison of the finite element results with Monte Carlo
simulation for quiescent initial conditions; n=l, 1;=0.0, w=l,
So=.12, A=I, y=~=.5, a=I/21 (10,000 realizations).
function
88
0.;
a:
3 III
~
10.
0
00
~
.
::;
iii
~
0
a:Q.
0
0 20 30 "0
T1ME. SECONDS
(~)
0
w
.~
1110
~
io
Q III
t-
O
~o
~
iii
..
~O
D ..
~.J
iii 0
~
0
"
a:Q.
0
0 10 20 30 "0
TIME. SECONDS
(b)
Fi g ur e 4.1 Com pari so n o f the f ini te e l e me nt r es ul t s w ith Mont e Car l o

s imu l a ti on f or quiesce nt i nit ia l co nd itio ns; n=1, C=0 . 08 , w=1,
So =.1 2 , A=l, y =B=. 5 , a=1 /2 1 ( 10 , 000 r eal i za t io ns ).
( a) cumul ative pr oba hilit y of f ailu re (b) pro ba hi l ity de ns it y
f unc t io n
89
.;
...
It
3;;: III
0
10
~
.
:J
iii
~
0
It
II.
20 o "0
TIME. SECONDS
(a)
o
o '0 20 ~O "0
TIME. SECONDS
(b)
simulation for quiescent initial conditions; n=l, s=0.08, w=l,
So=.12, A=l, y=~=.5, a=1/21 (100,000 realizations).
(a) cumulative probability of failure (b) probahility density
function
90
...
I[
:3 III
...<
II.
0
.
~..J
iii
«
<II •
0
I[
Q.
0
0 40
TIME. SECONDS
(a)
"!
N
(,
'"VI 0
.
~ -
0
~
iii 0
z on
'"0
~
::l on
iii N
~
0
I[
Q.
0
0 '0 20 3D
T I ME. SECONDS
(b)
simulation for quiescent initial conditions; n=2, ~=O.O, w=l,
So=.12, A=l, y=~=.5, a=1/21 (10,000 realizations).
function
91
10 1~ 20 2~ 0
TIME. SECONDS
(11)
0
~
...0
CII.,
~
0
·0
00
;:
u
-
z
~ .,
l: ..
iii
z
WO
o ., .
l:
!~
0
a::
a.
0
0 10 1~ 20 2~ 30
TIME. SECONDS
(b)
Figure 4.6 Comparison of the finite element results lo/ith Monte Carlo
simulation for quiescent initial conditions; n=l, G=O.O, w=l,
So=.12, A=l, y=~=.5, a=1/21, 0=.9, (10,000 reali~ations).
function
92
~
J
iii
•
m·
o
cr
a.
o o 20
TI .... E. SECONDS
(a)
~:~
•
o
0/1
:O[
·0
:>0
0/1
~ ~
iii
301
CO
~
J
iii 0
~ 0/1
o
It
a.
o
o 20
( b)
simulation for quiescent initial conditions; n=l, C=O.O, w=l,
So=.12, A=I, y=~=.5, a=1/21, 0=.7, (10,000 realizations).
function
93
2 ~ ~O 7~ 100 12 ~
T.... E. SECONDS
o
o
...u
VlO
• 0
0'"
~
VI
~ 0
DO
N
t:
;;10
III .
0( 0
III -
0
a:
II.
0
0 2.~ so 7S 100
T'JlAE. SECONDS
(b)
simulation for quie s cent initial conditions; n=l, ~~O.O, w=l,
5 0 =.12, A=l, y=~=.5, a=1/21, 0=.5, (10,000 realizations).
function
CHAPTER V
ESTIMATING OSCILLATOR RELIABILTY OSING ORDINARY MOMENTS
A. THE MAXIMUM ENTROPY DISTRIBUTIONS
Often it is of interest to obtain estimates of the probability density
function and cumulative distribution function when only the ordinary or central
moments of a distribution are available. This can be a difficult task,
however. The inverse problem of finding the moments of a distribution wherein
the distrihution is prescrihed is relatively simple and has been presented in
Chapter IV. In this chapter, a technique reported by Dowson and Wragg [35,
130] which consists of maximizing the entropy of the system while satisfying
moment constraints is employed to determine an approximate distribution.
An absolutely continuous distribution with probability density function
p(x) defined on the interval [a,b] has an associated entropy H given by
b
H - f p(x) log p(x)dx (5.1)
a
When the first m moments of a distribution
T(O) (5.2)
T(r)
b
f x
r
p(x)dx , r = 1, 2, ... , m (5.3)
a
are given, the parent distribution can he approximated by choosing the density
function p(x) such that the entropy H is maximized while the moment con-
straints are still satisfied. In this context, the entropy can be interpreted
as an objective measure of the uncertainty in the distribution. Thus, for a
fixed interval [a,b] the distribution with the largest entropy is uniform.
Concentration of probability in anyone region tends to decrease the entropy of
the system. It is, of course, well known that for two prescribed moments T(l)
95
and T(2), the unique maximum entropy distribution on the interval (-00,00) is the
standard normal distribution. However, the distribution of first passage times
is defined over the interval [0,00). Thus further discussion will be limited to
this interval.
Formal maximization of Equation 5.1 subject to the moment constraints in
Equation 5.2 and 5.3 can be achieved using the method of Lagrange multipliers.
This maximization leads to a density function of the form
m
p(x) exp(- Z (5.4)
n=O
where the coefficients an are chosen to satisfy the moment constraints
m
f x
r
exp(- I a
n
xn)dx = T(r) , r 0, 1 , ... , m (5.5)
0 n=O
Thus i f one moment is prescribed on the open interval [0,00), the exponential
distribution is obtained, and the density function is easily seen to be
uniquely given by
p(x) =:hr exp(-

T
:h-r
T
) (5.6)
for all T(l) which are in the interval of definition.
In a theorem by Dowson and Wragg [34], however, it was stated that when
two moment constraints are prescribed, the maximum entropy distribution on
[0,00] can only be ohtained when
(5.7)
This has not proven to be a serious limitation, although the X2 distribution
with one degree of freedom provides an example of a distribution which violates
this criterion. If Equation 5.7 is rewritten in terms of central rather than
ordinary moments, insight into this restriction is gained. Equation 5.7

96
becomes
o < s < T( 1) (5.8)
where cr is the standard deviation of the distribution and is given by
J (x - T(l»2 p(x)dx (5.9)

o
Thus, as long as the mean of the distribution is larger than the standard
deviation, a unique maximum entropy distribution on [0,"'] can be obtained. It
should be noted that for the special case of 2[T(l)]2 = T(2), or alternatively
s = T(l), the exponential distribution is obtained. The algorithm for
obtaining the coefficients ao ' al and a2 for the cnse {yhere a unique
distribution is guaranteed is derived in Reference [35] and presented in
Appendix IV. This is a relatively straightforward procedure, and computational
effort is minimal. Determining the coefficients in the maximum entropy
distribution, however, becomes increasingly more difficult as the number of
moment constraints increases.
There have been, to the author's knowledge, no uniqueness theorems proven
for the maximum entropy distribution when the number of moments prescribed for
the distribution is greater than two. In fact, the problem reduces to the
difficult task of finding the solution to a set of nonlinear equations by
numerical means. These nonlinear equations are derived from Equation 5.5 and
are given by
m
~h)[
J exp(- 1: a xn)dx]
n
(5.10)
0 n=l
m
J xr exp(- 1: a xn)dx
n
r = 1,2, ••• ,m
0 n=l
and have high gradients. The equations have been successfully solved by the
97
author for as many as six prescribed moments using the IMSL [46] routine
ZSPOW. The algorithm used in this routine is a variation of Newton's method
which takes precautions to avoid large step sizes. For each trial set of
coefficients a i ' the integrals in Equation 5.10 must be evaluated. This can
be done numerically in several ways. For this application the IMSL routine
DMLIN was used which uses a Gauss quadrature formula to evaluate the
integrals. Finally, when the solution to Equation 5.10 is obtained, the
normalization constant A can be obtained by
m
A 1/[ J exp( - Z (5.11)
o n=l
This algorithm will give the maximum entropy distribution, when i t exists, for
the prescribed moments. Due to overflow of the computer re~isters, this method
of solution to Equation 5.10 is not effective when the number of prescribed
moments becomes large. Further work should he conducted into algorithms which
can better handle this problem.
B. ESTIMATING RELIABILITY OF THE HYSTERETIC OSCILLATOR
As was discussed in Chapter III, solving for the moments of time to first
passage is computationally much simpler than solving directly for the relia-
bility of the hysteretic oscillator. It should also be reiterated that the
"stiffness" matrix ~ is not a function of the moment number; thus it must be
assemhled and factored only in obtaining the first moment. Higher moments can
then be found by simply reformulating the right hand side vector and performing
the forward and backward substitutions. This allows the computation of higher
moments at very minimal additional cost. For example, only 1.8% of the time
used to calculate the first moment was required for each subsequent moment. In
addition, the Monte Carlo simulation was shown to approach the finite element
98
solutioo for all momeots. Thus it is concluoed that the fioite element method
is a highly accurate ano efficient tool to obtain moments of time to first
passage. Once the moments have been obtained, the distrihutioo and oensity
functions cao he estimated using the maximum entropy distr"ibutions oeseribed in
the previous section.
The first ordinary moment T(l) and the first six normalized ordinary
moments TN(r) of time to first passage of two representative oscillators are
presented for Quiescent initial conditions in Table 5.1. The normalization of
these moments is given by
(5.12)
Thus, it is seen that i f the normalized second moment is less than two, the
criterion in Equation 5.7 is immediately satisfied, and a unique two moment
maximum entropy distribution can he defined. In addition, when the second
normalized moment appoaches two, the simple exponential distribution will more
closely approximate the first passage distribution.
Maximum entropy distrihutions were found for two representative
oscillators whose moments appear in Table 5.1. The coefficients foun(1 for the
distrihutions of these systems are presenteo in Tables 5.2 and 5.1. Distribu-
t ions were found for the case of one, two, four ano s 1><: prescri bed moments.
Figures 5.1a,h and 5.2a,b depict (a) the reliahility functions and (b) the
probabi Uty density functions for the exalnple systems. In each of these
figures, the distribution obtained by directly integrating the hackward
equation hy the finite element method is compared to the maximum entropy
distribution. Excellent agreement is demonstrated.

99
Normalized Damping
0.00 0.08
r(l)
N
1.0 1.0
r(2) 1.6048
N 1.6683
T(3) 3.7080 4.0506

N
T(4) 1 1• 3 III 13.023

N
T(5) 42.991 52.241

N
r(6) 195.93 251.%

N
TO) 8.0584 10.777
Table 5.1 Normalized moments of the hysteret ic oscillator; n=l, w=l, 50 =.12,
A=l, y=P=.5, a=1/21, quiescent initial conditions
T( 1) exp (-aD) T(l) a 1 [T( 1)]2 a 2 [T(I)]3 a3 [T(I)J 4 a4 [T( 1 ) J'i a [TC 1)]6 ali
5
m=1 1.0 1.0
m=2 0.67730 0.14374 0.26678
m=4 0.33680 -2.6174 2.7271 -0.69856 0.58230

0
m=6 0.16676 -6.7973 9.3448 -4.8057 1.1983 -0.14097 0.0062535 0
Table 5.2 Coefficien~s for the maximum entropy distributions for the
hysteretic oscillator; n=I, ~=O.O, w=I, 8 0 =.12, A=I, y=~=.5,
a=1/2l, quiescent initial conditions
T(l} exp (-a o ) T(l) al [T( 1»)2 a2 [T(l»)3 a3 [T(I»)4 a4 [T(l»)5 a5 [T(l»)6 a6
m~1 1.0 1.0
m2
3 0.76321 0.41684 0.17319
m-3 0.49816. -1.2464 1.5622 -0.36128 0.027080
~
0 m4
3 0.25880 -4.9313 6.9560 -3.4573 0.82737 -0.093002 0.0039303
Table 5.3 Coefficients of the maximum entropy distributions for the
hysteretic oscillator; n=l, C=O.08, w=l, 50 =.12, A=l, y=~=.5,
a=1/21, quiescent initial conditions
102
--
.o
:...
.II
•
JJ •
o ----
- ...
- - - - r [ oo
. ·Z
,
:r
a
- - - - - fI'I -4
----- - - - rtI - f
20
- "E E"'(') OS
(a)
...u
<II
-
- - - - r Ut
---- . -2
. .,
----- . -.-
--------- '" -.
o
o
To .... e: SECONDS
(h)
Figure 5.1 Comparison of the finite element results with the maximum
entropy distributions for quiescent initial conditions; n-I,
'-0.0, 00-1, So-.I2, A=I, y-~-.5, a=1/21. (a) cumulative
103
"
0 [
I
"'
'3" ...
•
OJ
~
"-
0
..
~
~
- - - - f l ..
<
III • - .. ~ I
0 - - - - . - ;l
II:
a. - - - - - Il10-4
--------. ,. . ,
o 10 20 3D "0
roME: SECO .. OS
(a)
o
~I
- - - - f l ..
..
- .. - I
- - - - . -l
-----""' -4
--- ..... _--. ,..
20
• ~'E. SECD OS
(b)
Figure 5.2 Comparison of the finite element results with the maximum
('=0.08, w=l, So=.12, A=l, y=~=.5, a=1/21. (a) cumulati.ve
probability of failure (b) probabi.lity density function
104
Thus maximum entropy distributions Ilsed in conjunction with moment
solutions by the finite element method can be an efficient, effective means of
estimating the first passage reliability of the hysteretic system. However, as
the distribution being approximated departs from the exponential distribution,
an increasing number of moments must be prescribed in order to ohtain an
accurate estimate of the probahility of failure. This departure is increased
as the hounds on the safe domain are decreased.

CHAPTER VI
CONCLUSIONS AND RECOMMENDATIONS
The first passage problem for the single degree-of-freedom oscillator
incorporating the modified Bouc hysteresis model has been solved by a Petrov-
Galerkin finite element method. Solutions have been obtained for the first
six ordinary moments of first passage time and for the cumulative distribution
and probability density functions. Results have been presented for several
hysteretic oscillators, and the accuracy of these results has been
demonstrated by extensive Monte Carlo simulation. Finally, an effective
method to estimate the reliability of a system having several prescribed
moments has been examined. In the absence of an analytical solution, these
results are the most accurate reported to date.
It has been shown that the expected life of the oscillator is increased
with the addition of viscous damping for all cases studied. The effect of
changing the damping is sharpened by increasing the hysteretic expone,lt.
Indications that the use of the bilinear hysteretic model will provide
nonconservative estimates for the expected life of an initially quiescent
hysteretic system have been given. However, conservative results may be found
when using the bilinear model if a large nonzero initial displacement is
prescribed. As expected, decreasing the maximum allowable hysteretic force
decreases the expected life of the structure. In addition, the effect of
nonzero initial displacement is an increased rate of failure, tending toward
infant mortality as the starting condition approaches the boundary. Similar
behavior is found when an initial velocity is imposed on the structure;
however, the sensitivity to initial velocity was found to be significantly
greater than that for initial displacement. Finally, a nonzero initial value
of the hysteretic force, perhaps due to residual loading, also results in an

106
increased failure rate, although with less impact than elther the initial
displacement or velocity.
It should be remembered that each finite element solution encompasses the
entire three-dimensional safe domain. Thus, the first passage behavi0r is
known for all combinations of the initial displacement, initial velocity, and
the initial hysteretic variable. This allows one to readily examine the
effects of initial conditions. To obtain this information by Honte Carlo
simulation would require thousands of analyses, whereas all of this
information is obtained in a single finite element solution.
During the course of the author's ,;tudy at the University of Illinois,
computational capabilities have grown rapidly. Whereas in the early periods
of this research solution of the first passage problem for the hysteretic
oscillator was computationally impossible, by the completion of the work not
only was solution obtained, but the computer processor time required to
calculate six ordinary moments of first passage time over the entire phase
space of initial conditions was reduced to less than five minutes. Thus,
while in-core memory limits of the facilities at the University have been
reached, computing machines exist which halTe several orders of magnitude of
this memory capaci ty. These machines wi 11 allow many new problems to be
examined in which prior solution has been impossible.
All calculations reported herein were completed on machines which are
operated by the Compnting SerlTi.ces Office at the University of [lHnois at
Urbana-Champaign. The finite element mesh used to compute the first passage
statistics found herein contained Rl77 nodes, with one degree-of-freedom per
nude. Thus, the solution required large computational effurt. However, the
following points 'lrl' pertinent in this rt·,r;arti:

107
(i) The equations for the boundary nodes, amounting to 1429 degrees-
of-freedom, are eliminated prior to solution.
(ii) There is a symmetry with respect to the origin that allows
solution of the problem using half the mesh. Thus, only 3375
degrees-of-freedom were required for solution of the full problem.
(iii ) The "stiffness" matrix is highly banded with a bandwidth of only
471.
(iv) For the steady state analysis, the "stiffness" matrix is only
factored once; each successive statistical moment requires only
calculation of the new right hand side from the previous solution
and subsequent forward and backward substitution. This is an
extremely cost effective calculation when one considers the amount
of information to be gained in a single analysis.
(v) For the transient analysis, the matrices are constant as long as
the integration time step is not changed. Thus after the first
integration, only a matrix multiplication and subsequent forward
and backward substitution are required to obtain the solution at
each subsequent time step.
To obtain six statistical moments on an IBM-3081 required 270 cp seconds.
Alternatively, a Monte Carlo simulation for a single set of initial conditions
required 420 cp seconds to obtain 10,000 samples for 6t = 0.025 seconds, C =
0.08 and n = 2. Many of these analyses would need to be performed to
provide the information given by one solution by the finite element method.
The centred limit theorem has been applied to determine a confidence interval
for the mean time to failure using the simulation. If 10,000 samples are
computed, the <)5% confidence interval (for C = 0.0 n = 2) is ± 1.5% . For
1000 samples, the confidence interval for the mean is ± 4.7"1.. However, the
108
width of the confidence intervals for the higher moments increases rapidly as
the moment number increases. This trend was demonstrated in Chapter IV where
100,000 samples were required to obtain accurate estimates for the sixth
ordinary moment.
Obtaining the density and reliability functions directly by solution of
the transient problem is more costly than the moment calculations. To obtain
the solution over the entire phase space of initial conditions required 2130
cp seconds. Thus, if interest is restricted to a particular set of initial
conditions, the Monte Carlo simulation may be a more economical method.
However, if only five sets of initial conditions are to be examined with high
accuracy, the finite element solution is more attractive.
Recommendations for further study include:
(a) Solution of the first passage problem for the simple hysteretic
oscillator subjected to nonstationary broadband excitation.
(b) Solution of the first passage problem for a linear oscillator subjected
to nonstationary excitation which has been processed by a low pass
filter.
(c) Solution of the first passage prublem for the two degree-of-freedom
linear system. This requires four spatial dimensions and will be
computationally feasible in the near future. It should be noted that an
inportant subset of this problem is the SDOF oscilator subjected to
filtered excitation.
(d) Examination of the fati8ue problem using the modified Bouc hysteresis
model with the addition of a fourth state variable. The fourth state
variable will be an indication of the accumulated damage to the
structure.
APPENDIX I
DERIVATE MOMENTS
The derivate moments are defined by [110]
a.(x.,t)
J
= ~imO
Llt~
~E{[Y.(t
LIt J
+ /:;t) - Y.(t)]IY(t)
J ~
=:d (1.1)
a . . (x.,t) = ;imO
1J Llt~
+,..
LIt
E{[Y.(t
1
+ /:;t)- Y.(t)][Y.(t + l'>t)- Y.(t)]IY(t) =.l}(1.2)
1 J J ~
The state equations for the hysteretic oscillator are given by
.
Y1 Y2
.
Y2 - N(t) - 2[,wY 2 - aw 2 y
1
(1 - a)w Y3
2
(1.3)
Y3 = AY 2 - yl y 2 1I Y3 1(n-l) Y3 - ~Y21Y31n
where
Yl X
Y2 X (1.4)
Now, assuming that the state variables change state in a continuous manner, it
can be written by integrating Equations 1.3 that
(I. 5)
2 t+/:;t ..
{- 2~WY2 - uw Y1 - (1 - U)W 2Y3 }/:;t - f N(~)d~ + O(/:;t 2 ) (1.6)
t
(1.7)
for /:;t sufficiently small. Here, /:;Y i

110
denotes a remainder whose magnitude is of an order of (~t)2. Substitllting
Equations 1.5-7 into Equations 1.1-2 and evaluating the limits, the derivate
moments can be calculated for the hysteretic oscillator as follows.
Determine at (X, t):
lim t { 2 }
~t~O xt Y2~t + O(~t )
(I.B)
t+M
J N(~)d~ + O(~t2)IY(t) y]
t
t+~t .. 2
J E[N(~)]d~ + O(~t )}
t
(1.9)
111
(1.10)
Determine all(~,t):
2 2 t+l'>t .. 2
aw Y j - (I - a)w- Y 3)1'It - f N(-t)d, + O(l'>t )} LX(t) = ~]
t
t+M
- (Y21'>t + 0(l'>t 2 » f E[N(t)]d, + Y21'>t 0(l'>t 2 ) +
t
(I.12)
112
-_ ~t+O
lim 1 Kt {
Y2( AY 2 - Y I Y2 II Y3 I (n-1 ) Y3 - ~Y2 I Y3 In )(~t) 2 +
(1.13)
a 22 (v,t) lim 1 E[{( 2'"';JY - aw 2y - (1 - a)w 2y )/':,t -

'" ~t+O ~t -" 2 1 '3
t+M .. 2 2
J N('t)d1: + O(~t )} Iy(t) y]
t
lim M
= M+O 1 {( - 2t;WY2 - aw 2Y - (1 - a)w 2Y3) 2-(M) 2 -
1
t+~t ..
2~t(- 2t;wY2 - aw 2Y1 - (1 - a) w2 Y3) f E [N (1: ) ] d1: +
t
t+M
2 J E[N(t)]d1: O(~t2) + [O(~t2)]2
t
t+~t t+~t
+ J J E[N(1:)N(E)]d1: dE}
t t
113
t+t.t t+t.t
lim 1 {
= t.t+O t.t J J 2nS 6('t - E)d't dE}
0
t t
t+t.t
lim 1 {
= t.t+O t.t J ZnS d't}
0
t
aZZ(:l" t) Z1tS (1.14)

0
Z t+t.t .. Z
(l - a)w Y3)t.t - J N('t)d't + O(t.t )} [{AY Z -
t
t+t.t
J E[N('t)]dd(AyZ - r!YZ!!Y3!(n-l)Y3 - 6YZ!y3!n}M + O(M Z )]
t
(1.15)
114
Determine ~33(Z,t):
-_lim
6t+O Kt 3 3
IIn2
1 {( AyZ - Y IY2 II Y l(n-1) Y - ~Y2 Y3) (6t) 2
(1.16)
Summarizing
o (1.8)
(1.9)
(I.I0)
i,j *2 (I.17)
ZnS (I.14)
o
APPENDIX II
DERIVATION OF THE FINITE ELEMENT MATRICES
Consider the general form of the three-dimensional convection-diffusion
equation defined over the region Q with boundary r
oq,
u - (II.I)
y oy
- u
z Oz
otj! + C otj!
at
+ Q o
with boundary conditions
(II.2)
oq,
kr an - -q 0 on r
q
(II.3)
and initial conditions
q,(x,y,z,O) = q,o(x,y,z) (II.4)
where the boundary r = rq, + r q • Defining
(II.S)
(II.6)
then Equation 11.1 can be rewritten in vector form as
v • ~ - ~ • Vq, + C ~ + Q O. (II.7)
Now it can be written that
J w{V • 2 - Q • vq, + C ~ldQ + Jr W[k r ~ - q]dr o (rr.8)

Q - t n
q
116
for any arbitrary weighting functions Wand W which are eel) continuous.
Making use of the chain rule for differentiation and the divergence theorem,
it is found that
I WV· ';l dQ (II.9a)

Q
- I ~W· ';ldQ + I W';l· n df • (II.9b)

Q f
Thus, substituting Equation II.9b into Equation 11.8, it is seen that
I {- vw • ':l + w(- ~ •
Q
(II.IO)
Since the functions W & Ware arbitrary, let W = - W so that the last two
integrals in Equation 11.10 become
I W':l • !J. df - I Wk oq, df +

f"Frl I Wq df
f f f
q q
I W(k x ~
x
oq, n + k
n x: + k y Oy y z ~z n z )df
fq+fq,
- If W(k
x ox
~ n x + ky ~ n + k ~
oy y Z oz
n
Z
)df
q
+ I Wq df
f
q
If
q,
W(k
x ox
~ n + k
x
oq, n + k ~ n )df +
y Oy y Z oz Z
If Wq df
q
I w~· ndf + If Wq df
q
(11.11)
fq, q
Substituting Equation 11.11 into 11.10, the weak form of the governing
differential equation is obtained and given by

117
I {- '!.Y • x + W(- .\;! • V<jJ + C o<jJ + O}dQ +

ot
Q
I Io/X • Qdr + I
r
Wq dr q 0 . (II.12)
r<jJ q
Now if we specify that the weighting function W must be identically zero on
the boundary r~, then it can be seen that
I Wx· ~dr~ =0 (II.l3)

r<jJ
and
I {~W. X + W(.\;! • ~lj! - C ~) }dQ = I \-lQdQ + J Wq dr (II.14)

Q Q r
Writing equation 11.14 explicitly, it is found that q
{OW k o<jJ + oW k o<jJ + oH k o<jJ + W (u olj! + u o<jJ +

IQ Ox xOx oy yOy ~ z ~ xOx yOy
U z
oW + C o<jJ)} dQ
~ Or I WQdQ + I Wq dr (II. 15)
Q r
q
If the domain Q is discretized in space by letting
EN. ( x , y , z )<jJ . (II.16)

j J J
and
where the Nj are linear shape functions, then Equation 11.15 can be written
as
OWi oN. oW. oN. OW i oN. oN. oN.

E[J {k J + k 1. _J + k J + W. (u ~ + u _J +
j Q x (5"X (5"X y oy- Oy z OZ" BZ 1. X ux Y oy
d<jJ.
~[IQ CW i Nj dQ]dt J = IQWiQdQ + Ir Wiqdr (II.I?)
q
Writing the previous equation in matrix form, it can be cast into a set of
equations of the form

118
(II.18)
where
OW i oN. oW. OW i oW. oN. oN.

I {k
x ~ ~
J + k 1
y ~ ~
+ k _ 1 _.1 + lol. (u .,.J. +
Z OZ OZ 1 X uX
Q
oN. oN.
u J + u ~zJ)}dQ , (II.19)
y oy z uz
(II.20)
and
bi = I W.QdQ + I W.q df • (II.2l)

Q J f J
q
Equation 11.18 may be further discretized in time via the Crank-Nicholson
numerical integration scheme to arrive at
(II.22)
Specifically for the first passage problem under study, Equation 2.20 may
be directly compared with Equation 11.1 to find that
kx kz = 0 (II.23)
ky 1tSo (II.24)
Ux - Y20 (II.2S)
2 2 (II.26)
uy 21;wY 20 + aw Ylo + (1 - a)w Y30
Uz I
Y Y20 II Y30 I(n-l) Y30 + ~Y201Y30In - AY20 (II.27)
Q 0 (II.28)
C =- (II.29)
q o on rq (II.30)
119
Thus, after transforming to isoparametric coordinates (~,n,A) the quantities
~,~ and ~ for the first passage problem are
1 1 1
1: f f f
N -1 -1 -1
e
1 1 1
- 1: f f f WiNj IJld~dndA (II.32)
N -l -l-l
e
(II.33)
where IJI is the determinant of the Jacobian matrix and N is the

e
number of elements in the mesh.
Considering the generalized Pontriagin-Vitt equation given in Equation
2.31 and making a direct comparison with Equation II.l, it is found that
Equations 11.23-27 are still applicable; however,now
C o (II.34)
Q rT( r-1) (II.35)
Thus the stiffness matrix ~ remains the same for either problem; however,
for the generalized Pontriagin-Vitt equation,
(11.36)
1 1 1
1: f f f W.N.T.(r-1)IJld~dndA (II.37)
N -1 -1 -l 1 J J
e
Finally, using an eight node isoparametric element with a 2 x 2 x 2
Gauss-Legendre integration scheme, the "stiffness" and "mass" matrices and the
120
"load" vector can be written as
8 8
[A E Nn(~k'~t'Ym)Y20 - y( E Nn(~k'~t'Ym)IY20 IY30 )
n=l n n=l n n
(II.38)
2 2 2
mij = E E E E HkHtHm{Wi(~k'~t'~m)Nj(~k'~t'~m)}IJI (II.39)
k=l t=l m=l
N
e
2 2 2
b i = E E E E HkHtHm{Wi(~k'~t'~m)Nj(!;k,TJt'~m)Tj(r-l)}IJI (II.40)
N k=l t=l m=l
e
where
Hk = 1.0 (II.41)
!;1 = ~l = ~1 -1/13 (II.42)
!;2 = ~2 = ~2 = 1/13 • (II.43)

APPENDIX III
DERIVATION OF SPECTRAL DENSITY FOR RECTANGULAR PULSE EXCITATION
Consider the pseudo white noise model depicted in Figure 111.1 in which
the phase shift 'a' is a random variable with probability density p(a), 0 ( a
(~t. Each of the rectangular pulses has a constant width, ~t, with the
height of each pulse being a statistically independent zero mean Gaussian
random variable with a constant variance, 0 2• Denoting the height of each
pulse as X(t), then
E[X(tI)X(t2)] = 0 if tl and t2 are not in the same interval (III.I)
and
E[X(tI)X(t2)] = 0 2 if tl and t2 are in same interval. (III.2)
Now, without loss of generality assume that tl (t2. Then a shift in the time
axis can be made as depicted in Figure 111.1 such that
(III.3)
If t z - ti ) ~t then E[X(tt)X(t2)] = 0 regardless of the value of 'a'.
Otherwise, there are two possibilities,
1) ti) ~t (III.4)
(III.5)
Recalling that the autocorrelation function for a process is given by

~t
R.,c(tI,t2) = E[X(tI)X(t2)] = f E[X(t I )X(t 2 )la]p(a)da (III.6)
o
then for case one given in Equation 111.4, it can be written that
(III.7)
(III.8)
o• (III.9)
122
x(t)
rI ~
--tilt r- 9"+
I
I
I
I
I
a ib-,
I I
I
I
I
I I I I I
I I I I I
--.J I I I
I
I I
I
I I
I I I I
I . I
~ tl~ I I I
I I I
~ I I b-J
&-..J
h =t l - (tl mod llt)
t = t -h
l
Figure III.l Sample function of the psuedo white noise excitation used in
the Monte Carlo simulation with the shifted time axis
123
Thus,
p(a)da
or
(III.IO)
where Fa is the cumulative distribution given by
t
f p(a)da (ilIoll)
o
For case two given in Equation 111.5, it can be seen that
E[X(t l )X(t 2 )lo " a < til 0 2 (III.12)
E[X(t l )X(t 2 )l t i " a < til 0 (III.13)
I
E[X(t l )X(t Z ) t2 "a<lItl 02 (III.14)
and thus,
t'
1 lit
Rx (t l ,t 2 ) {02 f p (a)da + 0
2
f p (a)da}
0 t'
2
or
(III. IS)
The autocorrelation function for the rectangular pulse excitation can be
written as
02{Fa(ti) - Fa (t'2 - lit)} t' ) l'.t

2
, t2 - t1 <l'>t
Rx (t l ' t 2 ) 02{F (t') + 1 - Fa (t 2 )} t' " l'.t t2 - t1 <lit (III.16)

a 1 2
0 t2 - t 1 ~ lit
124
If "a" is assumed to be uniformly distributed between 0 and L',t with
density and distribution functions given respectively by
p(a) __ {OI/L',t
otherwise
aiM
F (a) = {
a 0 otherwise
I
then the Rx (tl,t2) can be written as
a2{(ti/L',t) - (ti - L',t)/L',t}
= a2 {(t'lL',t) + I - t'lL',t} (III.I])

I 2
o
Letting 't
(III.18)
The spectral density of the autocorrelation function is given by
lin J Rx('t) cos w't d't • (III.19)

o
Finally
2
S (w) = L',ta [sin(WL', t /2)]2. (III.20)
x 2n wL',t!2
Letting
(III.21)
i t is seen that
s ( ) = S [sin(wL',t/2)]2
. x w 0 wM!2
125
and in the limit as ~t ~ 0, a Gaussian white noise excitation is obtained
which has a constant spectral density So.

APPENDIX IV
MAXIMUM ENTROPY DISTRIBUTION ALCyQRITHM
Here, consider an algorithm which will uniquely determine the maximum
entropy distribution on [0,00) having the first and second moments
prescribed. These moments must satisfy
(5.7)
The algorithm is [m):
2 _ B(x) B"(x)
1. Solve for x, (IV.1)
(B'(x))2
¢( t)
where B(x) (IV.2)
- iP(t)
¢(x) = _1_ exp(- x 2 /2) , (IV.3)

12n
x
iP(x) f 4>{y)dy, (IV.4)
<1>' (x) <1>2 (x)

B' (x) 1 - iP(x) + (1 - iP(t))2
, (IV.S)
<1>" (x) 34>{x}<l> , (x) 2<1>3(x)

B"(x) (1 - iP(x))
+ 2 + (1 - cp(x)) 3
, (IV.6)
(l - cp(x))
1 2 ,
<1>' (x) - - x exp(- x /2) (IV.7)
fiIT
and
.
')
(x- - 1 ) 2
<P"(x) exp( - x /2) (IV.S)
12n
127
I (B'(x»)2
2. Compute a2 (IV.9)
2[T(1)]2 B(x)
3. Compute al x/ 2a2 (IV.IO)
4. Compute A /2a 2 B(x) (IV.II)
5. The density function is then given by
p(x) (IV.I2)
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(Lecture Notes in Engineering 21) B. F. Spencer Jr. (Auth.) - Reliability of Randomly Excited Hysteretic Structures-Springer-Verlag Berlin Heidelberg (1986)

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(Lecture Notes in Engineering 21) B. F. Spencer Jr. (Auth.) - Reliability of Randomly Excited Hysteretic Structures-Springer-Verlag Berlin Heidelberg (1986)

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ISBN-13: 978-3-540-16863-8 e-ISBN-13: 978-3-642-82863-8

Softcover reprint of the hardcover 15t edition 1986

I would like to express my gratitude to Professor L.A. Bergman for his

guidance, inspiration and support throughout the research reported herein.

My appreciation goes to Professor Y.K. Wen for encouragement and many

of this work and of the Research Board of the University of Illinois at

Urbana-Champaign and the Computing Services Office at the University. In

My special thanks go to Mrs. Vivian Sprau, Mrs. Sheryl Reynolds, Mrs.

typed this manuscript.

Finally, I would like to thank my family, especially my father Billie

F. Spencer, Sr., for their support and encouragement during my studies.

ON THE RELIABILITY OF NONLINEAR HYSTERETIC STRUCTURES

B.F. Spencer, Jr.

A method to determine the ordinary statistical moments of time to

a simple oscillator, incorporating the modified Bouc hysteresis model, has

process theory and solved by a Petrov-Galerkin finite element method. The

first is known as a generalized Pontriagin-Vitt equation, which when solved

yields the ordinary moments of time to first passage as a function of the

oscillator's initial displacement, initial velocity and initial hysteretic

force. In the second formulation, an initial-boundary value problem

related to the backward Kolmogorov equation is derived and solved directly

for the cumulative function of oscillator reliability, also in terms of the

initial state of the oscillator. A comparison of the finite element

results with those obtained by Monte Carlo simulation is then given to

demonstrate the accuracy of the finite element method. Finally, a method

to estimate the reliability of the hysteretic oscillator having prescribed

the first few moments of first passage time is considered.

4.1 First and second ordinary moment.'> of time to first passilge of

4.2 Comparison of the direct solution of the generalized

4.3 Comparison of the direct solution of the generalized

5.1 Normalized moments of the hysteretic oscillator; n~l, w=l,

5.2 Coefficients for the maximum entropy distributions for the

5.3 Coefficients of the maximum entropy distributions for the

1.1 Single degree-of-freedom oscillator subjected to random

2.1 Possible stable hysteresis curves obtained by varying y and ~;

2.2 Typical force-displacement curves for the modified Bouc

2.4 (a) Schematic of the modified Bouc hysteresis model (b)

2.5 Single degree-of-freedom linear oscillator with absorbing

2.6 The two-dimensional phase plane of initial conditions with

2.7 Single degree-of-freedom hysteretic oscillator with absorbing

2.8 Cross section of the three-dimensional phase space of

3.1 Typical finite element for the two-dimensional problem........ 39

3.2 Typical finite element for the three-dimensional proble~ •••••• 42

3.3 The "safe" domain Qy for the three-dimensional first passage

3.4 Cross sectional surface plot for moment 1 of time to first

(a) zo=O.O, T(1)(O,O,O)=8.0584 sec

3.5 Cross sectional surface plot for moment 2 of time to first

(a) zo=O.O, T(2)(O,O,0)=104.21 sec 2

3.6 Cross sectional surface plot for moment 6 of time to first

(a) zo=O.O, T(6)(0,0,0)=0.53653E08 sec 6

3.7 Moments of time to first passage for the hysteretic oscillator

3.8 Moments of time to first passage for the hysteretic oscillator

3.9 Moments of time to first passage for the hysteretic oscillator

3.10 Moments of time to first passage for the hysteretic oscillator

3.11 Moments of time to first passage for the hysteretic oscillator

3.12 Moments of time to first passage for the hysteretic oscillator

3.13 Moments of time to first passage for the hysteretic oscillator

'3.14 Moments of time to fi~st passage fo~ the hvste~etic oscillator

'3.15 Moments of time to fi~st passage for the hysteretic oscillator

3.16 ~10rnents of time to first passage for the hysteretic oscillator

'3.17 Moments of time to first passage for the hysteretic oscillator

3.18 Moments of time to first passage for the hysteretic oscillator