This section informs you on the logical, mathematical and functional features of

theSTRUREL Software Family in a concise and table-based form. For more details on
the corresponding programs please use the links embedded in the " " symbols.
Index of Contents
1. Overview of Features of STRUREL Programs
1. COMREL
2. SYSREL
3. STATREL
4. Reliability Analysis & FEM
2. Stochastic Modelling in STRUREL
1. Standard Univariate Distribution Functions
2. Univariate Distribution Functions for Bayesian Analysis
3. Univariate Distribution Functions in Statistical Analysis
4. Multivariate Models
3. Probability Integration Methods in STRUREL
1. Overview of Probability Integration Methods
2. Availability of Probability Integration Methods
3. Starting Solution Strategies to find the -point in COMREL
4. Algorithms to find the -point in COMREL
5. Solution Strategies to find the -point(s) in SYSREL
6. Algorithms to find the -point(s) in SYSREL
7. Possible combinations of random processes in COMREL-TV
8. Exceedance measures in COMREL-TV
4. Features of the Symbolic Processor in COMREL & SYSREL
1. Elementary Functions
2. Trigonometric Functions
3. Hyperbolic Functions
4. Logarithmic Functions
5. Probability Functions
6. Bessel Functions
7. Special Functions
8. Differentiation Operators
9. Integration Operators
10. Root Finding Operators
11. Error Handling

1. Overview of Features of STRUREL Programs

1.1 COMREL
COMREL comprises Time-Invariant (COMREL-TI) and Time-Variant (COMREL-TV)
componental reliability analysis. Available products are: COMREL-TI orCOMRELTI/TV
. Both can be obtained in a version with Symbolic Processoror alternatively in
a Professional version requiring additional Fortran compiler.

Feature

Comments

Available stochastic
models
Probability integration
methods

All distribution functions in

tables2.1, 2.2 & 2.3
All multivariate models in table2.4
All methods in table 3.1, but see also
table 3.2

Starting solution
strategies

See table 3.3

Algorithms to find the point

See table 3.4

Combinations of random
processes (COMRELTV)

See table 3.7

Exceedance measures
(COMREL-TV)

See table 3.8

Features of the
Symbolic Processor

See tables 4.1 to 4.9

As an alternative to theSymbolic
Processor a Fortran interface to user
defined failure functions is available
("Pro-version")

1.2 SYSREL
SYSREL deals with system reliability and conditional reliability evaluation (reliability
updating) in the time-invariant case. SYSREL
can be obtained in a version
withSymbolic Processor or alternatively in a Professional version requiring additional
Fortran compiler.

Feature
Available stochastic
models
Probability integration
methods
Starting solution
strategies
Algorithms to find the point

Comments
All distribution functions in
tables2.1, 2.2 & 2.3
All multivariate models in table2.4
FORM, SORM, Crude FORM (based on
equivalent hyperplanes)
See table 3.5
NLPQL, Joint3, see also table3.6

Features of the
Symbolic Processor

See tables 4.1 to 4.9

As an alternative to the Symbolic
Processor a Fortran interface to user
defined failure functions is available
("Pro-version")

1.3 STATREL
STATREL
deals with statistical analysis. It does not perform probability integration.
STATREL supports all distribution functions in tables 2.1, 2.2 & 2.3.
1.4 Reliability Analysis & FEM
see PERMAS-RA

2 Stochastic Modelling in STRUREL

2.1 Standard Univariate Distribution Functions
These are the standard univariate distribution functions suitable for statistical and
reliability analysis supported by all programs in the STRUREL system.

Table 2.1
Input: Moments M,
Parameters P

Default Input

Rectangular. (uniform)

M or P

Normal (Gau)

M or P

Lognormal

M or P

Exponential

M or P

Gamma

M or P

Beta

M or P

Gumbel (max)

M or P

Frechet (max)

Weibull (min)

M or P

Shifted Lognormal

M or P

Rayleigh

M or P

Trapezoid

M or P

Name of Distribution

Birnbaum/Saunders
Cauchy

Shifted Gamma

M or P

Inverse Gau

M or P

Gumbel (min)

M or P

Frechet (min)

Weibull (max)

M or P

Pareto

M or P

Laplace

M or P

Logistic

M or P

Halfnormal

M or P

Neville

Hermite

M or P

4-Par. Lognormal

2.2 Univariate Distribution Functions for Bayesian Analysis

For Bayesian analysis occurring in reliability analysis as well as in statistical applications
the STRUREL programs also support the most important non-normal models.

Table 2.2
Input:
Moments (M),
Parameters P

Default
Input

Pred.Gumbel (max)

Pred.Weibull (min)

Pred.Frechet (max)

Pred.Exponential

Pred.Normal (m unknown)

Pred.Normal (sigma
unknown)

Pred.Normal (m | sigma)

Post.Gumbel (max)

Post.Weibull (min)

Post.Exponential

Post.Normal (m)

Post.Normal (sigma)

Post.Normal (m | sigma)

Post.Frechet (max)

Name of Distribution

2.3 Univariate Distribution Functions in Statistical Analysis

These models make sense only in statistical analysis but are also supported by
COMREL & SYSREL for special applications.

Table 2.3
Input: Moments (M),
Parameters P

Default Input

Student (standard)

Chi-square

Fishers F

Student

Name of Distribution

2.4 Multivariate Models

The STRUREL programs offer a wide range of modelling dependencies between random
variables which by far exceed capabilities of other programs for reliability analysis. The
multivariate Nataf model is especially well suited for engineering applications. The SCD
to model general dependent vectors is the most powerful tool.

Table 2.4
Type

Input (Comments)

Multivariate
NormalLognormal
distribution

Matrix of correlation coefficients between NormalLognormal variables

Multivariate
Nataf model

Matrix of correlation coefficients between variables

of arbitrary type(the Nataf transformation
computes an equivalent matrix for the
corresponding standard normal variables)

Multivariate
Hermite model

Matrix of correlation coefficients between Hermite

variables(restrictions on skewness, excess and
correlations)

General
dependent
vectors

Distribution parameters can be assigned to

constants or other variables and even to userdefined functions thereof(Any dependent vector
can be given in terms of a Sequence
of Conditional Distributions)

3. Probability Integration Methods in STRUREL

3.1 Overview of Probability Integration Methods
A great variety of probability integration methods is offered in the STRUREL programs
COMREL, SYSREL & PERMAS-RA (see also table below). The following table also
provides some hints which method is best suited to which problem.

Table 3.1
Method

Comments

First Order
Reliabilty Method
(FORM)

Default method, the -point must be found,

several algorithms to locate the -point are
available, reasonable approximation of Pf for all
engineering applications, less accurate for
Pf close to 50%

Second Order
Reliabilty Method
(SORM)

Builds on FORM,asymptotically (for small Pf)

exact method, needs the Hessian of the State
Function, very accurate also for Pf close to 50%
due to special integration scheme

Importance
Sampling on top
of FORM/SORM

Makes probability integration results arbitrarily

exact at the expense of additional numerical
effort in terms of evaluations of the State
Function

Mean Value First

Order Method
(MVFO)

Cheapest (in terms of State Function

evaluations) option, needs the gradient of the
State Function but no -point, in general rather
inaccurate estimation of Pf except for nearly
linear State Functions

Crude Monte
Carlo Sampling

Most robust option, needs only State Function

evaluations, independent of Basic space
dimension, not suited for small Pf , effort grows
with 1/Pf , can not produce sensitivity measures

Adaptive Monte
Carlo Sampling

Also a robust option, needs only State Function

evaluations, effort independent of Pf but strongly
growing with Basic space dimension, can not
produce sensitivity measures, can be trapped in
a local minimum like all methodss requiring the
-point

Spherical
Sampling

Comments for Adaptive Sampling apply here as

well but this option is robust against local
minima, useful also to generate starting solution
for FORM/SORM

Design PointSampling

Sampling around a pre-specified design point.

Useful if this point (i.e. the -point) is known apriori at leat approximately. It can be seen as

Crude Monte Carlo Sampling with a starting

solution.

3.2 Availability of Probability Integration Methods

Some methods are not suited e.g. for system reliability evaluation, some are too
inefficient for reliability analysis coupled with FEM. STATREL deals with estimation and
general statistical analysis but not with probability integration.

Table 3.2
STRUREL Module

Available Methods

COMREL-TI (time-invariant
component reliability)

All

COMREL-TV (time-variant
component reliability)

FORM, SORM

SYSREL (system reliability)

FORM, SORM, Crude FORM (based

on equivalent hyperplanes)

Reliability Analysis & FEM

see PERMAS-RA

FORM, SORM, Importance Sampling

(other sampling options too
inefficient)

3.3 Starting Solution Strategies to find the -point in COMREL

Like any non-linear procedure also the various algorithms problem to find the -point
(see table below) may profit from a suitable starting solution.

Table 3.3
Strategy

User

Comments
User defined starting solution in standard space (Uspace), alows also to specify bounds on U-space
variables, default is to start from origin in standard space
(yields median values for Basic variables)

Random

Random starting solution in U-space, alows also to

specify bounds on U-space variables

Gradient

Starting solution in direction of gradient at origin or at

user defined starting solution, allows also to specify
bounds on U-space variables

3.4 Algorithms to find the -point in COMREL

COMREL offers several algorithms to solve this non-linear optimisation problem.

Table 3.4
Algorithm

Comments
Gradient based "Rackwitz-Fiessler" algorithm with
improved step-width control (Abdo, Rackwitz, 1991),
Default algorithm in COMREL, good also for problems
with a large dimension of the Basic space

RFLS

NLPQL

Sequential Quadratic Programming Method to solve

Non Linear Optimisation Problems (K. Schittkowski,
University. Bayreuth), best suited for highly curved
failure surfaces in not too high dimensional Basic space

HLRF

The standard Hasofer-Lind, Rackwitz-Fiessler

(Rackwitz, Fiessler, 1978) gradient based algorithm
without line searches, efficient for simple problems.

COBYLA

The gradient free COBYLA (Powell, 1994) search

algorithm will find the -point for the FORM method
also for non-differentiable state functions.

3.5 Solution Strategies to find the -point(s) in SYSREL

Like any non-linear procedure also the various algorithms problem to find the -point(s)
(see table below) may profit from a suitable starting solution.

Table 3.5
Strategy

Comments

Origin or Ustart

By default, start from origin in standard space

(yields median values for Basic variables) or user
defined starting solution in standard space (Uspace), allows also to specify bounds on U-space
variables

Individual
Linearisation

Find the individual -points of all components in the

system (from origin or user defined starting solution)
before searching the joint -points of the Cut-Sets,
this option makes SYSREL much more robust when
computing Pf of parallel systems or conditional
probabilities

Presetting of
Hessian

Allows to preset main diagonal of the Hessian

matrix, improves convergence of the NLPQL
algorithm in case of highly curved failure surfaces

Individ. Lin. +
Presetting

Extra
Constraints

Combination of the 2 options above for the NLPQL

algorithm
During iteration, add extra constraints to the
problem whenever the current iterate is out of the
admissible domain, makes SYSREL robust also in
cases of failure criteria with very restricted
physically admissible domain as e.g. encountered in
Fracture Mechanics, this option can be combined
with above options

3.6 Algorithms to find the -point(s) in SYSREL

Also SYSREL offers several algorithms to solve the non-linear optimisation problems to
find the joint -point and the so-called "inactive -points in system reliability analysis.

Table 3.6
Algorithm
NLPQL
Joint3

Comments
See comments above
Multi-constraint version of RFLS, see comments above

3.7 Possible combinations of random processes in COMREL-TV

The combinations of processes available at present are given below. Differentiable
processes are processes with continuous and differentiable sample path such as
Gaussian or translation processes (Nataf or Hermite processes). Rectangular wave
renewal jump processes are denoted simply by jump processes. Both types of processes
can have intermittencies. For several intermittent processes the computational effort can
be quite large.

Table 3.7
Possible combinations of random processes

Feasible

Jump Process + Jump Process

Yes

Differentiable Process + Differentiable Process

Yes

Jump Process + Differentiable Process

Yes

Intermittent Jump Process + Intermittent Jump Process

Yes

Intermittent Differentiable Process + Intermittent

Differentiable Process

Yes

Intermittent Jump Process + Intermittent Differentiable

Process

Yes

Intermittent Jump or Differentiable Processes +Nonintermittent Processes Jump or Differentiable Processes

Yes

3.8 Exceedance measures in COMREL-TV

Several informative exceedance measures as defined in the literature (see
Cramer/Leadbetter, 1967) and elsewhere can be calculated by COMREL-TV in addition
to the mean number of outcrossings.

Table 3.8
Exceedance
measure

Comments

Point-in-time nonavailability

Identical to the lower probability bound and

constant in the stationary case; can be useful
for serviceability limit states

First passage
time distribution

Identical to the time-dependent failure

probability; approximated by the upper
probability bound

Local point-intime outcrossing

rate

Derivative with respect to time of the mean

number of outcrossings; constant in the
stationary case

First passage
time density
distribution

Hazard rate

Mean cumulative
excursion time

Identical to local point-in-time outcrossing rate

except that it contains the failure probability at
the left hand boundary (t1) of the considered
time interval
Evaluated at the right hand boundary (t2) of the
considered time interval from the local
outcrossing rate; in general, the hazard rate
differs little from the local outcrossing rate
The mean cumulative excursion time, divided
by (t2 - t1) can be interpreted as mean nonavailability

Duration of single
excursions

Approximately the ratio of local point-in-time

failure probability and the local outcrossing rate;
can be useful for serviceability limit states

4. Features of the Symbolic Processor in COMREL & SYSREL

4.1 Elementary Functions
Well, we certainly need these. ABS, MIN, Max may lead to a non-differentiable state
function ! General exponent (X^Y or X**Y) is available too, of course.

Table 4.1
Function
SQRT (F)

Description
Square root

ABS (F)

Absolute value

MAX (F,G)

Returns maximum of F and G

MIN (F,G)

Returns minimum of F and G

4.2 Trigonometric Functions

All angles in trigonometric functions are specified in radians.

Table 4.2
Function

Description

COS (F)

Cosine

SIN (F)

Sine

TAN (F)

Tangent

ACOS (F)

Arc cosine

ASIN (F)

Arc sine

ATAN (F)

Arc tangent

4.3 Hyperbolic Functions

All angles in hyperbolic functions are specified in radians.

Table 4.3
Function

Description

COSH (F)

Hyperbolic cosine

SINH (F)

Hyperbolic sine

TANH (F)

Hyperbolic tangent

ACOSH (F)

Arc hyperbolic cosine

ASINH (F)

Arc hyperbolic sine

ATANH (F)

Arc hyperbolic tangent

4.4 Logarithmic Functions

LOGC is useful in reliability applications for probabilities very close to 1.

Table 4.4
Function

Description

LN (F)

Natural logarithm

LOG10
(F)

Base 10 logarithm

EXP (F)

Exponentiation

LOGC (F)

Complement of natural logarithm:

for very small F, LOGC (F) = LOG (1-F) by series
expansion

4.5 Probability Functions

These are standard functions for reliability and statistical analysis with great precision.

Table 4.5
Function

Description

CPHI (F)

Standard normal integral

ICPHI P

Inverse of standard normal integral

LCPHI (F)

Natural logarithm of standard normal integral

ILCPHI (L) Inverse of natural logarithm of standard normal integral

LSPHI (F)

Natural logarithm of standard normal density

4.6 Bessel Functions

Table 4.6
Function

Description

BESSELJ0 (F)

First kind Bessel function, order 0

BESSELJ1 (F)

First kind Bessel function, order 1

BESSELY0 (F)

Second kind Bessel function, order 0

BESSELY1 (F)

Second kind Bessel function, order 1

BESSELJN (n,F)

First kind Bessel function, order n

n must be an integer constant

BESSELYN (n,F)

Second kind Bessel function, order n

n must be an integer constant

4.7 Special Functions

These special functions are very useful in reliability analysis.

Table 4.7
Function

Description

GAMMA (F)

Complete Gamma function

LGAMMA (F)

Natural logarithm of complete

Gamma function

LBETA (F,G)

Natural logarithm of complete Beta

function:

DISMO
(type,n,P1,P2,P3,P4)

Compute distribution mean value or

standard deviation from the
parameters P1 to P4

DISPA (type,n,EX,SX)

Compute distribution parameter P1 or

P2 from mean value EX and standard
deviation SX

ITRUNCM
(ftype,U,a,b,EX,SX,P3,P4)
ITRUNCP
(ftype,U,a,b,P1,P2,P3,P4)

Compute inverse truncated

distribution from standard normal
variable U and moments or parameter
representation of the not truncated
variable X.

4.8 Differentiation Operators

Numerical differentiation of an arbitrary function.

Table 4.8
Operators

Description

DIFFR (F,
~x,X0,DX)

Differentiate the function F for ~x at X0 with an

increment DX:( F(X0) - F(X0+DX) ) / |DX|
~x is an internal variable.

DIFFC (F,
~x,X0,DX)

Differentiate the function F for ~x at X0 with an

increment DX:( F(X0+DX) - F(X0-DX) ) / |2*DX|

DIFFL (F,
~x,X0,DX)

Differentiate the function F for ~x at X0 with an

increment DX:DIFFL (F, ~x,X0,DX) = ( F(X0) F(X0-DX) ) / |DX|

4.9 Integration Operators

Numerical integration of an arbitrary function; two schemes available.

Table 4.9
Operators

Description

INTEGRAL
(F,~x,A,B,n)

Integrate the function F for the variable ~x in the

domain [A,B], cut in n intervals; trapezoid method
used to evaluate the integral.
~x is an internal variable.

ROMBERG
(F,~x,A,B)

Integrate the function F for the variable ~x in the

domain [A,B] using the Rombergs method.

4.10 Root Finding Operators

Table 4.10
Operators

Description

ROOT
(F, ~x,X0,a,b)

Find a root of F, for the variable ~x in the interval

a,b
and starting search at the value X0 by Newton's
method.

NEWRAPHB
(F, ~x,xacc,a,b)

Find a root of F, for the variable ~x in the interval

a,b
with relative accurancy xacc by the NewtonRaphson method,
combined with the bisection method.

4.11 Error Handling

Table 4.11
Operators
STOP
("Message")

Description
Allows controlled stop of computations.
The messsage is written to screen and to the
results files.