Probabilistic Engineering Mechanics 25 (2010) 393–405

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Probabilistic Engineering Mechanics

journal homepage: www.elsevier.com/locate/probengmech

Reliability models for existing structures based on dynamic state estimation and
data based asymptotic extreme value analysis
B. Radhika 1 , C.S. Manohar ∗,2
Department of Civil Engineering, Indian Institute of Science, Bangalore 560 012, India

article info abstract

Article history: The problem of time variant reliability analysis of existing structures subjected to stationary random
Received 10 November 2008 dynamic excitations is considered. The study assumes that samples of dynamic response of the structure,
Received in revised form under the action of external excitations, have been measured at a set of sparse points on the structure.
13 April 2010
The utilization of these measurements in updating reliability models, postulated prior to making any
Accepted 7 May 2010
Available online 15 May 2010
measurements, is considered. This is achieved by using dynamic state estimation methods which combine
results from Markov process theory and Bayes’ theorem. The uncertainties present in measurements as
Keywords:
well as in the postulated model for the structural behaviour are accounted for. The samples of external
Dynamic state estimation excitations are taken to emanate from known stochastic models and allowance is made for ability (or lack
Reliability of existing structures of it) to measure the applied excitations. The future reliability of the structure is modeled using expected
Extreme value analysis structural response conditioned on all the measurements made. This expected response is shown to have
Ito–Taylor expansion a time varying mean and a random component that can be treated as being weakly stationary. For linear
systems, an approximate analytical solution for the problem of reliability model updating is obtained by
combining theories of discrete Kalman filter and level crossing statistics. For the case of nonlinear systems,
the problem is tackled by combining particle filtering strategies with data based extreme value analysis.
In all these studies, the governing stochastic differential equations are discretized using the strong forms
of Ito–Taylor’s discretization schemes. The possibility of using conditional simulation strategies, when
applied external actions are measured, is also considered. The proposed procedures are exemplified by
considering the reliability analysis of a few low-dimensional dynamical systems based on synthetically
generated measurement data. The performance of the procedures developed is also assessed based on a
limited amount of pertinent Monte Carlo simulations.
© 2010 Elsevier Ltd. All rights reserved.

1. Introduction
The present study considers the problem of reliability assess-
ment of existing structural systems which typically carry dynamic
loads during their normal operation. We take that a realistic rep-
resentation of these loads demands the application of probabilis-
tic models. One could consider an existing railway bridge as an
example of this class of structures. Here the formation loads are
dynamic in nature and, given the uncertainties that are invariably
involved in train speeds, formation lengths, payloads, and track un-
evenness, the loads could realistically be modeled as being random
in nature. The present study further considers that the reliability
assessment must take into account a set of measurements made
∗ Corresponding author. Tel.: +91 80 2293 3121; fax: +91 80 2360 0404.
E-mail addresses: radhibayya@civil.iisc.ernet.in (B. Radhika),
manohar@civil.iisc.ernet.in (C.S. Manohar).
1 Ph.D. Student.
2 Professor.
0266-8920/$ – see front matter © 2010 Elsevier Ltd. All rights reserved.
doi:10.1016/j.probengmech.2010.05.001
on the existing structure in its operating conditions and the avail-
ability of an acceptable mathematical model for the structure and
the applied loads. The measurements are typically taken to include
time histories of components of structural strains, displacements
and (or) accelerations and to be, in general, spatially incomplete
and noisy in nature. In certain applications, such as earthquake re-
sponse of structures, it could be possible to measure external ac-
tions, while, in problems of vehicle–structure interactions or wind
loaded structures, the applied forces could remain unmeasured.
The present study allows for the two contingencies of being able
or not being able to measure the external forces. Furthermore, the
mathematical model for the structural system itself could be non-
linear in nature and allowance is also made for possible imperfec-
tions in formulating the mathematical model. The parameters of
the mathematical model are assumed to have been already identi-
fied through diagnostic measurements in a previous system iden-
tification step. The reliability metric could be defined in terms of
performance functions which are solely dependent on measured
response quantities, or, alternatively, and, more realistically, could
involve a mix of measured and unmeasured response states. In
394 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405
either case, the problem on hand consists of updating the struc-
tural reliability model by assimilating the measured response. The
present study develops a framework, based on the Kalman and par-
ticle filtering strategies, to tackle this problem.
The basic motivation for undertaking this study has arisen due
to the present authors’ involvement in a project aimed at condition
assessment of existing railway bridges in India with a view to
evaluate their ability to carry increased axle loads and faster and
longer moving formations. The field work conducted as a part
of this investigation has resulted in a large amount of static and
dynamic response data on structural strains, translations, rotations
and accelerations under various loading conditions. One of the data
set that has been collected in these studies has been the response
of the bridge structure to ambient traffic load over a period of about
72–96 h. Questions on the best utilization of such data towards
establishing updated model for reliability of the structure that
takes into account the measurements made, do not have clear
answers and it is hoped that the issues addressed in the present
study offer useful directions in this regard. As a prelude to the
development of the ideas, we briefly review the relevant published
literature.
2. A review of literature
The study of reliability of existing structures has been the sub-
ject of an early research monograph [1] and the topic is also
covered in individual chapters in the books by Ditlevsen and Mad-
sen [2] and Melchers [3]. Typically, the reliability analysis here
involves Bayesian updating of postulated models for the mechan-
ical behaviour of the structure, probability distribution functions
(PDFs) of the loads and structural resistance characteristics based
on a set of measurements on the structure under controlled (and
hence measured) loads or under (mostly unmeasured) ambient
loads. Additional information based on non-destructive testing
could also be available. The main sources of uncertainties here
include: (a) noise in measurement of structural responses and ap-
plied actions, (b) imperfections in the mathematical model gov-
erning the system states, (c) imperfections in mathematical model
that relates measured quantities to the system states, (d) assess-
ment of present condition of the system that includes models for
structural resistance allowing for the degradation that may have
taken place during the completed life of the structure, and (e)
mathematical model for external actions. Moreover, a step involv-
ing structural system identification typically precedes the reliabil-
ity analysis which would have lead to optimal characterization of
properties such as elastic constants, boundary conditions, mass,
and damping properties.
We briefly mention some of the studies in the existing literature
in this area of research. The work of Shah and Dong [4] addresses
questions on strengthening existing structures to meet higher
seismic demands and discusses a probabilistic framework to
achieve this goal. Diamantidis [5] explores the application of
first order reliability methods to assess reliability of existing
structures. The problem of combining system identification tools
and reliability methods with knowledge based diagnostics has
been investigated by Yao and Natke [6]. Issues related to the
development of reliability based condition assessment criteria
have been examined by Ellingwood [7], Mori and Nonaka [8]
and Val and Stewart [9]. The papers by Melchers [10] and
Catbas [11] provide overviews on current state of art in this area
of research. Recently Ching and Beck [12] have used Kalman filters
for estimating hidden states in randomly excited systems and have
developed a simulation based strategy to update the reliability
of existing structures based on sparse measurements. Their study
employs importance sampling schemes and also includes a step
involving identification of external forces. The reliability here is
essentially defined with respect to an unobserved response of
the structure exceeding a prescribed threshold during a loading
episode that has already occurred. The major differences between
the study by Ching and Beck [12] and the present study are that
(a) we are focusing on updating the model for structural reliability
against future episodes of loading, (b) the study takes into account
nonlinear models for structural behaviour and measurement
models, and (c) the updating here is based on use of nonlinear
filtering tools.
We consider linear/nonlinear multi-degree-of-freedom (mdof)
dynamical systems which are randomly excited. It is assumed the
measurements on response of this structure have been made for
a limited number of loading episodes and at a (possibly) sparse
set of points. The study allows for the likely inability to measure
time histories of applied actions. A random process model for the
excitation that permits digital simulation of samples of excitation
is assumed to be available whether or not samples of applied
excitations are measured. In case external excitations are not
measured, the study proceeds based on the basis of simulated
samples from the assumed stochastic model for excitations. On the
other hand, if samples of excitation are measured, the ensemble
of future excitations is simulated using conditional simulation
strategies. A validated mathematical model for the structure is also
taken to be available. The study proposes that methods of dynamic
state estimation, which employ Monte Carlo simulations, be used
to assimilate the measured responses into the mathematical
model. This in turn facilitates the simulation of sample realizations
of the system states conditioned on the episodes of measurements.
These estimated trajectories are subsequently used to obtain
updated reliability models.
For the case of linear state space models with additive Gaussian
noises, it is shown that an approximate analytical solution to the
problem of reliability model updating is obtainable. This is based
on the application of Poisson counting process model to the thresh-
old crossings of the expected response conditioned on the mea-
surements. For more general class of models, involving nonlinear
process and measurement equations and (or) non-Gaussian noises,
we propose a procedure that combines particle filtering strategy
(to obtain updated system states) with a data based extreme value
analysis (to develop models for extreme responses). Here it is pos-
tulated that the PDF of the highest response over a given duration
agrees with one of the classical asymptotic extreme value PDFs,
namely, Gumbel, Weibull or Frechet distributions. This analysis in-
volves two steps: (a) identification of basin of attraction to which
the PDF of extremes of the estimated response belongs to; this,
in turn, is based on hypothesis tests such as those discussed by
Castillo [13, attributed to Pickands and Galambos] or Hasofer and
Wang [14], and (b) estimation of parameters of the extreme value
distribution ascertained in the previous step using a limited num-
ber of samples of the estimated response. The proposed approach
is exemplified by considering a few low-dimensional dynamical
systems subjected to stochastic excitations. The governing equa-
tions are taken to have cubic, tangent and (or) hysteretic nonlin-
ear terms. The excitations considered include white and band lim-
ited random excitations. The efficacy of the results obtained is as-
sessed with the help of limited large-scale Monte Carlo simulation
studies.
Thus, the present study draws on knowledge base available in
the existing literature in the areas of Kalman and particle filter-
ing [15–19], extreme value analysis [13,20], numerical solution of
stochastic differential equations (SDEs) [21] and conditional simu-
lation of random processes using techniques of dynamic state es-
timation [22–24]. It may be noted that particle filtering methods
provide statistical solutions to problems of dynamic state estima-
tion and are capable of treating nonlinear and (or) non-Gaussian
state space models. Their applications in problems of structural
 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405
engineering are recently being explored [25–29]. The application
of statistical methods to estimate the PDFs of extremes of random
processes over specified duration is widely studied [13,30]. Hasofer
and Wang [14] have proposed a test statistic to test the hypothesis
that a sample comes from a distribution in the domain of attrac-
tion of one of the classical extreme value distributions. This test
has been used by Dunne and Ghanbari [31] to investigate the ex-
tremes of response of nonlinear beams based on measured random
response. Recently, Radhika et al. [32] have investigated the prob-
lem of determining the model for extremes of nonlinear structural
response using data based extreme value analysis and Monte Carlo
simulation method.
3. Problem statement
In this study we consider structural dynamical systems
governed by the equation of the form
M Ü + F U (t ), U̇ (t ), t = p(t ) + ς (t );
 
(1)
U (0) = U0 ; U̇ (0) = U̇0 .
Here a dot represents differentiation with respect to the time
variable t; U (t ), U0 , F , p(t ), and ς (t ) are L × 1 vectors and M is
the L × L mass matrix; p(t ) is a vector random process representing
the external actions, with one realization of p(t ) corresponding
to one episode of loading (such as passage of a train formation
or occurrence of one earthquake event). The quantity ς (t ) is a
vector of random processes that accounts for modeling error in
arriving at Eq. (1). It is assumed that ς (t ) is independent of p(t ).
Furthermore, we assume that a set of measurements, denoted by
y (tk ), have been made at discrete time instants {tk ∈ (0, T ]}Nk=1 and
the measured quantities are taken to be related to the system states
U (t ) and U̇ (t ) through the relation
y (tk ) = fk U (tk ) , U̇ (tk ) + qk U (tk ) , U̇ (tk ) νk ;
   
k = 1, 2, . . . , N . (2)
Here y (tk ) and fk U (tk ) , U̇ (tk ) are s × 1 vectors, qk [U (tk ) , U̇ (tk )]
 
is a s × r matrix and νk is a r × 1 vector of sequence of independent
normal random variables with zero mean and covariance Σν . The
quantity νk accounts for the measurement noise and imperfections
involved in relating the measurement y (tk ) , k = 1, 2, . . . , N
with the states U (t ) and U̇ (t ). We begin by assuming that
measurements on p(t ) have not been made. A random process
model for p(t ) which enables digital simulation of samples of p(t ),
is, however, taken to be known. The problem on hand consists
of determining the reliability of the system governed by Eq. (1)
taking into account the measurements made as in Eq. (2). To
facilitate
 this, we define a measure of system response denoted
by h U (t ) , U̇ (t ), t . A few examples for this function could be

the reaction transferred to supports or von Mises’ stress metric
or displacement at a critical point. We consider the problem of
determining the posterior probability Ps given by
Ps = P h U (t ), U̇ (t ), t < α ∀t ∈ (0, T0 ) |y (tk ) ;
 
k = 1, 2, . . . , N] . (3)
Here α is the safe limit on h U (t ), U̇ (t ), t and P [·] is the
 
probability measure. For the sake of simplicity we assume that
T0 = T . We further note that
Ps = P h U (t ), U̇ (t ), t < α∀t ∈ (0, T ) |y (tk ) ; k = 1, 2, . . . , N
   d
 
= P max h U (t ), U̇ (t ), t < α|y (tk ) ; k = 1, 2, . . . , N

0<t <T
= P [hm < α|y (tk ) ; k = 1, 2, . . . , N] (4)
395
where hm = max0<t <T h U (t ), U̇ (t ), t . Thus, the problem of

determining Ps reduces to the  problem of determining the ex-
treme value distribution of h U (t ) , U̇ (t ), t conditioned on the
measurements y (tk ) ; k = 1, 2, . . . , N. In case measurements on
p(t ) have also been made, the problem on hand consists of deter-
mining the conditional PDF Ps = P [hm < α|y (tk ) , p (tk ) ; k = 1,
2, . . . , N]. In the following sections we propose a scheme for solv-
ing this problem based on dynamic state estimation methods, data
based extreme value analysis, and conditional simulation strategy.
4. Models with time as a continuous variable
The basic issues in determining Ps = P [hm < α|y(tk ), p(tk ); k =
1, 2, . . . , N ] can be clarified by considering the ideal situation in
which time t is treated as a continuous variable.
4.1. Linear systems
It is instructive to begin with the case of linear state space
models with additive Gaussian noises. Eqs. (1) and (2) for this
simplified situation can be recast into the following form
ẋ(t ) = a(t )x(t ) + e (t ) p(t ) + b(t )W (t ); x (0) = x0 (5)
∆
ż (t ) = y(t ) = c (t ) x(t ) + νc (t );y (0) = y0 . (6)
t
Here x(t ) = U (t ) U̇ (t ) is the d × 1 state vector (with d =

2L); W (t ) and νc (t ) are random noise vectors (of sizes m × 1
and s × 1 respectively) representing, respectively, the process
and measurement noises; p(t ) is the sample realization of L × 1
excitation vector; a, b, c and e are time dependent matrices of sizes
d × d, d × m, , s × d and d × L, respectively. By interpreting the noise
terms W (t ) and νc (t ) as formal derivatives of Brownian motion
process, the above equations can be written as a pair of SDEs as
dx(t ) = a(t )x(t )dt + e (t ) p(t )dt + b(t )dBI (t ) ; x (0) = x0 (7)
dz (t ) = c (t )x(t )dt + dBII (t ) ; z (0) = z0 . (8)
Here dBI and dBII are m × 1 and s × 1 vectors of increments
of Brownian motion processes. It is assumed that dBI , dBII , x0
and
 y0 are stochastically independent.
 Furthermore,  we denote
E dBI (t )dBtI (t ) = ΣWc (t )dt and E dBII (t )dBtII (t ) = Σν c (t )dt;

here the superscript t denotes matrix transposition, E [·] denotes
the expectation operator, and the subscript c emphasizes the fact
that we are treating time as being continuous.
In situations in which no measurements are available, it is well
known that the transition probability density function (pdf) sat-
isfies the Fokker–Planck–Kolmogorov (FPK) equation and there
exists vast literature on strategies for its solution and characteri-
zation of response moments (see, [33], for example). When addi-
tional information on measurements becomes available, the FPK
equation can be generalized and an equation for the evolution of
p [x; t |x0 , y (τ ) , 0 < τ ≤ t] can be formulated. Such an equation is
due to Kushner and Stratonovich [34] and, for the system in Eq. (7),
one gets
∂ pX [x; t |x0 , y (τ ) , 0 < τ ≤ t]
∂t
X n
∂
=− {pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] ai }
∂ xi
i=1
1 XX
d
∂2 n  o
pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] bΣWc bt ij

+
2 i=1 j=1 ∂ xi ∂ xj
+ {cx − E [cx(t )]}t Σν−c1 (t ) {y(t ) − E [cx(t )]}
× pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] (9)
396 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405
R∞
where E [cx(t )] = −∞ cxpX [x; t |x0 , y (τ ) , 0 < τ ≤ t] dx. The This approximation is expected to lead to a conservative result.
above equation is a stochastic partial differential equation which An approximation to the PDF of maxt ∈(t0 ,T ) Zx̂i (t ), in the steady
provides a sample solution of p [x; t |x0 , y (τ ) , 0 < τ ≤ t] for a state, could be obtained by assuming Poisson’s models for the level
given sample of measurement y (τ ) , 0 < τ ≤ t. It is important crossing statistics of Zx̂i (t ), based on which, a Gumbel model for
to note that, if the last term on the right hand side is ignored (that the extremes could be deduced [35].  This calculation requiresthe
is, when there are no measurements), the equation reduces to the determination of the joint pdf pZ ,Ż z̃ , z̃˙ ; t |y (τ ) , 0 < τ ≤ t of
FPK equation for p (x; t |x0 ). x̂i x̂i

It can be shown that the moments Zx̂i (t ) and Żx̂i (t ) at time t. From Eq. (16) it is clear that, when p(t ) is
Z ∞ Gaussian, Zx̂i (t ) and Żx̂i (t ) would be jointly Gaussian. Based on this,
x̂(t ) = x pX (x; t |x0 , y (τ ) , 0 < τ ≤ t ) dx (10) further calculations on outcrossing rates could be carried out.
−∞
Z ∞
t 4.2. Nonlinear systems
P (t ) = x − x̂ (t ) x − x̂(t )
 
−∞
× pX (x; t |x0 , y (τ ) , 0 < τ ≤ t ) dx (11) As one might expect, the analysis presented in the previous
subsection no longer becomes tenable if the system dynamics is
are governed by
governed by nonlinear models. To clarify this, we consider the
x̂˙ (t ) = a(t )x̂ (t ) + c (t )p(t ) + P (t )c t (t ) Σν−c1 y(t ) − c (t )x̂(t ) (12) generalized version of Eqs. (7) and (8) given by
 

dx(t ) = a [x(t ), p(t ), t] dt + b [x(t ), t] dBI (t ) ; x (0) = x0 (19)

Ṗ (t ) = a(t )P (t ) + P (t ) at (t ) + b(t )Σwc bt (t )
− P (t )c t
(t )Σν−c1 (t ) c (t )P (t ). (13) dz (t ) = c [x(t ), t] dt + dBII (t ) ; z (0) = z0 . (20)

The above pair of equations forms the continuous time Kalman The functions a [x (t ) , p(t ), t] and b [x(t ), t] are now the drift and
filter. diffusion matrices of sizes (d × 1) and (d × m) respectively. The
In the problem of determination of P [hm < α|y (τ ) ; 0 < τ Kushner–Stratonovich equation can now be deduced as (Maybeck
≤ T ], it must be noted that the above equations have been 1982)
obtained for a given realization of the process p (t ). If we restrict
∂ pX [x; t |x0 , y (τ ) , 0 < τ ≤ t]
our attention to performance functions involving one of the system
states xi (t ), the problem on hand consists of evaluating PS = ∂t
P [xi (t ) < α|y (τ ) , 0 < τ ≤ T ; ∀t ∈ (0, T )]. Since our interest lies X d
∂
in knowing the future reliability of the system conditioned on the =− {pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] ai }
∂ xi
measurements y(t ), we propose that PS be evaluated as i= 1
d
1 XX
d
∂2 n  o
PS = P x̂i (t ) < α|y (τ ) , 0 < τ ≤ T ; ∀t ∈ (0, T ) .
 
(14) pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] bΣWc bt ij

+
2 i=1 j=1 ∂ xi ∂ xj
This can be considered as acceptable since x̂i (t ) can be interpreted
as the optimal estimate of xi (t ) given the measurements on y(t ).
t
+ c (x(t ), t ) − ĉ (x (t ) , t ) Σν−c1 (t ) y(t ) − ĉ (x(t ), t )
 
Based on this, we could now interpret Eq. (12) as representing the
equation governing the updated dynamics of the system which × pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] . (21)
can be used to investigate the structural behaviour under future The equations for x̂(t ) and P (t ) (Eqs. (10) and (11)) can now be
realizations of p(t ). Thus, if we model p (t ) as a random process, shown to be given by
x̂(t ) itself would be a random process and standard methods of
dx̂(t ) = âdt + E x (t ) c t − x̂(t )ĉ t Σν−c1 dz (t ) − âdt
   
random vibration analysis of dynamical systems would lead to (22)
models for PS . An important feature of x̂(t ) is that, due to presence h
t i
dP (t ) = E x(t ) − x̂(t ) at dt + E a x(t ) − x̂ (t )


of the measured response y(t ) on the right hand side, x̂(t ) would dt
possess a time varying mean. Thus, if we denote mx̂ (t ) = Ep [ x_(t )],
+ E bΣwc bt dt − E x(t ) − x̂(t ) at Σν−c1
  

where Ep [•] is the expectation across ensemble of response due to
ensemble of realizations of p(t ), and if we take mean of p(t ) to be
h
t i
× E a x(t ) − x̂(t ) dt
zero, we get h
t
t i
+ E x(t ) − x̂(t ) x(t ) − x̂(t ) c − ĉ


ṁx̂ (t ) = a(t )mx̂ (t ) + P (t )c t (t )Σν−c1 [y(t ) − c (t )mx̂ (t )] . (15)
Similarly, the equation for the random component Zx̂ (t ) = x̂(t ) − × Σν−c1 dz (t ) − ĉdt
 
(23)
mx̂ (t ) can be obtained as
with
Żx̂ (t ) = a(t )Zx̂ (t ) + c (t )p(t ) − P (t )c t (t ) Σνcc (t )Zx̂ (t ) ;
(16) â = E {a [x(t ), t]}
Zx̂ (0) = Zx̂0 . Z ∞
If we further assume p(t ) to be stationary, given that the dynamical = a (x, t ) pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] dx, and
system in Eq. (1) is damped, it may be expected that as t → −∞
(24)
∞, Zx̂ (t ) reaches a stochastic steady state. In the evaluation of PS ĉ = E {c [x(t ), t]}
we now use Z ∞
PS = P x̂i (t ) < α|y (τ ) , t0 < τ ≤ T ; ∀t ∈ (t0 , T ) = c (x, t ) pX [x; t |x0 , y (τ ) , 0 < τ ≤ t] dx.
 
−∞
= P x̂imax < α|y (τ ) , t0 < τ ≤ T
 
(17) Here it is important to note that the above equations are essentially
where t0 is the time required for the dissipation of transients, formal in nature since the right hand sides in Eqs. (22) and (23)
and x̂imax = maxt ∈(t0 ,T ) x̂i (t ). To proceed further we make the contain higher order moments, such as, E {x(t )c [x (t ) , t]}, which
approximation are yet not known. Any attempt to set up equations governing
these higher order moments leads to an unending hierarchy of
x̂imax ≈ max mx̂i (t ) + max Zx̂i (t ). (18) equations, which at no stage yield sufficient number of equations
t ∈(t0 ,T ) t ∈(t0 ,T )
 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405 397

to obtain an acceptable solution. This difficulty can be overcome in coincide, the governing equations for dynamic state estimation can
an ad hoc manner by invoking closure approximations and details be cast in the standard form as
of a few such studies in existing literature are summarized by
Maybeck (1982). It is interesting to note that such approaches do xk+1 = zk (xk ) + Fk + gk (xk ) Wk ; k = 0, 1, 2, . . . , N (28)
not seem to have been yet investigated in structural mechanics yk = fk (xk ) + qk (xk ) νk ; k = 1, 2, . . . , N . (29)
applications, although, in the context of traditional nonlinear
random vibration problems, the closure approximations are widely Here xk , zk (xk ) and Fk are d × 1 vectors where Fk is the term
studied [36,37]. In a similar vein, it may also be remarked containing the external actions; gk (xk ) is a d × m matrix; and Wk
that approximate solutions to Eq. (21) could also be developed is a m × 1 vector of normally distributed random variables with
based on method of weighted residuals/finite element procedures; zero mean and covariance ΣW . In the further work we introduce
such a line of research has not yet been pursued in structural the notations
engineering applications. Also, in dealing with the problem of  t
determination of P [hm < α|y (τ ) ; 0 < τ ≤ T ], it is not apparent y1:k = y1 y2 ··· yk and
(30)
how the approximation developed for linear systems could be t
.

x0:k = x0 x1 ··· xk
generalized. These issues are addressed in the present study by
combining tools of Monte Carlo simulation based filters and results In the discrete time setting, the required reliability is given by
from extreme value analysis. A first step in developing the relevant
Ps = P hk {xk } < α|yk0 :N ; ∀k ∈ [k0 , N]
 
details is to discretize, in time, the governing equations of motion.
 
=P max hk {xk } < α|yk0 :N
5. Models with time as a discrete variable k0 <k≤N

= P hm < α|yk0 :N
 
(31)
In order to develop numerical solutions to the reliability
problem on hand, it is required, as a first step, to obtain discretized where hm = maxk0 <k≤N hk {xk } and k0 is the time required
version of the governing process Eq. (19). Following [21], we for dissipation of transients. It needs to be emphasized here that
employ the order 1.5 strong Taylor’s scheme to achieve this. Thus, the original problem of determining Ps = P [maxt0 <t <T h [x(t ), t] <
the discretized version of Eq. (19) is obtained as α|y (τ ) ; t0 < τ ≤ T ] is now replaced by Ps = P [maxk0 <k≤N hk {xk }
m < α|yk0 :N ].
n ,j 1
In this formulation the measurements y(t ), 0 < t < T are
X
xnk+1 = xnk + ank ∆ + bk ∆ W j + L0 ank ∆2
j =1
2 replaced by its value y1:N at observation time instants t =
m 
∂
 tk , k = 1, 2, . . . , N. This clearly is consistent with the digital
+ bnk ,j ∆W j ∆ − ∆Z j
X
Lj ank ∆Z j

+ (25) data acquisition that underlies measurements. On the other hand
j =1
∂t the replacement of maxt0 <t <T h [x(t ), t] by maxk0 <k≤N hk {xk } is an
√ ∆ √  approximation arising from time discretization of the governing
∆W j = ∆ξj , ∆Z j = ∆ξj + ãj,0 , equations of motion. In the context of current state of art in
2
√ p filtering methods, it appears possible to avoid this replacement;
2∆ X 1 see the works of Beskos et al. [38] and Fearnhead et al. [39] who
ζj,i − 2 ∆ρp µj,p ,
p
ãj,0 =−
π i=1 i have developed state estimation schemes to treat continuous time
with process equations and discrete time measurements. Here the time
p instants between two successive measurement episodes are not
1 1 X 1 discretized in the treatment of the process equation. While these
ρp = − ,
12 2π 2 i=1 i2 developments indeed enhance the accuracy of state estimation
problems, in the present study, however, we are not considering
∂ X d
∂ 1 X X i,j l,j ∂ 2
d m
these refinements. We would like to point out that, in problems
L0 = + aik i + b b ,
∂ tk i =1
∂ xk 2 i,l=1 j=1 k k ∂ xik ∂ xlk of structural mechanics, the equations of motion for structural
behaviour (Eq. (1)) are typically obtained only after discretizing
d
X i,j ∂ the spatial variables using the finite element method. Here the
Lj = bk . (26) choice of discretization intervals in space and time are well known
i=1
∂ xik
to be governed by interrelated issues. Thus, discretization of time
Here n = 1, 2, . . . , d and k = 0, 1, 2, . . . , N denote the discretiza- variable t in subsequent analysis can be deemed to be reasonable.
tion in time with equal time steps of ∆ = T /N; ξj , ζj,1 , . . . , ζj,p ,
µj,p are independent standard Gaussian random variables; the
6. Discrete time dynamic state estimation techniques
notation xnk and ank denote the nth element in the vectors x(t ) and
n ,j
a [x(t ), p(t ), t], respectively, evaluated at time denotes the tk ; bk
The objective of discrete time dynamic state estimation is to
(n, j)th element of the matrix b [x(t ), t] evaluated at time tk . In the
determine the multi-dimensional conditional probability density
numerical work p is taken to be 4. The random variables appearing
function p (x0:k |y1:k ), the marginal pdf p (xk |y1:k )(also known as the
in the above equation have their origins in integrals of the type
filtering density function) and the corresponding first and second
Z τn+1 Z τn+1 order moments given by
I(j1 ,j1 ,...,jl ) = ··· dWsj11 · · · dWsjll (27)
τn τn
Z
ak|k = E [xk |y1:k ] = xk p(xk |y1:k )dxk (32)
which are known as multiple stochastic integrals [21].
In the context of current sensing methods, the time variable in h
t
i
the measurement equation invariably occurs in discrete form. If Σk|k = E xk − ak|k xk − ak|k
we assume that the time instants at which the process equation is
Z

t
xk − ak|k p(xk |y1:k )dxk .


discretized and the time instants at which measurements are made = xk − ak|k (33)
398 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405
Based on the application of Bayes’ theorem and utilizing the
Markovian property of response vector xk , it can be shown that the
evolution of p (xk |y1:k ) obeys the following recursive relations
Z
Prediction: p(xk |y1:k−1 ) = p(xk |xk−1 )p(xk−1 |y1:k−1 )dxk−1
p(yk |xk )p(xk |y1:k−1 )
Updation: p(xk |y1:k ) = R . (35)
p(yk |xk )p(xk |y1:k−1 )dxk
Similarly, the evolution of the multi-dimensional posteriori pdf
p (x0:k |y1:k ) can be shown to be governed by the recursive relation
p(yk+1 |xk+1 )p(xk+1 |xk )
p(x0:k+1 |y1:k+1 ) = p(x0:k |y1:k )
p(yk+1 |y1:k )
k = 0, 1, . . . , N .
For linear state space models and additive Gaussian noises, the
above equations lead to the well known discrete time Kalman
filter which provides an exact set of recursive relations for the
evolution of the mean vector ak|k and covariance matrix Σk|k . For
this class
 of problems, the procedure  for the determination of
Ps = P maxk0 <k≤N hk {xk } < α|yk0 :N broadly follows the steps as
outlined in Eqs. (14)–(18) for the case of continuous time models.
These details are illustrated through numerical examples later in
the paper.
For more general class of problems, involving nonlinear
mechanics and non-Gaussian noises, Eqs. (34) and (35) can be
solved numerically using Monte Carlo simulations leading to a
class of methods known as particle filters. The efficacy of these
simulation tools are often enhanced by incorporating variance
reduction schemes in the simulation steps. In the present study
we consider the application of two versions of particle filtering
namely, the sequential importance sampling (SIS) filter [40], which
employs importance sampling to achieve variance reduction, and
the bootstrap filter as developed by Gordon et al. [16]. It may
be noted that the SIS filter is applicable for nonlinear process
equations but linear measurement models, while, for applying the
bootstrap filter, the process equation as well as the measurement
equation could be nonlinear. The steps involved in implementing
the filters are detailed in the report by Radhika and Manohar [41].
These filters lead to the determination of p (xk |y1:k ) and hence the
moments ak|k and Σk|k . These, in turn, serve as the starting point for
estimating posterior PDFs of extremes of system states based on a
statistical analysis of samples of time histories of system response.
7. Extreme value analysis of nonlinear system response
 The analysis here is based on the assumption that Ps =
P maxk0 <k≤N hk {xk } < α|yk0 :N can be approximated by Ps =
P maxk0 <k≤N hk ak|k < α|yk0 :N . It must be noted that the
  
probability measure here is being assigned on the ensemble of
response realizations corresponding to realizations of excitation
p(t ). The realization of conditional expectation ak|k , corresponding
to a realization of p(t ), is obtained by using one of the state
estimation methods [41]. Thus, for a set of realizations of p(t ),
Ns
denoted by p(e) (t ) e=1 , an associated ensemble of estimates of

Ns
(e)
n o
system states, denoted by ak|k , can be obtained. This, in turn,
e=1
can be utilized to obtain the ensemble of system performance
n 

function hk ak|k . We denote this ensemble as h ak|k . The
e=1
problem of estimating the probability defined in Eq. (4) now
could be addressed statistically based on the available ensemble
oNs
(e)
n 
h ak|k . A brute force Monte Carlo simulation approach
e=1
(34)
;
(36)
Fig. 1. Sample realization of a random process with the extremes marked.
involving simulations with sufficiently large value of sample size
Ns would, at least in principle, provide a means to solve this
problem. However, if the probability measure of interest is small,
this approach would require significant computational time. This
difficulty could be mitigated, again, in principle, by adopting Monte
Carlo simulations with suitable variance reduction schemes. In the
present context, however, the method to choose the associated
importance sampling density functions is not evident. We proceed
further in this study by adopting a data based extreme value
analysis procedure. This is based on the assumption that the
peaks of system response lie in the basin of attraction of one of
the classical extreme value distributions, viz., Gumbel, Frechet, or
Weibull PDF. Based on the analysis of peaks in a few samples of
system response we first identify the actual basin of attraction to
which the peaks belong to. This is followed by a further analysis
that estimates the parameters of the identified extreme value
PDF.
A requirement
 for the application of this procedure is that the
process hk ak|k is stationary. This, as has been seen for linear
systems, is not true presently, since ak|k possesses
 a time varying
mean. We proceed further by restricting hk ak|k to be a linear
function of ak|k and assume that the component
oNs n  oNs n  o 
Ns
(e)
= h a(ke|k) − E h a(ke|k)
n 
hs ak|k (37)
e=1 e=1 e=1
can be treated
 as being stationary. The PDF of the peaks of the
(e)
function hs ak|k is taken to lie in the basin of attraction of
Weibull,
  Gumbel or Frechet PDFs. Based on a few samples of
(e)
hs ak|k , and using the hypothesis test as proposed by Hasofer
and Wang [14], we first identify the extreme value
 PDF  to whose
s (e)
basin of attraction the PDF of extremes of h ak|k belong to.
Once the type of the extreme value PDF is identified, we use
oNs
(e)
n 
samples of extremes over the specified duration of hs ak|k
e=1
and estimate the parameters of the relevant extreme value PDF.
The steps in implementing the Hasofer–Wang hypothesis test are
as follows:
oNs
(e)
(a) Determine

the number of extremes (Ñ) in the given sample
hs ak|k corresponding to time duration T . Arrange the
extremes in descending order hs ≥ hs ≥ · · · ≥ hs (see
1:Ñ 2:Ñ Ñ :Ñ
Fig. 1 which shows a typical realization of a random process
with the extremes marked on it).
 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405 399

Table 1
Upper and lower percentage points for W in the Hasofer and Wang hypothesis test (from [14]).
Sample size k Percentage level
Lower tail (WL ) Upper tail (WU )
0.01 0.025 0.05 0.10 0.10 0.05 0.025 0.01

13 333.8 395.6 457.7 538.4 1599.5 1827.5 1998.5 2204.6

14 305.6 361.2 416.3 489.6 1406.3 1589.4 1749.6 1934.4
15 288.1 339.4 389.3 456.5 1275.6 1450.4 1596.2 1768.1
16 272.8 321.3 368.8 431.5 1183.3 1334.9 1469.4 1629.5
17 258.6 306.0 349.6 407.7 1095.0 1234.7 1357.9 1508.3
18 247.4 290.2 332.0 386.5 1017.1 1143.9 1259.7 1397.7
19 237.1 277.6 316.6 368.5 950.4 1064.5 1171.1 1301.4
20 226.9 265.4 302.5 350.7 888.8 997.3 1096.5 1220.9
21 217.7 255.0 289.1 333.6 836.0 938.1 1027.2 1145.8
22 210.1 244.9 278.3 321.0 787.3 881.9 968.7 1077.2
25 189.4 219.3 248.8 285.4 672.1 747.4 821.1 910.8
30 165.0 189.2 212.6 241.7 535.5 593.6 650.7 719.9
40 131.7 149.5 166.1 186.4 377.1 413.6 451.5 497.0
50 110.4 124.1 136.6 151.8 289.5 316.5 340.2 371.1
60 96.4 106.9 116.6 128.8 232.9 253.8 270.8 293.3
80 76.5 84.2 91.0 98.9 168.4 179.9 190.7 205.5
100 63.6 69.2 74.3 80.2 129.6 138.4 146.4 155.5
200 35.4 37.6 39.9 41.9 59.4 62.2 64.8 68.1
500 16.3 16.9 17.4 18.0 22.6 23.2 23.8 24.5

(b) Select the top k̃ values hs ≥ hs2:Ñ ≥ · · · ≥ hsk̃:Ñ with k = in extreme value analysis, a brute force Monte Carlo simulation
1:Ñ
strategy is adopted in which a large ensemble of performance
p
1.5 Ñ, and determine the test statistic W̃ using
functions is generated by assimilating the measurements into the
k̃(H̄ − Hk̃:Ñ )2 relevant mathematical model using one of the filtering tools. Sim-
W̃ = " #, ulation results on unconditional PDF of extremes are also included
k̃
2
(k̃ − 1)
P
Hi:Ñ − H̄ for sake of reference; in a similar vein, where possible, the uncondi-
i =1 tional PDFs for the extremes of the response based on level crossing
! theory are also provided.
k̃
P
Hi:Ñ
i =1
8.1. Linear single-degree-of-freedom system subject to filtered white
where H̄ = . (38) noise excitation
k̃
(c) The value of the test statistic W = 104 W̃ is compared with We first consider a linear single-degree-of-freedom (sdof)
the upper and lower percentage points (WU and WL ) given in system subject to filtered white noise excitation F (t ). The
Table 1 for the chosen significance level. governing equation here is given by
(d) The domain of attraction is ascertained to be Gumbel or
ẍ(t ) + 2ηωẋ(t ) + ω2 x(t ) = F (t ) + ζ (t )
Weibull or Frechet at the chosen significance level, as follows: (39)
Ḟ (t ) + β F (t ) = W̄ (t ).
(i) W > WU : accept the hypothesis that the data belongs to
the domain of attraction of Weibull distribution. Here W  (t ) is a Gaussian
 white noise excitation with zero mean
(ii) WU > W > WL : accept the null hypothesis that the and E W̄ (t )W̄ (t + τ ) = σ12 δ (τ ), η is the damping coefficient,
data belongs to the domain of attraction of Gumbel ω is the natural frequency of the system, and ζ (t ) is the process
distribution. noise modeled as a Gaussian white noise with zero mean and
(iii) W < WL : accept the hypothesis that the data belongs to E [ζ (t )ζ (t + τ )] = σ22 δ (τ ). The analysis in this section is based
the domain of attraction of Frechet distribution. on the application of the Kalman filter for state estimation. By
recasting the above equation as an SDE, the discretized equations
Once the basin of attraction is identified, we statistically estimate t  t
of motion, with states x1k x2k x3k = F (tk ) x (tk ) ẋ (tk )

the parameters of the associated ,
 extreme value PDF from the
are obtained as
s(e) (e)

samples hmax = maxk0 <k≤N hs ak|k for e = 1, 2, . . . , Ns . An
1
x1k+1 = x1k + a1k ∆ + L0 a1k ∆2 + L1 a1k ∆Z 1 + L2 a1k ∆Z 2

approximation to the extreme of hk ak|k is next obtained based on
    2
the premise that maxk0 <k≤N hk ak|K ≈ maxk0 <k≤N E hk ak|K +
σ1 1
x2k+1 = x2k + a2k ∆ + ∆W 1 + L0 a2k ∆2
s

maxk0 <k≤N hk ak|K .
m1 2 (40)
+ L1 a2k ∆Z 1 + L2 a2k ∆Z 2
8. Numerical illustrations
1
x3k+1 = x3k + a3k ∆ + L0 a3k ∆2 + L1 a3k ∆Z 1 + L2 a3k ∆Z 2
For the purpose of illustration, we consider a few lin- 2
ear/nonlinear oscillators and apply the procedure described in the with
preceding sections by using synthetically simulated measurement
data. The range of nonlinear behaviour considered includes mem- L0 a1k = −β a1k , L1 a1k = −βσ1 , L2 a1k = 0
oryless and hereditary nonlinearities. Measurements which could L0 a2k = a3k ; L1 a2k
= 0; = σ2 ; L2 a2k
be nonlinear functions of the system states are considered. The (41)
L0 a3k a1k a2k −ω + ak (−2ηω) ,
32


models for external excitations include white as well as mean- = +
square bounded random excitations. To validate the steps involved L1 a3k = σ1 , L2 a3k = σ2 (−2ηω) .
400 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405

In the numerical work we take η = 0.2, ω = 2π rad/s, β =

0.2, σ1 = 10 N, σ2 = 0.1 N, T = 50.0 s, t0 = 5 s and ∆ =
0.0250 s.

8.1.1. Case 1
Here we take measurements to be made on x(t ) and ẋ(t )
leading to the measurement equations

y1 (tk ) = x2k + ν1k

(42)
y2 (tk ) = x3k + ν2k .
The applied excitation F (t ) is taken to be not measured and
the performance function is defined in terms of permissible
displacement of the system. It is assumed that standard deviations
of ν1k and ν2k are 0.0419
h i m andh0.0762 i m/s, respectively. hFig. 2i
(2) (3) (2)
shows the plots of E ak|k and E ak|k ; similar plots for Var ak|k
(3)
h i
and Var ak|k are shown in Fig. 3. It is indicative from these
(2) (3)
figures that ak|k
and ak|k have time varying means and random
components which become stationary for large values of time. The
time variation of the mean (Fig. 2) is of steady state nature; that
is, the function neither goes to zero nor grows to large values
as time becomes large. Also shown in Fig. 2 are the measured
(2) (3)
displacement and velocity responses and ak|k and ak|k obtained
during the measurement step. It is apparent
h i from hthis figure that
(2) (3)
i
the time varying mean components E ak|k and E ak|k arise out
of measurements made on the system response. Results on PDF
of extremes are obtained using the following four alternatives:
(a) method 1: result based on level crossing approximation that
employs analytical model for pZ ,Ż z̃ , z̃˙ ; t |y (τ ) , 0 < τ ≤ t (see
x̂i x̂i
Section 4.1); (b) method 2: result based on data based extreme
value analysis (Section 7); (c) method 3: Monte Carlo simulations
(2)
on 5000 samples of ak|k ; (d) method 4: the unconditional extreme
value PDF of x(t ) when no measurements are available; this is
obtained using a 5000 samples Monte Carlo simulations. The
results are shown in Fig. 4. In implementing  method 2, the
 W
statistic was computed to be 641.106 Ñ = 105, k̃ = 15 and, Fig. 2. Example in Section 8.1.1; Expectation of conditional mean of system
(i)
responses (a) displacement (b) velocity; ak|k (i = 2, 3) refers to the estimate of the
when compared with the reference values in Table 1, the domain system responses corresponding to the measurements yi (tk ) ; i = 1, 2.
of attraction of extremes was ascertained to be Gumbel at 5%
significance level. The parameters of Gumbel distribution was
(2)
estimated using 500 samples of ak|k . Fig. 5 shows the influence of
sample size in estimation of parameters of Gumbel distribution
and it may be inferred that a sample size of 500 provides
satisfactory estimate of model parameters. The broad agreement
between results from methods 1, 2 and 3 can be discerned from
Fig. 4. More refined results from level crossing theory can be
obtained by considering effects due to one step memory of level
crossings and correction due to clumping of level crossings in
realization of narrow band processes. Similarly, results from Monte
Carlo simulations could be improved by using larger number of
samples.

8.1.2. Case 2
This case is similar to Case 1 except that here we assume that the
sample time history of applied force F (t ) is also measured. Further
samples of F (t ) are now obtained using a conditional simulation
strategy. The process equation here remains similar to Eq. (40) but Fig. 3. Example in Section 8.1.1; Variance of conditional mean of system
(2) (3 )
the measurement equation reads displacement ak|k and velocity ak|k responses.

y1 (tk ) = x1k + ν1k

The noise processes ν1k , ν2k and ν3k are taken to be zero mean,
y2 (tk ) = x2k + ν2k (43) independent Gaussian sequences with standard deviation of
y3 (tk ) = x3k + ν3k . 1.7225 N, 0.0427 m and 0.0856 m/s, respectively. The results on
 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405 401

Fig. 4. Example in Section 8.1.1; Conditional PDF of extremes of the hidden Fig. 6. Example in Section 8.1.2; Conditional PDF of extremes of the hidden
displacement variable using methods 1–4. displacement variable; Case: 1—when the force is not measured (Section 8.1.1);
Case: 2—when the force is measured (Section 8.1.2).

Fig. 7. Example in Section 8.1.3; Conditional PDF of extremes of the hidden

displacement variable; Case: 1—when the force is not measured (Section 8.1.1);
Fig. 5. Example in Section 8.1.1; Estimation of parameters of Gumbel distribution Case: 3—when the measurements are sampled at twice the discretization time
with different sample sizes; parameter λ: λ1 for displacement; λ2 for velocity and interval of the process equation (Section 8.1.3).
parameter δ : δ1 for displacement; δ2 for velocity.

extreme value PDF is obtained using data based extreme value

analysis (Section
 7). The analysis in this case yielded
 Gumbel model
for the PDF W = 767.395, Ñ = 101, k̃ = 15 at 5% significance
level. Fig. 6 compares resulting Gumbel PDF with corresponding
results for the case when F (t ) was not measured (previous
section).
Fig. 8. System considered in Examples 8.2 and 8.3.

8.1.3. Case 3
As has been noted already, one of the assumptions that has
been made is that the sampling interval used in measurements
and step size used in discretizing the governing SDEs coincide.
This assumption has simplified the presentation of the details
of formulary. However, in implementing the method, this is
not a restrictive assumption. To illustrate this, we consider
here the problem in Section 8.1.1 (Case 1) with the time step
in measurement equations being twice the step size used for
discretizing the governing SDE. Fig. 7 compares results on extreme
value PDF of displacement (Gumbel model at 5% significance level:
W = 537.734, Ñ = 240, k̃ = 23) with corresponding result from
Case 1. Both these results are based on data based extreme value
analysis.
8.2. Duffing’s system with 2-dofs
Here we consider the system shown in Fig. 8. When the springs
are taken to have cubic force–displacement characteristics, the
governing equation for the system can be obtained as
m1 ü1 + k1 u1 + k2 (u1 − u2 ) + c1 u̇1 + c2 (u̇1 − u̇2 )
+α1 u31 + α2 (u1 − u2 )3 = p1 (t ) + w1 (t )
(44)
m2 ü2 + k2 (u2 − u1 ) + k3 u2 + c2 (u̇2 − u̇1 ) + c3 u̇2
+α2 (u2 − u1 )3 + α3 u32 = p2 (t ) + w2 (t ).
Here p1 (t ) and p2 (t ) are externally applied forces that are modeled
as a pair of independent, zero mean, stationary, Gaussian random
processes with auto-power spectral density functions (psdfs) and
402 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405

auto-covariance functions (acfs) given respectively by

π 2 ω2
r  
Sii (ω) = Pi exp − ;
βi 4βi (45)
Rii (τ ) = Pi2 exp −βi τ 2 ; i = 1, 2.

Clearly, the random processes p1 (t ) and p2 (t ) are mean-square

bounded and, also, it can be verified that the processes are
differentiable in the mean-square sense to any desired order. The
functions w1 (t ) and w2 (t ) are zero mean, mutually independent
Gaussian white noise processes with E [wi (t )wi (t + τ )] =
σi2 δ (τ ) ; i = 1, 2. We assume that the system starts from rest.
Also, we take that, when the nonlinearities are absent, the damping
matrix is classical so that the two modes will have damping ratios
of η1 and η2 . By interpreting Eq. (44) as a set of Ito SDEs with
 t
state vector given by x = u1 u̇1 u2 u̇2 , and by using the
1.5 order strong Taylor’s scheme (Eq. (25)), the discretized map Fig. 9. Example in Section 8.2.1; Correlation coefficient of random component of
of the states is obtained [41]. In further work we take that the conditional mean of displacement response u2 (t ); τ0 = 0.0210 s.
samples of p1 (t ) and p2 (t ) are simulated using a truncated Fourier
representation [42] as

ñ
X
pi ( t ) = aij cos ωj t + bij sin ωj t ; i = 1, 2
 
(46)
j =1

ñ
aij , bij j=1 ; i = 1, 2 are a set of zero mean, mutually

where
independent Gaussian random variables with ha2ij i = hb2ij i =
R ωj+1
σij2 = ωj Sii (ω) dω. In the first step of the present analysis, we
need to assimilate the measured data into the mathematical model
for given realizations of p1 (t ) and p2 (t ). This can be achieved in
implementation by carrying out the assimilation for fixed values
ñ
of aij , bij j=1 ; i = 1, 2. In the numerical work it is assumed that


m1 = 10 kg, m2 = 15 kg, k1 = 1 kN/m, k2 = 2 kN/m, k3 =

1.5 kN/m, η1 = η2 = 0.05, P1 = 100 N, P2 = 200 N, α1 =
2 N/m3 , α2 = 4 N/m3 , α3 = 5 N/m3 , β1 = 10, β2 = 20, σ1 =
0.01 N, σ2 = 0.02 N, T = 32.0 s, t0 = 10 s and ∆ = 0.0210 s.
8.2.1. Case 1
Here we consider the system in Eq. (44) and take the
measurement model to be given by y (tk ) = x1k + νk . The
measurement noise is assumed to have a standard deviation
of 0.0310 m. Thus, in this example, we have nonlinear process
equation and linear measurement model with additive Gaussian
noises. The filtering problem here is not amenable for solution
via the Kalman filter, while the SIS filter and the bootstrap
filters are applicable. We consider the problem of estimating the
extreme value PDF of u2 (t ) conditioned on the measurements on
u1 (t ) using the method described in Section 7. In implementing
the filters, 200 particles were used for SIS and bootstrap filters.
The expectation of conditional mean of displacement response
(3)
u2 (t ) (ak|k ) is verified to have a time varying mean. The estimate
(3) (3)
h i
of the correlation coefficient of ak|k − E ak|k , denoted by
ρ (tr , tr + τ ), is shown in Fig. 9 for different values of tr and τ .
These estimates are obtained using 5000 sample Monte Carlo
simulation and it may be inferred that the process has a random
component that becomes stationary as time becomes large.hUsing
(3)
i
the Hasofer and Wang hypothesis test on peaks in ak|k − E ak|k ,
the domain of attraction of the extremes was determined to be
Gumbel at 5% significance level (data from SIS filter: Ñ = 35, k̃ =
9, W = 1224.916; data from bootstrap filter : Ñ = 73, k̃ =
13, W = 1060.412). The parametersh iof the PDFs were estimated
(3) (3)
using 1000 samples of ak|k − E ak|k and the resulting PDFs for
Fig. 10. Example in Section 8.2.1; Conditional PDF of extremes of the hidden
variable u2 (t ) based on SIS and bootstrap filter estimates; Uncond-MCS refers to
PDF of extremes of u2 (t ) when no measurements are available.
displacement response are shown in Fig. 10. For sake of reference
the unconditional PU2,max (α) using 5000 sample brute force Monte
Carlo simulation is also shown on this figure. It may be noted that
the estimation of PU2,max (α|y1:N ) based on brute force Monte Carlo
approach in this case requires prohibitive computational effort and
this has not been attempted here.
8.2.2. Case 2
Here we consider the system as in the case 1 (Section 8.2.1)
except that we now consider the reaction transferred to the left
support as the quantity being measured. Thus the measurement

3
equation is obtained as y (tk ) = k1 x1k + c1 x2k + α1 x1k + νk ;
k = 1, 2, . . . , N where, standard deviation of νk is 31.1134
N. This would mean that both the process and measurement
equations here are nonlinear in nature and, consequently, we
employ the bootstrap filter to estimate the hidden variables. Again,
we focus attention on estimating the extreme value PDF of u2 (t )
now conditioned on the measurements on the reaction R1 (t ).
(3)
(3)
It was verified that the response ak|k had a time varying mean
and a random component that can be taken to be stationary for
large times.
h iThe W -statistic of the Hasofer–Wang test on data on
(3) (3)

ak|k −E ak|k was obtained as 1044.046 Ñ = 73, k̃ = 13 leading
to the acceptance of the Gumbel model for the extremes at 5%
significance level. Following the estimation of parameters of the
 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405
Fig. 11. Example in Section 8.2.2; Conditional PDF of extremes of the hidden
variable u2 (t ) based on bootstrap filter estimates; Uncond-MCS refers to PDF of
extremes of u2 (t ) when no measurements are available.
(3) (3)
h i
Gumbel PDF using 1000 samples of estimates of ak|k − E ak|k , the
(3)
conditional PDF of extremes of ak|k is obtained and this is shown
in Fig. 11 along with the unconditional PU2,max (ᾱ) estimated using
5000 samples.
8.3. Hysteretic nonlinear mdof system under white noise excitations
Here we consider systems with hereditary nonlinearities and
demonstrate how measurements from more than one sensor
could be assimilated within particle filtering strategy. Towards
realizing this goal we again consider the system shown in Fig. 8
with the modification that the spring k3 is now modeled as
possessing memory dependent nonlinear characteristics fashioned
after Bouc’s model [43]. The springs k1 and k2 are taken to possess
cubic force–displacement characteristics. Thus, this system can be
considered to be archetypal of a structure with both geometric
and material nonlinearities. The excitations p1 (t ) and p2 (t ) are
modeled as a pair of zero mean, stationary, Gaussian random
processes with auto-psds and acfs given respectively by
σp2i
Sii (ω) = ; and Wang
ᾱi2 + ω2
Rii (τ ) = σp2i /2ᾱi exp (−ᾱi |τ |) ; i = 1, 2.


We obtain samples of p1 (t ) and p2 (t ) as steady state outputs of
linear systems driven by white noise inputs. Accordingly, we get
the governing equations as
m1 ü1 + c1 u̇1 + c2 (u̇1 − u̇2 ) + k1 u1 + α1 u31
+k2 (u1 − u2 ) + α2 (u1 − u2 )3 = p1 (t ) + w1 (t )
m2 ü2 + c2 (u̇2 − u̇1 ) + c3 u̇2 + k2 (u2 − u
1 )
+α2 (u2 − u1 )3 + k3 λ̄u2 + k3 z̄ 1 − λ̄ = p2 (t ) + w2 (t )
z̄˙ = −γ |u̇2 |z̄ |z̄ |n̄−1 − β u̇2 |z̄ |n̄ + Au̇2 + w3 (t )
ṗ1 + ᾱ1 p1 = w4 (t )
ṗ2 + ᾱ2 p2 = w5 (t ).
Here z̄ is an internal state variable which imparts memory
dependence to the force–displacement characteristic of spring
k3 and, by assigning different values to the model parame-
ters λ̄, γ , n̄, β and A, different shapes of the hysteresis loops
could be obtained [43]. The noise terms {wi (t )}5i=1 are taken
to be independent and to have zero mean and hwi (t )wi (t +
τ )i = σi2 δ (τ ) ; i = 1, 2, . . . , 5. We now interpret Eq. (48)
as an Ito SDE with the state vector given by x(t ) = {u1 (t ) u̇1 (t ) u2 (t )
403
u̇2 (t ) z (t ) p1 (t ) p2 (t )}t and subsequently obtain the discretized
set of equations using Eq. (25). In the first step of the solution pro-
cedure, we need to assimilate the measurements for given real-
izations of the processes p1 (t ) and p2 (t ). This is achieved in the
numerical work by assimilating measurements for fixed values of
numerically simulated values of random variables which originate
from the discretization of the random processes p1 (t ) and p2 (t )
(see [41] for details). It may also be noted that the discretized set
of state equations contain Dirac’s delta functions. Their presence
is indicative of the fact that the drift term in Eq. (48) has modu-
lus function of the form |z̄ | which is non-differentiable at z̄ = 0.
Even though the event z̄ = 0, has a measure zero of occurrence,
its occurrence is ideally required to be detected when the solu-
tions are sought in the strong form. The theory behind detection
of such events, in the context of SDEs, appears to be still an open
area of research and we have not addressed this issue in our work.
Therefore, in the numerical work, we either altogether drop these
terms or, alternatively, replace the Dirac delta function by a Gaus-
sian probability density function with zero mean and arbitrarily
small standard deviation. It was observed in the numerical stud-
ies that the estimates of the states and the estimate of parame-
ter were not notably influenced by this choice. In the numerical
work we take m1 = 1.0 kg, m2 = 1.5 kg, k1 = 0.1 kN/m, k2 =
0.2 kN/m, k3 = 0.15 kN/m, η1 = η2 = 0.05, α1 = 2, α2 = 4, λ̄ =
0.05, γ = 0.5, β = 0.5, A = 1, n̄ = 3, ᾱ1 = 10, ᾱ2 = 20, T =
15.6 s, t0 = 2 s, ∆ = 0.0042 s, σ1 = 0.01 N, σ2 = 0.02 N, σ3 =
0.01 N, σ4 = 10.0 N and σ5 = 20.0 N. The measurements are as-
sumed to be made on u1 (t ) and R1 (t ) leading to
y1 (tk ) = x1k + ν1k (49)
1 3
y2 (tk ) = k1 x1k + k1 xk + c1 x2k + ν2k .


(50)
The question of estimating the conditional extreme value PDF
(3)
of ak|k (i.e., displacement at 2nd dof) over duration of 13.6 s
is considered. The standard deviations of the two measurement
noises are taken to be 0.0037 m and 0.3741 N, respectively.
The problem on hand is tackled h using bootstrap filter with
i
(3) (3)
200 particles. The results on E ak|k and covariance of ak|k −
(3) (3)
h i
E ak|k again indicated that ak|k could be construed as a random
process with time varying mean and a random component that
becomes stationary as time becomes large. Based on the Hasofer
(47) h test,
i the hypothesis that the domain of attraction of
(3) (3)
ak|k − E ak|k is Gumbel was acceptable at 5% significance level
 
Ñ = 893, k̃ = 45, W = 239.703 . Fig. 12 shows the conditional
(3)
PDF of extremes of ak|k obtained using 800 samples. For sake of
(3)
comparison, the results on PDF of extremes of ak|k are also provided
when measurements are taken to include only displacement
(Eq. (49)) and only the reaction transferred to the left support
(Eq. (50)). Clearly, the estimate of the conditional extreme value
PDF, and hence the updated reliability of the system, is significantly
(48)
influenced by the details of measurements made.
8.4. System with tangent stiffness under white noise excitation
In the previous examples it was observed that the Gumbel
model emerged as the acceptable PDF for modeling the extremes.
This may not always be the case. In order to illustrate this we
consider an sdof system with tangent stiffness with the governing
process equation of the form
2d0 ω2 πu
 
ü + 2ηωu̇ + tan = p(t ) + w(t ) (51)
π 2d0
404 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405

Fig. 12. Example in Section 8.3; Conditional PDF of extremes of the hidden
Fig. 13. Example in Section 8.4; The exact pdf of the displacement in the steady
variable u2 (t ) based on bootstrap filter estimates; model 1: measurement on
state for a system under white noise excitation (based on [44]).
R1 (t ) and u1 (t ); model 2: measurement on u1 (t ) alone; model 3: measurement on
R1 (t ) alone.

where η is the damping coefficient and ω is a frequency-like

parameter. The motion of such system is bounded between
(−d0 , d0 ) and, consequently, Gumbel models are unlikely to be
acceptable for the extremes of displacement response especially
for large levels of excitation. In the present study we consider the
excitation p (t ) also to be a white noise and obtain the governing
 t
discretized equations for the system states x = u u̇ using
Eq. (25) [41]. In the rest of the formulation the following notations
are used:
hp(t )p(t + τ )i = σ 2 δ (τ ) ; hw(t )w(t + τ )i = σ̄ 2 δ (τ ) ;
σ2 4d20 (52)
σ02 = and n0 = .
4ηω2 π σ
2 2
0
The response of this system under white noise excitations
has been studied earlier by Klein [44] by using Fokker–Planck
equation approach and the results on the steady state pdf of
u(t ) for different values of system parameters are shown in Fig. 14. Example in Section 8.4; Conditional PDF of extremes of the hidden variable
u2 (t ) based on bootstrap filter estimates; Uncond-MCS refers to PDF of extremes of
Fig. 13. The bounded nature of system response is clearly evident u2 (t ) when no measurements are available.
from this figure. It can be shown that as n0 → ∞, the pdf of the
displacement approaches a uni-modal Gaussian-like distribution,
Gumbel and Weibull models were fitted for the extreme value PDF
and, as n0 → 0, it approaches a near rectangular distribution
and these results are shown in Fig. 14. For sake of reference, the
(Fig. 13). It may thus be expected that the extremes of the
estimate of unconditional PDF of extreme of u(t ) over 25 s using
displacement response here could be Gumbel for large values of
5000 samples Monte Carlo simulation is also shown in this figure.
n0 and Weibull for smaller values of n0 . In the present study
we consider the problem of estimating the extreme value PDF
(1) 9. Discussion and closing remarks
of ak|k (i.e., displacement) when measurements have been made
on the velocity response u̇(t ). As in the previous example, we
Monte Carlo simulation based Bayesian filtering tools offer
note that in the first step of the solution procedure, we assimilate
effective framework to assimilate measured data into postulated
the measurements for fixed values of the random variables that
mathematical models for existing structures. These tools have
originate from the excitation p(t ) afterh discretization (see [41]
wide ranging capabilities that include capability to treat structural
(1)
i
for details). Also, it was verified that E ak|k had a time varying nonlinearities, nonlinear measurement models, imperfections in
(1) (1) mathematical models and measurements, non-Gaussian nature
h i
mean and ak|k −E ak|k could be approximated as being weakly
of uncertainties, and spatially incomplete measurements. They
stationary. In the numerical work it is assumed that η = 0.05, ω = have great promise for application in the area of structural health
2π rad/s, σ = 10.0 N, σ̄ = 0.01 N, n0 = 1, T = 30.0 s and t0 = monitoring—a potential that is yet to be fully explored in the field
5 s; the standard deviation of the measurement noise is taken of structural engineering research.
to be 1.0908 m/s. The state estimation problem here is tackled The present paper utilizes these tools, in conjunction with
using bootstrap filter with 200 particles.
h i The results of Hasofer and statistical methods for extreme value analysis, to develop a
(1) (1) strategy to update the time variant reliability of existing nonlinear
Wang hypothesis test on ak|k − E ak|k , depending on the samples
dynamical systems based on assimilation of noisy measurements.
used, favored the possibility that the domain of attraction of the
(1) The limit states considered in the study depend on measured
extremes of ak|k to be Gumbel or Weibull. Consequently, based on and (or) unmeasured response quantities and are taken to be
(1)
a sample of 800 realizations of extremes of ak|k over 25 s, both linear functions of system states. The study treats the governing
 B. Radhika, C.S. Manohar / Probabilistic Engineering Mechanics 25 (2010) 393–405
differential equations as a set of stochastic differential equations
and employs Ito–Taylor expansion to discretize the process
equations. This results in acceptable modeling of strong forms
of response random processes—a feature that is crucial for
application of data based extreme value analysis. The external
excitations are modeled as random processes with known
model parameters. This enables simulation of ensemble of these
excitations. When the excitations are also measured, the samples
of excitations are obtained based on conditional simulations. The
illustrative examples considered include systems with geometric
and (or) material nonlinearities. The models for random excitations
considered include filtered white noise models as well as
excitations that are differentiable to any desired order.
The following are the main findings of this study:
1. The conditional expectation of the response (ak|k ) can be viewed
as a random process with each of its realization corresponding
to a realization of the external forces. This random process is
shown to have a time varying mean and a random component
which can be approximated as being weakly stationary. The
time varying nature of the mean essentially originates from the
assimilation of the measured responses.
2. A conservative bound on the updated model for the PDF
of extreme response can
 be obtained by making   the as-
sumption maxk0 <k≤N hk ak|K ≈ maxk0 <k≤N E hk ak|K +
 Berlin: Springer; 1992.
maxk0 <k≤N hsk ak|K .
3. For linear state space models with additive Gaussian noises an
approximate analytical solution to the problem of reliability
model updating can be obtained by using theory of level
crossings of Gaussian random processes.
4. Gumbel models for extremes are found to be generally
acceptable although the illustration in Section 8.4 presents an
example in which response is bounded and hence Weibull
models for extremes become appropriate.
The present study has involved illustrations in which the
measured data are synthetically simulated. While this strategy
helps to demonstrate the acceptable performance of the proposed
methods, it is clearly required to test the methods by applying
them to laboratory and field applications. This also calls for
treatment of more elaborate models for structural behaviour
based, for example, on finite element method. These aspects of the
work are being currently researched upon by the present authors.
The present study has assumed that the user would be able to
specify the numerical values for the covariance matrices of process
and measurement noises which appear in the state estimation
problem. The selection of these covariances is indeed a practical
problem and the success of the dynamic state estimation technique
depends upon the correct tuning of these parameters. This calls
for engineering judgment on confidence that can be placed on the
mathematical model, assessment of electronic noise in the sensor
and accuracy of sensor calibration. In principle, these parameters
could also be identified in the identification step which is assumed
to precede the considered problem of reliability model updating.
This, again calls for further work.
Acknowledgements
We thank the reviewers for helpful comments.
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