Probability estimation: directional simulation

In this example we estimate a failure probability with the directional simulation algorithm provided by the DirectionalSampling class.


The directional simulation algorithm operates in the standard space based on:

  1. a root strategy to evaluate the nearest failure point along each direction and take the contribution of each direction to the failure event probability into account. The available strategies are:

    • RiskyAndFast

    • MediumSafe

    • SafeAndSlow

  2. a sampling strategy to choose directions in the standard space. The available strategies are:

    • RandomDirection

    • OrthogonalDirection

Let us consider the analytical example of a cantilever beam with Young modulus E, length L and section modulus I.

One end is built in a wall and we apply a concentrated bending load F at the other end of the beam, resulting in a deviation:

d = \frac{F L^3}{3 E I}

Failure occurs when the beam deviation is too large:

d \ge 30 (cm)

Four independent random variables are considered:

  • E: Young’s modulus [Pa]

  • F: load [N]

  • L: length [m]

  • I: section [m^4]

Stochastic model (simplified model, no units):

  • E ~ Beta(0.93, 2.27, 2.8e7, 4.8e7)

  • F ~ LogNormal(30000, 9000, 15000)

  • L ~ Uniform(250, 260)

  • I ~ Beta(2.5, 1.5, 3.1e2, 4.5e2)

from __future__ import print_function
import openturns as ot

Create the marginal distributions of the parameters.

dist_E = ot.Beta(0.93, 2.27, 2.8e7, 4.8e7)
dist_F = ot.LogNormalMuSigma(30000, 9000, 15000).getDistribution()
dist_L = ot.Uniform(250, 260)
dist_I = ot.Beta(2.5, 1.5, 3.1e2, 4.5e2)
marginals = [dist_E, dist_F, dist_L, dist_I]

Create the copula.

RS = ot.CorrelationMatrix(4)
RS[2, 3] = -0.2
# Evaluate the correlation matrix of the Normal copula from RS
R = ot.NormalCopula.GetCorrelationFromSpearmanCorrelation(RS)
# Create the Normal copula parametrized by R
copula = ot.NormalCopula(R)

Create the joint probability distribution.

distribution = ot.ComposedDistribution(marginals, copula)

Create the model.

model = ot.SymbolicFunction(['E', 'F', 'L', 'I'], ['F*L^3/(3*E*I)'])

Create the event whose probability we want to estimate.

vect = ot.RandomVector(distribution)
G = ot.CompositeRandomVector(model, vect)
event = ot.ThresholdEvent(G, ot.Greater(), 30.0)

Root finding algorithm.

solver = ot.Brent()
rootStrategy = ot.MediumSafe(solver)

Direction sampling algorithm.

samplingStrategy = ot.OrthogonalDirection()

Create a simulation algorithm.

algo = ot.DirectionalSampling(event, rootStrategy, samplingStrategy)

Retrieve results.

result = algo.getResult()
probability = result.getProbabilityEstimate()
print('Pf=', probability)
Pf= 0.006013444566073901