Harmonic transform-based non-parametric density estimation method for forward uncertainty propagation and reliability analysis

Abstract

Reconstructing the probability density function (PDF) of the limit state function (LSF) is regarded as a non-intrusive method for forward uncertainty propagation and reliability analysis. In this paper, a novel non-parametric density estimation method is proposed to derive the unknown distribution of the LSF for this purpose, where the efficiency and accuracy are ensured. The main innovation of the paper is to derive the PDF of the LSF via a novel concept, i.e., the harmonic transform, regardless of the complexity of the problem. First, the non-parametric method for PDF estimation based on complex fractional moments/Mellin transform is briefly revisited, where the limitations are also pointed out. Inspired from Mellin transform, the concept of harmonic transform is put forward, which overcomes the disadvantages of Mellin transform. Then, the unknown PDF is recovered via the inverse harmonic transform, where the analytical formula is derived accordingly. Numerical estimation method is also given for practical implementations, where some critical issues are also pointed out. Detailed step-by-step procedures of the proposed method are also outlined. The proposed method is a non-parametric one since it does not require a distribution model in advance. Some commonly-used distributions are first applied to validate the efficacy of the proposed method. Then, four numerical examples involving different types of problems are extensively investigated to validate the proposed method for forward uncertainty propagation and reliability analysis. The results demonstrate that the proposed method is effective for deriving the PDFs for both static and dynamic reliability analyses with nonlinear explicit or implicit LSFs.