International Review of Mechanical Engineering (I.RE.M.E.), Vol. 18, N.

3
ISSN 1970 - 8734 March 2024

Application of the Monte Carlo Method to Reliability Analysis

Abdelkader Djermane, Abdelmadjid Chabani

Abstract – Reliability is defined as the probability that an item or structure will perform a required
function for a specified period under defined conditions. The objective of reliability analysis
methods is to determine the probability of failure and/or the reliability index of structures, by taking
into account the uncertainties related to resistances and stresses (loads). With the very powerful
tools of probabilistic theory and ever-increasing calculation methods, reliability analysis methods
have shown their effectiveness in considering uncertainties. Many probabilistic methods that
efficiently calculate the probability of failure and/or the reliability index are frequently used in
engineering: the first order approximation methods FORM / FOSM (First Order Reliability Method
/ First Order Second Moment), the second-order approximation methods SORM / SOSM (Second
Order Reliability Method / Second Order Second Moment), the Rosenbleuth method (Point
Estimates Method) and the Monte Carlo (MC) simulation method, which notably makes it possible
to obtain the probability sampling failure of the input distributions. In this work, an application of
Monte Carlo simulation will be presented to evaluate the reliability of a retaining wall. The
triangular distribution is used to simulate random variables. The calculations and the simulations
have been carried out in Matlab. Copyright © 2024 Praise Worthy Prize S.r.l. - All rights reserved.

Keywords: Structural Reliability, Limit State Function, Probability of Failure, Monte Carlo
Simulation

Nomenclature to calculate the probability of failure, a limit state function

G(X) that depends on the n random variables X1, X2, …, Xn
X1, X2, …, Xn Random variables should be formulated, such that :
G(X1, X2, …, Xn) Limit state function
Pf Probability of failure ( )=0
Re = 1-Pf Reliability
Ea Active lateral force as random where X=(X1, X2, …, Xn) is a vector of n basic random
variable variables. The limit state function G(X)=0 separates two
R Resistance force as random variable situations: one of safety and one of failure. If G(X)>0, the
G(R, Ea)=R-Ea Limit state function structure is in safe state. If G(X) ≤ 0, it corresponds to the
Nf Number of failures state of failure. Therefore, the interest is to know the
fEa, fR, fG Probability density functions probability that the state function takes values less than
FEa, FR, FG Cumulative distribution functions zero, that is to say belonging to the failure domain. Then
U(0,1) Standard uniform distribution the probability of failure of a structure can be written: Pf =
u, x1, x2, …, xn Samples of random variables Prob({G(X)≤0}) and it can be evaluated with an n-fold
multiple integral over an complex domain [6]-[8]. In this
I. Introduction way, the failure probability Pf is defined as the probability
that G is in the unsafe state (G(X) < 0). The expression that
In the analysis and design of structures, the determines this probability is the multiple integral of the
fundamental problem of structural reliability is to ensure distribution of the random variable G, which, if an
that the resistance R will be greater than the load S adjusted analysis is required, can have a very difficult
throughout the useful life of the structure. The failure solution. Many effective techniques have been developed
occurs when the strength R is less than the applied load S to estimate probability of failure Pf (or the reliability=1-
[1]-[5]. Reliability is defined as the ability of an element Pf). Among these, two main classes of numerical
to perform its required function under given conditions techniques should be distinguished: methods based on
during a given time interval. Variables such as the external Monte Carlo simulation techniques and methods
load S and/or the resistance of the structure should be involving first and second order reliability approximations
considered as random variables with uncertainty. (FORM and SORM) [8]-[11]. Only the Monte Carlo
Randomness in loads and resistance causes the method will be presented, as it is the method used in this
existence of a probability of failure Pf. In order to be able work. For the calculation of limit state function G, m

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 A. Djermane, A. Chabani

samples of variables x1, x2, …, xn are generated randomly.

For each sample, the limit state function G(x) is
evaluated and the number of times G(x) less than or equal
to zero is noted (number of failures Nf). The ratio between
the total number of failures and the total number of
samples is used to estimate the probability of failure.
In Section II, the notions of structural reliability
analysis, the limit state function, the probability of failure,
the safety and failure domains will be discussed Fig. 1. Resistance and load probability density functions
respectively. In addition, currently existing structural
reliability analysis methods are described. Section III If these variables are independent, the joint density
presents what Monte Carlo simulation consists of. In this function ƒRS (r, s) is expressed by:
same section, the methods of generating random variables
while emphasizing the method of inverse transformation, ( , )= ( ) ( ) (3)
the generation of random samples of triangular
distribution will be discussed respectively. The algorithm The probability of failure becomes [7]:
for generating triangular random variables will also be
introduced. In Section IV, the results of the application of = [( − ) ≤ 0] = ∬ ƒ ( , ) (4)
Monte Carlo simulation to reliability analysis will be
presented. Very conclusive results have been obtained. where D is the failure domain. When the variables R and
This section has been divided into three parts. The first S follow Gaussian normal laws (Fig. 1), the limit state
(IV.1) and the second part (IV.2) have been devoted to the function G = R – S also follows a density normal law (Fig.
probabilistic analysis of the stability of a retaining wall. 2):
The limit state function and the safety factor have been
defined. Finally, in part IV.3 of this section, the simulation 1 1 −
( )= exp − (5)
results are presented and discussed. √2 2

whose mean µG and standard deviation σG are:

II. Structural Reliability Analysis
II.1. Concepts
μ =μ −μ , = +
In structural reliability studies, both loads S and
resistances R are modeled as probabilistic variables. The
where , , σR and σS are the mean values and the
probability associated with each one of them can be
variances of R and S. Then the failure probability is given
organized as a probability distribution, which can be
by (Fig. 3):
represented through a table, a graph or an equation.
Among the probability distributions used to solve
= ( − ≤ 0) = ( ≤ 0) =
engineering problems, there are the Poisson distribution,
the normal distribution, the rectangular distribution and (6)
= ( ) = (0)
the triangular distribution.
The limit state function G(R, S) can be written as a
safety margin G(R, S) = R – S. The scenario G(R, S) > 0 where fG(G) is the probability density function of G, FG(G)
describes the security of the structure, while G(R, S) < 0 is the cumulative distribution function of the variable G.
corresponds to a failure scenario. When it is equal to zero,
the structure is in a critical condition [12]-[15]. By using
this approach, the probability of failure of a structure can
be written:

= Prob({ − ≤ 0}) = Prob({ ( , ) ≤ 0}) (1)

The reliability of a structure is defined as the

complement of the probability of failure Pf according to
the following expression:

Reliability = 1 − (2)

It is supposed that the variables R and S are random

variables, admitting respectively the probability density
functions ƒR(r) and ƒS(s) (Fig. 1).
Fig. 2. The safety region and the failure regions

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 A. Djermane, A. Chabani

triangular distribution is used to simulate random

variables and the Monte Carlo method is applied to
reliability calculus. Equation (8) will be used.

III. Structural Reliability Analysis

by Monte-Carlo Simulation
III.1. Monte Carlo Simulation
The method consists of developing a random sampling
(generation of input random variables). For each sampling
of the random input variables to the system, the outputs
Fig. 3. Representation probability density are obtained [23].
function of G probability of failure Pf Then the limit state function is evaluated to conclude
whether the considered configuration is in the safe domain
Since it is a normal variable, it follows that:
or in the fault domain. The basic Monte Carlo simulation
method consists of the following steps:
= ( – ≤ 0) = ( ≤ 0) = (0) (7) 1. Define the problem in terms of all relevant random
variables;
which means that the probability can be calculated in 2. Specify the probability distributions for the relevant
different ways: random variables;
- ∫ ( ) (hatched surface area); 3. Generate values of the random variables from
- = (0) (the ordinate at the origin); uniformly and independently distributed random
numbers, according to their density function;
- = (Nf: Number of negative G values, N: Total
4. Evaluate the problem deterministically for each set of
number of values of G). realizations of all random variables. Calculate the
value of the limit state function determining if there is
II.2. Methods of Structural Reliability Analysis a failure or not (G(R, S) ≤ 0 or G(R, S) > 0);
5. Extract the probabilistic information by repeating steps
The study of structural reliability can be done according 3 and 4 for a sufficient number of samples and
to two types of methods: deterministic methods and realizations of the random variables [24]-[28].
probabilistic methods, which take their names according The probability of failure is determined as the quotient
to how the variables used in the problem are considered. between the number of failure cases, Nf with respect to the
total number of implementations N. The calculations of
II.2.1. Deterministic Methods the Pf values, which will be the subject of part IV.3.3, will
be based on the following expression:
In deterministic methods, the variables (resistance and
load) are considered as deterministic variables. They are
based on the calculation of the safety factor that consists = (8)
of taking the ratio between the average value of the
resistance (R) and the average value of the load (S) [16].
It is expressed by the following expression: III.2. Random Variables Generation Methods
Several methods allow generating random variables.
= / The inverse transform method, also known as the
inverse transform method, is a method for generating
random numbers from any continuous probability
II.2.2. Probabilistic Methods
distribution when the inverse of its cumulative distribution
In probabilistic methods, it is considered that the basic function (cdf) is known. This method is generally
variables that determine the safety of a structure are applicable, but it can be very difficult to obtain an
random variables, so that, in order to define any limit state analytical expression of the inverse for some probability
of the structure, all of them should be defined. These are distributions [12]. There are four basic methods for
based on modeling the load and the resistance according producing random variables:
to a probability distribution. Among the probabilistic  Inverse transform or inverse CDF method;
methods to determine the probability of failure of a  Acceptance/Rejection;
structure, there are the Monte Carlo method, which is part  Convolution;
of the probabilistic simulation methods, and the other two  Composition.
methods FORM (First Order Reliability Methods) and In the following, the inverse transformation method
SORM (Second-Order Reliability Method) which are part will be described, as it has been used in this work to
of the transformation methods [16]-[18]. In this work, the generate the resistance R and the charge Ea.

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 A. Djermane, A. Chabani

III.2.1. The Inverse Transform Method III.2.3. Generation of Random Samples

of Triangular Distribution
The inverse transform method is a method for
generating random numbers from any probability Let X be a triangular random variable with parameters
distribution by using its inverse cumulative distribution F- a, b, c. The Probability Density Function (PDF) of X is
1
. If u is a uniform random number on (0,1), then x=F−1(u) given by:
generates a random number x from any continuous
distribution with the specified cumulative distribution 2( − )
function F(x) (Fig. 4). The inverse function converts ⎧ , ≤ ≤
⎪ ( − )( − )
random numbers between 0 and 1 (standard uniform ( )= 2( − ) (9)
distribution) into random values from the considered ⎨ , ≤ ≤
distribution [24]-[27]. ⎪ ( − )( − )
⎩ 0 , elsewhere
 Algorithm of the inverse transform method:
1. generate a random number u from uniform distribution and the Cumulative Density Function (CDF) of X is given
u ∼ U (0, 1), by:
2. x=F−1(u),
3. return x. 0 ≤
⎧( − )
⎪ , ≤ ≤
III.2.2. The Triangular Distribution ( )= ( − )( − ) (10)
⎨ ( − )
A random variable X that has probability density ⎪1 − , ≤ ≤
function as the one represented in the Figure 5 is called ⎩ ( − )( − )
random variable with triangular distribution. The
triangular distribution has a minimum value (lowest value) The random variable X with this distribution is obtained
, maximum value (highest value) and a mode or most by:
probable value c: ≤ ≤ is satisfied [15].
The triangular distribution is useful because the = ( )=
−
minimum values a, the maximum values b, and the most + ( − )( − ), 0≤ <
frequently occurring values c can be easily estimated, so it − (11)
−
can be used to model and simulate random variables. − (1 − )( − )( − ), ≤ ≤1
−

Once a value u according to the uniform distribution

with parameters 0 and 1 has been generated, it can be
transformed into triangularly distributed values. The
following presents the triangle random variables
generation algorithm:
1. Generate u ~ U(0,1),
2. If (u≤ ) then
x + ( − )( − )
else
x – ( − )( − )(1 − )
endif,
3. return x.
Fig. 4. x=F−1(u) is taken as the value of the random variable X

IV. Application: Reliability of a Retaining

Wall with Monte Carlo Simulation
IV.1. Forces Acting
A gravity retaining wall (Fig. 6) of height h is
considered, retaining an embankment of a single layer of
soil [33], [34]. The different parameters that come into
play are the unit weight γ, the angle of internal friction φ,
the cohesion c, the angle of ground-wall friction δ. As an
application, the sliding stability of a gravity retaining wall
will be studied by applying direct Monte Carlo simulation.
In this example, the geometric characteristics of the
Fig. 5. Probability density function (triangular distribution) wall are assumed to be deterministically known, and the

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 A. Djermane, A. Chabani

mechanical properties of the backfill and the foundation The force F depends on the value of φ and the force Ea
soil are represented by independent random variables (γ , depends on the values γ and φ. The calculations will be
φ), used to calculate the two random variables F and Ea, performed by considering that R and Ea have triangular
respectively the force of resistance mobilizable the wall probability.
against sliding and the active lateral thrust. The friction
angle between the latter with the perpendicular to the wall
IV.2. Limit State Function of the Structure
is zero (δ=0) [31], [32]. During the active state of
equilibrium, the failure surface generates an angle (π/4 + Figure 6 represents the typical profile of the gravity
φ/2) with the horizontal. retaining wall considered here.
The forces acting on the system of Fig. 6 are: For the probabilistic analysis of the stability of the
 The self-weight of the wall W; considered wall, the limit state function and/or the safety
 The active lateral thrust of Rankine Ea; factor should be defined.
 The abutment force B generated by the earth in front The factor of safety relative to the sliding of the
of the wall, B is often neglected; retaining wall is defined as follows:
 The contribution of cohesion C in the form of a force
H (sticking effect): H = C × (OA); = (14)
 The support reaction of the ground on the wall R.
The active lateral earth pressure: it is represented by
the following expression: where R and Ea designate the resistant and load forces. The
state limit function G(X) is defined as follows:
1
= ℎ tg − (12) ( , )=
2 4 2 − (15)

It is calculated according to the theory of Rankine The procedure requires that one fully define the
equilibrium. probability distribution of each random variable.
The resistance force that can be mobilized by the wall The Monte Carlo simulation allows saying which the
against sliding: it represents the resultant of the horizontal positive or negative values of R – Ea are the most probable,
forces FH: after the course of a large number of tests.
FH = RH + H,
RH = RV tgφ, and RV = W; from where:
IV.3. Simulation
FH = Wtgφ + C × (OA), C = 0
R and Ea will be chosen, each one having a triangular
So: probability density.
= tg (13) For this, in Matlab two random variables R and Ea have
been generated each one having a triangular probability
R and Ea will be treated as independent random density.
variables, each one on a single independent random The generation steps are as follows:
variable. 1. Two groups of u random numbers (ranging from zero
to one) have been generated for R and Ea, by using the
uniform distribution function. The random numbers
generated for R and Ea are respectively (uRi , uEai);
2. For each one of the random numbers (uRi , uEai), Ri and
Eai will be generated from the inverse distribution
function CDF (Eq. (11)) as shown below:

= ( ) (16)

= ( ) (17)

3. For a generation of n values of the random variables R

and E respectively, N= n2 values of the limit state
Fig. 6. Forces acting on the retaining wall function G will be generated;
4. Finally, the probability of failure has been calculated
TABLE I by using Eq. (18), where Nf is the number of all
DETERMINISTIC DATA USED FOR THE APPLICATION EXAMPLE
realizations for which G ≤ 0, and N is the total number
Geometric characteristic of the wall Designation
Height of the facing h=6m of all realizations of G:
Thickness of the wall b=0.3m
Width of the base OA=2m
Dead weight of the wall W=25T/ml ≈ (18)

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 A. Djermane, A. Chabani

IV.3.1. The Probability Distribution of R and Ea The random variable R having a triangular distribution
will be generated in IV.3.2 from Equation (11).
In what follows, it will be:
 For the active lateral earth pressure Ea: Let Ea be a
1. Defined the probability density functions f(x) which
continuous random variable with triangular
represent R and Ea;
distribution with lower limit a, upper limit b and mode
2. Calculated the cumulative distribution function F(x).
c:
 For the resistance force R: Let R be a continuous
random variable with triangular distribution with = 9.55
lower limit a, upper limit b and mode c: = 12.65
= 10.80
= 11
= 20 Substituting the values a, b, c into Equations (9) and
= 15 (10), the following.
The probability density function (PDF):
By substituting the values a, b, c into Equations (9) and
(10), the following is obtained. 2( − 9.55)
The Probability Density Function (PDF): ⎧ , 9.55 ≤ ≤ 10.80
⎪ 3.875
2( − 11) ( ) = 2(12.65 − ) (21)
⎧ , 11 ≤ ≤ 15 ⎨ , 10.8 ≤ ≤ 12.65
⎪ 36 ⎪ 5.735
( ) = 2(20 − ) (19) ⎩ 0 , elsewhere
⎨ , 15 ≤ ≤ 20
⎪ 45 The Cumulative Distribution Function (CDF):
⎩ 0 , elsewhere
0 ≤ 9.55
The Cumulative Distribution Function (CDF): ⎧
( − 9.55)
⎪ , 9.55 ≤ ≤ 10.8
0 ≤ 11 ( )= 3.875 (22)
⎧ ( − 11) ⎨
⎪ ⎪1 − ( − 12.65) , 10.8 ≤ ≤ 12.65
, 11 ≤ ≤ 15 ⎩ 5.735
( )= 36 (20)
⎨
⎪1 − ( − 20) , 15 ≤ ≤ 20 Results: The PDF and the CDF are graphed in Fig. 9
⎩ 45 and Fig. 10.
Results: The PDF and the CDF are graphed in Fig. 7
and Fig. 8.

Fig. 9. Probability density function of Ea

Fig. 7. Probability density function of R
Fx(Ea)

Fig. 8. Cumulative distribution function of R Fig. 10. Cumulative distribution function of Ea

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 A. Djermane, A. Chabani

The random variable Ea having a triangular distribution 0.2

Probability density function pdf of G

will be generated in IV.3.2 from Equation (11). The 0.18

diagram of Fig. 11 shows the relative arrangement of 0.16

resistance and load, which are random variables. 0.14

Therefore, the limit state function G = R – Ea varies 0.12

randomly between two extreme values. 0.1

0.08

0.06
IV.3.2. Generation of the Random Variable G
0.04
X0
 Generation of random variable R: By substituting the 0.02 Y 0.0127

values a=11, b=20, c=15 into Eq. (11) the following is 0

-2 0 2 4 6 8 10 12
obtained: G

Fig. 13. Probability density function of G (N=81×106)

11 + √36 , 0 ≤ ≤ 0.6
= (23)
20 − 45(1 − ), 0.6 ≤ ≤ 1

 Generation of Random Variable Ea: By substituting

the values a=9.55, b=12.65, c=10.8 into Equation (11),
the following is obtained:

9.55 + √3.875 , 0 ≤ ≤ 0.403

= (24)
12.65 − 5.735(1 − ) , 0.403 ≤ ≤ 1

 Generation of random variable G = R – Ea: Under

Matlab, N=81×106 values of the random variable G
have been generated.
Fig. 14. Zooming in on a section of the PDF Graph of G

Fig. 11. PDFs Relative arrangement of R and Ea

Fig. 15. Cumulative distribution function of G (N=81×106)

Fig. 12. PDF and Histogram of G Fig. 16. Zooming in on a Section of the CDF Graph of G

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 A. Djermane, A. Chabani

 Simulation of safety region and the failure region: The TABLE II

SIMULATION RESULTS
number of values of G that are less than or equal to
n 103 3×103 5×103 9×103 104
zero will be counted (Nf). Red: failure region, Green: N 106 9×106 25×106 81×106 108
safety region. Pf 0.0057 0.0062 0.0060 0.0058 0.0060

IV.3.3. Estimating the Probability Failure Pf

The limit state function G, given by the equation G=R
– Ea, determines the probability of failure Pf, which can be
expressed according to what is used:
 Pf From the PDF of G: The area of the surface Fig. 18. The value of Pf converge
indicated by the arrow (Fig. 14) will correspond to Pf :
By repeating the sampling with increasing N, the value
0.0127 × 1.0 of Pf = Nf/n2 converges to the value 0.0060.
= = 0.0063
2

 Pf From the CDF of G (Fig. 16): The y-intercept FG(0) IV.3.4. Result Analysis
will correspond to Pf : In this analysis of the reliability of a retaining wall, the
Monte Carlo simulation method has been applied. It is a
= ( ≤ 0) = (0) very effective probabilistic method, which is based on
= 0.0060 sampling. Indeed, by using this statistical sampling
technique, a very large set of values of the two variables R
 Pf From the quotient: and S is generated according to the probability distribution
that has been assumed to be triangular. These values are
treated as if they have been the result of an experimental
=
observation. By repeating the process several times more
sets of values can be obtained according to which to obtain
The probability of failure is determined as the quotient the desired solution, in Calculate Pf = Nf/n2 terms of
between the number of failure cases, Nf with respect to the probability of failure which, obviously, will be a function
total number of implementations N= n2. The simulation is of the number of samples taken. The estimation of the
based on the following algorithm: probability of failure Pf has been made from:
1. Set total number of simulations n and initialize Nf = 0,  The PDF of G (Fig. 14);
2. Generate R,  The CDF of G (Fig. 16);
3. Generate Ea,  The values of Pf = Nf/n2.
4. Simulate G = R – Ea, Monte Carlo simulation, which is a probabilistic
5. if G = ≤ 0 then technique, has allowed predicting the possible results for
Nf = Nf + 1 the calculation of the limit state function G = R – Ea. The
else latter varies randomly between two extreme values as
Nf = Nf shown in Fig. 12. On the other hand, it is much better than
end if, traditional methods, which are deterministic. Indeed,
6. Calculate Pf = Nf/n2. deterministic methods provide a definitive answer to the
Given the Matlab code, Table II has been obtained. forecast and cannot consider uncertainty. Through the
results obtained in this work, it can be seen that the Monte
Carlo simulation provides several possible values for each
of the variables R and Ea and the probability of each of
them from a large set of data samples random and
therefore, it provides several possible values for the limit
function G. It offers a clearer picture than a deterministic
calculation. The graphs obtained in this work make
calculations based on Monte Carlo simulation more
meaningful and more objective than those based on
deterministic methods. A program based on the Matlab
language has been developed. It has allowed introducing
the random variables R and Ea into a mathematical model,
which is the expression of G. The input variables R and Ea
have been expressed as a sample range of random values
whose distribution is triangular. Elaborate Monte Carlo
simulation program displays the input variables (R and Ea)
and the output variable G in a histogram or graph that
Fig. 17. The safety region and the failure region (N=81×106)

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Authors’ information
Materials and Structures Reliability Laboratory, University of Tahri
Mohamed Bechar, Bechar, Algeria.

M. A. Djermane was born in 1971 in Bechar

(Algeria) was level diploma as engineer in 1995
and Master in geotechnical engineering since
2018. He is Teacher and Doctoral researcher at
the Tahri Mohamed University, Bechar, Algeria.
E-mail: djermaneabdelkader49@gmail.com

A. Chabani, born in 1955 Bechar (Algeria),

graduated in Applied Physics 1981 at the IAP
Boumerdas, Algeria. In 2004 he got his
Magister’s degree in Applied Physics at the
University of Bechar (Faculty of Technologie. In
2017, he obtained his doctorate degree in Applied
Physics. Research interests are soil mechanics,
stochastic modeling and structural reliability
analysis.
E-mail: chabani.abdelmadjid@univ-bechar.dz

Copyright © 2024 Praise Worthy Prize S.r.l. - All rights reserved International Review of Mechanical Engineering, Vol. 18, N. 3

117