Implementing Nataf transformation in a spreadsheet environment and application in reliability analysis

This paper presents a methodology for implementing Nataf transformation in a spreadsheet environment which is a widely used tool for generating correlated samples in reliability analysis. While the practicability of Nataf transformation has been demonstrated by numerous studies, this work emphasizes on the development of a systematic and user-friendly EXCEL Add-In. Combining with the recently developed subset simulation Add-In, it can be easily applied for reliability analysis problems with correlated random variables. A simple example is used to illustrate the performance of the proposed methodology.