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TBA5150 Geohazards and Risk

Lecture notes

Ivan Depina and Vikas Thakur


Department of Civil and Transport Engineering
Norwegian University of Science and Technology

Unni Eidsvig
Norwegian Geotechnical Institute
Knut Ronold
DNV GL Marine Structures

2017
18.08.2017

Introduction lecture

TBA5150GeohazardsandRisk
Vikas Thakur
Professor, Geotechnical Engineering
Civil and Environmental Engineering

Geohazards andRisk

A: Calculation
method

B: Site
information

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Geohazards

TBA5150

Geohazards

Some quotes
.in earthwork engineering the designer has to deal with bodies of earth
with complex structure and the properties of the material may vary from point
to point.

Karl Terzaghi: Foreword to the inaugural issue of Gotechnique, vol.1, no.1


(1948)

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Some quotes
Two specimens of soil taken at points a few feet apart, even if from a soil
stratum which would be described as relatively homogeneous, may have
properties differing many fold.

Donald W. Taylor: Introduction to Fundamentals of Soil Mechanics, Wiley,


(1948)

Undrained shear strength (kPa)


Depth(m)

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Geotechnical/civil engineers must increasingly be willing to deal with


questions relating to the reliability of their designs.

Regulatory agencies (nuclear, offshore, waste disposal)

Legal pressure (insurance companies, actuarial issues)

Financial decisions (whether to proceed, cost of actions)

Trend toward LRFD approaches (based on reliability methods)

Making the most of limited site investigation data.

Motivation for this course


Applications of probabilistic methods in civil engineering have increased remarkably in recent
years.

A rapidly growing bibliography of probabilistic publications, textbooks and journals

Probabilistic methodologies range from established techniques that are quite simple to apply,
to more advanced tools using Finite Element methods.

Probabilistic approaches will not remove uncertainty, and will not alleviate the need for
experience and engineering judgment.

Probabilistic approaches can provide a way of quantifying uncertainties and handling them
consistently.

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Questions considered in this course

When are probabilistic approaches appropriate in geotechnical


engineering?

What type of soil/rock data do we need?

Which method should we use and when?

How can we interpret the results once we have them?

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A significant portion of this course will be devoted to the


prediction and understanding of

The probability of failure


or
the probability of inadequate performance
or
the probability of design failure
or
reliability

Key Questions

How could failure occur?

How likely is it?

What would happen if it did?

What is acceptable risk?

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Risk exists when uncertainties give rise


to adverse consequences
Casagrande (1965)wasthefirsttoformallyaddressitsgeotechnicalaspects(Roleof
CalculatedRiskinEarthworkandFoundationengineering).

Hepointedouttwo elements:

Theuseofimperfectknowledge,guidedbyexperienceandjudgment

Thedecisiononanappropriatemarginofsafetyordegreeofrisk,accountingfor
economicfactorsandthesizeofthelossesifafailureshouldoccur.

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Lacasse(2012)

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Acceptable risk

Lacasse(2012)

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Trondheimcity
Hazard: Probability that a particular danger (threat) occurs within a given period of time.
Risk: Hazard x consequence
HAZARDMAP(quick clay landslide) RISKMAP(quick clay landslide)

Hazard level Riskclass


High
1
Middle
Low 2

NTNU NTNU 4

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Aplace outside Trondheimcity

HAZARDMAP(quick clay landslide) RISKMAP(quick clay landslide)

Hazard level Riskclass


High
1
Middle
Low 2

NTNU NTNU 4

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A short questionnaire. First!

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Geohazards andRisk

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Rule of thumb ingeohazards assessment

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People involved
Meteorologist
Managerof project
Physical geographer
Mayorof community
Social geographer
Social scientistfromcommunity
Geologist
Cityplanner fromcommunity
Engineeringgeologist
Policeman working on emergency plans
andevacuation Rockmechanics specialist
Local politician Geotechnical engineer
Representativefromcommunity Tsunamispecialist
Journalist/media Instrumentationspecialist
Officerfromministryofhighways Earthquake engineer
Directorateforsafetyandemergency Seismologist
preparedness Mathematician
Riskanalysis specialist Statistician

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Landslidesrepresentamajorthreattohumanlife,constructedfacilities,
infrastructureandnaturalenvironmentinmanyregionsoftheworld.

Duringthedecade20002009,naturaldisasterscausednearlyonemillion
fatalities,affectingnearly2.5billionpeople across the globe.

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Themostfrequent natural disaster islandslide.However,much of the damage andfatalities


caused bylandslides are attributed totheir triggering events,likeearthquake ortropical
cyclone etc..

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Tragically,developingcountriesaremoreseverelyaffectedbynatural
disastersthandevelopedcountries,especiallyintermsofliveslost(UNDP
2004,UNISDR2009andIFRC2004).

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Mostoftheincreaseisduetotheincreaseintheexposedpopulation.

However,manylivescouldhavebeensavedifmorehadbeenknownabout
therisksassociatedwithnaturaldisastersandriskmitigationmeasures
hadbeenimplemented.

Urbandevelopment,increasedinfrastructureandrapidpopulationrise
contribute toincreasingthevulnerabilityofhumansandproperty to
landslides.

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Protectingsocietyfromlandslidesandreducingexposureandriskto
populationandpropertyareareaswherethegeoscientistscanpractice
boththeartandthescienceofengineeringlegatedbyKarlTerzaghi.

Ourroleisnotonlytoactastechnologistprovidingjudgmentonfactors
ofsafety.

Therolehasevolvedtoprovidinginputintheevaluationofhazard,
vulnerabilityandriskassociatedwithlandslides.

Thegeotechnicalprofessionshouldbeincreasinglyperceivedasreducing
riskandprotectingpeople.

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Geo hazards inNorway

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(Nadim,2012)

Seismicity of Norway

Available historical data indicates that an


HAUGESUNDEARTHQUAKE2012 earthquake with size (magnitude on the Richter
scale, M) 5 or larger occurs on the average every
WEWILLREBUILD 10 years and one of M 6 or larger every 100 years. www.norsar.no

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Consequence
BillionsNOK

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Landslide susceptibility

Landslide
Themovement of amassofrock,
debrisorearthdown
the slope

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nve

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Landslide factor of safety


Themovement
of amassofrock, f
debrisorearth FS
down
the slope
material(c,)
whenthe
shearstress
exceedsthe
shearstrength
f of
thematerial. =c+tan

FS=factor of safety:c=cohesion,effective stresses,=frictional angle

18.08.2017

Landslide factor of safety


Causes of landslides

Prefailurestate f
FS>1 FS 1.0

Atthe onset of
landslide material(c,)
|
FS=1

Postfailure

movement FS<1
=c+tan

FS=factor of safety:c=cohesion,effective stresses,=frictional angle

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nve

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Landslide types
(Classical approach)

Landslide types

Material Movement

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Material
Rock

Debris (Coarse-
grained soils)
1mm

Earth (Fine-grained
soils)

18.08.2017 Source:Discovery Education


Ref.:http://school.discoveryeducation.com/schooladventures/soil/name_soil.html

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Isitafinegrained orcoarsegrained soil mass?

Photo:Vikas

Movements (Kinematics of a landslide)


Fall
Toppel
Slide
Spreads
Flow

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Fall

Italy,Feb.2014
Source
bbc.co.uk

A fallstartswiththedetachmentofsoilsorrockfromasteepslopealonga
surfaceonwhichlittleofnosheardisplacementtakesplace.
18.08.2017

http://geology.campus.ad.csulb.edu/people/bperry/Mass%20Wasting/Falls.htm

Toppel

Topple failuresinvolvetheforwardrotationandmovementofamassofrock,
earthordebrisoutofaslope.
18.08.2017 Images:http://www.bgs.ac.uk/

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Slide

Thetermslide refersonlytomassmovements,wherethereisadistinct
zoneofweaknessthatseparatestheslidematerialfrommorestable
underlyingmaterial.
18.08.2017 http://nationalatlas.gov/articles/geology/a_landslide.html

Spreads

18.08.2017 http://saarcsadkn.org/landslide_classification.aspx

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Spreads

Spreads usuallyoccuron
verygentleslopesor
essentiallyflatterrain,
especiallywhereastronger
upperlayerofrockorsoil
undergoesextensionand
movesaboveanunderlying
softer,weakerlayer
18.08.2017 Locat etal.2011
NRC(2008)
St.jude landslide 2010,Quebec

St.Judelandslide,2010,Canada
18.08.2017
Ref:MTQreport

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Flow
Debris
Whenmaterialonaslopebecomessaturated
withwater,makingitmuchheavier,itmay
developintoadebrisflowormudflow

Flowsarelandslidesthatinvolvethemovementofmaterialdownaslopein
theformofafluid.
18.08.2017 www.bgs.co.uk

Norwegian quick clays

Why?
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Quick clay Flow (Flow slide)

Complex
movements

Slide
Flow

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http://inspectapedia.com/vision/Quick_Clay_Leda_CDNR.jpg

Byneset flow slide

SlideScarp

Runout

1stJanuary 2012
Ref:Adressaavisa
18.08.2017

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Flow slide Landslide types

TheVerdallandslide,1893

NTNUarkiv

Landslide

Landslide types

Material Movement
Rock Fall
Debris Toppel
Earth Slide
Spreads
Flow

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Landslide

Landslide types

Rockfall Debris fall Earthfall


Rocktoppel Debris toppel Earthtoppel
Rockslide Debris slide Earthslide
Rockspreads Debris spreads Earthspreads
Rockflow Debris flow Earthflow

Velocity,Distributiontype,Watercontent Havewe covered alltypes?


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Updated classification

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Updated classification

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Triggeringfactors

Extremeweather Naturalreasons Manmade


Intenserainfall Erosion Construction
Rapidsnow melt Deposition Deforestation
Thawing freezing Earthquake
Tsunami
Weaking/leachin
g
Note:Landslidesandrainfallarecloselyallied
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Lessons learned

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Aalesund Rock Slide, 2008


Duringthenightof26thMarch2008,arockslopefailedand
destroyedanewapartmentcomplexinAalesund,Norway.

About 1400m3 ofrockrammedinthebuilding.


Thelowerfloorswerecompletelycollapsedandsetonfire.The
entirebuildingwasdisplacedbyseveralmeters.
Therewere20personsinthebuildingatthetimeofthecollapse,
and5persons,allfromthelowerfloors,died.
Theotherresidentswerenotinjured.Theaccidentwastragicand
affectedmanyinNorwaybecauseofitsactualityandbecauseithit
closetohome,intheprivacyofonesapartment
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The cause of the rock slide was the


presence of a plane of
weakness filled with clayey material,
and the creation of additional
fissures by the blasting during the
preparation of the site
before the construction started.

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The accident could have been avoided if a proper site investigation had been carried out.

In particular, geophysical methods should have been used both before and after the
blasting for the site preparation.

Before the blasting, the weakness plane would have been discovered, and bolting would
then have been undertaken.

The geotechnical/engineering geology site investigation report was insufficient. This


omission cost the lives of five persons.

After the accident, engineering geologists studied the stability of the rock for all
neighbouring buildings, and the rock wall has been stabilized.

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Kattmarka landslide, 2009


OnMarch132009,aboutmidday,inKattmarka nearNamsos northof
TrondheiminNorway,aslideoccurred,movingabout500.000m3 of
materialinascarmeasuredafterwardsofabout100mwidthby300m
length.

Theslidedestroyedahighwayanddamagedfourpermanentdwellingsand
6summerresidences.

Sevenpersons,whohadbeentransportedontheslide,wererescued
unharmedbyhelicopter.

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Holesmade
toplace the charges

Excavated
Road

Sensitiveclay

ROCK

Blasting location
Sensitiveclay

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TheKattmarka landslideledtonewregulationsandanincreased
focusonexistingregulations,including:

thecontrolandmappingoftheclayrockinterfacewhenblastingin
marginallystableareas;

therequirementforgeotechnicalinvestigationsearlyintheproject
planningprocess;and

thenecessityforhazardandvulnerabilityanalysesforprojectsthatcan
endangerlifeandproperty.

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Quick clay landslide 2.feb2015


Skjeggestadbridges,Norway

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Bridge
foundation

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Natural
Rainfall
Erosion
Groundwater hydrology/pore pressure
Earthquake
Frost
Man-made
Traffic vibration
Bridge construction and other previous activities on the area
Construcion work

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100 20
Nedbr Sande - Galleberg
Nedbr Ramnes - Berg
Temperatur

80
10

60

40

-10
20

0 -20

01/10/2014 01/11/2014 01/12/2014 01/01/2015 01/02/2015

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Bridges

Fill

Fill

Thecommission concluded that the construction activities


Related tothe golfclub hastriggered the landslide.

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An uncertain case!

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Mannen rock slope

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Mannen
Mannen is a 1,295 m high
mountain which is a part of a
plateau above the steep,
glacial eroded valley
Romsdalen

A block of possibly 1520


mill. m3 has been lowered
1520 m from the plateau,
and a block in the upper part
of this (23 mill. m3) has
been measured periodically.

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Rock slope movements

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extensometer

Weather station

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Mannen Rainfall period 2728.10

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Early warning system

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TBA 5150 Geohazards and Risk

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Topics tobecovered bythecourse

Mathematics of probability

Random variables
Part1

Uncertainties: Soil Variability /Geostatistics Part2


Reliability analysis methods: FOSM

Reliability analysis methods: FORM (SORM)


Part3

Reliability analysis methods: Event Trees

Hazard and Risk Basic concepts

Acceptable risk
Part4

Applications

Part 1: Probability and Random variables

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Part 2: Soil variability / Geostatistics

Part 3: Calculation approaches

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Part 4: Risk analysis framework

Guest lectures
Dr. Maj Gril Bverfjord, SWECO : Soil Variability

Dr. Knut Ronold, DNV : Kriging + Examples

Dr. Ivan Depina, SINTEF : Monte Carlo Simulation /Event trees

Dr. Suzanne Lacasse, NGI : Application

Dr. Samson Degago, NPRA : Application

Dr. Zhongqiang Liu, NGI : Application

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Undrained shear strength (kPa)

Knowledge
How to characterize and model uncertainties in geotechnical
parameters (soils and rocks), quantify variability in soil profiles,
loading and resistance factors as well as the calculation methods
Describing and formulating a geotechnical problem using a reliability
approach
Incorporating uncertainties in conventional geotechnical analyses

Depth(m)
Performing hazard analyses and consequence analyses of
vulnerability and elements at risk
Performing reliability/risk and sensitivity analyses. In particular
making quantitative evaluation of hazards related to slope or
foundation failures, avalanches and earthquakes
Considering risk acceptance/tolerance criteria
Considering risk management and reduction measures (reliability
based decision-making and mitigation)
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Skills
Identify sources of uncertainties in a given geotechnical problem, define relevant and
critical failure modes or unwanted events

Assess probability of occurrence

Plan and perform reliability/risk analyses

Calculate/predict consequences

Make decisions based on reliability analyses

Recommend actions for risk reduction and/or risk mitigation

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Semester work / Evaluation


Selfreading

3assignments (weightage:24%)

1largegroup assignment (weightage 24%)


Max2personeach group;

Finalwritten exam (weightage 52%)


Prerequisite:approved assignements

Each of these hastobeapproved separately

Information / Assistance
Lectures
Mondays (GL-RFB R92 and Room 1-101
Room locations may change
Tutorials
Wednesdays
Room (GL-GA F3)

Online submission of the assignments


Large assign

Use BLACKBOARD

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Information / Assistance
Teaching assistants;
Johanne Osorio Mydland (johannes.mydland@ntnu.no)
Liv Malin stgren (lmostgre@stud.ntnu.no) who will be available during the tutorials on Wednesdays.

All presentations/lecture notes will be made available on Blackboard.

References/Readingmaterial:
Lecturenotes,thematerialsandpresentationsavailableinBlackboard
G.Baecher andJ.Christian.Reliabilityandstatisticsingeotechnicalengineering.JohnWiley&Sons,2005.
G.FentonandV.Griffiths.Riskassessmentingeotechnicalengineering.JohnWiley&Sons,2008.
ISSMGETechnicalCommitteeonRiskAssessmentandManagement.GlossaryofRiskAssessmentTerms. Available
at:http://140.112.12.21/issmge/tc304.htm

Welcome tothecourse!
Next lecture:28thAugust
Topic:Mathematics of Probability

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Probability and Statistics Basics

Lecture 2: Probability and Statistics Basics

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology

Probability and Statistics Basics

Outline

Uncertainty

Probability Theory
Probability
Set Theory
Probability Theory

Random Variable
Random Variable
Discrete Distributions
Continuous Distributions
Common Distributions
Probability and Statistics Basics
Uncertainty

Uncertainty

 Denitions of terms in risk assessment in this course are


adopted from the ISSMGE Technical Committee on Risk
Assessment and Managements Glossary of Risk
Assessment Terms [3].
 Uncertainty: Describes any situation without certainty,
whether or not described by a probability distribution.
Uncertainty is caused by natural variation and/or
incomplete knowledge (lack of understanding or
insufcient data) [3].

Probability and Statistics Basics


Uncertainty

Aleatory and Epistemic Uncertainty

 Uncertainties associated with risk assessment in


geotechnical engineering are commonly classied into two
groups: aleatory and epistemic.
 Aleatory uncertainty describes inherent natural
randomness of natural processes (e.g., spatial variation of
soil properties within a single geological layer, wind speeds
at certain location). Aleatory uncertainties cannot be
reduced.
Probability and Statistics Basics
Uncertainty

Aleatory and Epistemic Uncertainty

 Epistemic uncertainty reects the uncertainty due to the


lack of knowledge (e.g., model uncertainty, measurement
errors, limited number of observations). Epistemic
uncertainty can be reduced or eliminated by improving
measurement accuracy, conducting additional
observations or improving simulation models.

Probability and Statistics Basics


Probability Theory
Probability

Probability

 Probability: A measure of the degree of certainty. This


measure has a value between zero (impossibility) and 1.0
(certainty). It is an estimate of the likelihood of the
magnitude of the uncertain quantity, or the likelihood of the
occurrence of the uncertain future event [3].
 There are two interpretations of the term probability:
frequentist and degree of belief.
Probability and Statistics Basics
Probability Theory
Probability

Probability
 Frequentist: The outcome of a repetitive experiment of
some kind like ipping coins. It includes also the idea of
population variability. Such a number is called an
"objective" or relative frequentist probability because it
exists in the real world and is in principle measurable by
doing the experiment [3].
 Probability of an event A is:

NA
P(A) = lim
N N

where N is the number of the repetitions of an experiment,


and NA is the number of repetitions where event A is
observed.

Probability and Statistics Basics


Probability Theory
Probability

Probability

 Degree of belief: Quantied measure of belief, judgement,


or condence in the likelihood of an outcome, obtained by
considering all available information honestly, fairly, and
with a minimum of bias. Subjective probability is affected
by the state of understanding of a process, judgement
regarding an evaluation, or the quality and quantity of
information. It may change over time as the state of
knowledge changes [3].
 Probability of an event A is:
P(A) = A measure of a degree of belief in the outcome of
an event A.
Probability and Statistics Basics
Probability Theory
Probability

Probability

 For engineering purposes, the two interpretations of


probability complement each other.
 Frequentist interpretation is commonly used to describe
natural variability, while degree of belief interpretation is
dealing with limited knowledge [1].

Probability and Statistics Basics


Probability Theory
Set Theory

Denitions

 Random experiment is a process that generates outcomes


(data), characterized by its relative frequencies (e.g.,
temperature measurements at certain location).
 Sample space, , is the set of all possible outcomes of an
experiment. Sample space can be discrete (e.g., number
of standard penetration test blow counts) or continuous
(e.g., friction angle in a sand sample).
 Event, A, is a subset of the sample space (e.g., value of
friction angle is lower than a given value).
 Null event, , is an impossible event with probability equal
to zero (e.g., value of soil modulus is negative).
Probability and Statistics Basics
Probability Theory
Set Theory

Venn diagrams
 Venn diagrams are commonly used to graphically
represent logical relations between sets.
 Sample space, , is commonly represented by a rectangle,
while events, A1 , A2 , ..., are commonly represented by
circles as presented in the following Figure.

Figure : Venn diagram

Probability and Statistics Basics


Probability Theory
Set Theory

Set operators
 Intersection: of two events A and B; A B.

 Union: of two events A and B; A B.


Probability and Statistics Basics
Probability Theory
Set Theory

Set operators

 Complement: of an event A is denoted as Ac or A.

 Disjoint or Mutually exclusive: events A and B, A B = .


 Mutually exhaustive: events A and B, A B = .

Probability and Statistics Basics


Probability Theory
Probability Theory

Three axioms of probability

 Axiom 1:
0 P(A) 1
 Axiom 2:
P() = 1
 Axiom 3: For disjoint events E1 , E2 , ..., En :


n
P(E1 E2 ... En ) = P(Ei )
i=1
Probability and Statistics Basics
Probability Theory
Probability Theory

Probability theory

 Union of two events: A and B:

P(A B) = P(A) + P(B) P(A B)

Probability and Statistics Basics


Probability Theory
Probability Theory

Probability theory

 Conditional probability:

P(A B)
P(A | B) = ; P(B) = 0
P(B)
Probability and Statistics Basics
Probability Theory
Probability Theory

Statistical independence

 If events A and B are statistically independent:

P(A B) = P(A) P(B)

P(A B) = P(A) + P(B) P(A) P(B)


P(A | B) = P(A)
 Note that independent events are not disjoint and disjoint
events are not independent.

Probability and Statistics Basics


Probability Theory
Probability Theory

Multiplication

 Multiplication of two events E1 and E2 :

P(E1 E2 ) = P(E1 | E2 )P(E2 ) = P(E2 | E1 )P(E1 )

 Multiplication of n events:

P(E1 E2 ... En ) =

P(E1 | E2 ... En )P(E2 | E3 ... En ) P(En1 | En )P(En )


Probability and Statistics Basics
Probability Theory
Probability Theory

Total Probability Theorem


Total Probability Theorem: For disjoint and collectively
exhaustive events Ei , i = 1, 2, ..., n:


n
P(A) = P(A | Ei )P(Ei )
i=1

Probability and Statistics Basics


Probability Theory
Probability Theory

Bayes Theorem
 Bayes Theorem:

P(E | A)P(A)
P(A | E) =
P(E)

where: P(A) is denoted prior probability, P(A | E) posterior


probability, P(E | A) likelihood, and
P(E) = P(E | A)P(A) + P(E | A)P(A)
 For disjoint and collectively exhaustive A1 , A2 , ..., An :

P(E | Ai )P(Ai )
P(Ai | E) =

n
P(E | Aj )P(Aj )
j=1
Probability and Statistics Basics
Random Variable
Random Variable

Random Variable
 Random variable: A quantity, the magnitude of which is not
exactly xed, but rather the quantity may assume any of a
number of values described by a probability distribution [3].
 Discrete random variable has a countable set of outcomes
(e.g., results of a dice throws, number of blows in a
standard penetration test).
 Continuous random variable takes values on the
continuous scale (e.g., temperature measurements,
undrained shear strength of clay).
 Random variables are denoted with capital letters (e.g.,
X ,), while the realizations of the random variable with
small letters (x, ).

Probability and Statistics Basics


Random Variable
Discrete Distributions

Discrete random variables


Example: Pmf of a sum of three
Probability mass function (pmf): 6-sided dice throws.

pX (xi ) = P(X = xi ) X = Z1 + Z2 + Z3

such that: where Z1 , Z2 , and Z3 are


random variables denoting dice
0 pX (xi ) 1 throw outcomes.


n
pX (xi ) = 1

i=1
S [


;

P(a < X b) = pX (xi ) 

a<xi b

  
[
Probability and Statistics Basics
Random Variable
Discrete Distributions

Discrete random variables


Example: Cmf of a sum of
three 6-sided dice throws.
Cumulative mass function
(cmf): X = Z1 + Z2 + Z3

FX (x) = P(X x) where Z1 , Z2 , and Z3 are


random variables denoting dice
such that: throw outcomes.

FX (a) = pX (xi ) 

xa 


FX () = 0 and FX () = 1
) [
;


P(a < X b) = FX (b) FX (a) 


  
[

Probability and Statistics Basics


Random Variable
Continuous Distributions

Continuous random variables


Probability density function
(pdf):

fX (x)dx = P(x < X x + dx) Example: Pdf of a standard


normal distribution.
such that:


fX (x) 0 


I [


;

fX (x)dx = 1 


  
[
b
P(a < X b) = fX (x)dx
a
Probability and Statistics Basics
Random Variable
Continuous Distributions

Continuous random variables


Cumulative density function
(cdf): P(a < X b) = FX (b) FX (a)

FX (x) = P(X x) P(X > x) = 1 FX (x)


Example: Cdf of a standard
such that:
normal distribution.
x
FX (x) = fX (u)du 





) [
dFX (x)

;

fX (x) =
dx 

FX () = 0 and FX () = 1 
  
[

Probability and Statistics Basics


Random Variable
Continuous Distributions

Random variable description

 n-th moment of X :
 n

xi pX (xi ) discrete RV
n allx
E [X ] = n

x fX (x)dx continuous RV

 Mean: X


xi pX (xi ) discrete RV
allx
X = E [X ] =

xfX (x)dx continuous RV

Probability and Statistics Basics
Random Variable
Continuous Distributions

Random variable description


 Median: Value x0.5 for which:

P(X x0.5 ) = 0.5 and P(X x0.5 ) = 0.5


 Mode:
x = arg max pX (x) or x = arg max fX (x)
 Usually mean = mode = median.


PHDQ
PHGLDQ
PRGH

I [
;




    
[

Probability and Statistics Basics


Random Variable
Continuous Distributions

Random variable description


 Variance:

Var [X ] = E (X X )2


(xi X )2 pX (xi ) discrete RV
allx
Var [X ] =

(x X )2 fX (x)dx continuous RV



Var [X ] = E X 2 (E [X ])2
 Standard deviation:

X = Var [X ]
 Coefcient of variation:
X
CoVX =
|X |
Probability and Statistics Basics
Random Variable
Continuous Distributions

Random variable description


 Skewness:

E (X X )3
1 =
X3

 3RVLWLYHVNHZ
1HJDWLYHVNHZ

I[ [





  
[

 Kurtosis (atness)


E (X X )4
2 =
X4

Probability and Statistics Basics


Random Variable
Common Distributions

Binomial distribution
Binomial distribution is a discrete distribution of the number of
successes in a sequence of n trials, each trial with success
probability p.

n
pX (x) = px (1 p)nx , x = 0, 1, ..., n
x

n n!
where = x!(nx)!
x

E [X ] = np

Var [X ] = np(1 p)

X = np(1 p)
Probability and Statistics Basics
Random Variable
Common Distributions

Binomial distribution
 Example of a binomial distribution with n = 20 and p = 0.4
(For example; Probability of sampling a soft clay sample at
a given site is 0.4. Distribution of the number of soft clay
samples among 20 collected is presented below.)

 Pmf:  Cmf:

 



) [
S [



;
;





 
       
[ [

Probability and Statistics Basics


Random Variable
Common Distributions

Poisson distribution

Poisson distribution is a discrete distribution of a number of


events in given time, distance, area etc. Events occur at certain
mean rate , independently of the time since the last event.

x
pX (x) = exp(), x = 0, 1, ...,
x!
E [X ] =
Var [X ] =

X =
Probability and Statistics Basics
Random Variable
Common Distributions

Poisson distribution

 Example of a poisson distribution with = 10. For


example; 10 pipeline leakages in 10 years.

 Pmf:  Cmf:





) [
S [

;
;

 



 
           
[ [

Probability and Statistics Basics


Random Variable
Common Distributions

Uniform distribution
Uniform distribution is a continuous distribution dened
between the minimum and the maximum value .

1
fX (x) = , x

x
FX (x) =

+
E [X ] =
2
( )2
Var [X ] =
12

X =
12
Probability and Statistics Basics
Random Variable
Common Distributions

Uniform distribution

 Example of an uniform distribution with = 1 and = 5.

 Pdf:  Cdf:





) [
I; [

;




 
             
[ [

Probability and Statistics Basics


Random Variable
Common Distributions

Exponential distribution
Exponential distribution is a continuous distribution that
expresses the time to the next occurrence of an event (e.g.,
time between occurrences of an earthquake). The distribution
possesses the memoryless property. The distribution is dened
by the mean occurrence rate (e.g., number of earthquakes
per year).
fX (x) = exp(x), x 0
FX (x) = 1 exp(x), x 0
1
E [X ] =

1
Var [X ] = 2

1
X =

Probability and Statistics Basics
Random Variable
Common Distributions

Exponential distribution

 Example of an exponential distribution with = 1.

 Pdf:  Cdf:

 

 

 

) [
I [

;
;

 

 

 
         
[ [

Probability and Statistics Basics


Random Variable
Common Distributions

Normal distribution
 Central limit theorem: Random variable
Y = X1 + X2 + ... + Xn , dened as a sum of independent
arbitrarily distributed random variables X1 , ..., Xn has a
normal distribution as n .
 Normal (Gaussian) distribution is a continuous distribution
dened by the mean and standard deviation .
  
1 1 x 2
fX (x) = exp
2 2

x
FX (x) = fX (u)du

Probability and Statistics Basics
Random Variable
Common Distributions

Normal distribution

 Example of a normal distribution with = 1 and = 2.

 Pdf:  Cdf:

 

 



) [
I [



;
;





 
       
[ [

Probability and Statistics Basics


Random Variable
Common Distributions

Standard normal distribution


 Standard normal distribution is dened with mean = 0
and = 1.
 Relation to the standard normal distribution, Z :

X x
Z = ; FX (x) = = (z)

 Pdf (x):  Cdf (x):

 




( x)
(x)






 
                     
[ [
Probability and Statistics Basics
Random Variable
Common Distributions

Standard normal distribution

 Important values: 


P(1 Z 1) = 0.6827 ;


;
P(2 Z 2) = 0.9545  
;

P(3 Z 3) = 0.9972 
  

Probability and Statistics Basics


Random Variable
Common Distributions

Lognormal distribution

 As a consequence of the central limit theorem. Random


variable Y = X1 X2 Xn , dened as a product of
independent arbitrarily distributed random variables
X1 , ..., Xn has a lognormal distribution as n .
 If X is lognormally distributed, then Y = ln(X ) is normally
distributed.
 Commonly used for modeling non-negative random
variables (e.g., soil modulus) and variables that vary over
several orders of magnitude (e.g., hydraulic conductivity).
Probability and Statistics Basics
Random Variable
Common Distributions

Lognormal distribution
 2 
1 1 ln x Y
fX (x) = exp
xY 2 2 Y
where Y and Y are the parameters of the underlying normally
distributed Y = ln(X ).
 
Y2
E [X ] = exp Y +
2
 
 
Var [X ] = exp 2Y + Y2 exp Y2 1
 
Y2    
X = exp Y + exp Y2 1
2

Probability and Statistics Basics


Random Variable
Common Distributions

Lognormal distribution

Parameters of the lognormal distribution:


  
 2
 X
Y = ln
X
+1
X X

Y2
Y = ln X
2
Relation to the standard normal distribution:

ln x Y
FX (x) =
Y
Probability and Statistics Basics
Random Variable
Common Distributions

Lognormal distribution

 Example of a lognormal distribution with X = 3 and


X = 1. Following values can then be calculated:
Y = 1.0459 and Y = 0.3246.

 Pdf :  Cdf :

 

 

 

) [
I [

;
;

 

 

 
         
[ [

Probability and Statistics Basics


Random Variable
Common Distributions

Extreme value distributions

 Given random variables, X1 , X2 , ..., Xn , extreme value


distributions are dened a follows:

Y = max (X1 , X2 , ..., Xn ) Gumbel distribution

Y = min (X1 , X2 , ..., Xn ) Weibull distribution


 For example, X1 , X2 , ..., Xn , can be wave measurements
over a day.
Probability and Statistics Basics
Random Variable
Common Distributions

Gumbel distribution
 Gumbel distribution is commonly used to model extreme
values (e.g., extreme wave or wind loads).
 Distribution is dened by coefcients and .
 
1 x x
fX (x) = exp + exp( )

 
(x )
FX (x) = exp exp

E [X ] = + + 0.5772
2 2
Var [X ] =
6

X =
6

Probability and Statistics Basics


Random Variable
Common Distributions

Gumbel distribution

 Example of a Gumbel distribution with = 20 and = 5.

 Pdf :  Cdf :

 




) [
I [


;
;





 
         
[ [
Probability and Statistics Basics
Appendix
References

References I

G. Baecher and J. Christian.


Reliability and statistics in geotechnical engineering.
John Wiley & Sons, 2005.
G. Fenton and V. Grifths.
Risk assessment in geotechnical engineering.
John Wiley & Sons, 2008.
ISSMGE Technical Committee on Risk Assessment and
Management.
Glossary of Risk Assessment Terms.
Available at: http://140.112.12.21/issmge/tc304.htm

Probability and Statistics Basics and Data Statistics

Probability and Statistics Basics and Data


Statistics

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology
Probability and Statistics Basics and Data Statistics

Outline

Bivariate distribution
Probability mass/density function
Cumulative mass/density function
Marginal distribution
Statistical independence and correlation

Data statistics
Parameter estimation
Distribution selection
Linear regression
Bayesian updating

Probability and Statistics Basics and Data Statistics


Bivariate distribution

Bivariate distribution

 Given two random variables X and Y , the bivariate


distribution is a joint distribution for X and Y that gives the
probability that values of X and Y fall in certain region or
discrete set of the probability space.
 Random variables X and Y can be discrete or continuous.
 This concept can be generalized to any number of random
variables. In the case when there are more than two
random variables, the joint distribution is called multivariate
distribution.
Probability and Statistics Basics and Data Statistics
Bivariate distribution

Bivariate distribution

 Discrete bivariate distribution is composed from two


discrete random variables.
 Continuous bivariate distribution is composed from two
continuous random variables.
 Combinations of discrete and continuous random variables
are possible.

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Probability mass/density function

Probability mass/density function


Discrete case
 Probability mass function:

pXY (x, y ) = P [X = x Y = y ]

pXY (x, y ) 0; pXY (x, y ) = 1
all x all y

Continuous case
 Probability density function:

fXY (x, y )dxdy = P [(x < X x + dx) (y < Y y + dy )]


 
fXY (x, y ) 0; fXY (x, y )dxdy = 1

Probability and Statistics Basics and Data Statistics
Bivariate distribution
Probability mass/density function

Examples of bivariate distributions

Discrete: Continuous:








pXY (x, y)

 






 
  
 

 
 

  
\  
 [

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Cumulative mass/density function

Cumulative mass/density function

Discrete case:
 Cumulative mass function:

FXY (x, y ) = P [(X x) (Y y )]

Continuous case:
 Cumulative density function:

FXY (x, y ) = P [(X x) (Y y )]


Probability and Statistics Basics and Data Statistics
Bivariate distribution
Cumulative mass/density function

Examples of bivariate distributions

Discrete:




 


FXY (x, y)

 


\

 

 
 
   
 
 
  
\  [
          
[

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Cumulative mass/density function

Examples of bivariate distributions

Continuous:
Probability and Statistics Basics and Data Statistics
Bivariate distribution
Marginal distribution

Marginal distribution
 Marginal distribution is the probability distribution of
individual components (e.g., X , Y ) which compose the joint
distribution.
 Marginal distribution for a given random variable can be
obtained from the joint distribution by integrating out all
other random variables.
 Discrete case:
 
pX (x) = pXY (x, y ); pY (y ) = pXY (x, y )
all y all x

 Continuous case:
 
fX (x) = fXY (x, y )dy ; fY (y ) = fXY (x, y )dx

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Marginal distribution

Example of a discrete bivariate distribution

Example: Bivariate  
pXY (x, y)


discrete distribution,  

 
pXY (x, y ), is composed   
 
of two independent
\
\


 

binomial distributed 





random variables, X and   


 
Y.        
[
     
pY (y)
X is dened with n = 10
and p = 0.4. Y is dened 
pX (x)

with n = 10 and p = 0.6. 


         
[
Probability and Statistics Basics and Data Statistics
Bivariate distribution
Marginal distribution

Example of a continuous bivariate distribution

Example: Bivariate fXY (x, y)

continuous distribution,  

 
fXY (x, y ), is composed of  


two independent normal  




  

\
distributed random   

variables, X and Y .  


X is dened as normal 







with X = 5 and X = 1.  


fY (y)



   
[
  

Y is dened as normal

fX (x)

with Y = 10 and
Y = 2. 
   
[
  

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Statistical independence and correlation

Statistical independence and correlation

 In case two random variables are statistically independent,


their joint probability distribution is dened as a product of
the marginal distributions.
 Discrete:
pXY (x, y ) = pX (x)pY (y )
 Continuous:
fXY (x, y ) = fX (x)fY (y )
Probability and Statistics Basics and Data Statistics
Bivariate distribution
Statistical independence and correlation

Covariance

 Let X and Y be random variables with joint probability


mass or density function, denoted respectively pXY (x, y )
and fXY (x, y ).
 The covariance between X and Y is dened as:
 Discrete case:

Cov [X , Y ] = E [(X X )(Y Y )]



= (x X )(y Y )pXY (x, y )
all x all y

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Statistical independence and correlation

Covariance

 Continuous case:

Cov [X , Y ] = E [(X X )(Y Y )]


 
= (x X )(y Y )fXY (x, y )dxdy

 Note:
Cov [X , Y ] = E [XY ] X Y
Probability and Statistics Basics and Data Statistics
Bivariate distribution
Statistical independence and correlation

Correlation

 Let X and Y be random variables with joint probability


mass or density function, denoted respectively pXY (x, y )
and fXY (x, y ).
 The correlation coefcient between X and Y is dened as:
Cov [X , Y ]
XY = ; 1 XY 1
X Y
 Note: XY = 0 - linear statistical independence, XY > 0 -
positive correlation, XY < 0 - negative correlation.

Probability and Statistics Basics and Data Statistics


Bivariate distribution
Statistical independence and correlation

Correlation
 Note the difference between statistical independence and
XY = 0.
 Statistical independence is a stronger statement out of two
and implies XY = 0.
 XY = 0 implies linear independence between X and Y or
that they are uncorrelated. There might be signicant
dependence between variables in case of nonlinearities
which is not detected by the linear correlation coefcient.
Probability and Statistics Basics and Data Statistics
Bivariate distribution
Statistical independence and correlation

Correlation
Example: X is normal distributed with X = 5 and X = 1. Y is
normal distributed with Y = 6 and Y = 2.
D F H
  
  
  
  
\

\
  
  
  
           
[ [ [
E G
 
 
a) XY = 0.99
  b) XY = 0.99
  c) XY = 0.5
\

d) XY = 0.5
  e) XY =0
 
 
       
[ [

Probability and Statistics Basics and Data Statistics


Data statistics
Parameter estimation

Parameter estimation
 Sample mean, x or X , is an unbiased estimate of
population mean, X , based on a set of observations,
x1 , x2 , ..., xn , from some population X :
1
n
x = X = xi
n
i=1
 Sample median, x0.5 , is an estimate of the population
median x0.5 based on a set of observations, x1 , x2 , ..., xn ,
from some population X . Sample median is calculated by
sorting the observations from smallest to largest
x1 x2 ... xn , with:


x(n+1)/2 if n is odd.
x0.5 = 1  
2 (x(n/2) + x(n+1)/2 ) if n is even.
Probability and Statistics Basics and Data Statistics
Data statistics
Parameter estimation

Parameter estimation
Sample variance, X2 , is an unbiased estimate of the population
variance, X2 , based on a set of observations, x1 , x2 , ..., xn , from
some population X .

1 
n
X2 = (xi X )2
n1
i=1

Sample standard deviation, X , as a biased estimate of the


population standard deviation, X , based on a set of
observations, x1 , x2 , ..., xn , from some population X is
calculated by the following expression.


 1  n
X =  (xi X )2
n1
i=1

Probability and Statistics Basics and Data Statistics


Data statistics
Parameter estimation

Histogram

Histogram is an estimate of the probability distribution of a


continuous variable based on the set of observations,
x1 , x2 , ..., xn , from some population X .

 
&XPXODWLYHIUHTXHQF\

 
)UHTXHQF\

 

 

 

 
       
[ [
Probability and Statistics Basics and Data Statistics
Data statistics
Parameter estimation

Histogram
 Histogram is calculated by separating the observed set of
data into a series of k disjoint bins.
 Frequency for the j-th bin, j represents the number of
samples that fall into j-th bin.

n
j = Ij (xi ); j = 1, ..., k
i=1

where Ij (x) is an indicator function which has value 1 if x is


in the j-th bin, and 0 otherwise.
 Cumulative frequency for the j-th bin, j is calculated as
follows:
j
j = i ; j = 1, ..., k
i=1

Probability and Statistics Basics and Data Statistics


Data statistics
Parameter estimation

Histogram
Example:

 
&XPXODWLYHIUHTXHQF\

 
)UHTXHQF\

 

 

 

 
       
[ [

j 1 2 3 4 5 6 7 8 9 10
3 4 14 13 18 21 15 6 3 3
3 7 21 34 52 73 88 94 97 100
Probability and Statistics Basics and Data Statistics
Data statistics
Parameter estimation

Bivariate data
 Bivariate data can be examined with the help of histograms
and scatter plots.
 Scatter plots are useful for detecting correlation.

Probability and Statistics Basics and Data Statistics


Data statistics
Parameter estimation

Sample Covariance and Correlation Coefcient

 Given set of pairwise observations


{(x1 , y1 ), (x2 , y2 ), ..., (xn , yn )} from some joint population
{X , Y }, the sample covariance, Cov (X , Y ), is dened as:

1 
n
(X , Y ) =
Cov (xi X )(yi Y )
n1
i=1

 The sample correlation coefcient is dened as:

(X , Y )
Cov
=
XY
X Y
Probability and Statistics Basics and Data Statistics
Data statistics
Distribution selection

Distribution selection

Data obtained through eld investigations are commonly used


as an input in the reliability analysis of geotechnical
structures/systems.
There are three approaches to incorporate data in the reliability
analysis of geotechnical structures [2]:
 Data are used directly in the analysis. (e.g., in earthquake
analysis previously recorded ground motions are
commonly used to assess the system response). Since the
already known data are reproduced we omit the capture
the possible future events and variability.

Probability and Statistics Basics and Data Statistics


Data statistics
Distribution selection

Distribution selection

 The data are incorporated by means of an empirical


distribution. This means that only the observed range of
data are incorporated in the analysis. This is a drawback
since designs are often controlled by extreme values.
 A distribution is tted to the data. This approach is advised
over the previous two, because the irregularities in the
empirical distribution to be smoothed, extreme values can
be simulated, and physical reasoning can be used to select
the distribution type [2].
Probability and Statistics Basics and Data Statistics
Data statistics
Distribution selection

Distribution selection

Typical distribution types and CoV s [3]:


Soil property Soil type Prob. dist. function CoV
Sand LN Varies greatly
Cone resistance
Clay N from site to site
Clay (triax) LN 5-20 %
Undrained shear strength su Clay (index su ) LN 10-35%
Clayey silt N 10-30%
Ratio su /vo  Clay N/LN 5-15%
Plastic limit Clay N 3-20%
Liquid limit Clay N 3-20%
Submerged unit weight All soils N 0-10%
Friction angle Sand N 2-5%
Void ratio, porosity,
All soils N 7-30%
initial void ratio
Overconsolidation ratio Clay N/LN 10-35%
N/LN: Normal/Lognormal distribution.

Probability and Statistics Basics and Data Statistics


Data statistics
Distribution selection

Probability paper

 Probability paper is a graphical technique commonly used


to t data to a distribution.
 It enables qualitative analysis of the t and detection of
departures from the selected distribution.
 Probability paper is constructed by plotting sorted data
values vs corresponding empirical cumulative density
function, FX (x).
 FX (x) axis is distorted such that the respective distribution
plots as a straight line.
Probability and Statistics Basics and Data Statistics
Data statistics
Distribution selection

Probability paper
 Normal and Gumbel probability papers have linear data
values scale (x-axis).
 Lognormal and Weibul probability papers have a
logarithmic data values scale (x-axis).

Probability and Statistics Basics and Data Statistics


Data statistics
Distribution selection

Probability paper construction


Given a set of data x1 , x2 , ..., xn from some population X .
 Sort the values in increasing order: x1 x2 ... xn ,
 Calculate the values of the empirical cumulative density
function:
j
FX (xj ) = ; j = 1, ..., n
n+1
 If extreme values are of interest, the following formulation
can be used:
j 0.4
FX (xj ) = ; j = 1, ..., n
n + 0.2
 
 Plot pairs, xj , FX (xj ) ; j = 1, ..., n, on the probability
paper.
Probability and Statistics Basics and Data Statistics
Data statistics
Distribution selection

Probability paper

 
 Once the pairs xj , FX (xj ) ; j = 1, ..., n are plotted, a
straight line can be tted to data.
 Parameters of the respective distribution can be inferred
from the tted line.
 Normal distribution: Calculate values x0 and x1 on normal
probability paper, for which FX (x0 ) = 0.5 and
FX (x1 ) = 0.841. Then X = x0 , and X = x1 x0 .

Probability and Statistics Basics and Data Statistics


Data statistics
Distribution selection

Probability paper

 Lognormal distribution: Calculate values x0 and x1 on


lognormal probability paper, for which FX (x0 ) = 0.5 and
FX (x1 ) = 0.841. Then Y = x0 , and Y = x1 x0 , where
Y = ln(X ) is a corresponding normal distribution.
Parameters  of the lognormal
 distribution are calculated as:
Y2
X = exp Y + 2 , and
     
Y2
X = exp Y + 2 exp Y2 1 .
Probability and Statistics Basics and Data Statistics
Data statistics
Distribution selection

Probability paper

 Gumbel distribution: Calculate values x0 and x1 on Gumbel


probability paper, for which FX (x0 ) = 0.368 and
FX (x1 ) = 0.951. From these we obtain parameters t1 and
t2 , from which mean and standard deviation can be
estimated.
3
t1 = x0 , and t2 = x1 x 0
0.577 1.283
X = t1 + t2 , and X = t2 .

Probability and Statistics Basics and Data Statistics


Data statistics
Distribution selection

Probability paper example

 Lognormal probability
 Normal probability paper
paper
Probability and Statistics Basics and Data Statistics
Data statistics
Linear regression

Linear regression
 Linear regression is a statistical technique used to explore
relationship between two or more variables [4].
 Linear regression model assumed that observations Y can
be described by the model:
Y = 0 + 1 x +
where is an error term with mean 0 and variance 2 .

Probability and Statistics Basics and Data Statistics


Data statistics
Linear regression

Linear regression
 Expected value of the linear regression model is:

E(Y | x) = 0 + 1 x
 Variance of the linear regression model is:

Var (Y | x) = Var (0 + 1 x) + Var ( ) = 0 + 2 = 2


Probability and Statistics Basics and Data Statistics
Data statistics
Linear regression

Linear regression

 Given a set of n observations:

{(x1 , y1 ), (x2 , y2 ), ..., (xn , yn )}

 Estimates of regression coefcients, 0 and 1 , are


calculated by the method of least squares.
 The observations can be expressed as:

yi = 0 + 1 xi + i ; i = 1, ..., n

Probability and Statistics Basics and Data Statistics


Data statistics
Linear regression

Linear regression
 The goal is to minimize the sum of squares of errors, i :


n 
n
R= 2i = (yi 0 + 1 xi )
i=1 i=1

 Minimization require the following two equations to be


satised:

R  n
= 2 (yi 0 + 1 xi ) = 0
0
i=1

R  n
= 2 (yi 0 + 1 xi ) xi = 0
1
i=1
Probability and Statistics Basics and Data Statistics
Data statistics
Linear regression

Linear regression

 This results in two equations:


n 
n
n0 + 1 xi = yi
i=1 i=1


n 
n 
n
0 xi + 1 xi2 = xi yi
i=1 i=1 i=1

Probability and Statistics Basics and Data Statistics


Data statistics
Linear regression

Linear regression
 The estimates are then calculated as:
n  n 
 n
1  
xi yi n xi yi
1 = i=1 i=1
n 2
i=1
n
1 
xi n
2 xi
i=1 i=1

1 1 
n n
0 = yi xi
n n
i=1 i=1
 The tted regression model is:

y = 0 + 1 x
Probability and Statistics Basics and Data Statistics
Data statistics
Linear regression

Linear regression

 For each observation a residual, ei , can be dened:

ei = yi (0 + 1 xi ) = yi yi ; i = 1, ..., n

 The unbiased estimator of 2 is [4]:



n 
n
ei2 (yi yi )2
i=1 i=1
2 = =
n2 n2

Probability and Statistics Basics and Data Statistics


Data statistics
Linear regression

Linear regresion - examples


Data:
i xi yi  y
y
1 8.354 22.839
2 4.490 14.879 
3 6.228 17.487
4 3.325 9.806 
\

5 6.816 22.053
6 4.104 14.889 
7 7.234 19.963
8 7.514 25.562 
9 7.985 25.776
10 5.604 17.177 
    
11 2.671 11.560 [
12 3.832 8.121
13 9.307 27.814
14 3.219 10.203
15 8.607 26.422 0 = 0.9272
16 6.307 21.072
17 9.969 33.461
18 2.625 9.310 1 = 2.9752
19 5.541 16.704
20 2.853 10.310
= 1.9424
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating

 Bayesian updating is a technique for combining prior


knowledge (probability as a degree of belief) with
observations (frequentist probability).

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating

Bayesian updating in risk and reliability assessment of


geotechnical structures can be used to analyze soil and loading
parameters [5]:
 a) from samples and measurements (e.g., combine
previous knowledge and sample measurements to provide
estimates for material parameters)
 b) from measurements and observations of system
parameters (e.g., embankment settlement can be used to
learn about probable soil parameters)
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating

Bayesian updating in geotechnical risk and reliability [5]:

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating
 Recall the Bayes Theorem presented in the previous
lecture:
P(E | A)P(A)
P(A | E) =
P(E)
where: P(A) is denoted prior probability, P(A | E) posterior
probability, P(E | A) likelihood, and
P(E) = P(E | A)P(A) + P(E | A)P(A)
 For disjoint and collectively exhaustive A1 , A2 , ..., An :

P(E | Ai )P(Ai )
P(Ai | E) =

n
P(E | Aj )P(Aj )
j=1
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating
 Previously introduced Bayes Theorem can be extended to
random variables, :

f ( | x) = c L (x | ) f ()

 is the random variable or parameter of interest (e.g.,


mean value of friction angle)
 x are data or observations (e.g., friction angle
measurements at a site)
 c is the normalizing constant

c= L (x | ) f ()d

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating

 Bayesian updating:

f ( | x) = c L (x | ) f ()

 f () is the prior distribution (e.g., prior knowledge on the


mean values of friction angle)
 L (x | ) is the likelihood distribution of the data given
parameter (e.g., likelihood of observing data x given
parameter )
 f ( | x) is the posterior distribution of parameter given
data x (e.g., posterior estimates for the mean of friction
angle)
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating

 Analytical solution for the posterior distribution are


available for a limited number of cases in which prior and
posterior distribution come from the same family (e.g.,
exponential).
 In many practical applications of Bayesian updating in
engineering this is not the case. Parameters of the
posterior distribution are obtained by implementing Markov
Chain Monte Carlo methods.

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating - Example

 Example: Based on soil investigations in the neighboring


areas we observe that the values of the friction angle are
normally distributed and usually between L = 31 and
U = 35 . We have also noticed that the standard
deviation of friction angles on other sites is consistently
around = 3 and we consider it to be known. Three soil
samples were collected at the studied site with following
friction angle values = [33.8 , 34.7 , 35.2 ].
 The goal is to combine prior information with
measurements to update the value of the mean friction
angle .
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating - Example

 Prior: We can assume that the mean value of friction


angle, , is normally distributed. The lower and upper
values of friction angle are assumed to represent the 95%
condence interval. Based on this information and
can be calculated.

= 33 ; = 1.2159

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating - Example


 Prior:
 2
1 1
f ( ) =  exp
22 2




f ( )






     

Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating - Example

 Likelihood:We have three observations


= [33.8 , 34.7 , 35.2 ]. Since the friction angle is
normally distributed, the likelihood of a single observation
is dened as:
 
1 1 i 2
L(i | ) =  exp
22 2

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating - Example


 Since the observations are independent, the likelihood of
all three observations is given as a product:
L( | ) = L(1 | ) L(2 | ) L(3 | )
3  3 
1 1  i 2
L( | ) =  exp
22 2
i=1


[



L( | )






     
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating - Example

 Posterior: Posterior is calculated as:

f ( | ) = c L( | )f ( )

 Normalizing constant, c, is often not calculated. Instead,


proportional expression is considered:

f ( | ) L( | )f ( )

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating - Example

 Posterior: Multiplication of two normal distributions (i.e.,


prior and likelihood) results in a normal distribution (i.e.,
posterior) with following parameters:
n 
+ 

2
2
 1
 = n 1

;  = n
2 +
2 2 + 21

where:
1
n
= i
n
i=1
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating

Bayesian updating - Example

 The following values are obtained:

 = 33.5172 ;  = 0.9952

 Posterior:
 2
1  1

f ( | ) =  exp
22 2 

Probability and Statistics Basics and Data Statistics


Data statistics
Bayesian updating

Bayesian updating - Example

 The posterior estimate of the is selected as the mode of


the posterior distribution, which in this case is the mean
 = 33.5172 .

 3ULRU
f ( | ); L( | ); f ( )

/LNHOLKRRG
3RVWHULRU









      

Probability and Statistics Basics and Data Statistics
Appendix
References

References I

G. Baecher and J. Christian.


Reliability and statistics in geotechnical engineering.
John Wiley & Sons, 2005.
G. Fenton and V. Grifths.
Risk assessment in geotechnical engineering.
John Wiley & Sons, 2008.
F. Nadim.
Tools and strategies for dealing with uncertainty in
geotechnics.
Springer, 2007.

Probability and Statistics Basics and Data Statistics


Appendix
References

References II

D. Montgomery.
Applied Statistics and Probability for Engineers 6th edition.
John Wiley & Sons, 2013.
D. Straub and I. Papaioannou.
Bayesian analysis in geotechnical reliability.
2014.
ISSMGE Technical Committee on Risk Assessment and
Management.
Glossary of Risk Assessment Terms.
Available at: http://140.112.12.21/issmge/tc304.htm
Introduction to probabilistic analysis

Lecture 4: Introduction to Probabilistic


Analysis

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology

Introduction to probabilistic analysis

Outline
Risk assessment
Uncertainty
Risk assessment framework
Deterministic design approach
Performance assessment criteria
Deterministic design approach
Functions of random variables
Performance function
Function of a single random variable
Linear combinations of random variables
Functions of multiple random variables
Moments
Approximations
FOSM
Introduction
Implementation
Introduction to probabilistic analysis
Risk assessment
Uncertainty

Uncertainty

 Reliability assessment of engineering structures/systems


enables quantication of uncertainties and potential
consequences associated with the performance of the
structure/system in order to decide on the optimal
structural/system design.
 Uncertainty: Describes any situation without certainty,
whether or not described by a probability distribution.
Uncertainty is caused by natural variation and/or
incomplete knowledge (lack of understanding or
insufcient data) [5].

Introduction to probabilistic analysis


Risk assessment
Uncertainty

Aleatory and epistemic uncertainty

 Uncertainties associated with risk assessment in


geotechnical engineering are commonly classied into two
groups: aleatory and epistemic.
 Aleatory uncertainty describes inherent natural
randomness of natural processes (e.g., spatial variation of
soil properties within a single geological layer, wind speeds
at certain location). Aleatory uncertainties cannot be
reduced.
Introduction to probabilistic analysis
Risk assessment
Uncertainty

Aleatory and epistemic uncertainty

 Epistemic uncertainty reects the uncertainty due to the


lack of knowledge (e.g., model uncertainty, measurement
errors, limited number of observations). Epistemic
uncertainty can be reduced or eliminated by improving
measurement accuracy, conducting additional
observations or improving simulation models.

Introduction to probabilistic analysis


Risk assessment
Risk assessment framework

Risk assessment framework

 Step A: Dene the problem and performance assessment


criteria. (e.g., slope stability problem)
Introduction to probabilistic analysis
Risk assessment
Risk assessment framework

Risk assessment framework

 Step B: Quantify the sources of uncertainty. (e.g., natural


variability of soil parameters, uncertainties due to lack of
knowledge (simple simulation models) )
 Step C: Propagate uncertainties and evaluate the system
response. (e.g., distribution of the system response, failure
probability)
 Step D: Risk assessment. (e.g., select a system design
which minimizes risk, different slope inclinations)

Introduction to probabilistic analysis


Risk assessment
Risk assessment framework

Risk assessment framework


Introduction to probabilistic analysis
Risk assessment
Risk assessment framework

Risk assessment

Introduction to probabilistic analysis


Deterministic design approach
Performance assessment criteria

Performance assessment criteria

 Engineering structures and systems are designed with


respect to certain performance criteria.
 The performance criteria are dened with respect to
ultimate and serviceability limit states.
Introduction to probabilistic analysis
Deterministic design approach
Performance assessment criteria

Ultimate limit state

 The ultimate limit state (ULS) can be dened as an event


where a structure as a whole or some of its load bearing
elements exceed the load bearing capacity.
 Examples of the ultimate limit state failures include
progressive collapse, plastic mechanism, re etc.
 The ultimate limit state can be associated with major
nancial loss and loss of life. For these reasons the
probability of occurrence of the ultimate limit state should
be low.

Introduction to probabilistic analysis


Deterministic design approach
Performance assessment criteria

Ultimate limit state

Source: www.blogs.agu.org

Source: en.wikipedia.org

Source: www.panoramio.com
Source: www.mirror.co.uk
Introduction to probabilistic analysis
Deterministic design approach
Performance assessment criteria

Serviceability limit state

 The serviceability limit state (SLS) can be dened as an


event where a structure exceeds the deformation tolerance
values while the load bearing capacity has not been
surpassed.
 Examples of the ultimate limit state failures include
excessive deformations, excessive vibrations, local
damage etc.
 The serviceability limit state has a lower impact and than
the ultimate limit state, and it can be tolerated with higher
occurrence probability.

Introduction to probabilistic analysis


Deterministic design approach
Performance assessment criteria

Serviceability limit state

Source: www.geerassociation.org

Source: en.wikipedia.org
Introduction to probabilistic analysis
Deterministic design approach
Deterministic design approach

Classical deterministic design approach


 Engineering structures are designed with certain
resistance R (e.g., foundation bearing capacity) capable of
bearing specied loads S (e.g., earthquake load).
 In the early design code developments structural safety
was quantied by a safety factor:

R
F =
S
 If F > 1; then R > S and the structure is considered safe.
If F 1; then R S and the structure is considered
unsafe.
 Depending on the structure, minimal safety factors were
required (e.g., Fmin = 1.5).

Introduction to probabilistic analysis


Deterministic design approach
Deterministic design approach

Classical deterministic design approach

Factor of safety was developed to account for [3]:


 Uncertainties in the resistance, R, (e.g., material strength)
and load, S, (e.g., uncertainties in the wind load).
 Modeling approximations and design errors (e.g., usage of
simplied models in the design)
 Construction process.
 ....
Note: Factor of safety accounts for uncertainties implicitly.
Factor of safety is not considered as a sufcient safety indicator
because the uncertainties in the design process affect safety
and failure probability [3].
Introduction to probabilistic analysis
Deterministic design approach
Deterministic design approach

Classical deterministic design approach


 Later design code developments, known as
semi-probabilistic design codes or load and resistance
factor design (e.g., Eurocode), introduced improvements
by dening safety factors specically for resistance and
load parameters.
 The structure satises the design codes if:
Rk
> Sk S
R
where Rk is the characteristic resistance value, R 1 is
the safety factor for resistance, Sk is the characteristic load
value, and S 1 is the safety factor for loads.
Note: Although improvements are introduced, the uncertainties
are accounted implicitly.

Introduction to probabilistic analysis


Deterministic design approach
Deterministic design approach

Classical deterministic design approach

 Characteristic values are dened as: 95% fractile for loads


and 5% fractile for resistance.
 If S is normally distributed with mean S and standard
deviation S , then the characteristic load value is:

Sk = S + 1 (0.95)S = S + 1.645S

 If R is normally distributed with mean R and standard


deviation R , then the characteristic resistance value is:

Rk = R + 1 (0.05)R = R 1.645R
Introduction to probabilistic analysis
Deterministic design approach
Deterministic design approach

Classical deterministic design approach

Introduction to probabilistic analysis


Functions of random variables
Performance function

Functions of random variables


 Function of random variables

Y = g(X)

where X = [X1 , X2 , ..., XN ]T RN is a vector of random


variables (e.g., N random soil properties) associated with
the joint pdf, X fX (x), and Y = [Y1 , Y2 , ..., YM ]T RM is
the vector of random response (e.g., displacements at M
locations in the model).
Introduction to probabilistic analysis
Functions of random variables
Performance function

Performance function

 In reliability analysis of engineering structures, the function


g is commonly known as performance function.
 The performance function is dened in a such way that it
incorporates the performance assessment criteria.
 In reliability analysis of engineering structures the
performance assessment criteria are commonly dened
with respect to ultimate and serviceability limit states.

Introduction to probabilistic analysis


Functions of random variables
Performance function

Performance function
 The performance function incorporates the performance
assessment criteria in a such way that is has positive value
(g(x) > 0) if the state of the structure is safe, and
non-positive value (g(x) 0) if the state of the structure is
unsafe.



 g(x) > 0
Safe domain

fX (x)

x2

 F -
failure
 domain
g(x) < 0 g(x) = 0

      
x1
Introduction to probabilistic analysis
Functions of random variables
Performance function

Performance function

Introduction to probabilistic analysis


Functions of random variables
Performance function

Performance function
 The boundary between the safe and unsafe domain is
known as the limit state, and it corresponds to the value of
the performance function equal to zero.



 g(x) > 0
Safe domain

fX (x)

x2

 F -
failure
 domain
g(x) < 0 g(x) = 0

      
x1
Introduction to probabilistic analysis
Functions of random variables
Performance function

Performance function formulations


 Performance function formulation in terms of R(X) and
S(X).
 The performance function is then dened as:
g(X) = R(X) S(X)
where both R and S are functions of random parameters X.

Introduction to probabilistic analysis


Functions of random variables
Performance function

Performance function formulations

 Several formulations of the performance function are


possible:
g(X) = R(X) S(X)
R(X)
g(X) = 1 = F (X) 1
S(X)

R(X)
g(X) = ln = ln (F (X))
S(X)
where F (X) = R(X)/S(X) is the safety factor.
Introduction to probabilistic analysis
Functions of random variables
Performance function

Statistical parameters of g(X )

 For the initial denition g(X) = R(X) S(X), the mean and
standard deviation are calculated regardless of the
distributions for R and S as:

g = R S

g = R2 + S2 2RS R S
 How to account for the safety?
 Failure probability, PF is a measure of the design safety.

PF = P(R < S) = P(g(X) 0)

Introduction to probabilistic analysis


Functions of random variables
Performance function

Failure probability and reliability index

 PF can be calculated from the statistical parameters of


g(X). If we assume that g has a normal distribution, then
the PF is calculated as:

0 g
PF = P(g(X) 0) = = ()
g

where is the reliability index.


 Since PF is usually low (e.g., 105 ) and has a negative
connotation of failure it is more common to use reliability
index as a measure of safety.
Introduction to probabilistic analysis
Functions of random variables
Performance function

Performance function formulations


 Reliability index, is dened as the distance from the
mean, g and the limit state, g = 0:
g R S
= =
g R2 + S2 2RS R S

Introduction to probabilistic analysis


Functions of random variables
Performance function

Failure probability
 If R and S are uncorrelated:
g R S
= =
g R2 + S2
Introduction to probabilistic analysis
Functions of random variables
Performance function

Failure probability

 In situations when g is not normally distributed, normal


assumption usually gives conservative estimates [1].










()












      

Introduction to probabilistic analysis


Functions of random variables
Performance function

Example
 R and S are
independent   

normally  

Failure


 
distributed domain 
fRS (r, s)


 
random variables g=0

 
with R = 10,
s
s


 

R = 1 and  

g =RS


S = 8, S = 1.   Safe 
domain

 Performance 
  

    


fS (s) r

function: 

g = R S; 
fR (r)

g = 2, g = 2.




 = 2, 
    
r
   

PF = 0.0786
Introduction to probabilistic analysis
Functions of random variables
Function of a single random variable

Functions of a single random variable


 Function of a single random variable

Y = g(X )

where X fX (x) is a random variable distributed according


to the distribution fX (x).
 If y = g(x) is a one-to-one function, meaning that each
value of x gives only one value of y and that each value of
y corresponds only to one value of x.
 For discrete case this leads to the following relation in
terms of probabilities:


P [Y = y ] = P [X = x] = P X = g 1 (y )

where g 1 (y ) is the inverse function of g.

Introduction to probabilistic analysis


Functions of random variables
Function of a single random variable

Functions of a single random variable

 For continuous case the following expression can be


dened:
fY (y ) = fX (x) = fX (g 1 (y ))
 Discrete cumulative density function can be calculated as
follows:


FY (y ) = P [Y y ] = FX (g 1 (y )) = P X g 1 (y )


= fX (xi )
xi g 1 (y )
Introduction to probabilistic analysis
Functions of random variables
Function of a single random variable

Functions of a single random variable

Introduction to probabilistic analysis


Functions of random variables
Function of a single random variable

Functions of a single random variable

 Continuous cumulative density function:

g 1
 (y ) y ( )
1 dg 1 (y )
FY (y ) = fX (x)dx = fX (g (y )) dy
dy

 Probability density function is obtained by differentiating:


( 1 )
dFY (y ) 1 dg (y )
fY (y ) = = fX (g (y ))
dy dy
Introduction to probabilistic analysis
Functions of random variables
Function of a single random variable

Functions of a single random variable

 In case of a continuously decreasing function g(x):

P [Y y ] = P [X > x] = 1 P [X x]

 Following formulations for the probability and cumulative


density functions can be formulated:

FY (y ) = 1 FX (g 1 (y ))
( )
dFY (y ) 1 dg 1 (y )
fY (y ) = = fX (g (y ))
dy dy

Introduction to probabilistic analysis


Functions of random variables
Function of a single random variable

Functions of a single random variable

 To handle both cases one can write:


* 1 *
dFY (y ) * dg (y ) *
fY (y ) = 1 *
= fX (g (y )) * *
dy dy *

 or by using x = g 1 (y ):
* *
* dx *
fY (y ) = fX (x) ** **
dy
Introduction to probabilistic analysis
Functions of random variables
Linear combinations of random variables

Linear combinations of random variables

 Consider a set of random variables X1 , X2 , ..., XN and the


constants c, a1 , a2 , ..., aN . Linear combination of random
variables, Y , is dened as:

Y = c + a1 X1 + a2 X2 + ... + aN XN

 Mean of the linear combination:

E [Y ] = c + a1 E [X1 ] + a2 E [X2 ] + ... + aN E [XN ]

Introduction to probabilistic analysis


Functions of random variables
Linear combinations of random variables

Linear combinations of random variables

 Variance of the linear combination:

Var [Y ] = aXX aT

where a = [a1 , a2 , ..., aN ]T is the coefcient vector and XX


is the covariance matrix.
 Variance in the case of linear combination of uncorrelated
random variables:

Var [Y ] = a12 Var [X1 ] + a22 Var [X2 ] + ... + aN


2
Var [XN ]
Introduction to probabilistic analysis
Functions of random variables
Functions of multiple random variables

General formulation

 In general, the function of random multiple random


variables, X = [X1 , X2 , ..., XN ]T RN , is dened as:

Y = g(X) = g(X1 , X2 , ..., XN )

where Y = [Y1 , Y2 , ..., YM ]T RM


 Uncertainty quantication in cases with multiple random
variables and nonlinear formulation is often difcult to
perform.
 It is common to solve the problem with approximate
methods based on Taylors series expansion or sampling
methods (e.g., Monte Carlo).

Introduction to probabilistic analysis


Functions of random variables
Moments

Expectation

 Expectation of the function of a single random variable, X :




g(x)pX (xi ) discrete RV
allx
Y = E [g(X )] =

g(x)fX (x)dx continuous RV

 Multiple discrete: X = [X1 , ..., XN ]T :


 
E [g(X)] = ... g(x1 , x2 , ..., xN )p(x1 , x2 , ..., xN )
all x1 all x2 all xN
Introduction to probabilistic analysis
Functions of random variables
Moments

Expectation

 Multiple continuous X = [X1 , ..., XN ]T :

E [g(X)] =
  
... g(x1 , x2 , ..., xN )fX (x1 , x2 , ..., xN )dx1 dx2 ...dxN

 Rules for the expectation operator:

E [ag(X) + c)] = aE [g(X)] + c

E [g1 (X) + g2 (X)] = E [g1 (X)] + E [g2 (X)]

Introduction to probabilistic analysis


Functions of random variables
Approximations

Taylors series expansion

 Due to the mathematical complexity associated with the


functions of random variables, approximate solutions are
commonly used.
 Taylors series expansion of a real function h(x) at point
x = is dened as:
dh() 1 d 2 h()
h(x) = h() + (x ) + (x )2 +
dx 2! dx 2

1 d 3 h() 3 1 d n h()
(x ) + ... + (x )n + ...
3! dx 3 n! dx n
Introduction to probabilistic analysis
Functions of random variables
Approximations

Example of Taylors series expansion


 The function is dened as:
h(x) = x sin(x)
 First and second order Taylors series expansion of h(x) at
point x = 2 are presented below:


K [

 7UXHIXQFWLRQ
VWRUGHU
 QGRUGHU

     
[

Introduction to probabilistic analysis


Functions of random variables
Approximations

Taylors series expansion of a function of a single


random variable

 Taylors series expansion of a function, Y = g(X ), of a


single random variable, X , about mean, X , is dened as
follows:
*
dg **
Y = g(X ) = g(X ) + (X X ) +
dx *X
* *
1 d 2 g ** 2
3 *
3 1 d g*
(X X ) + (X X ) + ...
2! dx 2 *X 3! dx 3 *X
Introduction to probabilistic analysis
Functions of random variables
Approximations

Taylors series expansion of a function of a single


random variable

 The rst order approximation of moments is obtained by


using only the rst two terms of the Taylors series
expansion:
 * 
dg **
E [Y ] E g(X ) + (X X ) = g(X )
dx *X
 *   * 2
dg ** dg **
Var [Y ] Var g(X ) + (X X ) * = Var [X ]
dx X dx *X

Introduction to probabilistic analysis


Functions of random variables
Approximations

Taylors series expansion of a function of a single


random variable
 The second order approximation of moments is obtained
by using only the rst three terms of the Taylors series
expansion:
 * 
1 d 2 g **
E [Y ] g(X ) + Var [X ]
2 dx 2 *X
 * 2  * 2
dg ** 1 d 2 g **
Var [Y ] Var [X ] Var [X ] +
dx *X 2 dx 2 *X
 *   2

dg d 2 g ** 1
d 2 g **
E (X X )3 + E (X X )4 *
dx dx 2 *X 4 dx 2 *X
Introduction to probabilistic analysis
Functions of random variables
Approximations

Taylors series expansion of a function of multiple


random variable

 Taylors series expansion of a function, Y = g(X), of a set


of random
 variable, X  = [X1 , X2 , ....XN ], about mean,
= X1 , X2 , ....XN , is dened as follows:
*

N
dg **
Y = g(X1 , X2 , ..., XN ) + (Xi Xi ) +
dx *
i=1

*
1 
N N
d 2 g **
(Xi Xi )(Xj Xj ) + ...
2 dxi dxj *
i=1 j=1

Introduction to probabilistic analysis


Functions of random variables
Approximations

Taylors series expansion of a function of multiple


random variable

 The rst order approximations by Taylors series expansion


are:
E [Y ] g() = g(X1 , X2 , ..., XN )
 * 
N  N
dg dg **
Var [Y ] Cov(Xi , Xj )
dxi dxj *
i=1 j=1
Introduction to probabilistic analysis
FOSM
Introduction

First-Order Second-Moment Method

 The First-Order Second-Moment Method (FOSM) is a


relatively simple method for uncertainty quantication.
 It is based on the rst-order Taylors series expansion.
 The truncated rst-order Taylors series expansion uses
the rst two moments of the random variables, X , to
calculate the rst two moments (second-moment) of the
random response, Y .

Introduction to probabilistic analysis


FOSM
Introduction

FOSM

 The accuracy of the method is low in cases where second


and higher orders are important.
 The method does not incorporate the full distribution, only
the mean and standard deviation.
 The skewness and higher moments are ignored.
 Additional assumptions need to be made to estimate the
failure probability.
 Reliability index is not uniquely dened.
Introduction to probabilistic analysis
FOSM
Implementation

FOSM
 The FOSM is based on the rst order Taylors series
expansion of the random response, Y = g(X), at the
 T
mean, = X1 , X2 , ..., XN .
 The resulting rst two moments of the random response
are dened as follows:
g = E [Y ] g() = g(X1 , X2 , ..., XN )
 * 

N  N
dg dg **
2
g = Var [Y ] Cov(Xi , Xj )
dx dx *
i j
i=1 j=1
 Variance in the case of uncorrelated random variables:
 * 2

N
dg **
2
g = Var [Y ] Xi
dxi *
i=1

Introduction to probabilistic analysis


FOSM
Implementation

FOSM
 In case of an implicit performance function (e.g., nite
element models) one can calculate the derivatives at the
mean point numerically:
*
dg ** g( + hi ) g()
*
dxi h

where hi is a small change in xi .


 There is no general rule for the size of hi . It is common to
consider several values around hi = 0.1 Xi .
 More accurate two-point estimate:
*
dg ** g( + hi ) g( hi )
*
dxi 2h
Introduction to probabilistic analysis
FOSM
Implementation

FOSM - failure probability estimate

 The reliability index is calculated as:


g
=
g

 The estimate of the failure probability is calculated under


the assumption that g is normally distributed:

PF = 1 () = ()

Introduction to probabilistic analysis


FOSM
Implementation

FOSM - failure probability estimate

 The reliability index is not uniquely dened. Depending on


the formulation of the performance function, the following
formulations are used [6]:
g(X )
F 1
RS 
2F CoVR2 +CoVS2
R
1  F 1
S F CoVR2 +CoVS2
R  ln(F )
ln 
S CoVR2 +CoVS2

where F = RS is the mean or a deterministic value of the


factor of safety F .
Introduction to probabilistic analysis
FOSM
Implementation

FOSM - sensitivity

 Sensitivity of the response, g, to the i-th random variable,


Xi is calculated as follows:
* 2
dg *
Xi dx *
i
i = * 2

N
dg *
Xj dx *
j
j=1

Introduction to probabilistic analysis


Appendix
Readings

Readings

 Tools and strategies for dealing with uncertainty in


geotechnics by F. Nadim.
 Reliability-based structural design by S. Choi, R. Grandhi,
and A. Caneld.
Introduction to probabilistic analysis
Appendix
References

References I

G. Baecher and J. Christian.


Reliability and statistics in geotechnical engineering.
John Wiley & Sons, 2005.
G. Fenton and V. Grifths.
Risk assessment in geotechnical engineering.
John Wiley & Sons, 2008.
F. Nadim.
Tools and strategies for dealing with uncertainty in
geotechnics.
Springer, 2007.

Introduction to probabilistic analysis


Appendix
References

References II

S. Choi, R. Grandhi, and A. Caneld.


Reliability-based structural design.
Springer, 2007.
ISSMGE Technical Committee on Risk Assessment and
Management.
Glossary of Risk Assessment Terms.
Available at: http://140.112.12.21/issmge/tc304.htm
Li, KS and Lumb, P.
Probabilistic design of slopes.
Canadian Geotechnical Journal, 1987, NRC Research
Press.
FORM and system reliability

Lecture 5: FORM and System Reliability

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology

FORM and system reliability

Outline
FOSM
Introduction
Implementation
FORM
Introduction
General formulation
HL algorithm
Sensitity
HL-RF algorithm
SORM
Introduction
System reliability analysis
Introduction
Simple systems
Complex systems
FORM and system reliability
FOSM
Introduction

First-Order Second-Moment Method

 The First-Order Second-Moment Method (FOSM) is a


relatively simple method for uncertainty quantication.
 It is based on the rst-order Taylors series expansion.
 The truncated rst-order Taylors series expansion uses
the rst two moments of the random variables, X , to
calculate the rst two moments (second-moment) of the
random response, Y .

FORM and system reliability


FOSM
Implementation

FOSM
 The FOSM is based on the rst order Taylors series
expansion of the random response, Y = g(X), at the
 T
mean, = X1 , X2 , ..., XN .
 The resulting rst two moments of the random response
are dened as follows:
g = E [Y ] g() = g(X1 , X2 , ..., XN )
 * 

N  N
dg dg *
g2 = Var [Y ] Cov(Xi , Xj ) *
dxi dxj *
i=1 j=1
 Variance in the case of uncorrelated random variables:
 * 2

N
dg **
2
g = Var [Y ] Xi
dxi *
i=1
FORM and system reliability
FOSM
Implementation

FOSM - failure probability estimate

 The reliability index is calculated as:


g
=
g

 The estimate of the failure probability is calculated under


the assumption that g is normally distributed:

PF = 1 () = ()

FORM and system reliability


FOSM
Implementation

FOSM

 The accuracy of the method is low in cases where second


and higher orders are important.
 The method does not incorporate the full distribution, only
the mean and standard deviation.
 The skewness and higher moments are ignored.
 Additional assumptions need to be made to estimate the
failure probability.
 Reliability index is not uniquely dened.
FORM and system reliability
FORM
Introduction

FORM
 First order reliability method (FORM): ia a reliability
method based on the rst order Taylors series expansion
at the design point.
 The design or most probable point is a point on the failure
limit with the highest value of the (joint) probability density
function.
 In the space of standard normal random variables it
corresponds to the point on the failure limit closest to the
origin.
 The development of the FORM method is based on the
FOSM method which is based on the rst order Taylors
series expansion at the mean point.

FORM and system reliability


FORM
Introduction

FORM
The FORM methods overcomes several disadvantages of the
FOSM approach:
 The value of the reliability index is not dependent on the
formulation of the performance function.
 The method incorporates full distributions.
Although improvements are introduced wtih respect to the
FOSM method, the FORM methods has several weaknesses:
 The accuracy of the method is low in cases where the
performance function is nonlinear, meaning that second
and higher orders of the Taylors series are important.
 In case of multiple design points, the algorithm needs
several runs with independent starting points.
FORM and system reliability
FORM
Introduction

FORM

 The implementation of the FORM method is based on


locating the design point in the probability space.
 The design point is located by transforming the set of input
(correlated) random variables X = [X1 , X2 , ..., XN ]T RN
into the set of independent standard normal distributed
random variables U = [U1 , U2 , ..., UN ]T RN .
 Example: Consider single normal distributed random
variable X N(X , X ). The corresponding standard
normal distributed random variable is:
X X
U=
X

FORM and system reliability


FORM
Introduction

FORM
 Consider the reliability problem dened with performance
function g(R, S) = R S, where R N(R , R ), and
S N(S , S ) are two independent normal distributed
random variables.
 The corresponding standard normal distributed random
variables are:
R R S S
UR = ; US =
R S
 If the same transformation is applied to the performance
function, the following result is obtained:

g(R(UR ), S(US )) = g(UR , US ) = R + R UR S + S US


FORM and system reliability
FORM
Introduction

FORM

 Illustration of the reliability index and the design point P.

FORM and system reliability


FORM
Introduction

Example

 Example: Consider the reliability problem dened with


performance function g(R, S) = R S, where
R N(10, 2), and S N(7, 0.5) are two independent
normal distributed random variables.
 The corresponding standard normal distributed random
variables are:
R R S S
UR = ; US =
R S
 The UR and US are shifted by a mean and scaled by
standard deviation with respect to R and S.
FORM and system reliability
FORM
Introduction

Example
 If the same transformation is applied to the performance
function, the following result is obtained:
g(R(UR ), S(US )) = g(UR , US ) = R + R UR S + S US
 Results:

,QSXWSUREDELOLW\VSDFH 6WDQGDUGQRUPDOVSDFH

 g(uR , uS ) = 0
g(r, s) < 0  g(uR , uS ) < 0
Failure g(r, s) = 0 Failure
 domain domain

 P


uS
s


fRS (r, s)

 g(r, s) > 0
Safe fUR ,US (uR , uS )
domain  g(uR , uS ) > 0
 Safe
domain

             
r uR

FORM and system reliability


FORM
Introduction

Example
 How to calculate the coordinates of the design point P in
the standard space?
 The design point is an intersection between the failure limit
state and the line orthogonal to it passing through the
origin.
6WDQGDUGQRUPDOVSDFH

g(uR , uS ) < 0 g(uR , uS ) = 0
Failure
 domain


P


uS

l2

l1 fUR ,US (uR , uS )



g(uR , uS ) > 0
Safe
domain

      
x
FORM and system reliability
FORM
Introduction

Example

 The failure limit is described by the line l1 :


R R S
g(UR , US ) = 0 l1 : uS = uR +
S S
 The line orthogonal to the limit state, l2 , is dened as:
S
l2 : uS = uR
R
 Lines l1 and l2 intersect at point P = (uRP , uSP ).

FORM and system reliability


FORM
Introduction

Example

 The coordinates of the intersection are calculated by


equating the two lines:
S R R S
uRP = uRP +
R S S
R
uRP = (S R )
R2 + S2
S
uSP = uRP = 2 S 2 (S R )
R R + S
FORM and system reliability
FORM
Introduction

Example

 The reliability index is calculated as:



= uRP 2 + u2
SP

|R S |
=
R2 + S2

= 1.4552 PF = () = 0.0728
 The solution is exact due to the exact t of the linear
performance function by the rst order Taylors series
expansion and linear transformation between normal and
standard normal distributions.

FORM and system reliability


FORM
General formulation

General case

 In general case we have a set of correlated arbitrary


distributed random variables X = [X1 , X2 , ..., XN ]T RN ,
and a nonlinear performance function, g, such that:

Y = g(X)

where Y = [Y1 , Y2 , ..., YM ]T RM is the random response.


FORM and system reliability
FORM
General formulation

General case

 Mapping of the reliability problem from the input space X to


standard normal space U.

FORM and system reliability


FORM
General formulation

Mapping to standard normal space

 The set of random variables X is mapped into a set of


independent standard normal distributed random variables
U.
 The distribution of U is rotationally symmetric.
 The mean in X space is mapped to the origin of the U
space.
 The performance function g(X) is mapped to the function
g  (U).
FORM and system reliability
FORM
General formulation

Reliability index

 Due to the rotational symmetry, the distance from the origin


to any point of the failure limit, g  (u) = 0, is calculated as:
 1 
(u) = uT u = u12 + u22 + ... + uN2 ; u g  (u) = 0
2

 Reliability index is dened as the minimal distance from the


origin of the U space to the failure limit state:
 1
2
= min uT u
ug  (u)=0

FORM and system reliability


FORM
HL algorithm

Reliability index

 This safety index is known


as Hasofer Lind (HL)
safety index.
 The point, P, on the failure
limit, closest to the origin of
the U space, is known as
the design point or most
probable point.
FORM and system reliability
FORM
HL algorithm

HL algorithm

 The Hasofer-Lind (HL) algorithm is an optimization


algorithm employed to locate the design point.
 The design point is a result of an optimization problem:
 1
2
Minimize: (u) = uT u

Subject to: g  (u) = 0


 This is the reason why FORM method is a member of the
group of optimization reliability methods.

FORM and system reliability


FORM
HL algorithm

HL algorithm

 HL optimization algorithm assumes that the random


variables X = [X1 , X2 , ..., XN ]T are independent normally
distributed random variables.

Xi N(Xi , Xi ); i = 1, ..., N

 The HL algorithm was extended by Rakwitz and Fiessler to


include arbitrary distributions. This approach is known as
HL-RF algorithm.
FORM and system reliability
FORM
HL algorithm

HL algorithm
 The rst order Taylors series expansion approximation of
g  (u) at the design point, P, is dened as:
 * 

N
g  (u) *
g  (u) g  (uP ) + * (ui uPi )
ui *uP
i=1

FORM and system reliability


FORM
HL algorithm

HL algorithm
 The approximation can be also expressed in X variables
since:
g(xP ) = g  (uP )
 The derivatives of the performance function are calculated
as:
g  (u) g(x)
= Xi
ui xi
 The reliability index is calculated as:
* 

N
g(x) *
g(xP ) xi *x Xi uPi
+ i=1
P
= 2
N *
g(x) *
xi * Xi
xP
i=1
FORM and system reliability
FORM
HL algorithm

HL algorithm
 The sensitivities, i , which express the relative contribution
of the i-th variable to total variation are calculated as:
*
g(x) *
xi *x Xi
i = + P
2
 g(x) **
N
xi * XixP
i=1

 In the standard normal space i represents the cosine of


the normal unit vector in the direction of the design point P
with respect to axis ui .

i = cos Xi = cos ui

FORM and system reliability


FORM
HL algorithm

HL algorithm

 The coordinates of the design point in the standard normal


space, uP = {uP1 , uP2 , ..., uPN }:
xPi Xi
uPi = = cos Xi ; i = 1, ..., N
Xi
 The coordinates of the design point in the original space,
xP = {xP1 , xP2 , ..., xPN }:

xPi = Xi + uPi Xi = Xi + cos Xi Xi ; i = 1, ..., N


FORM and system reliability
FORM
HL algorithm

HL algorithm

The Hasofer-Lind algorithm:


1. Dene the performance function, g(X).
2. Set the iterator, k = 0.
(0)
3. Select the coordinates of the initial design point, xP , and
compute gradients
* of the performance function at that
g(x) *
point, xi * (0) . It is common to select the mean value as
xP
(0)
the initial point, xP = X .
4. Compute the initial reliability index, (0) using the FOSM

method and direction cosines. (0) = gg
5. Update the iterator, k = k + 1

FORM and system reliability


FORM
HL algorithm

HL algorithm

(k )
6. Calculate coordinates of the new design point, xP , value
(k )
of the* performance function, g(xP ), and gradients
g(x) *
xi * (k ) .
xP

7. Calculate the reliability index, (k ) , and direction cosines.


| (k ) (k 1) |
8. Check convergence criteria. If (k 1)
lim stop the
process. Otherwise return to step 5.
FORM and system reliability
FORM
HL algorithm

HL algorithm
 In certain problems the HL algorithm might locate several
points as design points. In these situations it is advised to
select several starting points to nd 1 , 2 , ..., r . Then:
= min {1 , 2 , ..., r }

FORM and system reliability


FORM
HL algorithm

HL algorithm

 FORM estimates the failure probability by approximating


the performance function at the design point with rst order
Taylors series expansion.
 In case of linear performance function the estimate is
exact, while in the case of nonlinear function FORM
estimate can under or overestimate failure probability.
 In case of a concave failure limit with respect to the origin,
the failure probability is underestimated.
FORM and system reliability
FORM
HL algorithm

HL algorithm
 In case of a convex failure limit with respect to the origin,
the failure probability is overestimated.

FORM and system reliability


FORM
Sensitity

Sensitivity

 The sensitivities, i , express the relative contribution of the


i-th random variable to the total variation.

12 + 22 + ... + N
2
=1

 i also represents the sensitivity of the reliability index to


the input variable, ui , at the design point.

ui
= u12 + ... + ui2 + ... + uN2 = = i ; i = 1, ..., N
ui ui
FORM and system reliability
FORM
Sensitity

Sensitivity

 The sensitivity of the failure probability to the input variable,


ui , at the design point is calculated as:

PF
= () = () ; i = 1, ..., N
ui ui ui

where () is the standard normal pdf.

FORM and system reliability


FORM
Sensitity

Sensitivity
FORM and system reliability
FORM
HL-RF algorithm

HL-RF algorithm

 Rakwitz and Fiessler extended the Hasofer-Lind algorithm


to non-normal input random variables.
 In the Hasofer-Lind and Rakwitz-Fiessler (HL-RF)
algorithm non-normal random variables are transformed to
normal random variables by some of the transformations
(e.g., Rosenblatt, Nataf, normal tail approximation)

FORM and system reliability


FORM
HL-RF algorithm

Normal tail approximation

 Due to its simplicity, normal tail approximation is presented


rst.
 The normal tail approximation often yields excellent
agreement with exact solutions for the multidimensional
integrals of probability formula [2]:
 Consider a set of independent arbitrary distributed random
variables X = [X1 , X2 , ..., XN ]T with corresponding fXi (xi )
and FXi (xi ); i = 1, ..., N.
FORM and system reliability
FORM
HL-RF algorithm

Normal tail approximation

 The transformation is given as:

ui = 1 [FXi (xi )]

where 1 is the inverse of the standard normal


cumulative density function.
 To obtain the equivalent normal distribution one can use
the rst order Taylors series expansion at design point XP
[2]:

 1 **
1
ui = [FXi (xPi )] + [FXi (xi )] ** (xi xPi )
xi xP

FORM and system reliability


FORM
HL-RF algorithm

Normal tail approximation

 Gradient can be calculated as:


 1  fX (xi )
[FXi (xi )] = , 1 i -
xi FXi (xi )

 After substituting the gradients in the Taylors expansion


the following formulation is obtained:
 
1
  {1 [FXi (xPi )]}
xi xPi FXi (xPi ) fXi (xPi )
ui =
{ [FXi (xPi )]}
1

fXi (xPi )
FORM and system reliability
FORM
HL-RF algorithm

Normal tail approximation

 The previous equation can be expressed as:

xi Xi
ui =
X i

where Xi and X i are the parameters of the equivalent


normal distribution.
,  -
 1 FXi (xPi )
Xi =
fXi (xPi )
 
Xi = xPi 1 FXi (xPi ) X i

FORM and system reliability


FORM
HL-RF algorithm

Normal tail approximation


 At the design point the equivalent normal distribution ts
the approximated distribution in both probability and
cumulative density function.

fXi (xPi ) = fXi (xPi ); FXi (xPi ) = FXi (xPi )


FORM and system reliability
FORM
HL-RF algorithm

HL-RF algorithm

 The implementation of the HL-RF algorithm is similar to the


HL algorithm except for the step where non-normal random
variables are transformed to standard normal space.
 For the ones that want to learn more about Nataf
transformation; Multivariate distribution models with
prescribed marginals and covariances by Liu and Der
Kiureghian or Reliability Based Design Optimization with
Correlated Input Variables Using Copulas by Choi Noh and
Liu.

FORM and system reliability


SORM
Introduction

SORM

 Second Order Reliability Method (SORM) utilizes the


second order approximation of the performance function at
the design point.
*

N
dg **
 
g (u) g (uP ) + (ui uPi ) +
dui *uP
i=1

*
1 
N N
d 2 g **
(ui uPi )(uj uPj )
2 dui duj *u
i=1 j=1 P
FORM and system reliability
SORM
Introduction

SORM
 In general it is more accurate than FORM method, but it
can be computationally more expensive since it requires
second order derivatives of the performance function at the
mean point.

FORM and system reliability


System reliability analysis
Introduction

System reliability analysis

 System reliability analysis is considered in situations with


multiple failure performance criteria.
FORM and system reliability
System reliability analysis
Simple systems

Series system

 Series system is a system in which all components have to


be active in order for the system to operates. Failure of a
single component results in system failure.
 Failure event in a series system is realized if failure occurs
in any of performance assessment criteria,
gi (u); i = 1, ..., K :
 
.
K
 
PF = P gi (u) 0
i=1

FORM and system reliability


System reliability analysis
Simple systems

Series system

 The term series does not apply only to physical


arrangement of system components, but to any system
where a failure of a single component leads to system
failure.
 Series system of N components, Si ; i = 1, ..., N can be
represented as follows:
FORM and system reliability
System reliability analysis
Simple systems

Series system

 The reliability of the system is the probability that all


components are active.
 In case of independent components, Si ; i = 1, ..., N, the
reliability is:

/
N
PR = (1 pS1 )(1 pS2 ) (1 pSN ) = (1 pSi )
i=1

where pSi is the i-th component failure probability.

FORM and system reliability


System reliability analysis
Simple systems

Series system

 Failure probability of a serial system with independent


components is:

/
N
PF = 1 PR = 1 (1 pSi )
i=1

 Failure probability of a serial system in case of perfectly


correlated system components is:
 
PF = max pSi ; i = 1, ..., N
FORM and system reliability
System reliability analysis
Simple systems

Parallel system

 Parallel system is a system which operates if at least one


of the system components is active.
 Failure event in a parallel system is realized if failure
occurs in all of performance assessment criteria,
gi (u); i = 1, ..., K :
 
0
K
 
PF = P gi (u) 0
i=1

FORM and system reliability


System reliability analysis
Simple systems

Parallel system

 Parallel system of N components, Si ; i = 1, ..., N can be


represented as follows:
FORM and system reliability
System reliability analysis
Simple systems

Parallel system

 Reliability of the system is equal to the probability that all


components do not fail.
 In case of independent components, Si ; i = 1, ..., N, the
reliability is:

/
N
PR = 1 pS1 pS2 pSN = 1 pSi
i=1

FORM and system reliability


System reliability analysis
Simple systems

Parallel system

 Failure probability of a parallel system with independent


components is:

/
N
PF = 1 PR = pSi
i=1

 Failure probability of a parallel system in case of perfectly


correlated system components is:
 
PF = min pSi ; i = 1, ..., N
FORM and system reliability
System reliability analysis
Complex systems

General case

 System can be a mixture of serial and parallel systems.

FORM and system reliability


System reliability analysis
Complex systems

Complex systems

 General system reliability is formulated as series system of


parallel system:

.K 0
  
PF = P gi (u) 0
j=1 iCj

where K is the number of parallel systems and


Cj ; j = 1, ..., K are so-called minimal cuts.
 Simple network models can be solved by the minimal cut
set approach.
FORM and system reliability
System reliability analysis
Complex systems

Complex systems

 A cut is a set of system components such that if all


components in the cut fail, the system fails. The system
components not included in the cut are active.
 The minimal cut is a set of all components that formulate a
cut. If any component would be removed from the set, the
resulting set would not be a cut.

FORM and system reliability


System reliability analysis
Complex systems

Complex systems

 Complex systems are usually represented by a network


with nodes and links.
FORM and system reliability
System reliability analysis
Complex systems

Example
Minimal cut set for this network
problem is:

FORM and system reliability


System reliability analysis
Complex systems

Complex systems
 Consider a set of components comprising a minimal cut
Cj = {S1 , S2 , ..., SM }.
 Reliability of the cut set is equal to the probability that all
components in the cut set Cj do not fail:
/
PRC = 1 pSi
j
iCj

 Probability of failure of a cut set is equal to the probability


that all components in the cut set Cj fail:
/
PFC = pSi
j
iCj
FORM and system reliability
System reliability analysis
Complex systems

Complex systems

 Consider a set of minimal cuts C1 , C2 , ..., CK .


 System reliability is equal to the probability that none of the
minimal cut sets, Cj ; j = 1, ..., K , fail:

/ / /
PR = 1
C
pS 1
i
pS 1
i
pS i
iC1 iC2 iCK

/
K /
PRC = 1 pSi
j=1 iCj

FORM and system reliability


System reliability analysis
Complex systems

Complex systems

 System failure probability is equal to the probability that at


least one minimal cut set fails:

/K /
PFC = 1 1 pSi
j=1 iCj
FORM and system reliability
Appendix
Readings

Readings

 Tools and strategies for dealing with uncertainty in


geotechnics by F. Nadim.
 Reliability-based structural design by S. Choi, R. Grandhi,
and A. Caneld.

FORM and system reliability


Appendix
References

References I

F. Nadim.
Tools and strategies for dealing with uncertainty in
geotechnics.
Springer, 2007.
S. Choi, R. Grandhi, and A. Caneld.
Reliability-based structural design.
Springer, 2007.
Monte Carlo method

Lecture 6: Monte Carlo method

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology

Monte Carlo method

Outline

Random numbers
Introduction
Pseudo random numbers
Inverse Transform Method

Monte Carlo method


Introduction
Algorithm
Results assessment
Rare event simulation
Conclusion
Monte Carlo method
Random numbers
Introduction

Random variable

 Random variable: A quantity, the magnitude of which is not


exactly xed, but rather the quantity may assume any of a
number of values described by a probability distribution [3].
 Discrete random variable has a countable set of outcomes
(e.g., results of a dice throws, number of blows in a
standard penetration test).
 Continuous random variable takes values on the
continuous scale (e.g., temperature measurements,
undrained shear strength of clay).

Monte Carlo method


Random numbers
Introduction

Random numbers

 Random numbers are values or outcomes associated with


a given random variable. They are characterized by their
relative occurrence frequency, dened by a probability
distribution.
 In reliability analysis of engineering structures/systems we
are often interested in generating sequences of random
numbers (e.g., as an input to Monte Carlo methods).
Monte Carlo method
Random numbers
Introduction

Random numbers

 A random number generator produces an innite sequence


of independent identically distributed numbers according to
some distribution, fX (x):

x1 , x2 , ... fX (x)

 In reliability analysis of engineering/structures random


number are also known as realizations of a certain random
variable.

Monte Carlo method


Random numbers
Introduction

Simple random number generators

Source: www.norges-bank.no
Source: www.wpclipart.com
Monte Carlo method
Random numbers
Introduction

Random number generators

 Depending on how random numbers are generated, there


are two types: true and pseudo random numbers.
 True random numbers are generated by measuring a
physical process that is expected to be random. (e.g.,
temperature uctuations, quantum phenomena)
 Pseudo random numbers are generated by a computer
and are deterministic, but appear to be random on shorter
sequences.

Monte Carlo method


Random numbers
Pseudo random numbers

Pseudo random numbers

 In reliability analysis of engineering structures/systems it is


common to use pseudo random numbers.
 Majority of programming languages and mathematical
tools have an uniform random number generator built in.
 Uniform random number generator produces a sequence
of independent pseudo random numbers distributed
according to the uniform distribution U(0, 1):

u1 , u2 , ... U(0, 1)
Monte Carlo method
Random numbers
Pseudo random numbers

Pseudo random numbers

 One of the NTNUs


recommended calculators
CITIZEN SR-270X.
 Function RANDM
generates random real
number between 0.000
and 0.999.

Monte Carlo method


Random numbers
Pseudo random numbers

Pseudo random numbers

 A very simple pseudo random number generator, known as


Linear Congruential Generator [2], is based on the
following algorithm:

xi = (axi1 + c) mod m; i = 2, 3, ...

where, x1 is known as the seed, while a, c, and m are


positive integers. The function modulo, mod m, returns
the remainder when axi1 + c is divided by m.
 Uniformly distributed random numbers, U(0, 1) are then
obtained as:
xi
ui = ; i = 1, ...
m
Monte Carlo method
Random numbers
Pseudo random numbers

Pseudo random numbers

 Example: Consider a Linear Congruential Generator:

xi = (axi1 + c) mod m; i = 2, 3, ...

where a = 7, b = 4, m = 5, and x1 = 0.

Monte Carlo method


Random numbers
Pseudo random numbers

Pseudo random numbers


 Due to the deterministic nature of this type of random
number generators, the values will start to repeat after
certain number of realizations.
 The number of realizations after which the realizations
start to repeat is known as the random number generator
cycle or period.
 For this reason it is desirable to select parameters of the
random number generator in a such way that the cycle is
large as possible.
 There are no general rules for selecting a and c while m is
usually selected to be very large (e.g., 232 ) to keep the
random number generator cycle large.
Monte Carlo method
Random numbers
Pseudo random numbers

Pseudo random numbers

 Improvements are made by introducing Multiple Recursive


Generator [2]:

xi = (a1 xi1 + a2 xi2 + + aj xij ) mod m; i = j, j + 1, ...

where ak ; k = 1, ..., j is the set of multipliers.


 Uniformly distributed random numbers, U(0, 1) are then
obtained as:
xi
ui = ; i = 1, ...
m

Monte Carlo method


Random numbers
Pseudo random numbers

Pseudo random numbers


Properties of a good random number generator [2]:
1. Pass statistical tests (e.g., independence, uniformity).
2. Theoretical support. The generators should be formulated
to allow extensive analysis of properties (e.g., simple
formulations of linear and multiple recursive generator).
3. Reproducible.
4. Fast and efcient.
5. Large cycle.
6. Multiple streams (e.g., parallel generation of independent
sets of realizations).
7. Cheap and easy.
8. Not produce 0 or 1.
Monte Carlo method
Random numbers
Pseudo random numbers

Random variable realizations

 Assuming that there is a pseudo random number generator


which provides uniformly distributed random numbers:

u1 , u2 , ... U(0, 1)

 How to generate random numbers from an arbitrary


distribution (e.g., normal distribution)?

x1 , x2 , ... fX (x)

Monte Carlo method


Random numbers
Inverse Transform Method

Inverse Transform Method

 One can use the Inverse Transform Method:


Monte Carlo method
Random numbers
Inverse Transform Method

Inverse Transform Method

 The Inverse Transform Method is based on the property


that the cumulative density function (cdf) of an uniformly
distributed random variable is equal to the cdf of the
studied random variable X :

FU (u) = FX (x); u U(0, 1)

Monte Carlo method


Random numbers
Inverse Transform Method

Inverse Transform Method

 Since FU (ui ) = ui for u U(0, 1) it follows:

ui = FX (xi )

or
xi = FX1 (ui )
where FX1 is the inverse of the cdf of X .
Monte Carlo method
Random numbers
Inverse Transform Method

Inverse Transform Method

 Inverse Transform Method for the discrete case:

Monte Carlo method


Random numbers
Inverse Transform Method

Inverse Transform Method

 Since FU (ui ) = ui for u U(0, 1) it follows:

ui = FX (xi )

 The xi which corresponds to ui is selected from the


following conditions:

ui FX (xi ) and ui > FX (xi1 )

where xi ; i = 1, ..., N is a sorted nite set of possible


outcomes of discrete random variable X , such that
xi1 < xi .
Monte Carlo method
Random numbers
Inverse Transform Method

Inverse Transform Method

 As one can deduce from the last equation, this method


depends on the knowledge of the inverse of the cdf for the
studied random variable X .
 This fact limits the application of the method to a small set
of distributions (e.g., exponential, normal).
 In situations where the inverse cannot be calculated other
methods are used (e.g., rejection sampling).
 Efcient random number generators for a wide range of
distributions usually exist in mathematical software (e.g.,
Matlab, R).

Monte Carlo method


Monte Carlo method
Introduction

Risk assessment framework


Monte Carlo method
Monte Carlo method
Introduction

Monte Carlo method

 In the context of reliability analysis of engineering


structures/systems, Monte Carlo is a method which
simulates experiments of the structure/system in a
probabilistic framework to study the probabilistic nature of
the response.

Monte Carlo method


Monte Carlo method
Algorithm

Monte Carlo method


Algorithm of the Monte Carlo method:
1. Dene the performance function g(X) and performance
assessment criteria for the studied structure/system.
2. Evaluate uncertainties associated with the studied problem
and describe them probabilistically as random variables, X.
3. Initiate the iterator k = 1, and dene the desired number of
simulations NS .
4. Generate a realization of random parameters, xk fX (x).
5. Evaluate the response of the structure/system for a given
combination of random parameters, yk = g(xk ).
6. Update the iterator, k = k + 1, and stop if the number of
simulations is equal to the desired number of simulations,
k = NS , otherwise return to step 4.
Monte Carlo method
Monte Carlo method
Results assessment

Results

 Results of the Monte Carlo simulation is a set of


observations of the random response:

yk = g(xk ); k = 1, ..., NS

where, g is the performance function,


Y = [Y1 , ..., YM ]T RM is the random output, and
X fX (x); X = [X1 , X2 , ..., XN ] RN is the random input.

Monte Carlo method


Monte Carlo method
Results assessment

Results

From the random response yk ; k = 1, ..., NS one can calculate:


1. Moments (e.g., mean and standard deviation).
2. Reliability index or failure probability.
3. Response distribution.
Monte Carlo method
Monte Carlo method
Results assessment

Moments

 Mean and standard deviation of the random response


yk ; k = 1, ..., NS are calculated as sample mean and
sample standard deviation:
 Mean:
1 
NS
Y = yk
NS
k =1
 Standard deviation:


 1 S N
Y =  (yk Y )2
NS 1
k =1

Monte Carlo method


Monte Carlo method
Results assessment

Failure probability
 Mathematically, failure probability is dened as:

PF = fX (x)dx
g(x)0



 g(x) > 0
Safe domain

fX (x)

x2

 F -
failure
 domain
g(x) < 0 g(x) = 0

      
x1
Monte Carlo method
Monte Carlo method
Results assessment

Failure probability
 Mathematically, failure probability is dened as:
 
PF = fX (x)dx = I(x)fX (x)dx
g(x)0 RN




Safe
domain
where I is an indicator function:
 fX (x)


1 if g(x) 0
x2

 F- I(x) =
failure I(x) = 0 0 otherwise
 domain
I(x) = 1 g(x) = 0

      
x1

Monte Carlo method


Monte Carlo method
Results assessment

Failure probability

 The estimate of failure probability calculated with the


Monte Carlo method is:

1 
NS
PF = I(xk )
NS
k =1

or
NF
PF =
NS
where NF is the number of failed samples.
Monte Carlo method
Monte Carlo method
Results assessment

Failure probability

 One can also calculate the coefcient of variation of the


estimate: +
1 PF
CoV (PF ) =
NS PF
 Minimal number of samples for a specied CoV (PF ) can
be calculated as:

1 PF
NS =
PF CoV (PF )2

Monte Carlo method


Monte Carlo method
Results assessment

Failure probability
 Example: For PF = 103 and CoV (PF ) = 0.1, the minimal
number of samples is:

NS = 105 102 105


PF = 101
 PF = 102
PF = 103
CoV (PF )








      
      
NS
Monte Carlo method
Monte Carlo method
Results assessment

Failure probability
0RQWH&DUORPHWKRG Convergence of PF
 





PF









      
Number of simulations N [
x2

 Coecient of variation of PF


 



Cov(PF )







 
               
x1 Number of simulations N [

Monte Carlo method


Monte Carlo method
Results assessment

Response distribution

 The response distribution can be assessed by means of


empirical probability and cumulative density functions.
 
&XPXODWLYHIUHTXHQF\

 
)UHTXHQF\

 

 

 

 
       
[ [
Monte Carlo method
Monte Carlo method
Results assessment

Response distribution

 It is common to t the response to a distribution. This can


be done with probability papers.

Monte Carlo method


Monte Carlo method
Rare event simulation

Rare event simulation

 In the context of reliability of engineering


structures/systems, rare events are events that occur with
relatively low occurrence probability (e.g., 104 , 105 ).
Monte Carlo method
Monte Carlo method
Rare event simulation

Rare event simulation

 Some examples of these events are oods, structural


failures, re and similar.
 Simulation of rare events is important in the design of
engineering structures/systems as the designs are often
controlled by extreme values.

Monte Carlo method


Monte Carlo method
Rare event simulation

Rare event simulation

 Classical Monte Carlo method is not efcient is simulating


rare events.
 Example: Consider an event that occurs with probability of
104 . Classical Monte Carlo method would need in
average 104 samples to have one observations of the rare
event.
 In cases where the response of the structure cannot be
evaluated under low computational expense, simulation of
rare events becomes an issue.
Monte Carlo method
Monte Carlo method
Rare event simulation

Rare event simulation

 Several methods were developed to avoid the inefciency


of the Monte Carlo approach.
 Some of the are: Latin Hypercube Sampling, Importance
Sampling, Subset Simulation etc.
 More about these methods can be found in [1].

Monte Carlo method


Monte Carlo method
Rare event simulation

Importance sampling

 Importance sampling is derived from the Monte Carlo


approach for the purpose of efcient simulation of rare
events in the reliability assessment of engineering
systems/structures.
 In the importance sampling method, an importance
distribution is introduced with high density over the region
of studied rare events.
Monte Carlo method
Monte Carlo method
Rare event simulation

Importance sampling

 Importance sampling is preferred over the Monte Carlo


method for the reliability assessment engineering
structures/systems because it enables efcient simulation
of rare events.

where fX (x) is the joint pdf while h(x) is the importance


distribution.

Monte Carlo method


Monte Carlo method
Rare event simulation

Importance sampling

 Failure probability can be expressed in terms of h(x) as


follows:
 
fX (x)
PF = fX (x)dx = h(x)dx
h(x)
g(x)0 g(x)0
Monte Carlo method
Monte Carlo method
Rare event simulation

Importance sampling

 Failure probability can be expressed in terms of h(x) and


the indicator function, I(x):
 
fX (x)
PF = I(x)fX (x)dx = I(x) h(x)dx
h(x)
RN RN

where the indicator function is dened as:



1 if g(x) 0
I(x) =
0 otherwise

Monte Carlo method


Monte Carlo method
Rare event simulation

Failure probability

 The estimate of failure probability calculated with the


Importance Sampling method is:

1 
NS
fX (xk )
PF = I(xk )
NS h(xk )
k =1
Monte Carlo method
Monte Carlo method
Conclusion

Conclusion

The Monte Carlo method has several advantages:


 It is not affected by the nonlinearity of the problem.
 It provides robust estimates of failure probability.
 Straightforward to implement.
 Does not require transformation of random variables from
the input to standard normal space.
 It is compatible with any deterministic simulation (black
box) software (e.g., FE models).
 The performance of the method is independent of the
dimensionality of the problem.

Monte Carlo method


Monte Carlo method
Conclusion

Conclusion

The disadvantages of the Monte Carlo method are:


 The method requires large number of samples and model
evaluations to simulate rare events.
 It is inefcient in situations where complex models are
used to simulate the response of the engineering
structure/system (e.g., nite element model).
Monte Carlo method
Appendix
Readings

Readings

 Reliability-based structural design by S. Choi, R. Grandhi,


and A. Caneld.

Monte Carlo method


Appendix
References

References I

S. Choi, R. Grandhi, and A. Caneld.


Reliability-based structural design.
Springer, 2007.
D. Kroese, T. Taimre, and Z. Botev.
Handbook of Monte Carlo Methods.
John Wiley & Sons, 2011.
ISSMGE Technical Committee on Risk Assessment and
Management.
Glossary of Risk Assessment Terms.
Available at: http://140.112.12.21/issmge/tc304.htm
Introduction to Event Trees

Lecture 7: Introduction to Event Trees

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology

Introduction to Event Trees

Outline

Event Trees
System reliability
Event Trees
Logic Trees
Consequence Trees
Introduction to Event Trees
Event Trees
System reliability

System reliability

 Systems are composed of interdependent components


such that failure of one or more components can lead to
the system failure.
 Examples of engineering systems include infrastructure
systems, ood protection systems, dams etc.
 Event Tree is one of the methods for evaluating system
reliability.

Introduction to Event Trees


Event Trees
Event Trees

Event Trees

 Event Tree is a graphical technique for system reliability


analysis which quanties system reliability by propagating
uncertainties in system components to uncertainties in the
system performance.
 Event Tree method is able to incorporate uncertainties in
the knowledge about system performance, inherent natural
randomness, and human and natural processes that
inuence the system performance [1].
Introduction to Event Trees
Event Trees
Event Trees

Event Trees

Introduction to Event Trees


Event Trees
Event Trees

Event Trees
 The construction of an event tree starts with an initiating
event. Initiating event is an event that might lead to the
system failure or initiate a sequence of sub-events, some
of which might lead to failure.

Flood. Tsunami
(www.boston.com)
(www.theatlantic.com)
Introduction to Event Trees
Event Trees
Event Trees

Event Trees

 The initiating event is dened with its occurrence


probability.
 If the series of sub-events is represented as a set of lines
or diagrams branching from the initiating event, the
resulting graphical structure would resemble a tree. This is
the reason for the method name: Event Tree.

Introduction to Event Trees


Event Trees
Event Trees

Event Trees

 Examples of initiating events include earthquakes, oods,


re etc.
 Subsequent events are dened with their occurrence
probability conditional on the preceding events in the event
tree.
 A joint probability of a sequence of events is obtained as a
product of conditional probabilities in the sequence.
Introduction to Event Trees
Event Trees
Event Trees

Event Trees

 Failure probability due to a single initiating events is


obtained by summing probabilities of all event sequences,
initiated by the considered event, that lead to failure.
 System failure probability is obtained by summing failure
probabilities of all initiating events.

Introduction to Event Trees


Event Trees
Event Trees

Event Trees

 Conditional probabilities of outcomes are dened by


probability mass functions in a discrete case.
 In the continuous case the conditional probabilities of
outcomes are dened by probability density functions.
Introduction to Event Trees
Event Trees
Event Trees

Event Trees
 In mechanical engineering, software engineering and
similar, the outcomes of an event are often dichotomous
(divided into two parts) (e.g., larger or smaller than a
certain threshold, fail or safe).
 For example consider the outcome of an event S. The
event S can have two outcomes S > Slim or S < Slim . This
events can lead to system failure with discrete conditional
probabilities.

Introduction to Event Trees


Event Trees
Event Trees

Event Trees

 In geotechnical engineering it is common for events to


have many discrete or continuous outcomes.
 Example: Depending on the outcome of an event S,
conditional failure probability is given.
Introduction to Event Trees
Event Trees
Event Trees

Event Trees

 Continuous outcomes can be approximated by several


discrete outcomes.
 This results in an assumption that the outcomes are
mutually exclusive and collectively exhaustive.
 These problems can be solved with the Bayes theorem.

Introduction to Event Trees


Event Trees
Event Trees

Bayes Theorem
 Bayes Theorem:

P(E | A)P(A)
P(A | E) =
P(E)

where: P(A) is denoted prior probability, P(A | E) posterior


probability, P(E | A) likelihood, and
P(E) = P(E | A)P(A) + P(E | A)P(A)
 For disjoint and collectively exhaustive A1 , A2 , ..., An :

P(E | Ai )P(Ai )
P(Ai | E) =

n
P(E | Aj )P(Aj )
j=1
Introduction to Event Trees
Event Trees
Event Trees

Event Trees

 The terminal node of an event tree is known as leaf.


 Each leaf is associated with certain consequences.

Introduction to Event Trees


Event Trees
Event Trees

Event Trees

 Consequences represent costs or benets associated with


a given outcome of a chain of events.
 Some examples include nancial loss for the local
community due to ooding, or benets from improving the
ood protection system.
 In many situations evaluations of consequences is a
difcult task solved by constructing consequence trees.
Introduction to Event Trees
Event Trees
Event Trees

Initiating events

 Initiating events can be internal or external to the system.


 Examples of internal initiating events include design or
construction aws, component failures.
 Examples of external events include earthquakes, storms
etc.
 External initiating events are considered as a "load" to the
system. Load is dened by a distribution which denes the
magnitude and occurrence frequency.
 Uncertainties associated with external initiating events are
commonly classied as aleatory.

Introduction to Event Trees


Event Trees
Event Trees

Event probabilities

Event probabilities can be calculated in several ways:


 Statistical analysis of observed events.
 Probabilistic analysis.
 Expert judgment as a degree of belief.
Introduction to Event Trees
Event Trees
Event Trees

Verbal description of probabilities

General guidelines for converting verbal description to


probabilities [3]:
Probability Description
Virtually impossible. Description based on the state of a process or
0.001
physical conditions which can be specied with high condence.
Very unlikely. The possibility of occurring cannot be ruled out based
0.01
based on the knowledge of the state of a process or physical conditions.
0.1 Unlikely, but it can happen.
Completely uncertain. There is no reason to believe that one possibility
0.5
is more likely than the other one.
0.9 Likely, but it may not happen.
0.99 Very likely,but not completely certain.
Virtually certain. Description based on the state of a process or physical
0.999
conditions which can be specied with high condence.

Introduction to Event Trees


Event Trees
Logic Trees

Logic and Event Trees

 Event trees are commonly used as a model of a physical


system with uncertainties being aleatory. Aleatory
uncertainties describe natural randomness in spatial or
temporal processes.
 Epistemic uncertainties, describing lack of knowledge
about the state of the system, can be incorporated in the
Event Tree analysis in two ways.
 The rst approach is to incorporate uncertainties about the
system state in the reliability analysis leading to branch
probabilities. The epistemic uncertainties are not
represented as event nodes in the event tree, but implicitly
through branch probabilities of event outcomes.
Introduction to Event Trees
Event Trees
Logic Trees

Logic and Event Trees

 In the second approach aleatory and epistemic


uncertainties coexist in the same tree.
 The event tree can then be separated into two trees: event
tree which models only aleatory uncertainties and logical
tree which accounts only for epistemic uncertainties.
 The Logic Tree is a representation of the uncertainties in
the knowledge about the states controlling the probabilities
in the Event Tree.
 This approach is common in seismic safety, nuclear safety
etc.

Introduction to Event Trees


Event Trees
Logic Trees

Logic and Event Trees


Introduction to Event Trees
Event Trees
Consequence Trees

Consequence Trees

 Evaluation of consequences of an event tree can be a


challenging task because the failure of an engineering
system involves larger number of factors beyond the
system itself.
 To evaluate the consequences, one can build a
consequence tree in the same way as event tree.

Introduction to Event Trees


Event Trees
Consequence Trees

Consequence Trees
Introduction to Event Trees
Appendix
References

References I

G. Baecher and J. Christian.


Reliability and statistics in geotechnical engineering.
John Wiley & Sons, 2005.
ISSMGE Technical Committee on Risk Assessment and
Management.
Glossary of Risk Assessment Terms.
Available at: http://140.112.12.21/issmge/tc304.htm
F. Nadim.
TBA5150 Geohazards and Risk Analysis; Lecture notes.
NTNU 2012

Risk Assessment

Lecture 8: Risk Assessment

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology
Risk Assessment

Outline
Risk assessment
Introduction
Risk analysis
Sources of risk
General risks for individuals
Natural risks
Technical risks
Acceptable risk
Individual activities
Commercial activities
Decision under uncertainty
Decision Tree
Utility

Risk Assessment
Risk assessment
Introduction

Introduction

 The topic of risk arises whenever there is uncertainty


associated with an adverse effect to human life, health,
property or the environment.
 Engineering practice often presents contradictory
objectives:
 Minimize the cost of a levee for the ood protection.
 Minimize environmental impacts.
 Maximize the ood protection.
Risk Assessment
Risk assessment
Risk analysis

Risk analysis

 Danger (Threat): The natural phenomenon that could lead


to damage, described in terms of its geometry, mechanical
and other characteristics. The danger can be an existing
one (such as a creeping slope) or a potential one (such as
a rockfall). The characterization of a danger or threat does
not include any forecasting [10].

Risk Assessment
Risk assessment
Risk analysis

Risk analysis
 Danger:

Source: www.cbsnews.com
Risk Assessment
Risk assessment
Risk analysis

Risk analysis
 Hazard: Probability that a particular danger (threat) occurs
within a given period of time [10].

Risk Assessment
Risk assessment
Risk analysis

Risk

 Risk: Measure of the probability and severity of an adverse


effect to life, health, property, or the environment [10].
 Quantitatively, Risk = Hazard x Potential Worth of Loss.
This can be also expressed as "Probability of an adverse
event times the consequences if the event occurs" [10].
Risk Assessment
Risk assessment
Risk analysis

Risk

Consequences can be
expressed in:
 Time
Hazard is a measure of
probability calculated by:  Fatalities
 Probabilistic analysis  Energy
 Statistical analysis  Environment
 Event Tree analysis  People at risk
 ...  Damage cost
 Loss of reputation
 ...

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

 Vulnerability: The degree of loss to a given element or set


of elements within the area affected by a hazard. It is
expressed on a scale of 0 (no loss) to 1 (total loss) [10].
 With respect to vulnerability, risk can be expressed as:

R =H E V

where H denotes hazard, E value of elements at risk, and


V vulnerability of elements at risk.
Risk Assessment
Risk assessment
Risk analysis

Risk assessment

 Risk assessment: The process of making a decision


recommendation on whether existing risks are tolerable
and present risk control measures are adequate, and if
not, whether alternative risk control measures are justied
or will be implemented [10].
 Risk assessment incorporates the risk analysis and risk
evaluation phases [10].

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

 Risk analysis: The use of available information to estimate


the risk to individuals or populations, property or the
environment, from hazards [10].
 Risk analyses generally contain the following steps:
context denition, system denition, hazard identication,
estimation of probability of occurrence, estimation of
consequences, risk computation, sensitivity analysis, risk
treatment, and monitoring and review.
Risk Assessment
Risk assessment
Risk analysis

Risk analysis

 Risk analysis chart


based on the
Australian New
Zealandic code
4369.
 Individual steps are
adopted from Faber
[3].

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Dene context [3]:


 Who are the decision makers and the stakeholders
involved?
 The factors inuencing the way the risk analysis is
performed (e.g., social, political, individual, technological)?
 Which circumstances could negatively inuence the risk
analysis?
 What are the economic, personnel, and environment risk
acceptance criteria ?
Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Dene system [3]:


 The system is dened with all assumptions regarding
system representation and idealization.
 Justication for the elements of the system not considered
in the risk analysis.

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

In the hazard scenario analysis three steps are usually


considered [3]:
 System decomposition into a set of subsystems and
components.
 Identication of possible component, subsystem and
system failure states.
 Identication of hazard scenarios which lead to system
failures.
Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Consequence analysis [3]:


 The consequences to be considered are the those ones
dened in the acceptance criteria.
 Estimation of economic consequences, loss of lives and
effects on the environment.
Estimate probabilities[3]:
 Occurrence probabilities can be estimated by conducting
statistical analysis on the set of observations.
 In the case when observations do not exist, which is
common in engineering structures/system, reliability
analysis is conducted.

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Compute risks [3]:


 Compute risks and evaluate hazard scenarios which
dominate in the risk analysis.
Sensitivity analysis [3]:
 Identify the most inuential parameters in the estimated
risks for all hazard scenarios.
 Possible risk reductions can evaluated by modifying the
most inuential parameters.
Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Risk assessment [3]:


 Computed risks are compared to the initially dened risk
acceptance criteria.
 Results of the sensitivity analysis might be included as a
guideline on the possible risk control or reduction
measures.

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

If the risks are not acceptable with respect to the specied


criteria, risk treatment can be conducted as follows [3]:
 Risk Mitigation is implemented to reduce the occurrence
probability of the hazard to zero by modifying the system.
 Risk Reduction is performed by reducing the occurrence
probability or the consequences associated with a hazard.
 Risk Transfer can be performed by letting a third party take
over the risk (e.g., insurance).
 Risk Acceptance is the last option, in case other risk
treatment alternatives cannot be implemented.
Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Monitoring and review [3]:


 Risk analysis can be implemented continuously and
updated with new information.

Risk Assessment
Risk assessment
Risk analysis

Risk analysis

Risk analysis can be conducted in two ways:


 Qualitative risk analysis: An analysis which uses word
form, descriptive or numeric rating scales to describe the
magnitude of potential consequences and the likelihood
that those consequences will occur [10].
 Quantitative risk analysis: An analysis based on numerical
values of the probability, vulnerability and consequences,
and resulting in a numerical value of the risk [10].
Risk Assessment
Sources of risk
General risks for individuals

General risks for individuals


Comparative study of probabilities of death for different causes
and activities from USA National Safety Council:

Risk Assessment
Sources of risk
General risks for individuals

Risk classication

Classication of risk based on their primary cause can be done


in several ways as dened in Proske [4]:
 Natural
 Natech (natural hazards triggering technical disasters)
 Man-made
 Deliberate acts
Risk Assessment
Sources of risk
General risks for individuals

Risk classication

Classication of risk based on their primary cause can be done


in several ways as dened in Proske [4]:
 Natural (volcano, earthquake, ood, storm)
 Technical (dam failure, airplane crash, car accident)
 Health (AIDS, heart attack, black death ... )
 Social (suicide, poverty, war, manslaughter)

Risk Assessment
Sources of risk
General risks for individuals

Risk classication
Classication of risks with respect to causes:

Karger [13] Smith [12]


Risk Assessment
Sources of risk
Natural risks

Natural risks

Natural risks according to [4]:


 Astronomical risks  Aeolian risks
 Solar system  Hydraulic risks
 Meteorites
 Floods
 Geological risks  Tsunamis
 Volcano  Gravitational risks
 Earthquake
 Rock fall
 Climate risks  Debris ow
 Climate change  Landslides
 Temperature extremes  Avalanches
 Drought and forest re
 Biological risks
 Famine

Risk Assessment
Sources of risk
Natural risks

Natural risks

Natural risks according to [4]:


 Astronomical risks  Aeolian risks
 Solar system  Hydraulic risks
 Meteorites
 Floods
 Geological risks  Tsunamis
 Volcano  Gravitational risks
 Earthquake
 Rock fall
 Climate risks  Debris ow
 Climate change  Landslides
 Temperature extremes  Avalanches
 Drought and forest re
 Biological risks
 Famine
Risk Assessment
Sources of risk
Natural risks

Earthquakes

 Tectonic
earthquakes occur
anywhere on earth
due to stored energy
on the fault surfaces.

Source:
http://pubs.usgs.gov/publications/text/slabs.html

Risk Assessment
Sources of risk
Natural risks

Earthquakes
 15 deadliest earthquakes from
1900 to 2004 [14]:

Source: www.telegraph.co.uk
Risk Assessment
Sources of risk
Natural risks

Floods
 List of severe oods [15], [9]:

Source: www.boston.com

Risk Assessment
Sources of risk
Natural risks

Tsunamis

 Major tsunamis [14], [5], [6]:

Source: www.theatlantic.com
Risk Assessment
Sources of risk
Natural risks

Rock fall

 Rockfall is a fast
downward
movement of rocks
or an unconstrained
coarse material [4].

Source: en.wikipedia.com

Risk Assessment
Sources of risk
Natural risks

Debris ow

 Debris ows are


extremely mobile,
highly concentrated
mixtures of poorly
sorted sediments in
water [4].

Source: sciblogs.co.nz
Risk Assessment
Sources of risk
Natural risks

Landslides

 Landslides are
ground movements
that can occur in
offshore, coastal
and onshore
environment.

Source: www.mirror.co.uk

Risk Assessment
Sources of risk
Natural risks

Avalanche

 Avalanche is a
movement of snow
mass down a
sloping surface.

Source: www.northernperiphery.eu
Risk Assessment
Sources of risk
Natural risks

Gravitational risks
 List of major landslides, debris ows and rock avalanches
[4]:

Risk Assessment
Sources of risk
Technical risks

Technical risks

Technical risks according to [4]:


 Transportation risks
 Energy production and
 Road trafc
 Railway trafc nuclear power plants
 Ship trafc  Chemicals
 Air trafc  Fire
 Space trafc
 Explosions
 Dumps
 Professional risks
 Dam failure
 Information technology
 Structural failure
 Food
 Radiation
Risk Assessment
Sources of risk
Technical risks

Technical risks

Technical risks according to [4]:


 Transportation risks
 Energy production and
 Road trafc
 Railway trafc nuclear power plants
 Ship trafc  Chemicals
 Air trafc  Fire
 Space trafc
 Explosions
 Dumps
 Professional risks
 Dam failure
 Information technology
 Structural failure
 Food
 Radiation

Risk Assessment
Sources of risk
Technical risks

Dam failure

Dam failures [16]:

Source: www.geol.ucsb.edu
Risk Assessment
Sources of risk
Technical risks

Bridge failure

Bridge failures [11]:

Source: en.wikipedia.org

Risk Assessment
Acceptable risk
Individual activities

Acceptable risk

Death rates per 100000 persons per year for different


occupations and activities from [3]:
Risk Assessment
Acceptable risk
Individual activities

Acceptable risk

Relationship between the degree of voluntariety and the degree


of personal inuence on the success of the activity from [3]:

Risk Assessment
Acceptable risk
Individual activities

Acceptable risk
Relationship between the risk apparently accepted by
individuals and the degree of voluntariety and the degree of
personal inuence on the success of the activity from [3]:

Numbers in the table are multiplied with 105 .


Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams
F-N diagrams for selected activities
[3]:
 F-N or Farmers diagrams
are commonly used to
dene acceptable risks.
 These diagrams use
logarithmic x and y axis.
 X-axis presents
consequence of an activity,
while y-axis presents
occurrence probability.

Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams
F-N diagrams for selected activities
[3]:
Consequences of an activity
can be:
 Number of casualties
 Damage cost
 People at risk
 Damage parameter
 Time to repair
 Energy for repair
 ...
Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 The diagrams can be cumulative and non-cumulative.


 The latter are known as f-N diagrams.
 An example of F-N diagram construction will be presented
with the data from [7].

Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams
 Consider the following set of accident data with frequencies
per year, f , and number of fatalities per year, N.



Event No. N f
1 12.1 4.8 103 

2 123 6.2 106
3 33.4 7.8 103 

4 33.2 9.1 104
5 29.2 6.3 103 

f

6 15.6 7.0 104


7 67.3 8.0 105 

8 9.5 4.0 103
9 52.3 1.2 106 

10 2.7 3.4 103


     
     
N
Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 Sorted values with respect to the number of fatalities.


Event No. N f
10 2.7 3.4 103
8 9.5 4.0 103
1 12.1 4.8 103
6 15.6 7.0 104
5 29.2 6.3 103
4 33.2 9.1 104
3 33.4 7.8 103
9 52.3 1.2 106
7 67.3 8.0 105
2 123 6.2 106

Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 In this example, F is

dened as the probability 

of N or more fatalities per 




year. 





N F Event No.
)

2.49 102


1 or more 1-10
3 or more 2.46 102 1-9 

10 or more 2.06 102 1-7.9
30 or more 8.80 103 2-4.7.9 

100 or more 6.20 106 2

300 or more - - 
     
     
1
Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams




 This F-N diagram is 




representative for this set 



of events and valid only for Constant risk

this set of data. 




)
 Center of gravity under the 


curve represents the 




average number of 

fatalities [4].


     
     
1

Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 A line of constant risk has 




an angle of 45 . For 


example, risk of an event 



with a return period of 10 Constant risk


years which results in 1 


)

fatality on average is equal 




to the risk of an event with 



return period of 100 years


which causes 10 fatalities
on average. 













1
Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 Risks in F-N diagrams can


be classied into four
groups.
 Risk of type K1 can be well
described by statistical
methods due to high
occurrence frequency
(e.g., road trafc).
 These events have low
severity and strongly
decrease in F-N diagrams.

Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 Risks of type K2
demonstrate low
dependency between
occurrence frequency and
a number of fatalities (e.g.,
oods, earthquakes).
Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams

 Risks of type K3 are known


only theoretically because
of lack of statistical data.
 Risks of type K4 have a
higher damage than the
size of the current
population.

Risk Assessment
Acceptable risk
Commercial activities

F-N diagrams examples

Adopted from [4].


Risk Assessment
Acceptable risk
Commercial activities

Goal F-N diagrams

 Previously presented F-N diagrams describe certain


system or situation.
 The question is how to incorporate risk assessment criteria
in F-N diagrams.
 To dene the risk assessment criteria one should dene
risk parameters which dene regions of acceptable and
non-acceptable risk.
 These regions are commonly dened by the following
formulation:
FN a = k
where k is a constant and a is the risk aversion factor.

Risk Assessment
Acceptable risk
Commercial activities

Goal F-N diagrams





 The risk aversion 



coefcient, a, affects the 

slope of the line in the F-N


diagram.


 Higher value of risk


aversion coefcient means 


)

that we are willing to 




accept lower risk 




(consequences) for the 




same occurrence 

N D 
probability. 
N D 

     
     
1
Risk Assessment
Acceptable risk
Commercial activities

Goal F-N diagrams


 A change in the coefcient

k results in the translation 

of the line in the F-N




diagram.
 Lower values of k lead to 

risk reduction.
 Risk reduction can be 


)
examined in two ways: for
the same occurrence 


probability, number of
fatalities is lowered or for 


the same number of N D 


N D 
fatalities occurrence 


 
 







1
probability is reduced.

Risk Assessment
Acceptable risk
Commercial activities

Goal F-N diagrams

 Usually several lines are used to dene the goal curvature.


 For each line at least two points or point and slope in the
F-N diagram need to be known.
 Once the goal F-N line is created, the diagram is divided
into several regions.
 These regions represent unacceptable, acceptable and
risks which require further investigation.
Risk Assessment
Acceptable risk
Commercial activities

Goal F-N diagrams

 Regions which require


further investigation are
also known as ALARP (As
Low As Reasonable
Practicable).
 In ALARP mitigation
measures should be
conducted with
consideration to their
efciency.

Risk Assessment
Acceptable risk
Commercial activities

Goal F-N diagrams

 Examples of goal F-N


curves from several
countries [8].
Risk Assessment
Decision under uncertainty
Decision Tree

Decision Tree

 Decision under uncertainty is conducted to identify the


optimal action (decision), outcome of which is uncertain,
with respect to some objective function.
 Example of action or decision could be a selection of
spread footings or pile foundations for bridge abutment
foundation.
 Examples of objective function are expected monetary loss
or utility.
 Decision Trees is a graphical technique commonly used for
decision under uncertainty.

Risk Assessment
Decision under uncertainty
Decision Tree

Decision Tree
Risk Assessment
Decision under uncertainty
Decision Tree

Decision Tree

Consider the following example:


 Design A costs 100 monetary units (MU)
 Design B costs 122 MU
 Design A has a 2% failure probability.
 Design B has a 0.1% failure probability.
 Failure leads to the cost of 1000 MU.
 Consider expected costs and decide on the optimal
design?

Risk Assessment
Decision under uncertainty
Decision Tree

Decision Tree
Risk Assessment
Decision under uncertainty
Decision Tree

Decision Tree

 Expected cost of design A is:

E [CA ] = 100 + 0.98 0 + 0.02 1000 = 120MU

 Expected cost of design B is:

E [CB ] = 122 + 0.999 0 + 0.001 1000 = 123MU

Risk Assessment
Decision under uncertainty
Utility

Utility

 Although monetary loss is a reasonable decision criterion,


in situations where potential consequences of actions are
relatively large with respect to assets of the decision
maker, one needs to include additional considerations.
 One of these considerations is risk aversion.
 Risk aversion is ones tendency to treat large losses or
gains differently from simply multiple of so many smaller
ones [1].
Risk Assessment
Decision under uncertainty
Utility

Utility

Consider the following bet:


 For a bet of 50 NOK there is a 50% chance of winning 100
NOK and a 50% chance of loosing 25 NOK.

 Would you bet?

Risk Assessment
Decision under uncertainty
Utility

Utility

Consider the following bet:


 For a bet of 1000 NOK there is a 50% chance of winning
100000 NOK and a 50% chance of loosing 90000 NOK.

 Would you bet?


Risk Assessment
Decision under uncertainty
Utility

Utility

 Majority of decision makers would accept the rst bet and


reject the second one.
 This behavior reveals preferences of individuals in decision
making.
 Utility theory is employed to account for individuals
preferences in the decision making process.
 Relations between different alternatives in the decision
process are controlled by a decision function.

Risk Assessment
Decision under uncertainty
Utility

Utility

 Let A and B be two outcomes (i.e., cost, gain) occurring


with probabilities p and q respectively.
 If the two states are mutually exclusive, then:

q =1p

 The utility function, which describes individuals preference


over the two outcomes, can be dened as a function:

u(A, B, p, q)
Risk Assessment
Decision under uncertainty
Utility

Utility

 One of the denitions of the utility function is a sum of


outcomes weighted by the probabilities with which they
occur:

u(A, B, p, q) = p A + q B = p A + (1 p) B

 Detailed discussion on the validity of the formulation can


be found in [3].
 This formulation is also known as the expected value.
 Example of utility function is:

u(A, B, p, q) = Ap + B q

Risk Assessment
Decision under uncertainty
Utility

Utility
 Is expected utility reasonable?
 Consider the following example:
 You have 100 NOK and you are offered a bet which gives a
probability of 50% of winning 50 NOK and a probability of
50% of loosing 50 NOK.
Risk Assessment
Decision under uncertainty
Utility

Utility

 This means that there is 50% chance of ending up with 50


NOK and 50% chance of ending up with 150 NOK.
 The expected value of your wealth is 100 NOK.
 The expected value of utility is:

0.5u(50 NOK) + 0.5u(150 NOK)

Risk Assessment
Decision under uncertainty
Utility

Utility - Risk averse

 The blue line in the graph is the utility function for a risk
averse decision maker.
 Risk averse decision maker would rather have the
expected value of his wealth than to face the gamble.
Risk Assessment
Decision under uncertainty
Utility

Utility - Risk neutral

 The red line in the graph is the utility function for a risk
neutral decision maker.
 The expected utility is equal to the utility of the expected
value for a risk neutral decision maker.

Risk Assessment
Decision under uncertainty
Utility

Utility - Risk averse

 Utility of the expected value of wealth is higher then the


expected value of utility for a risk averse decision maker:

u(0.5 50 + 0.5 150) = u(100) > 0.5u(50) + 0.5 u(150)


Risk Assessment
Decision under uncertainty
Utility

Utility - Risk seeking


 Utility function for a risk seeking decision maker.

 Expected value of utility is higher then the utility of the


expected value of wealth.

0.5u(50) + 0.5 u(150) > u(0.5 50 + 0.5 150) = u(100)

Risk Assessment
Appendix
References

References I

G. Baecher and J. Christian.


Reliability and statistics in geotechnical engineering.
John Wiley & Sons, 2005.
C. Klppelberg, D. Straub, and I. Welpe.
RiskA Multidisciplinary Introduction.
Springer, 2014.
M. Faber.
Risk and safety in civil engineering.
Lecture Notes. Swiss Federal Institute of Technology,
Zurich, 2007.
Risk Assessment
Appendix
References

References II
D. Proske.
Catalogue of Risks.
Springer, 2008.
A. Smolka and M. Spranger.
Tsunamikatastrophe in Sdostasien. Topics Geo:
Jahresrckblick Naturkatastrophen.
Munchen 2004
C. Schenk et al.
Zwischenbilanz des deutschen Beitrages zum
Wiederaufbau. Ein Jahr nach der Flutkatastrophe im
Indischen Ozean.
Bundesministerium fr wirtschaftliche Zusammenarbeit und
Entwicklung 2005

Risk Assessment
Appendix
References

References III

D. Ball and P. Floyd.


Societal Risks. Final Report.
School of Health, Biological/ Environmental Sciences.
Middlesex University, 2001
F. Nadim.
TBA5150 Geohazards and Risk Analysis; Lecture notes.
NTNU 2012
H. Schroeder.
Sturmuten an der ostfriesischen Kste.
2004
Risk Assessment
Appendix
References

References IV
ISSMGE Technical Committee on Risk Assessment and
Management.
Glossary of Risk Assessment Terms.
Available at: http://140.112.12.21/issmge/tc304.htm
J. Scheer.
Versagen von Bauwerken. Band I: Brcken.
Ernst & Sohn Verlag, 2000
K. Smith.
Environmental Hazards ? Assessing Risk and Reducing
Disaster.
Routledge: London 1996

Risk Assessment
Appendix
References

References V

Munich Re.
Topics Geo: Annual Review: Natural Catastrophes 2003.
Munich 2003
NN.
http://www.naturgewalt.de/duerrechronologie.htm.
2004 R. Karger.
Wahrnehmung und Bewertung von ?Umweltrisiken?. Was
knnen wir aus Naturkatastrophen lernen?
Arbeiten zur Risiko- Kommunikation. 1996
R. Pohl.
Talsperrenkatastrophen.
University of Technology Dresden 2004
Spatial variability

Lecture 9: Spatial variability

Ivan Depina

Department of Civil and Transport Engineering


Norwegian University of Science and Technology

Spatial variability

Outline
Spatial variability
Introduction
Trend analysis
Multiple linear regression model
Residual
Autocorrelation
Variogram
Local averaging
Random eld
Introduction
Gaussian random eld
Anisotropy
Algorithm for generating Gaussian random elds
Uncertainty quantication
Simulation
Examples
Spatial variability
Spatial variability
Introduction

Introduction
 Soils are geological
materials formed by
various mechanisms
including physical actions,
chemical processes,
stresses and pore uids.
 Physical properties of soil
vary from location to
location within deposits.
 Variability observed in
measured data originates
Source: www.teara.govt.nz both from soil spatial
variability and
measurement errors.

Spatial variability
Spatial variability
Trend analysis

Observed data

 The two data sets have the same mean and standard
deviation, but describe different soil conditions.
Spatial variability
Spatial variability
Trend analysis

Observed data

 The data set on the left displays a trend of increasing


values while the data set on the right is variable around the
mean.
 The difference between the data cannot be inferred from
the mean and standard deviation alone.

Spatial variability
Spatial variability
Trend analysis

Trend analysis

 Spatially dependent data, also known as random or


stochastic process, can be examined with trend analysis.
 The trend analysis is conducted by separating the random
process into a deterministic trend and a residual variability
around the trend.

r (x) = t(x) + e(x)

where r (x) is the soil property at location x, t(x) is the


value of the trend at x, and e(x) is the residual.
Spatial variability
Spatial variability
Trend analysis

Trend analysis

 The residuals are statistically considered as a random


process, usually with zero mean, and non-zero variance:


Var [e] = E {r (x) t(x)}2

 Note that this model does not assume soil properties to be


random. The randomness in the residual represents the
uncertainty in the difference between the interpolated trend
and the actual value of soil property at the unobserved
location [1].

Spatial variability
Spatial variability
Trend analysis

Trend analysis

 For example; spatially dependent data are tted to a linear


and a quadratic trend.
 In this case the quadratic trend approximates the data
better, which results in a lower residual variance.
Spatial variability
Spatial variability
Trend analysis

Trend analysis

 In extreme case one could t n observations perfectly with


a polynomial of order n 1 and reduce the residual
variance to zero.
 This approach assumes perfect knowledge about soil
properties.

Spatial variability
Spatial variability
Trend analysis

Trend analysis

 Spatial variability of soil properties is modeled as a random


process not because soil properties are random, but
because our knowledge about the soil properties is limited.
Spatial variability
Spatial variability
Trend analysis

Regression model

 Trend analysis is commonly conducted by regression


analysis.
 One-dimensional regression analysis was presented in the
Lecture 3.

Spatial variability
Spatial variability
Trend analysis

Regression model

 Example:
r (x) = 0 + 1 x + 2 x 2 + (x)


 W PHDQ
U H UW





H UW


U








         
[ [
Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model

 Multiple linear regression model is used in higher


dimensional applications.
 Consider a set of n observations with k regressor variables
(xi1 , xi2 , ..., xik , ri ), i = 1, 2, ..., n.
 The model relating the regressors and observations is:

ri = 0 + 1 xi1 + 2 xi2 + ... + k xik + i , i = 1, 2, ..., n

Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model

 The model can be expressed in matrix notation:

r = X + 

where

r1 1 x11 x12 x1k
r2 1 x21 x22 x2k

r= .. X= .. .. .. ..
. . . . .
rn 1 xn1 xn2 xnk
Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model

 The model can be expressed in matrix notation:

r = X + 

and
0 1
1 2

= .. = ..
. .
k n

Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model

 The parameters of the multiple linear regression model are


commonly calculated as least square estimators.
 The goal is to calculate which minimizes:


n
L= 2i = (r X) (r X)
i=1
Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model

 The least square estimator is solved from the following


system of equations:
L
=0

which can be rewritten as:


n 
n 
n 
n

n xi1 xi2 xik i=1 ri



n i=1 i=1 i=1 0 n
 n 
n 
n 
2
1
i=1 xi1 xi1 xi1 xi2 xi1 xik i=1 xi1 ri
i=1 i=1 i=1 .. =
.. .. .. .. . ..
. . . . .
k
n 
n 
n 
n n
xik xik xi1 xik xi2 xik2 xik ri
i=1 i=1 i=1 i=1 i=1

Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model

 The tted regression model is:


k
ri = 0 + j xij , i = 1, 2, ..., n
j=1

 In matrix notation:
r = X
 The residuals are calculated as:

e = r r
Spatial variability
Spatial variability
Multiple linear regression model

Multiple linear regression model


 Example:

r (x1 , x2 ) = 0 + 1 x1 + 2 x2 +



 

U


U



 


 


  
[ 
   
[  
  [
[

Spatial variability
Spatial variability
Residual

Residual





 Consider the 

measurements of soil 

property, r , with depth, x, 


[

on the gure on the right.



 How can one describe 
these data?





      
U
Spatial variability
Spatial variability
Residual

Residual






 If described only with

mean and standard
deviation: 

[


r = 146.48; r = 54.64 






      
U

Spatial variability
Spatial variability
Residual

Residual



 Alternative is to calculate 

the trend and residuals. 

 The trend is calculated as 

linear regression with least 


[

square estimates for 

coefcients: 

t(x) = 58.13 + 1.77x 




      
U
Spatial variability
Spatial variability
Residual

Residual


 With the linear trend

removed the variance
reduces from r = 54.64 to 

the residual variance of 

e = 19.37. 

 This means that the linear 

[
trend explains around 65% 

of the spatial variation. 

 35% of the spatial variation 

remains unexplained by 

the trend. 


      
H

Spatial variability
Spatial variability
Residual

Residual

 The linear regression 

model assumes that the 

residuals have zero mean, 

and that the square 


deviations from the trend

[

are of equal importance.



 This assumption results in

a constant variance in the

space (depth, x, in this
example). 


      
H
Spatial variability
Spatial variability
Residual

Residual


 A second assumption is

that the residual variations
are independent of one 

another. 

 This means that the 

residual variation at one 

[
location does not provide 

any information about the 

residual at other locations. 

 This assumption is seldom 

true for soil properties. 


      
H

Spatial variability
Spatial variability
Residual

Residual
 In practice is common to
observe that, the closer the 

two measurement 

locations are, the more 

similar the measured soil 

properties are. 

 This type of spatial 


[

structure is examined 
through spatial correlations

between soil properties

(i.e., residuals).

 The spatial structure of soil

properties remains in the       
H
residual.
Spatial variability
Spatial variability
Autocorrelation

Autocorrelation
 The spatial structure in residuals can be described by a
spatial correlation, known as autocorrelation.
 Autocorrelation represents a correlation of an individual
variable with itself over space (time) [1].
 Correlation is a measure of dependence between two
random variables commonly expressed with the linear
correlation coefcient:
Cov [X , Y ]
XY =
X Y

where CoV [X , Y ] is the covariance between random


variables X and Y , while X and Y are standard
deviations.

Spatial variability
Spatial variability
Autocorrelation

Autocorrelation
 The correlation coefcient

between two

measurements at distance
is calculated as: 



Cov [e(xi ), e(xi + )]


() = 

Var [e(x)] 
[

 Correlation coefcients for 

a set of distances, 

= {1, 2, 3, 5, 7, 9} for the 

residuals on the right are 

calculated and presented 


      
on the following slide. H
Spatial variability
Spatial variability
Autocorrelation

Autocorrelation

= 1; = 0.74 = 2; = 0.51 = 3; = 0.32


  

  

  
H [L 

H [L 

H [L 
  

  

  

  

  


                       
H [L H [L H [L

= 5; = 0.12 = 7; = 0.04 = 9; = 0.01


  

  

  
H [L 

H [L 

H [L 
  

  

  

  

  


                       
H [L H [L H [L

Spatial variability
Spatial variability
Autocorrelation

Autocorrelation

 Correlation coefcient was



calculated for a range of 
2EVHUYHG

distances, . 


 It can be observed that the 




correlation coefcient 




starts from value = 1 at 

= 0 and decays towards





zero as increases.   

  
Spatial variability
Spatial variability
Autocorrelation

Autocorrelation

 Autocorrelation functions
relate the correlation

coefcient of an individual 
2EVHUYHG
)LWWHG

soil property (residual) with 




itself over spatial distance. 




 Autocorrelation functions 



are commonly dened as 

monotonically decreasing 

from = 1 at = 0 to   

  

= 0 as .

Spatial variability
Spatial variability
Autocorrelation

Autocorrelation
 Mathematically;

E [e(xi )e(xi + )]
() =
Var [e(x)]

where () is the autocorrelation function,


E [e(xi )e(xi + )] = Cov [e(xi ), e(xi + )] is the covariance
of the residuals at distance , and Var [e(x)] is the variance
of the residuals.
 The spatial dependence can be also expressed by the
autocovariance function:

C() = E [e(xi )e(xi + )]


Spatial variability
Spatial variability
Autocorrelation

Autocorrelation models

Model Equation

1 if = 0
White noise () =
0 otherwise

1 if
Linear () =
0 otherwise
Exponential () = exp 2
 
() = exp 2
2
Gaussian

where is the parameter of the autocorrelation function known


as correlation length.

Spatial variability
Spatial variability
Autocorrelation

Autocorrelation models

 Autocorrelation models for


= 1.

 Correlation length can be 


/LQHDU
dened as the distance 


([SRQHQWLDO
*DXVVLDQ

within which residuals are 


signicantly correlated



(e.g., more than 10%). 








    

Spatial variability
Spatial variability
Autocorrelation

Effect of correlation length for constant

= 0; = 20 = 2; = 20 = 20; = 20
  

  

  

  

  

  
[

[
  

  

  

  

  


           
U U U

Spatial variability
Spatial variability
Autocorrelation

Effect of variance for constant

= 2; = 2 = 20; = 2 = 50; = 2
  

  

  

  

  

  
[

  

  

  

  

  


              
U U U
Spatial variability
Spatial variability
Variogram

Variogram

 Spatial dependence can be also modeled with variograms.


 Whereas the autocovariance function is dened as the
expected value of the product of two observations:

C() = E [e(xi )e(xi + )]

the variogram 2 is dened as the expected value of the


squared difference [1]:


2() = E {e(xi ) e(xi + )}2 = Var [e(xi ) e(xi + )]

 () is known as semi-variogram.

Spatial variability
Spatial variability
Variogram

Variogram

 For random processes with constant mean and


autocovariance function, the variogram and autocorrelation
function are related.

2() = Var [e(xi ) e(xi + )]

= Var [e(xi )] + Var [e(xi + )] 2Cov [e(xi ), e(xi + )]


 With constant variance 2 and autocorrelation function
():
2() = 2 + 2 2 2 ()
() = 2 (1 ())
Spatial variability
Spatial variability
Variogram

Variogram models

Model Equation
0 if = 0
Nugget () =
 2 otherwise

 0  if = 0
Linear () =
c0 +
2 otherwise
7  8
Exponential () = 2 1 exp 2
7  8
() = 2 1 exp 2
2
Gaussian

Spatial variability
Spatial variability
Variogram

Variogram models



 Variogram models 

for 2 = 1 and


= 1.
 /LQHDU
([SRQHQWLDO
*DXVVLDQ

    

Spatial variability
Spatial variability
Local averaging

Local averaging
 Soil properties are usually a local average, obtained from a
sample of nite size.
 For example, consider soil parameters obtained from a
triaxial tests or hydraulic conductivity from a laboratory
sample.
 The local average of a random process (e.g., soil property
measurement) r is dened as:

 /2
t+T
1
rT (t) = r ()d
T
tT /2

where rT (t) is the local average of r over a window of


length T centered at t.

Spatial variability
Spatial variability
Local averaging

Local averaging
 Local averaging leads to variance reduction:

T2 = 2

where is the variance reduction coefcient, 2 is the


variance of the random process r , while T is the reduced
variance of the averaged process rT (t).
 The variance reduction coefcient is calculated as:
T
2
= 2 (T )()d
T
0

where () is the corresponding autocorrelation function of


the random process r (t).
Spatial variability
Spatial variability
Local averaging

Local averaging


U W




 T


          
W


U7 W


T





          
W

Spatial variability
Random eld
Introduction

Random eld

 Random eld is a methodology for modeling spatial


variability.
 Notation:
{R(x); x D Rm }
where R is the stochastic variable (e.g., soil parameter), x
is the reference variable, D is the reference domain, and m
is the dimensionality of the reference domain (e.g., m = 2
in case of a two dimensional problem).
Spatial variability
Random eld
Introduction

Random eld

 A continuous random eld {R(x); x D} is dened by:

[R(x1 ), ..., R(xn )] Fx (r1 , ..., rn ) = F (r)

= P {R(x1 ) r1 , ..., R(xn ) rn }


where x = (x1 , ..., xn ) D are all congurations in D, and
r = (r1 , ..., rn ) denotes realization of the random eld.
 The pdf of a random eld is dened as:

dF (r)
f (r) =
dr

Spatial variability
Random eld
Introduction

Reference domain discretization

 x = (x1 , ..., xn ) D
represents the
random eld
discretization.
Spatial variability
Random eld
Introduction

Random eld examples

Random eld in 1D: Random eld in 2D:

 

 



 


 



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[
[

Spatial variability
Random eld
Gaussian random eld

Random eld

 A Gaussian continuous random eld {R(x); x D} is


dened by a multivariate normal distribution:

[R(x1 ), ..., R(xn )] N(r; , )


 
1 1 T 1
= exp (r ) (r )
(2)n/2 ||1/2 2
where x = (x1 , ..., xn ) D are all congurations in D, r is a
random eld realization as n 1 vector, is mean n 1
vector, and is n n covariance matrix.
Spatial variability
Random eld
Gaussian random eld

Random eld

A Gaussian continuous random eld {R(x); x D} is specied


by:
 Mean or trend:
{(x); x D}
 Variance: 7 8
2 (x); x D
 Correlation: , -
(x  , x  ); x  , x  D

Spatial variability
Random eld
Gaussian random eld

Random eld

 Arbitrary Gaussian random eld {R(x); x D} can be


decomposed into:

{R(x) = (x) + (x)R0 (x); x D}

where {R0 (x); x D} is a normalized Gaussian random


eld with:
E [R0 (x)] = 0
Var [R0 (x)] = 1
 
Corr R0 (x  ), R0 (x  ) = (x  , x  )
Spatial variability
Random eld
Gaussian random eld

Random eld

 Example: Consider a normalized Gaussian random eld in


1D domain D = [0, 1].
 To generate a random eld, the reference domain, D is
discretized into n points.
 For example; x = (0, 0.01, 0.02, ..., 1) which means that
n = 101.

Spatial variability
Random eld
Gaussian random eld

Random eld

 A normalized Gaussian random eld is dened with


(x) = 0 and 2 (x) = 1.
 The correlation is dened with the exponential
 
autocorrelation function () = exp 2 with = 0.2.
 With these inputs one can generate random eld
realizations r = (r (x1 ), ..., r (xn )).
Spatial variability
Random eld
Gaussian random eld

1D random eld relizations

 

 
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Spatial variability
Random eld
Gaussian random eld

Random elds in 2D

 Arbitrary continuous Gaussian random eld in 2D is


dened as:
7 8
R(x) = (x) + (x)R0 (x); x D R2
, -
where R0 (x); x D R2 is a normalized Gaussian
random eld with:
E [R0 (x)] = 0
Var [R0 (x)] = 1
 
Corr R0 (x  ), R0 (x  ) = (x  , x  )
Spatial variability
Random eld
Gaussian random eld

Random elds in 2D
Random eld realization in 2D:






U




 









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Spatial variability
Random eld
Gaussian random eld

Random elds in 2D
Random eld realizations:

 


  


 


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[ [

   


  


 


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[ [
Spatial variability
Random eld
Gaussian random eld

Autocorrelation function in 2D
 Autocorrelation functions in 2D can be dened as a
product of one dimensional autocorrelation functions.
 These types of autocorrelation functions are also known as
separable [2].
 Product of exponential autocorrelation functions:
 
1 2
(1 , 2 ) = exp 2 exp 2
1 2

where 1 = |x  x  | and 2 = |y  y  | such that


(x, y) D R2 are distances while 1 and 2 are
correlation lengths in directions of x and y respectively.
 The resulting autocorrelation function is quadrant
symmetric.

Spatial variability
Random eld
Gaussian random eld

Autocorrelation function in 2D

 Product of gaussian autocorrelation functions:


   
12 22
(1 , 2 ) = exp 2 exp 2
1 2

where 1 = |x  x  | and 2 = |y  y  | such that


(x, y) D R2 are distances while 1 and 2 are
correlation lengths in directions of x and y respectively.
 The resulting autocorrelation function is isotropic if 1 = 2 .
Spatial variability
Random eld
Gaussian random eld

Autocorrelation function in 2D
Product of (a) exponential and (b) gaussian autocorrelation
functions:
D E

 

 
 

 
 

 

 

 
 
   
   
 
   
     
 

Spatial variability
Random eld
Gaussian random eld

Isotropic autocorrelation function in 2D

 An isotropic autocorrelation function is applied in situations


where the correlation depends only on the distance
between observations in the reference domain and not the
orientation [2].
 Product of two gaussian autocorrelation functions results in
an isotropic autocorrelation function.
Spatial variability
Random eld
Gaussian random eld

Isotropic autocorrelation function in 2D

 Isotropic exponential autocorrelation function is dened as:


 
(1 , 2 ) = 1 + 2 = ()
2 2


where = 12 + 22 .
  
2 2
() = exp 1 + 2 = exp
2 2

Spatial variability
Random eld
Gaussian random eld

Autocorrelation function in 2D
Isotropic exponential autocorrelation function:
 
2
= exp 1 + 2
2 2

with = 1.


 









 
 



  

Spatial variability
Random eld
Gaussian random eld

Ellipsoidal autocorrelation function in 2D

 Ellipsoidal autocorrelation function is dened by stretching


the isotropic exponential autocorrelation function in both
coordinate directions.
+
2  2
1 2
= +
a1 a2
+
2 2

() = exp 2
1 2
+
a1 a2

Spatial variability
Random eld
Gaussian random eld

Ellipsoidal autocorrelation function in 2D


 Suppose that we have an isotropic exponential
autocorrelation function with = 1. We want to stretch it to
have 1 = 2 and 2 = 0.5.
 The isotropic exponential autocorrelation function is
dened as:
   
2 2
1 () = exp 1 + 2 = exp
2 2 1 + 2
2 2
1
 The elliptical autocorrelation function is dened as:
+
2 2
1 2
2 () = exp 2 +
1 2
Spatial variability
Random eld
Gaussian random eld

Ellipsoidal autocorrelation function in 2D

Note: For the exponential autocorrelation function


() = exp(2).


1 = exp(2) 
1
 2

2 = exp(2)

  
 
= 0.5
=2





 
=1
 

 

            
 

 
  

Spatial variability
Random eld
Anisotropy

Anisotropy

 If the correlation structure


of a random eld depends
on the direction, the
random eld is anisotropic.
 In soils it is common to
observe higher correlation
in the horizontal direction
than the vertical direction.
Source: www.teara.govt.nz
Spatial variability
Random eld
Anisotropy

Anisotropy

 Anisotropy can be simulated by specifying direction


dependent correlation lengths in separable autocorrelation
functions
 
1 2
(1 , 2 ) = exp 2 exp 2
1 2

or by using ellipsoidal autocorrelation function [2]:


+
2 2

() = exp 2
1 2
+
1 2

Spatial variability
Random eld
Anisotropy

Anisotropy
 Effect of anisotropy:

y /x = 2 y /x = 5
  

  


 

\


 


  


 
           
[ [
y /x = 10 y /x =
 
 
  


 


\

   

  


   
           
[ [
Spatial variability
Random eld
Algorithm for generating Gaussian random elds

Cholesky decomposition of the covariance matrix

 Discretize the domain into n points: x = (x1 , ..., xn )


 Calculate the n n correlation matrix:

1 (x1 , x2 ) (x1 , xn )
(x2 , x1 ) 1 (x2 , xn )

C= .. .. ..
. . .
(xn , x1 ) (xn , x2 ) 1

Spatial variability
Random eld
Algorithm for generating Gaussian random elds

Cholesky decomposition of the covariance matrix

 Decompose C in a lower A and an upper AT triangular


matrix with Cholesky decomposition.

C = AAT

 Generate n 1 vector of standard normal distributed


random values.
T N(0, 1)
 A Gaussian random eld realization with mean and is
calculated as:
R = + AT
Spatial variability
Uncertainty quantication
Simulation

Applications

 Uncertainty quantication of spatially variable properties is


commonly conducted with sampling methods (e.g., Monte
Carlo).
 Generated random eld realizations are considered as an
input to the model simulating the response of the studied
structure/system.

Spatial variability
Uncertainty quantication
Simulation

Monte Carlo method


Algorithm of the Monte Carlo method:
1. Dene the performance function g and performance
assessment criteria for the studied structure/system.
2. Evaluate the spatial variability in the studied domain D and
describe it by a random eld, {R(x); x D}.
3. Initiate the iterator k = 1, and dene the desired number of
simulations NS .
4. Generate a random eld realization, rk .
5. Evaluate the response of the structure/system for a given
random eld realization, yk = g(rk ).
6. Update the iterator, k = k + 1, and stop if the number of
simulations is equal to the desired number of simulations,
k = NS , otherwise return to step 4.
Spatial variability
Uncertainty quantication
Simulation

Uncertainty quantication

Spatial variability
Uncertainty quantication
Examples

Application to the reliability analysis of geotechnical


structures/systems
 Retaining wall from [2]:
 Slope stability from [2]:
Spatial variability
Appendix
References

References I

G. Baecher and J. Christian.


Reliability and statistics in geotechnical engineering.
John Wiley & Sons, 2005.
G. Fenton and V. Grifths.
Risk assessment in geotechnical engineering.
John Wiley & Sons, 2008.

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