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Documente Profesional
Documente Cultură
Lecture notes
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.
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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.
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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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Key Questions
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Hepointedouttwo elements:
Theuseofimperfectknowledge,guidedbyexperienceandjudgment
Thedecisiononanappropriatemarginofsafetyordegreeofrisk,accountingfor
economicfactorsandthesizeofthelossesifafailureshouldoccur.
13
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)
NTNU NTNU 4
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NTNU NTNU 4
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Geohazards andRisk
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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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Tragically,developingcountriesaremoreseverelyaffectedbynatural
disastersthandevelopedcountries,especiallyintermsofliveslost(UNDP
2004,UNISDR2009andIFRC2004).
27
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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(Nadim,2012)
Seismicity of Norway
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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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Prefailurestate f
FS>1 FS 1.0
Atthe onset of
landslide material(c,)
|
FS=1
Postfailure
movement FS<1
=c+tan
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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)
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Photo:Vikas
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23
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Fall
Italy,Feb.2014
Source
bbc.co.uk
A fallstartswiththedetachmentofsoilsorrockfromasteepslopealonga
surfaceonwhichlittleofnosheardisplacementtakesplace.
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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
Why?
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Complex
movements
Slide
Flow
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http://inspectapedia.com/vision/Quick_Clay_Leda_CDNR.jpg
SlideScarp
Runout
1stJanuary 2012
Ref:Adressaavisa
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TheVerdallandslide,1893
NTNUarkiv
Landslide
Landslide types
Material Movement
Rock Fall
Debris Toppel
Earth Slide
Spreads
Flow
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Landslide
Landslide types
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Updated classification
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Updated classification
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Triggeringfactors
Lessons learned
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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.
After the accident, engineering geologists studied the stability of the rock for all
neighbouring buildings, and the rock wall has been stabilized.
67
Theslidedestroyedahighwayanddamagedfourpermanentdwellingsand
6summerresidences.
Sevenpersons,whohadbeentransportedontheslide,wererescued
unharmedbyhelicopter.
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69
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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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
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Bridges
Fill
Fill
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An uncertain case!
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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
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extensometer
Weather station
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88
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Mathematics of probability
Random variables
Part1
Acceptable risk
Part4
Applications
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Guest lectures
Dr. Maj Gril Bverfjord, SWECO : Soil Variability
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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
Calculate/predict consequences
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3assignments (weightage:24%)
Information / Assistance
Lectures
Mondays (GL-RFB R92 and Room 1-101
Room locations may change
Tutorials
Wednesdays
Room (GL-GA F3)
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.
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
50
Probability and Statistics Basics
Ivan Depina
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
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
Probability
Probability
Denitions
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.
Set operators
Intersection: of two events A and B; A B.
Set operators
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
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
Multiplication
Multiplication of n events:
P(E1 E2 ... En ) =
n
P(A) = P(A | Ei )P(Ei )
i=1
Bayes Theorem
Bayes Theorem:
P(E | A)P(A)
P(A | E) =
P(E)
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, ).
pX (xi ) = P(X = xi ) X = Z1 + Z2 + Z3
n
pX (xi ) = 1
i=1
S [
;
a<xi b
[
Probability and Statistics Basics
Random Variable
Discrete Distributions
xa
FX () = 0 and FX () = 1
) [
;
[
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
) [
dFX (x)
;
fX (x) =
dx
FX () = 0 and FX () = 1
[
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
PHDQ
PHGLDQ
PRGH
I [
;
[
3RVLWLYHVNHZ
1HJDWLYHVNHZ
I[[
[
Kurtosis (atness)
E (X X )4
2 =
X4
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 [
;
;
[ [
Poisson distribution
x
pX (x) = exp(), x = 0, 1, ...,
x!
E [X ] =
Var [X ] =
X =
Probability and Statistics Basics
Random Variable
Common Distributions
Poisson distribution
Pmf: Cmf:
) [
S [
;
;
[ [
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
Pdf: Cdf:
) [
I;[
;
[ [
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
Pdf: Cdf:
) [
I [
;
;
[ [
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
Pdf: Cdf:
) [
I [
;
;
[ [
( x)
(x)
[ [
Probability and Statistics Basics
Random Variable
Common Distributions
P(1 Z 1) = 0.6827 ;
;
P(2 Z 2) = 0.9545
;
P(3 Z 3) = 0.9972
Lognormal distribution
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
Lognormal distribution
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
Pdf : Cdf :
) [
I [
;
;
[ [
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
Gumbel distribution
Pdf : Cdf :
) [
I [
;
;
[ [
Probability and Statistics Basics
Appendix
References
References I
Ivan Depina
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
Bivariate distribution
Bivariate distribution
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:
Discrete: Continuous:
pXY (x, y)
\
[
Discrete case:
Cumulative mass function:
Continuous case:
Cumulative density function:
Discrete:
FXY (x, y)
\
\ [
[
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
Example: Bivariate
pXY (x, y)
discrete distribution,
pXY (x, y ), is composed
of two independent
\
\
binomial distributed
[
Probability and Statistics Basics and Data Statistics
Bivariate distribution
Marginal distribution
continuous distribution,
fXY (x, y ), is composed of
\
distributed random
variables, X and Y .
X is dened as normal
[
Y is dened as normal
fX (x)
with Y = 10 and
Y = 2.
[
Covariance
Covariance
Continuous case:
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
[ [
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
Histogram
&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
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.
1
n
(X , Y ) =
Cov (xi X )(yi Y )
n1
i=1
(X , Y )
Cov
=
XY
X Y
Probability and Statistics Basics and Data Statistics
Data statistics
Distribution selection
Distribution selection
Distribution selection
Distribution selection
Probability paper
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 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 paper
Probability paper
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 .
Linear regression
Expected value of the linear regression model is:
E(Y | x) = 0 + 1 x
Variance of the linear regression model is:
Linear regression
yi = 0 + 1 xi + i ; i = 1, ..., n
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
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
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
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
ei = yi (0 + 1 xi ) = yi yi ; i = 1, ..., n
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
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 ()
Bayesian updating
Bayesian updating:
f ( | x) = c L (x | ) f ()
Bayesian updating
= 33 ; = 1.2159
f ( )
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating
[
L( | )
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating
f ( | ) = c L( | )f ( )
f ( | ) L( | )f ( )
where:
1
n
= i
n
i=1
Probability and Statistics Basics and Data Statistics
Data statistics
Bayesian updating
= 33.5172 ; = 0.9952
Posterior:
2
1 1
f ( | ) = exp
22 2
3ULRU
f ( | ); L( | ); f ( )
/LNHOLKRRG
3RVWHULRU
Probability and Statistics Basics and Data Statistics
Appendix
References
References I
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
Ivan Depina
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
Risk assessment
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
Source: www.geerassociation.org
Source: en.wikipedia.org
Introduction to probabilistic analysis
Deterministic design approach
Deterministic design approach
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).
Sk = S + 1 (0.95)S = S + 1.645S
Rk = R + 1 (0.05)R = R 1.645R
Introduction to probabilistic analysis
Deterministic design approach
Deterministic design approach
Y = g(X)
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
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
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.
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
()
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
Y = g(X )
= fX (xi )
xi g 1 (y )
Introduction to probabilistic analysis
Functions of random variables
Function of a single random variable
g 1
(y ) y ( )
1 dg 1 (y )
FY (y ) = fX (x)dx = fX (g (y )) dy
dy
P [Y y ] = P [X > x] = 1 P [X x]
FY (y ) = 1 FX (g 1 (y ))
( )
dFY (y ) 1 dg 1 (y )
fY (y ) = = 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
Y = c + a1 X1 + a2 X2 + ... + aN XN
Var [Y ] = aXX aT
General formulation
Expectation
Expectation
E [g(X)] =
... g(x1 , x2 , ..., xN )fX (x1 , x2 , ..., xN )dx1 dx2 ...dxN
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
K[
7UXHIXQFWLRQ
VWRUGHU
QGRUGHU
[
*
1
N N
d 2 g **
(Xi Xi )(Xj Xj ) + ...
2 dxi dxj *
i=1 j=1
FOSM
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
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
PF = 1 () = ()
FOSM - sensitivity
Readings
References I
References II
Ivan Depina
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
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
PF = 1 () = ()
FOSM
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
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
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:
FORM
Example
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
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
Example
Example
Example
|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.
General case
Y = g(X)
General case
Reliability index
Reliability index
HL algorithm
HL algorithm
Xi N(Xi , Xi ); i = 1, ..., N
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
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
i = cos Xi = cos ui
HL algorithm
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
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 }
HL algorithm
HL algorithm
In case of a convex failure limit with respect to the origin,
the failure probability is overestimated.
Sensitivity
12 + 22 + ... + N
2
=1
Sensitivity
PF
= () = () ; i = 1, ..., N
ui ui ui
Sensitivity
FORM and system reliability
FORM
HL-RF algorithm
HL-RF algorithm
ui = 1 [FXi (xi )]
1 **
1
ui = [FXi (xPi )] + [FXi (xi )] ** (xi xPi )
xi xP
fXi (xPi )
FORM and system reliability
FORM
HL-RF algorithm
xi Xi
ui =
X i
HL-RF algorithm
SORM
*
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.
Series system
Series system
Series system
/
N
PR = (1 pS1 )(1 pS2 ) (1 pSN ) = (1 pSi )
i=1
Series system
/
N
PF = 1 PR = 1 (1 pSi )
i=1
Parallel system
Parallel system
Parallel system
/
N
PR = 1 pS1 pS2 pSN = 1 pSi
i=1
Parallel system
/
N
PF = 1 PR = pSi
i=1
General case
Complex systems
Complex systems
Complex systems
Example
Minimal cut set for this network
problem is:
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
Complex systems
Complex systems
Readings
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
Ivan Depina
Outline
Random numbers
Introduction
Pseudo random numbers
Inverse Transform Method
Random variable
Random numbers
Random numbers
x1 , x2 , ... fX (x)
Source: www.norges-bank.no
Source: www.wpclipart.com
Monte Carlo method
Random numbers
Introduction
u1 , u2 , ... U(0, 1)
Monte Carlo method
Random numbers
Pseudo random numbers
where a = 7, b = 4, m = 5, and x1 = 0.
u1 , u2 , ... U(0, 1)
x1 , x2 , ... fX (x)
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
ui = FX (xi )
Results
yk = g(xk ); k = 1, ..., NS
Results
Moments
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
Failure probability
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
1 PF
NS =
PF CoV (PF )2
Failure probability
Example: For PF = 103 and CoV (PF ) = 0.1, the minimal
number of samples is:
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 [
Response distribution
)UHTXHQF\
[ [
Monte Carlo method
Monte Carlo method
Results assessment
Response distribution
Importance sampling
Importance sampling
Importance sampling
Importance sampling
Failure probability
1
NS
fX (xk )
PF = I(xk )
NS h(xk )
k =1
Monte Carlo method
Monte Carlo method
Conclusion
Conclusion
Conclusion
Readings
References I
Ivan Depina
Outline
Event Trees
System reliability
Event Trees
Logic Trees
Consequence Trees
Introduction to Event Trees
Event Trees
System reliability
System reliability
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
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.
Event Trees
Event Trees
Bayes Theorem
Bayes Theorem:
P(E | A)P(A)
P(A | E) =
P(E)
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
Event Trees
Initiating events
Event probabilities
Consequence Trees
Consequence Trees
Introduction to Event Trees
Appendix
References
References I
Risk Assessment
Ivan Depina
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
Risk analysis
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
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
R =H E V
Risk assessment
Risk Assessment
Risk assessment
Risk analysis
Risk analysis
Risk analysis
Risk Assessment
Risk assessment
Risk analysis
Risk analysis
Risk analysis
Risk Assessment
Risk assessment
Risk analysis
Risk analysis
Risk analysis
Risk Assessment
Risk assessment
Risk analysis
Risk analysis
Risk analysis
Risk Assessment
Risk assessment
Risk analysis
Risk analysis
Risk analysis
Risk Assessment
Risk assessment
Risk analysis
Risk analysis
Risk Assessment
Sources of risk
General risks for individuals
Risk classication
Risk classication
Risk Assessment
Sources of risk
General risks for individuals
Risk classication
Classication of risks with respect to causes:
Natural risks
Risk Assessment
Sources of risk
Natural risks
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
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
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
Risk Assessment
Sources of risk
Technical risks
Dam failure
Source: www.geol.ucsb.edu
Risk Assessment
Sources of risk
Technical risks
Bridge failure
Source: en.wikipedia.org
Risk Assessment
Acceptable risk
Individual activities
Acceptable risk
Acceptable risk
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]:
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
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
F-N diagrams
Risk Assessment
Acceptable risk
Commercial activities
F-N diagrams
In this example, F is
dened as the probability
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
)
Center of gravity under the
average number of
fatalities [4].
1
Risk Assessment
Acceptable risk
Commercial activities
F-N diagrams
an angle of 45 . For
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
Risk Assessment
Acceptable risk
Commercial activities
Risk Assessment
Acceptable risk
Commercial activities
same occurrence
N D
probability.
N D
1
Risk Assessment
Acceptable risk
Commercial activities
)
examined in two ways: for
the same occurrence
probability, number of
fatalities is lowered or for
Risk Assessment
Acceptable risk
Commercial activities
Risk Assessment
Acceptable risk
Commercial activities
Decision Tree
Risk Assessment
Decision under uncertainty
Decision Tree
Decision Tree
Risk Assessment
Decision under uncertainty
Decision Tree
Decision Tree
Risk Assessment
Decision under uncertainty
Decision Tree
Decision Tree
Risk Assessment
Decision under uncertainty
Decision Tree
Decision Tree
Risk Assessment
Decision under uncertainty
Utility
Utility
Utility
Risk Assessment
Decision under uncertainty
Utility
Utility
Utility
Risk Assessment
Decision under uncertainty
Utility
Utility
q =1p
u(A, B, p, q)
Risk Assessment
Decision under uncertainty
Utility
Utility
u(A, B, p, q) = p A + q B = p A + (1 p) B
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
Risk Assessment
Decision under uncertainty
Utility
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
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
Risk Assessment
Appendix
References
References I
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
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
Ivan Depina
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
Spatial variability
Spatial variability
Trend analysis
Trend analysis
Trend analysis
Spatial variability
Spatial variability
Trend analysis
Trend analysis
Trend analysis
Spatial variability
Spatial variability
Trend analysis
Trend analysis
Regression model
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
Spatial variability
Spatial variability
Multiple linear regression model
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
r = X +
and
0 1
1 2
= .. = ..
. .
k n
Spatial variability
Spatial variability
Multiple linear regression model
n
L= 2i = (r X) (r X)
i=1
Spatial variability
Spatial variability
Multiple linear regression model
Spatial variability
Spatial variability
Multiple linear regression model
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
r (x1 , x2 ) = 0 + 1 x1 + 2 x2 +
U
U
[
[
[
[
Spatial variability
Spatial variability
Residual
Residual
Consider the
measurements of soil
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
coefcients:
U
Spatial variability
Spatial variability
Residual
Residual
With the linear trend
removed the variance
reduces from r = 54.64 to
e = 19.37.
[
trend explains around 65%
remains unexplained by
Spatial variability
Spatial variability
Residual
Residual
H
Spatial variability
Spatial variability
Residual
Residual
A second assumption is
that the residual variations
are independent of one
another.
[
location does not provide
Spatial variability
Spatial variability
Residual
Residual
In practice is common to
observe that, the closer the
two measurement
properties are.
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
Spatial variability
Spatial variability
Autocorrelation
Autocorrelation
The correlation coefcient
between two
measurements at distance
is calculated as:
Var [e(x)]
[
a set of distances,
Autocorrelation
H[L
H[L
H[L
H[L
H[L
H[L
Spatial variability
Spatial variability
Autocorrelation
Autocorrelation
distances, .
zero as increases.
Spatial variability
Spatial variability
Autocorrelation
Autocorrelation
Autocorrelation functions
relate the correlation
coefcient of an individual
2EVHUYHG
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from = 1 at = 0 to
= 0 as .
Spatial variability
Spatial variability
Autocorrelation
Autocorrelation
Mathematically;
E [e(xi )e(xi + )]
() =
Var [e(x)]
Autocorrelation models
Model Equation
1 if = 0
White noise () =
0 otherwise
1 if
Linear () =
0 otherwise
Exponential () = exp 2
() = exp 2
2
Gaussian
Spatial variability
Spatial variability
Autocorrelation
Autocorrelation models
([SRQHQWLDO
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signicantly correlated
Spatial variability
Spatial variability
Autocorrelation
= 0; = 20 = 2; = 20 = 20; = 20
[
[
Spatial variability
Spatial variability
Autocorrelation
= 2; = 2 = 20; = 2 = 50; = 2
[
Variogram
() is known as semi-variogram.
Spatial variability
Spatial variability
Variogram
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
for 2 = 1 and
= 1.
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([SRQHQWLDO
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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
Spatial variability
Spatial variability
Local averaging
Local averaging
Local averaging leads to variance reduction:
T2 = 2
Local averaging
UW
T
W
U7W
T
W
Spatial variability
Random eld
Introduction
Random eld
Random eld
dF (r)
f (r) =
dr
Spatial variability
Random eld
Introduction
x = (x1 , ..., xn ) D
represents the
random eld
discretization.
Spatial variability
Random eld
Introduction
\
U
[
[
Spatial variability
Random eld
Gaussian random eld
Random eld
Random eld
Spatial variability
Random eld
Gaussian random eld
Random eld
Random eld
Spatial variability
Random eld
Gaussian random eld
Random eld
U
U
[ [
U
U
[ [
U
U
[ [
Spatial variability
Random eld
Gaussian random eld
Random elds in 2D
Random elds in 2D
Random eld realization in 2D:
U
\
[
Spatial variability
Random eld
Gaussian random eld
Random elds in 2D
Random eld realizations:
\
[ [
\
[ [
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
Spatial variability
Random eld
Gaussian random eld
Autocorrelation function in 2D
Autocorrelation function in 2D
Product of (a) exponential and (b) gaussian autocorrelation
functions:
D E
Spatial variability
Random eld
Gaussian random eld
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
Spatial variability
Random eld
Gaussian random eld
1 = exp(2)
1
2
2 = exp(2)
= 0.5
=2
=1
Spatial variability
Random eld
Anisotropy
Anisotropy
Anisotropy
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
Spatial variability
Random eld
Algorithm for generating Gaussian random elds
C = AAT
Applications
Spatial variability
Uncertainty quantication
Simulation
Uncertainty quantication
Spatial variability
Uncertainty quantication
Examples
References I
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