Computers and Geotechnics 37 (2010) 1015–1022

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Computers and Geotechnics

journal homepage: www.elsevier.com/locate/compgeo

Efficient Monte Carlo Simulation of parameter sensitivity in probabilistic

slope stability analysis
Yu Wang ⇑, Zijun Cao 1, Siu-Kui Au 2
Department of Building and Construction, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong

a r t i c l e i n f o a b s t r a c t

Article history: Monte Carlo Simulation (MCS) method has been widely used in probabilistic analysis of slope stability,
Received 21 April 2010 and it provides a robust and simple way to assess failure probability. However, MCS method does not
Received in revised form 12 July 2010 offer insight into the relative contributions of various uncertainties (e.g., inherent spatial variability of
Accepted 23 August 2010
soil properties and subsurface stratigraphy) to the failure probability and suffers from a lack of resolution
Available online 18 September 2010
and efficiency at small probability levels. This paper develop a probabilistic failure analysis approach that
makes use of the failure samples generated in the MCS and analyzes these failure samples to assess the
Keywords:
effects of various uncertainties on slope failure probability. The approach contains two major compo-
Probabilistic failure analysis
Slope stability
nents: hypothesis tests for prioritizing effects of various uncertainties and Bayesian analysis for further
Monte Carlo Simulation quantifying their effects. Equations are derived for the hypothesis tests and Bayesian analysis. The prob-
Subset Simulation abilistic failure analysis requires a large number of failure samples in MCS, and an advanced Monte Carlo
Hypothesis tests Simulation called Subset Simulation is employed to improve efficiency of generating failure samples in
Bayesian analysis MCS. As an illustration, the proposed probabilistic failure analysis approach is applied to study a design
scenario of James Bay Dyke. The hypothesis tests show that the uncertainty of undrained shear strength
of lacustrine clay has the most significant effect on the slope failure probability, while the uncertainty of
the clay crust thickness contributes the least. The effect of the former is then further quantified by a
Bayesian analysis. Both hypothesis test results and Bayesian analysis results are validated against inde-
pendent sensitivity studies. It is shown that probabilistic failure analysis provides results that are equiv-
alent to those from additional sensitivity studies, but it has the advantage of avoiding additional
computational times and efforts for repeated runs of MCS in sensitivity studies.
Ó 2010 Elsevier Ltd. All rights reserved.

1. Introduction
Various uncertainties exist in slope engineering, such as inher-
ent spatial variability of soil properties, subsurface stratigraphy,
simplifications and approximations adopted in geotechnical mod-
els. Effects of these uncertainties on probability of slope failure
are often significant, and insight on these effects is of great value
for understanding failure mechanisms and designing slope reme-
dial measures. Several probabilistic methodologies have been
developed to incorporate these uncertainties in slope stability
analysis, such as the First Order Second Moment (FOSM) method
[1–4], First Order Reliability Method (FORM) [5–9], Monte Carlo
Simulation (MCS) method [10–20], and other methods based on
artificial neural network, support vector machine or random set
⇑ Corresponding author. Tel.: +852 2788 7605; fax: +852 2788 7612.
E-mail addresses: yuwang@cityu.edu.hk (Y. Wang), zijuncao3@student.cityu.
edu.hk (Z. Cao), siukuiau@cityu.edu.hk (S.-K. Au).
1
Tel.: +852 3442 6492; fax: +852 2788 7612.
2
Tel.: +852 2194 2769; fax: +852 2788 7612.
[21–25]. Among these methods, MCS method that integrates with
different deterministic analysis methods (e.g., limit equilibrium
methods [10,11,13], finite element methods [12,14,15]) are gaining
popularity due to their robustness and conceptual simplicity. How-
ever, as pointed out by Baecher and Christian [26], although MCS
method provides a robust and simple way to assess failure proba-
bility, it does not offer insight into the relative contributions of var-
ious uncertainties to the failure probability and suffers from a lack
of resolution and efficiency at small probability levels.
This paper develops a probabilistic failure analysis approach
that makes uses of the failure samples generated in the MCS and
analyzes these failure samples to assess the effects of various
uncertainties on slope failure probability. An advanced Monte Car-
lo Simulation called Subset Simulation (Subsim) [27,28] is em-
ployed to improve efficiency of generating failure samples in
MCS and resolution at small failure probability levels. The paper
starts with mathematical formulation of the approach, including
hypothesis tests for prioritizing effects of various uncertainties
and Bayesian analysis for further quantifying their effects. Subset
Simulation and its implementation in a commonly-available
spreadsheet environment are briefly described. As an illustration,

0266-352X/$ - see front matter Ó 2010 Elsevier Ltd. All rights reserved.
doi:10.1016/j.compgeo.2010.08.010
1016 Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022
the proposed approach is applied to study a design scenario of
James Bay Dyke [2,10,14].
2. Probabilistic failure analysis approach
Probabilistic failure analysis is similar to back-analysis [29–31],
which is a common analysis procedure in geotechnical engineering
that intends to find a set of model parameters that would result in
the observed performance of geo-structures. Similarly, probabilis-
tic failure analysis aims to identify a group of uncertain parameters
that would significantly affect the slope performance (i.e., the
probability of slope failure). The back-analysis, however, relies on
the observed performance and it is inapplicable when observed
performance of the geo-structures of interest is unavailable (e.g.,
during design analysis of a new geo-structure). On the other hand,
probabilistic failure analysis makes uses of the failure samples gen-
erated in the MCS, and it is readily applicable in design analysis for
evaluating the effects of various uncertainties. The proposed prob-
abilistic failure analysis approach contains two major components:
hypothesis tests for prioritizing effects of various uncertainties and
Bayesian analysis for further quantifying their effects, which are
described in the following two subsections, respectively.
2.1. Hypothesis tests
The effects of various uncertainties on the probability of slope
failure are prioritized by comparing, statistically, failure samples
with their respective nominal (unconditional) samples. When the
uncertainty of an uncertain system parameter has a significant ef-
fect on the probability of slope failure, the mean l of failure sam-
ples of the parameter differs significantly from the mean l0 of its
unconditional samples. The statistical difference between l and
l0 is evaluated by hypothesis tests. A null hypothesis H0 and alter-
native hypothesis HA are defined as [32]
H0 : l ¼ l0
ð1Þ
HA : l–l0
Then, a hypothesis test statistic ZH of the parameter is formulated as
l  l0
ZH ¼ pffiffiffi ð2Þ
r= n
where r is standard deviation of the uncertain parameter and n is
the number of failure samples. Based on Central Limit Theorem,
ZH follows the standard Normal distribution when n is large (e.g.,
n P 30) [32]. When the failure sample mean l deviates statistically
from the unconditional mean l0 of the parameter, the absolute va-
lue of ZH is relatively large. As the absolute value of ZH increases, the
statistical difference between l and l0 becomes growingly signifi-
cant, and the effect of the uncertain parameter on failure probability
also becomes growingly significant. The absolute value of ZH is
therefore formulated in this paper as an index to measure the ef-
fects of the uncertain parameters on failure probability and to pri-
oritize their relative effects on failure probability. Using the
absolute value of ZH, the uncertain parameters that have significant
effects on failure probability are selected, and their effects are fur-
ther quantified using a Bayesian analysis approach described in
the next subsection.
2.2. Bayesian analysis
The failure samples generated in the MCS are further analyzed
by a Bayesian analysis to quantify effects of various uncertainties.
Let h denote an uncertain parameter selected based on hypothesis
tests. In the context of the Bayesian Theorem [33,34]
PðFjhÞ ¼ PðFÞPðhjFÞ=PðhÞ ð3Þ
where P(F|h) is the conditional probability density function (PDF) of
slope failure for a given h value; P(F) is the probability of slope fail-
ure; P(h|F) is the conditional PDF of h given that the slope has failed;
and P(h) is the unconditional PDF of h. As both P(F) and P(h|F) are esti-
mated from failure samples of MCS and P(h) is given before MCS, Eq.
(3) can be used to estimate P(F|h) using P(h) and P(h|F) obtained from
analysis of failure samples. Note that P(F|h) is a variation of failure
probability as a function of h, and it can be considered as results of
a sensitivity study of h on slope failure probability. In other words,
the probabilistic failure analysis approach presented in this paper,
which makes use of the failure samples generated in a single run
of MCS for assessment of failure probability, provides results that
are equivalent to those from a sensitivity study, which frequently in-
cludes many repeated runs of MCS with different given values of h in
each run. Additional computational times and efforts for repeated
runs of MCS in the sensitivity study can be avoided using the prob-
abilistic failure analysis approach described herein.
In addition, Eq. (3) implies that comparison between the condi-
tional probability P(h|F) and its unconditional one P(h) provides an
indication of the effect of the uncertain parameter h on failure proba-
bility. In general, P(F|h) changes as the values of the uncertain param-
eter h changes. However, when P(h|F) is similar to P(h), P(F|h) remains
more or less constant regardless of the values of h. This implies that
the effect of h on the slope failure probability is minimal. Such impli-
cation can be used to validate the prioritization obtained from
hypothesis tests, as shown in the example of James Bay Dyke later.
The resolution of P(F) and P(h|F) is pivotal to obtain P(F|h), and it
depends on the number of failure samples generated in MCS. As
the number of failure samples increases, the resolution improves.
For a given slope stability problem, the value of P(F) is constant,
although unknown before MCS. In this case, increasing the number
of failure samples necessitates an increase in the total number of
samples in MCS. One possible way to improve the resolution is,
therefore, to increase the total number of samples in MCS at the ex-
pense of computational time. Alternatively, advanced MCS meth-
ods can be employed to improve efficiency and resolution at
small failure probability levels. An advanced MCS called Subset
Simulation (Subsim) [27,28,35,36] is used in this paper to calculate
the failure probability and generate failure samples efficiently for
probabilistic failure analysis.
3. Subset Simulation
3.1. Algorithm
Subset Simulation is an adaptive stochastic simulation procedure
for efficiently generating failure samples and computing small tail
probability [27,28]. It expresses a small probability event as a se-
quence of intermediate events {F1, F2, . . ., Fm} with larger conditional
probability and employs specially designed Markov chains to gener-
ate conditional samples of these intermediate events until the final
target failure region is achieved. For the slope stability problem, the
factor of safety (FS) is the key parameter, and let Y = 1/FS be the crit-
ical response [20,35]. The probability of Y = 1/FS larger than a given
value y (i.e., P(Y = 1/FS > y)) is of interest and let 0 < y1 < y2 <
   < ym1 < ym = y be an increasing sequence of intermediate thresh-
old values. The sequence of intermediate events {F1, F2, . . ., Fm} are
chosen as Fi = {Y > yi, i = 1, 2, . . ., m} for these intermediate threshold
values. By sequentially conditioning on the event {Fi, i = 1, 2, . . ., m},
the failure probability can be written as
Y
m
PðFÞ ¼ PðF m Þ ¼ PðF 1 Þ PðF i jF i1 Þ ð4Þ
i¼2
where P(F1) is equal to P(Y > y1) and P(Fi|Fi1) is equal to
{P(Y > yi|Y > yi1): i = 2, . . ., m}. In implementations, y1, y2, . . ., ym
 Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022
are generated adaptively using information from simulated samples
so that the sample estimate of P(F1) and {P(Fi|Fi1): i = 2, . . ., m} al-
ways corresponds to a common specified value of conditional prob-
ability p0 (p0 = 0.1 is found to be a good choice) [35,36].
The efficient generation of conditional samples is pivotal in the
success of Subset Simulation, and it is made possible through the
machinery of Markov Chain Monte Carlo (MCMC). In MCMC,
Metropolis algorithm [37] is used and successive samples are gen-
erated from a specially designed Markov chain whose limiting sta-
tionary distribution tends to the target PDF as the length of Markov
chain increases. Details of the computational process of Subset
Simulation and its application to slope stability problems are re-
ferred to Au and Beck [27,28] and Wang et al. [20], respectively.
The Subset Simulation provides much more failure samples
than Direct MCS under the same total number of samples, espe-
cially when the failure probability is relatively small. When com-
pared with failure samples generated in direct MCS where each
sample carries equal weight in the calculation of P(F) and P(h|F),
the samples generated by Subset Simulation are conditional sam-
ples and carry different weights for different intermediate events
Fm. Thus, when using these conditional failure samples collected
from Subset Simulation to construct the conditional PDF P(h|F) re-
quired in Eq. (3), a weighted summation by Total Probability The-
orem [33,34] is necessary, which is described in the following
subsection.
3.2. Estimation of P(h|F) based on conditional failure samples
Consider a Subset Simulation that performs m + 1 levels of sim-
ulations. The first level of Subset Simulation is direct MCS, and
samples of the next level are generated conditional on the samples
collected from the previous level. The intermediate threshold val-
ues {yi, i = 1, 2, . . ., m} divide the sample space X of an uncertain
parameter h into m individual sets {Xi, i = 0, 1, 2, . . ., m}. According
to the Total Probability Theorem [34], the failure probability can be
written as
X
m
PðFÞ ¼ PðFjXi ÞPðXi Þ ð5Þ
i¼0
where X0 = {Y 6 y1}; Xi, i = 1, . . ., m  1 is equal to Fi  Fi+1 (i.e.,
Xi = {yi 6 Y 6 yi+1}); Xm is equal to Fm (i.e., Xm = {Y P ym}); P(F|Xi)
is the conditional failure probability given sampling in Xi; P(Xi) is
the probability of the event Xi. P(F|Xi) is estimated as the fraction
of the failure samples in Xi. The failure samples are collected from
samples generated by Subset Simulation and are based on the per-
formance failure criteria (i.e., Y = 1/FS P 1 for a slope stability prob-
lem). P(Xi) is calculated as
PðX0 Þ ¼ 1  p0
PðXi Þ ¼ pi0  p0iþ1 ði ¼ 1; . . . ; m  1Þ ð6Þ
PðXm Þ ¼ pm
0
P
Note that P(Xi \ Xj) = 0 for i – j and m
i¼0 PðXi Þ ¼ 1. When P(F),
P(F|Xi) and P(Xi) are obtained, the conditional probability P(Xi|F)
is calculated using the Bayesian Theorem
PðXi jFÞ ¼ PðFjXi ÞPðXi Þ=PðFÞ ð7Þ
Then the conditional PDF P(h|F) of an uncertain parameter h is
given by the Total Probability Theorem as
X
m
PðhjFÞ ¼ PðhjXi \ FÞPðXi jFÞ ð8Þ
i¼0
where P(h|Xi \ F) is the conditional probability of h estimated from
failure samples that lie in Xi. In this paper, P(h|Xi \ F) is estimated
1017
from the failure sample histogram in Xi. The number of bins k in the
failure sample histogram is estimated as [38]
n
k ¼ 1 þ log2i ð9Þ
where ni is the number of the failure samples in Xi. Using Eqs. (5)
and (8), P(F) and P(h|F) can be calculated from Subset Simulation,
and subsequently, P(F|h) is calculated using Eq. (3).
4. Implementation of Subset Simulation in spreadsheet
environment
The Subset Simulation described above has been implemented
in a commonly-available spreadsheet environment by a package
of worksheets and functions/Add-In in EXCEL with the aids of Vi-
sual Basic for Application (VBA) [35,36]. The package is divided
into three parts: deterministic model worksheet, uncertainty mod-
el worksheet and Subset Simulation Add-In, which are described
briefly in the following three subsections, respectively.
4.1. Deterministic model worksheet
For a slope stability problem, deterministic model analysis is
the process of calculating factor of safety for a given nominal set
of values of system parameters. The system parameters include
the geometry information of the slope and the slip surface, soil
properties and profile of soil layers. In this paper, limit equilibrium
methods (e.g., Swedish Circle method, Simplified Bishop method
and Spencer method) [39] are employed to calculate the factor of
safety for the critical slip surface. The calculation process of deter-
ministic analysis is implemented in a series of worksheets assisted
by some VBA functions/Add-In [35,36]. From an input–output per-
spective, the deterministic analysis worksheets take a given set of
values as input, calculate the factor of safety and return the factor
of safety as an output.
4.2. Uncertainty model worksheet
An uncertainty model worksheet is developed to generate ran-
dom samples of uncertain system parameters that are treated as
random variables in the analysis. The uncertain worksheet includes
detailed information of random variables, such as statistics, distri-
bution type and correlation information. The generation of random
samples starts with an EXCEL built-in function ‘‘RAND()” for gener-
ating uniform random samples, which are then transformed to ran-
dom samples of the target distribution type (e.g., normal
distribution or lognormal distribution). If the random variables
are considered correlated, Cholesky factorization of the correlation
matrix is performed to obtain a lower triangular matrix, which is
used in the transformation to generate correlated random samples.
Details of the random sample generation process are referred to Au
et al. [36]. From the input–output perspective, the uncertainty
model worksheet takes no input but returns a set of random sam-
ples of the uncertain system parameters as its output.
When deterministic model worksheet and uncertainty model
worksheet are developed, they are linked together through their
input/output cells to execute probabilistic analysis of slope stabil-
ity. The connection is carried out by simply setting the cell refer-
ences for nominal values of uncertain parameters in
deterministic model worksheet to be the cell references for the
random samples in the uncertainty model worksheet in EXCEL.
After this task, the values of uncertain system parameters shown
in the deterministic model worksheet are equal to that generated
in the uncertainty model worksheet, and so the values of the safety
factor calculated in the deterministic modeling worksheet are
random.
1018 Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022

4.3. Subset Simulation Add-In

56.0m

When the deterministic analysis and uncertainty model work- 45

(x, y)

sheets are completed and linked together, Subset Simulation pro-
cedure is invoked for uncertainty propagation. In this paper,
Subset Simulation is implemented as an Add-In in EXCEL [35,36].
The userform of the Add-In is shown in Fig. 1. The upper four input
fields of the userform (i.e., number of Subset Simulation runs, num-
ber of samples per level N, conditional probability from one level to
next p0, the highest Subset Simulation level m) control the number
of samples generated by Subset Simulation. The total number of
samples per Subset Simulation run is equal to N + mN(1  p0).
The lower four input fields of the userform record the cell refer-
ences of the random variables, their PDF values, and the cell refer-
ences of the system response (e.g., Y = 1/FS in this paper) and other
variables V (e.g., the samples generated in this paper) of interest,
respectively.
After each simulation run, the Add-In provides the complemen-
tary cumulative density function (CDF) of the driving variable ver-
sus the threshold level, i.e., estimate for P(Y > y) versus y = 1/FS in
this paper, into a new spreadsheet and produces a plot of it [36].
Then, based on the output information obtained, the CDF, histo-
grams or conditional counterparts (e.g., P(h|F)) of uncertain param-
eters of interest are calculated using the procedures and equations
described in the previous section.
5. The James Bay Dyke
As an illustration, the probabilistic failure analysis approach is
applied to analyze a design scenario of the James Bay Dyke. The
James Bay Dyke is a 50 km-long earth dyke of the James Bay hydro-
electric project in Canada. Soil properties and various design sce-
narios of the dyke were studied by Ladd et al. [40], Soulié et al.
[41], Christian et al. [2], El-Ramly [10], El-Ramly et al. [11] and
Xu and Low [14]. As shown in Fig. 2, the embankment is 12 m high
with a 56 m-wide berm at mid-height. The slope angle of the
embankment is about 18.4° (3H:1V). The embankment is overlying
on a clay crust with a thickness Tcr. The clay crust is underlain by a
layer of 8.0-m thick sensitive marine clay and a layer of lacustrine
Elevation (m)
3
35 1 3
m ankment γFill; φFill
Emb 1 12.0m
25
Claay Cr
Cl Cruust Tcr
15 Marine Clay y SuM 8.0m DTill
S
5 Lacustrine Clay y uL TL
Tiill
T Critical slip
p circle
-5
0 20 40 60 80 100 120 140 160
Distance (m)
Fig. 2. The James Bay Dyke (modified after [10]).
clay with a thickness TL. The undrained shear strength (i.e., SuM and
SuL) of the marine clay and the lacustrine clay were measured by
field vane tests [2,10,40,41]. The lacustrine clay is overlying on a
stiff till layer, the depth to the top of which is DTill.
Six uncertain system parameters have been considered in liter-
ature (e.g., El-Ramly [10], El-Ramly et al. [11] and Xu and Low
[14]), including the friction angle /Fill and unit weight cFill of
embankment material, the thickness Tcr of clay crust, the un-
drained shear strength SuM of the marine clay, the undrained shear
strength SuL of the lacustrine clay, and the depth of the till layer
DTill. During the probabilistic failure analysis of the dyke, the six
uncertain parameters are represented by six independent Gaussian
random variables [10], respectively. Statistics [i.e., mean, standard
deviation and coefficient of variation (COV)] of these six random
variables are summarized in Table 1. These statistics are used to
generate random samples for each random variable in uncertain
model worksheet. Note that thickness of the lacustrine clay TL is
an uncertain variable that depends on Tcr and DTill and has a mean
of about 6.5 m (see Fig. 2). In addition to these uncertain parame-
ters, other system parameters are taken as deterministic, including
an undrained shear strength of 41 kPa for the clay crust and unit
weights of 19 kN/m3, 19 kN/m3 and 20.5 kN/m3 for the clay crust,
marine clay and lacustrine clay, respectively [10].
Using the soil properties described above, El-Ramly [10] and Xu
and Low [14] employed direct MCS methods integrating with limit
equilibrium methods and response surface method, respectively, to
evaluate failure probability of the dyke. To enable a consistent
comparison with the analyses by El-Ramly [10], the critical slip
surfaces recommended by El-Ramly [10] are adopted in this paper,
which is circular and always tangential to top of the till layer and
pass through the point (x = 4.9 m, y = 36.0 m). The x coordinate of
the center is fixed at 85.9 m. For each set of random samples, the
critical slip surface is specified uniquely by the value of DTill. In this
paper, the safety factor of the critical slip surface is calculated by
Simplified Bishop method, and two Subset Simulation runs are per-
formed. One has the highest simulation level m = 3 and sample
number N = 1000 per each level, as opposed to m = 4 and
N = 10,000 per each level in the other run.

Table 1
Soil properties of the James Bay Dyke (modified after [10]).

Soil layers Uncertain system Mean Standard Coefficient of

parameters* deviation variation (%)
Embankment /Fill (°) 30.0 1.79 6.0
cFill (kN/m3) 20.0 1.10 5.5
Clay crust Tcr (m) 4.0 0.48 12.0
Marine clay SuM (kN/m2) 34.5 3.95 11.5
Lacustrine clay SuL (kN/m2) 31.2 6.31 20.2
Till DTill (m) 18.5 1.00 5.4
*
All parameters are modeled as Gaussian random variables. Thickness of the
Lacustrine clay layer TL is an uncertain variable that depends on Tcr and DTill and has
Fig. 1. The userform of Subset Simulation Add-In. a mean of about 6.5 m.

5.1. Simulation results
Fig. 3 shows a typical complementary CDF for Y = 1/FS (i.e.,
P(Y > y) versus y), from two Subset Simulation runs with a total
sample number NT = 1000 + 3  1000  (1–0.1) = 3700 (i.e., Subsim
Run 1) and NT = 10,000 + 4  10,000  (1–0.1) = 46,000 (i.e., Subsim
Run 2), respectively. For comparison, the result from a direct
MCS with 20,000 samples is also plotted. Three consistent failure
probabilities P(Y P 1) = 0.22%, 0.23%, and 0.25% are estimated,
respectively, from direct MCS and two runs of Subset Simulations.
In addition, the two runs of Subset Simulations provide results that
are consistent even at low probability levels [e.g., P(Y P y) = 0.01%]
where the CDF curve from direct MCS becomes erratic.
Table 2 compares the simulation results with those reported by
El-Ramly [10] and Xu and Low [14]. El-Ramly [10] performed direct
MCS with the Simplified Bishop method (i.e., the same limit equi-
librium method used in this paper) and obtained a failure probabil-
ity Pf = 0.24%. This Pf value is almost identical to the average of the
three Pf values obtained in this paper (i.e., 0.22%, 0.23%, and 0.25%
in Columns 4–6 of Table 2). In addition, Xu and Low [14] combined
MCS with response surface method to estimate the Pf of the James
Bay Dyke and obtained a Pf value of 0.33%. Although different
deterministic slope stability analysis methods were used, the Pf
values obtained compare favourably with each other. This implies
that the probabilistic analysis models for the James Bay Dyke pre-
sented in this paper work properly. However, note that the Pf val-
ues summarized in Table 2 are obtained under the assumption of
circular slip surfaces. In contrast, non-circular failure mechanism
has been identified in recent finite element analyses incorporating
spatially varying soil properties [14,19]. When the searching of
non-circular slip surfaces is included in the MCS, the corresponding
Pf values will increase.
Table 2 also compares the number of failure samples in direct
MCS (e.g., Columns 2 or 4) with that in Subset Simulations (e.g.,
100
10
P(Y>=y) (%)
1 6.2. Validation of hypothesis test results
0.1
Subsim Run 1 3700 Samples
0.01 Subsim Run 2 46000 Samples
Direct MCS 20000 Samples
0.001
0.5 0.6 0.7 0.8 0.9
y=1/FS
Fig. 3. Complementary CDF plot from simulations.
Table 2
Comparison of simulation results.
Simulation results El-Ramly [10]
Failure probability Pf (%) 0.24a
Number of failure samples, NF 48
Number of Total Samples, NT 20,000
Percentage of failure samples, NF/NT (%) 0.24
a
Pf is calculated by MCS methods integrating with the simplified Bishop method.
b
Pf is calculated by MCS methods integrating with the response surface method.
Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022 1019
Columns 5 or 6). For a total sample number NT = 20,000, direct
MCS leads to only 48 or 44 failure samples. In contrast, Subset Sim-
ulations with m = 3 and NT = 3700 (i.e., Run 1 in Column 5) or m = 4
and NT = 46,000 (i.e., Run 2 in Column 6) result in a failure sample
number of 1128 and 20,482, respectively. This comparison clearly
shows that Subset Simulations significantly improve the efficiency
of generating failure samples, which enables generation of a large
number of failure samples with relative ease and makes probabilis-
tic failure analysis feasible. Table 2 also shows that, as the value of
m increases (e.g., from 3 in Column 5 to 4 in Column 6), the effi-
ciency increases as well (e.g., the percentage of failure sample in-
creases from 30.5% to 44.5%).
6. Probabilistic failure analysis results
With the large number of failure samples generated from Sub-
set Simulations, probabilistic failure analysis are performed for
the James Bay Dyke, including hypothesis tests for identifying
key uncertainties that have significant effects on slope failure
probability and Bayesian analysis for further quantifying their
effects.
6.1. Hypothesis test results
Based on the failure samples generated from Subsim Run 1, the
hypothesis test statistics ZH defined by Eq. (2) are calculated and
shown in Fig. 4 for all uncertain parameters. The absolute values
of ZH varies from less than 2 for the thickness of clay crust Tcr to
about 95 for undrained shear strength of the lacustrine clay SuL.
The decreasing order of the ZH absolute values is: SuL, DTill, cFill,
SuM, /Fill, and Tcr. This implies that the uncertainty of SuL has the
most significant effects on the slope failure probability, while the
uncertainty of Tcr contributes the least to the failure probability.
This result is consistent with that reported by El-Ramly [10] who
employed an Excel spreadsheet – based MCS program @RISK [42]
and compared the spearman rank correlation coefficients for vari-
ous uncertain parameters to show that SuL and Tcr are the most and
least influential parameter, respectively. The results can be vali-
dated by an independent sensitivity studies on SuL and Tcr, which
are described in next subsection.
Sensitivity studies are performed to explore the effect of SuL and
Tcr uncertainties on slope failure probability. The coefficient of var-
iation (COV) of SuL and Tcr is varied in the sensitivity studies from
0.15 to 0.50 and from 0.05 to 0.25, respectively. The SuL COV range
adopted in this study follows the typical range of COV of undrained
shear strength of clay measured by vane shear tests [43], and the
COV of Tcr varies from half to about twice of the value reported
1.0 1.1 1.2 1.3 by El-Ramly [10]. Other parameters, including the means of SuL
and Tcr, remain unchanged in the sensitivity studies. About 40
additional Subset Simulation runs are performed to validate the
hypothesis test results, and their results are shown in Fig. 5a and
Xu and Low [14] Direct MCS with EXCEL Subsim with EXCEL Run 1 Subsim with EXCEL Run 2
0.33b 0.22a 0.23a 0.25a
N/A 44 1128 20,482
N/A 20,000 3700 46,000
N/A 0.22 30.5 44.5
1020 Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022

and the failure probability is insensitive to the uncertainty on Tcr.

γ Fill
φ Fill
T cr
S uM
S uL
D Till
0 10 20
Fig. 4. Summary of absolute values of ZH.
b for Tcr and SuL, respectively. In addition, sensitivity studies on
COVs of Tcr and SuL are also carried out using the Excel spreadsheet
– based MCS program @RISK [42] and a FORM calculation spread-
sheet developed by Low and his coworkers [5–8]. Fig. 5 includes
the results from @RISK and FORM for comparison.
Fig. 5a shows that, when the COV of Tcr varies from 0.05 to 0.25,
the slope failure probability fluctuates between 0.19% and 0.43%.
For comparison, the baseline failure probability (i.e., about 0.24%
corresponding to the values summarized in Table 1) is also in-
cluded in the figure. The failure probabilities from sensitivity study
using Subset Simulations fall around the horizontal line of 0.24%,
The results from Subset Simulations are in good agreement with
those from @RISK and FORM. This validates the results from
hypothesis tests that the Tcr uncertainty has the least effect on
the failure probability. It is interesting to note that the probability
of slope failure should, theoretically, increase as the COV of Tcr in-
creases from 0.05 to 0.25, as shown by the FORM results [i.e., a
rather slight increase of the Pf values shown by the open circles
in Fig. 5a when the COV of Tcr increases from 0.05 to 0.25]. The ef-
fect is, however, so minimal that it is dominated by the MCS
‘‘noise” (i.e., the random fluctuations of the Pf values obtained from
Subset Simulations and @RISK).
On the other hand, Fig. 5b shows that the slope failure probabil-
30 40 50 60 70 80 90 100
ity increases as the COV of SuL increases. The results from Subset
Simulations are in good agreement with those from @RISK and
Absolute Value of Z H
FORM. When the COV of SuL is 0.15, the probability is less than
0.1%. When the COV of SuL increases to 0.50, the slope failure prob-
ability increases by two orders of magnitude (i.e., increases to
about 10%). The failure probability varies significantly with the
change of the SuL COV. This agrees well with the results from
hypothesis tests that the uncertainty of SuL has significant effect
on the slope failure probability. Such agreement further validates
that the hypothesis test procedure proposed in this paper properly
prioritizes effects of various uncertainties on failure probability.
6.3. Bayesian analysis results
Based on the failure samples generated from Subsim Run 2, a
Bayesian analysis is performed using Eqs. (3), (7), and (8) accord-

100 100
Subsim
Failure Probability, P(F) (% )

FORM
Failure Probability (%)

@ Risk
isk 10
10

1
1

0.24% 0.1

0.1
0.01
Parametric
P(F|SuL) estimated from sensitivity study
COV=12.0% used by El-Ramly [10]
P(F|SuL) estimated from Bayesian analysis
Series4
0.01 0.001
0.05 0.10 0.15 0.20 0.25 12 14 16 18 20 22 24
COV of T cr SuL(kN/m ) 2

(a) Thickness of clay crust, Tcr (a) θ = undrained shear strength of the lacustrine clay, SuL
100 100
Subsim
Failure Probability, P(F) (% )

FORM
Failure Probability (%)

@ Risk
Risk 10
10

1
1

0.24% 0.1

0.1
0.01
Parametric
P(F|DTill) estimated from sensitivity study
COV=20.2% used by El-Ramly [10]
Series4
P(F|DTill) estimated from Bayesian analysis
0.01 0.001
0.15 0.20 0.25 0.30 0.35 0.40 0.45 0.50 17 18 19 20 21 22 23 24
COV of S uL DTill (m)
(b) Undrained shear strength of the lacustrine clay, SuL (b) θ = depth of the till layer, DTill

Fig. 5. Effects of coefficient of variation (COV) for different system parameters. Fig. 6. Bayesian analysis results for different system parameters h.
 Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022 1021

ingly. Fig. 6 shows the Bayesian analysis results by open circles for
SuL and DTill, which have been identified from the Hypothesis tests
(see Section 6.1) as the two most influential uncertain parameters.
Note that the conditional probability [i.e., P(F|SuL) in Fig. 6a and
P(F|DTill) in Fig. 6b] obtained from Bayesian analysis is a variation
of failure probability as a function of SuL or DTill. Fig. 6a shows that,
as SuL increases from 12 kPa to 24 kPa, the slope failure probability
decreases from more than 10% to less than 0.1%. Similarly, Fig. 6b
shows that, as DTill increases from about 18 m to 23 m, the slope
failure probability increases from about 0.1% to about 10%. It is
obvious that the values of SuL and DTill have significant effects on
slope failure probability, and such effects can be quantified explic-
itly from the Bayesian analysis of failure samples.
100
10
Probability (%)
6.4. Validation of Bayesian analysis results
Note that variations of failure probability as a function of SuL or
DTill shown in Fig. 6 can also be obtained from sensitivity studies on
SuL or DTill, which frequently include many repeated runs of MCS
with different given values of SuL or DTill in each run. Therefore,
to validate the Bayesian analysis results, about 40 additional Sub-
set Simulation runs are performed with different given values of
SuL or DTill in each run. Fig. 6 also includes results from these addi-
tional sensitivity runs by open triangles. The open triangles follow
trends similar to the open circles (i.e., the Bayesian analysis results)
and plot closely to the open circles as well. This validates that a
Bayesian analysis of failure samples generated in MCS or Subset
Simulations provides results that are equivalent to those from
additional sensitivity studies. In addition, the Bayesian analysis
has the advantage of avoiding additional computational times
and efforts for repeated runs of MCS or Subset Simulations in the
sensitivity studies.

As mentioned before, Eq. (3) implies that comparison between

the conditional probability P(h|F) and its unconditional one P(h)
1 provides an indication of the effect of the uncertain parameter h
on failure probability. This offers a means to check the Bayesian
analysis results with those from hypothesis tests. Fig. 7 compares
0.1 the conditional probabilities [i.e., P(Tcr|F), P(SuL|F) and P(DTill|F)]
P(Tcr|F)
Series4 for Tcr, SuL and DTill and their unconditional ones [i.e., P(Tcr), P(SuL)
Series1
P(Tcr) and P(DTill)]. Fig. 7a shows that P(Tcr|F) and P(Tcr) are almost iden-
0.01 tical for different Tcr values, which is consistent with the hypothe-
2 3 4 5 6 sis test results that Tcr has the least effect on failure probability. In
Tcr(m) contrast, the hypothesis tests show that SuL and DTill are the two
(a) θ = thickness of clay crust, Tcr most influential uncertain parameters. Fig. 7b and c show that
P(SuL|F) and P(DTill|F) differ significantly from their respective
100 unconditional one [i.e., P(SuL) and P(DTill)]. The Bayesian analysis re-
sults agree well with the hypothesis test results.

10
Probability (%)

7. Conclusions

1 This paper developed a probabilistic failure analysis approach

that makes use of the failure samples generated in the MCS and
analyzes these failure samples to assess the effects of various
0.1 uncertainties on slope failure probability. The approach contains
Series4
P(S uL|F) two major components: hypothesis tests for prioritizing effects of
P(SuL)
Series1 various uncertainties and Bayesian analysis for further quantifying
0.01 their effects.
12 14 16 18 20 22 24
2
A hypothesis test statistic ZH was formulated to evaluate the
SuL(kN/m ) statistical difference of failure samples with their respective nom-
(b) θ = undrained shear strength of the lacustrine clay, SuL inal (unconditional) samples. As the absolute value of ZH increases,
the statistical difference between failure samples and their respec-
100 tive nominal samples becomes growingly significant, and the effect
of the uncertain parameter on failure probability also becomes
10 growingly significant. Therefore, the absolute value of ZH is used
as an index to measure the effects of the uncertain parameters
Probability (%)

on failure probability and to prioritize their relative effects on fail-

1
ure probability.
A Bayesian analysis approach was developed to further quantify
0.1 effects of the uncertain parameters that have been identified from
the hypothesis tests as influential parameters. Equations were de-
0.01 rived for estimating conditional PDF [i.e., P(F|h)] of slope failure for
Series6
P(DTill|F) a given value of uncertain parameter h. As P(F|h) is a variation of
Series4
P(DTill) failure probability as a function of h, it can be considered as results
0.001 of a sensitivity study of h on slope failure probability. In other
17 18 19 20 21 22 23 24
D Till (m) words, a Bayesian analysis of the failure samples provides results
that are equivalent to those from additional sensitivity studies. In
(c) θ = depth of the till layer, DTill
addition, it has the advantage of avoiding additional computational
Fig. 7. Conditional probability density function (PDF) (P(h|F)) for different system times and efforts for repeated runs of MCS or Subset Simulations in
parameters h. the sensitivity studies. Furthermore, it was shown that comparison
1022 Y. Wang et al. / Computers and Geotechnics 37 (2010) 1015–1022
between the conditional probability P(h|F) and its unconditional
one P(h) provides an indication of the effect of the uncertain
parameter h on failure probability. This offers a means to check
the Bayesian analysis results with those from hypothesis tests.
The resolution of P(F) and P(h|F) is pivotal to obtain P(F|h), and it
depends on the number of failure samples generated in MCS. An
advanced Monte Carlo Simulation called Subset Simulation was
employed to improve efficiency of generating failure samples in
MCS and resolution at small failure probability levels. Subset Sim-
ulation algorithm and its implementation in a commonly-available
spreadsheet environment were briefly described.
As an illustration, the proposed probabilistic failure analysis ap-
proach was applied to study a design scenario of James Bay Dyke.
The hypothesis tests show that the uncertainty of SuL has the most
significant effect on the slope failure probability, while the uncer-
tainty of Tcr contributes the least to the failure probability. The
hypothesis test results are very consistent with results from inde-
pendent sensitivity studies. Such agreement validates that the
hypothesis test procedure proposed in this paper properly priori-
tizes effects of various uncertainties on failure probability.
A Bayesian analysis was performed to quantify explicitly the ef-
fects of SuL and DTill, which have been identified from the Hypoth-
esis tests as the two most influential uncertain parameters. It is
shown that the slope failure probability change significantly as
the values of SuL and DTill change. The Bayesian analysis results
have also been validated against those from independent sensitiv-
ity studies. In addition, a cross-check between the hypothesis test
results and the Bayesian analysis results shows that they agree
well with each other.
It is worthwhile to note that, although the proposed approach
was developed together with a slope stability analysis problem,
the approach is general and applicable to other types of geotechni-
cal analyses and engineering problems.
Acknowledgements
The work described in this paper was supported by a grant from
the Research Grants Council of the Hong Kong Special Administra-
tive Region, China [Project No. 9041484 (CityU 110109)] and a
strategic research grant from City University of Hong Kong (Project
No. 7002455). The financial support is gratefully acknowledged.
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