Technical Letter
No. 1110-2-547 30 September 1997
Task Number
Distribution/Availability Statement
Approved for public release, distribution unlimited
Supplementary Notes
Abstract
Subject Terms
Number of Pages
14
DEPARTMENT OF THE ARMY ETL 1110-2-547
U.S. Army Corps of Engineers
CECW-EG Washington, DC 20314-1000
Technical Letter
No. 1110-2-547 30 September 1995
1. Purpose 3. References
APP A - References
APP B - Introduction to Probability and
Reliability in Geotechnical
Engineering
ETL 1110-2-547
30 Sep 95
APPENDIX A: REFERENCES
a. The following references are U.S. Army (2) Ang, A. H.-S., and Tang, W. H. 1984.
Corps of Engineers project-related references. “Volume II: Decision, Risk, and Reliability,” Prob-
ability Concepts in Engineering Planning and Design,
(1) ETL 1110-2-321, Reliability Assessment of John Wiley and Sons, New York.
Navigation Structures: Stability of Existing Gravity
Structures. (3) Benjamin, J., and Cornell, C. A. 1970.
Probability, Statistics, and Decision for Civil
(2) ETL 1110-2-532, Reliability Assessment of Engineers, McGraw-Hill, New York.
Navigation Structures.
(4) Harr, M. E. 1987. Reliability Based Design
(3) Shannon and Wilson, Inc., and Wolff, T. F. in Civil Engineering, McGraw-Hill, New York.
1994. “Probability Models for Geotechnical Aspects
of Navigation Structures,” report to the St. Louis (5) Hasofer, A. A., and Lind, A. M. 1974. “An
District, U.S. Army Corps of Engineers. Exact and Invariant Second-Moment Code Format,”
Journal of the Engineering Mechanics Division, ASCE,
(4) Wolff, Thomas F. 1994. “Evaluating the 100, 111-121.
Reliability of Existing Levees,” report to U.S. Army
Engineer Waterways Experiment Station, Vicksburg, (6) Peter, P. 1982. Canal and River Levees,
MS. Elsevier Scientific Publishing Company, Amsterdam.
(5) Wolff, T. F., and Wang, W. 1992. (7) Rosenblueth, E. 1975. “Point Estimates for
“Engineering Reliability of Navigation Structures,” Probability Moments,” Proceedings of the National
research report, Michigan State University, for U.S. Academy of Science, USA, 72(10).
Army Corps of Engineers.
(8) Rosenblueth, E. 1981. “Two-Point
(6) Wolff, T. F., and Wang, W. 1992. “Engi- Estimates in Probabilities,” Applied Mathematical
neering Reliability of Navigation Structures—Supple- Modeling, 5.
ment No. 1,” research report, Michigan State Uni-
versity, for U.S. Army Corps of Engineers. (9) Vrouwenvelder, A. C. W. M. 1987.
“Probabilistic Design of Flood Defenses,” Report No.
b. The following are those other than U.S. Army B-87-404, IBBC-TNO (Institute for Building Materials
Corps of Engineers project-related references. and Structures of The Netherlands Organization for
Applied Scientific Research), The Netherlands.
(1) Ang, A. H.-S., and Tang, W. H. 1975.
“Volume I: Basic Principles,” Probability Concepts in
Engineering Planning and Design, John Wiley and
Sons, New York.
A-1
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B-1
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uncertainty in the values of various parameters used in • A definition of the limit state (e.g., ln (FS) =
calculating some measure of performance, such as the 0).
factor of safety.
• A method to estimate the expected value and
(3) In the third context, reliability over a future standard deviation of the limit state given the
time interval is calculated using parameters developed expected values and standard deviations of the
from actual data on the lifetimes or frequencies of parameters (e.g., the Taylor's series or point
failure of similar parts or systems. These are usually estimate methods).
taken to follow the exponential or Weibull probability
distributions. This methodology is well established in d. Accuracy of reliability index.
electrical, mechanical, and aerospace engineering
where parts and components routinely require periodic (1) For rehabilitation studies of geotechnical
replacement. This approach produces a hazard structures, the reliability index is used as a “relative
function which defines the probability of failure in any measure of reliability or confidence in the ability of a
time period. These functions are used in economic structure to perform its function in a satisfactory
analysis of proposed geotechnical improvements. The manner.”
development of hazard functions is not part of this
ETL. (2) The analysis methods used to calculate the
reliability index should be sufficiently accurate to rank
(4) For reliability evaluation of most geotechnical the relative reliability of various structures and
structures, in particular existing levees, the capacity- components. However, reliability index values are not
demand model will be utilized, as the question of absolute measures of probability. Structures,
interest is the probability of failure related to a load components, and performance modes with higher
event rather than the probability of failure within a indices are considered more reliable than those with
time interval. lower indices. Experience analyzing geotechnical
structures will refine these techniques.
c. Reliability index. The reliability index $ is a
measure of the reliability of an engineering system that
reflects both the mechanics of the problem and the B-3. The Capacity-Demand Model
uncertainty in the input variables. This index was
developed by the structural engineering profession to a. In the capacity-demand model, the probability
provide a measure of comparative reliability without of failure or unsatisfactory performance is defined as
having to assume or determine the shape of the the probability that the demand on a system or
probability distribution necessary to calculate an exact component exceeds the capacity of the system or
value of the probability of failure. The reliability component. The capacity and demand can be
index is defined in terms of the expected value and combined into a single function (the performance
standard deviation of the performance function, and function), and the event that the capacity equals the
permits comparison of reliability among different demand taken as the limit state. The reliability R is
structures or modes of performance without having to the probability that the limit state will not be achieved
calculate absolute probability values. Calculating the or crossed.
reliability index requires:
b. The concept of the capacity-demand model is
• A deterministic model (e.g., a slope stability illustrated for slope stability analysis in Figure B-1.
analysis procedure). Using the expected value and standard deviation of the
random variables c and N in conjunction with the
• A performance function (e.g., the factor of Taylor*s series method or the point estimate method,
safety from UTEXAS2). the expected value and standard deviation of the
factor of safety can be calculated. If it is assumed that
• The expected values and standard deviations the factor of safety is lognormally distributed, then the
of the parameters taken as random variables natural log of the factor of safety is normally distri-
(e.g., E[N] and FN). buted. The performance function is taken as the log of
B-2
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the factor of safety, and the limit state is taken as the • A performance function and limit state are
condition ln (FS) = 0. The probability of failure is identified.
then the shaded area corresponding to the condition ln
(FS) < 0. If it is assumed that the distribution on ln • The expected value and standard deviation of
(FS) is normal, then the probability of failure can be the performance function are calculated. In
obtained using standard statistical tables. concept, this involves integrating the perfor-
mance function over the probability density
functions of the random variables. In prac-
c. Equivalent performance functions and limit
tice, approximate values are obtained using
states can be defined using other measures, such as the
the expected value, standard deviation, and
exit gradient for seepage.
correlation coefficients of the random vari-
ables in the Taylor's series method or the
d. The probability of failure associated with the point estimate method.
reliability index is a probability per structure; it has no
time-frequency basis. Once a structure is constructed • The reliability index $ is calculated from the
or loaded as modeled, it either performs satisfactorily expected and standard deviation of the perfor-
or not. Nevertheless, the $ value calculated for an mance function. The reliability index is a
existing structure provides a rational comparative measure of the distance between the expected
measure. value of ln (C/D) or ln (FS) and the limit
state.
B-4. Steps in a Reliability Analysis Using the • If a probability of failure value is desired, a
Capacity-Demand Model distribution is assumed and Pr(f) calculated.
B-3
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m
function or probability distribution. The probability Var X ' E X & µ X 2
' X & µ X 2 f X dX
distribution quantifies the likelihood that its value lies
in any given interval. Two commonly used distri-
j
2
butions, the normal and the lognormal, are described Xi & µ X
later in this appendix. '
N
b. Moments of random variables. To model
random variables in the Taylor’s series or point The summation form above involving the Xi term
estimate methods, one must provide values of their provides the variance of a population containing
expected values and standard deviations, which are exactly N elements. Usually, a sample of size N is
two of several probabilistic moments of a random used to obtain an estimate of the variance of the
variable. These can be calculated from data or esti- associated random variable which represents an entire
mated from experience. For random variables which population of items or continuum of material. To
are not independent of each other, but tend to vary obtain an unbiased estimate of the population working
together, correlation coefficients must also be from a finite sample, the N is replaced by N - 1:
assigned.
j
2
Xi & µ X
(1) Mean value. The mean value µX of a set of N Var X '
measured values for the random variable X is obtained N & 1
by summing the values and dividing by N:
(4) Standard deviation. To express the scatter or
dispersion of a random variable about its expected
j Xi
N
value in the same units as the random variable itself,
i'1 the standard deviation FX is taken as the square root of
µX ' the variance; thus:
N
Fx ' Var X
(2) Expected value. The expected value E[X] of a
random variable is the mean value one would obtain if
all possible values of the random variable were multi- (5) Coefficient of variation. To provide a
plied by their likelihood of occurrence and summed. convenient dimensionless expression of the uncertainty
Where a mean value can be calculated from inherent in a random variable, the standard deviation is
representative data, it provides an unbiased estimate of divided by the expected value to obtain the coefficient
the expected value of a parameter; hence, the mean of variation VX which is usually expressed as a percent:
and expected value are numerically the same. The ex-
pected value is defined as:
FX
VX ' × 100 %
X f X dx . j Xp Xi
EX
m
E X ' µX '
The expected value, standard deviation, and coefficient
of variation are interdependent: knowing any two, the
where third is known. In practice, a convenient way to
estimate moments for parameters where little data are
f(X) = probability density function of X (for available is to assume that the coefficient of variation is
continuous random variables) similar to previously measured values from other data
p(Xi) = probability of the value Xi (for discrete sets for the same parameter.
random variables)
c. Correlation. Pairs of random variables may
(3) Variance. The variance Var [X] of a random be correlated or independent; if correlated, the like-
variable X is the expected value of the squared lihood of a certain value of the random variable Y
difference between the random variable and its mean depends on the value of the random variable X. For
value. Where actual data are available, the variance of example, the strength of sand may be correlated with
the data can be calculated by subtracting each value density or the top blanket permeability may be corre-
from the mean, squaring the result, and determining lated with grain size of the sand. The covariance
the average of these values: Cov [X,Y] is analogous to the variance but measures
B-4
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the combined effect of how two variables vary the normal or lognormal distribution which has the
together. The definition of the covariance is: expected value and standard deviation assumed. This
can easily be done with spreadsheet software.
Cov X,Y ' E X & µ X Y & µ Y
(2) Figure B-1 illustrated probability density
functions for the random variables c and N. A
which is equivalent to:
probability density function has the property that for
any X, the value of f(x) is proportional to the like-
lihood of X. The area under a probability density
mm
Cov X,Y ' X & µ X Y & µ Y f X,Y dY dX function is unity. The probability that the random
variable X lies between two values X1 and X2 is the
In the above equation, f(X,Y) is the joint probability integral of the probability density function taken
density function of the random variables X and Y. To between the two values. Hence:
calculate the covariance from data, the following
equation can be used: X2
m
Pr X1 < X < X2 ' f X X dx
j Xi & µ X Yi & µ Y
1
Cov X,Y ' X1
N
To provide a nondimensional measure of the degree of (3) The cumulative distribution function CDF or
correlation between X and Y, the correlation coefficient FX(X) measures the integral of the probability density
DX,Y is obtained by dividing the covariance by the function from minus infinity to X:
product of the standard deviations:
X
m
Cov X,Y FX X ' fX X dx
DX,Y '
FX FY &4
The correlation coefficient may assume values from Thus for any value X, FX(X) is the probability that the
-1.0 to +1.0. A value of 1.0 or -1.0 indicates there is random variable X is less than the given x.
perfect linear correlation; given a value of X, the value
of Y is known and hence is not random. A value of b. Estimating probabilistic distributions. A
zero indicates no linear correlation between variables. suggested method to assign or check assumed
A positive value indicates the variables increase and moments for random variables is to:
decrease together; a negative value indicates that one
variable decreases as the other increases. Pairs of • Assume trial values for the expected value and
independent random variables have zero correlation standard deviation and take the random
coefficients. variable to be normal or lognormal.
(1) The terms probability distribution and proba- • Assess the reasonableness of the shape of the
bility density function pdf or the notation fX(X) refer to pdf and the values of the CDF.
a function that defines a continuous random variable.
The Taylor's series and point estimate methods • Repeat above steps with successively
described herein to determine moments of performance improved estimates of the expected value and
functions require only the mean and standard deviation standard deviation until an appropriate pdf and
of random variables and their correlation coefficients; CDF are obtained.
knowledge of the form of the probability density
function is not necessary. However, in order to ensure c. Normal distribution. The normal or Gaussian
that estimates made for these moments are reasonable, distribution is the most well-known and widely
it is recommended that the engineer plot the shape of
B-5
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assumed probability density function. It is defined in and FY = Fln X. To obtain the parameters of the normal
terms of the mean µX and standard deviation FX as: random variable Y, first the coefficient of variation of
X is calculated:
2
1 x & µ FX
fX X ' exp & VX '
F 2B 2 F2 E X
When fitting the normal distribution, the mean of the The standard deviation of Y is then calculated as:
distribution is taken as the expected value of the
random variable. The cumulative distribution function FY ' F ln X ' ln 1 % VX2
for the normal distribution is not conveniently ex-
pressed in closed form but is widely tabulated and can
be readily computed by numerical approximation. It is The standard deviation FY is in turn used to calculate
a built-in function in most spreadsheet programs. the expected value of Y:
Although the normal distribution has limits of plus and
minus infinity, values more than three or four standard F2Y
deviations from the mean have very low probability. E Y ' E ln X ' ln E X &
Hence, one empirical fitting method is to take 2
minimum and maximum reasonable values to be at
plus and minus three or so standard deviations. The The density function of the lognormal variate X is:
normal distribution is commonly assumed to
characterize many random variables where the 1 1 ln X & E Y 2
coefficient of variation is less than about 30 percent. f X ' exp &
XFY 2B 2 FY
For levees, these include soil density and drained
friction angle. Where the mean and standard deviation
are the only information known, it can be shown that The shape of the distribution can be plotted from the
the normal distribution is the most unbiased choice. above equation. Values on the cumulative distribution
function for X can be determined from the cumulative
d. Lognormal distribution. distribution function of Y (E[Y], FY) by substituting the
X in the expression Y = ln X.
(1) When a random variable X is lognormally
distributed, its natural logarithm, ln X, is normally
distributed. The lognormal distribution has several B-7. Calculation of the Reliability Index
properties which often favor its selection to model
certain random variables in engineering analysis: a. Figure B-2 illustrates that a simple definition
of the reliability index is based on the assumption that
• As X is positive for any value of ln X, capacity and demand are normally distributed and the
lognormally distributed random variables limit state is the event that their difference, the safety
cannot assume values below zero. margin S, is zero. The random variable S is then also
normally distributed and the reliability index is the
• It often provides a reasonable shape in cases distance by which E[S] exceeds zero in units of FS:
where the coefficient of variation is large
(>30 percent) or the random variable may E S E C & D
assume values over one or more orders of $ ' '
magnitude. FS
F2C % F2D
• The central limit theorem implies that the
An alternative formulation (also shown in Figure B-2)
distribution of products or ratios of random
implies that capacity C and demand D are lognormally
variables approaches the lognormal distri-
distributed random variables. In this case ln C and ln
bution as the number of random variables
D are normally distributed. Defining the factor of
increases.
safety FS as the ratio C/D, then ln FS = (ln C) - (ln
D) and ln FS is normally distributed. Defining the
(2) If the random variable X is lognormally
reliability index as the distance by which ln FS
distributed, then the random variable Y = ln X is
normally distributed with parameters E[Y] = E[ln X]
B-6
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E C
E ln FS . ln E C & ln E D ' ln
E D
Introducing an approximation,
2 2
ln 1 % VC ' . VC
Figure B-2. Alternative definitions of the reliability index the reliability index for lognormally distributed C, D,
and FS and normally distributed ln C, ln D, and ln FS
can be expressed approximately as:
exceeds zero in terms of the standard deviation of
ln FS, it is: EC
ln
ED
E ln C & ln D E ln C/D $ '
$ ' '
F ln C & ln D F ln C/D VC2 % VD2
B-7
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B-8
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2 M Xi M Xj
Var Y ' j
2
MY
Var Xi
M Xi
x- x+ x
% 2 j
MY MY
Cov Xi Xj
M Xi M Xj
Figure B-3. Point estimate method
where the covariance term contains terms for each
possible combination of random variables.
For independent random variables, the associated
b. Point estimate method. An alternative method probability concentrations are each one-half:
to estimate moments of a performance function based
on moments of the random variables is the point Pi% ' P i& ' 0.50
estimate method. Point estimate methods are pro-
cedures where probability distributions for continuous Knowing the point estimates and their probability
random variables are modeled by discrete “equivalent” concentrations for each variable, the expected value of
distributions having two or more values. The elements a function of the random variables raised to any
of these discrete distributions (or point estimates) have power M can be approximated by evaluating the
specific values with defined probabilities such that the function for each possible combination of the point
first few moments of the discrete distribution match estimates (e.g., X1+ , X2- , X3+ , Xn- ), multiplying each
B-9
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result by the product of the associated probability B-9. Determining the Probability of Failure
concentrations (e.g., P+-- = P1+ P2- P3- ) and summing
the terms. For example, two random variables result Once the expected value and standard deviation of the
in four combinations of point estimates and four terms: performance function have been determined using the
Taylor*s series or point estimate methods, the reli-
E Y M ' P% % g X1% , X2% M
% P%& g X1% , X2& M ability index can be calculated as previously described.
If the reliability index is assumed to be the number of
% P& % g X1& , X2% M
% P&& g X1& , X2& M standard deviations by which the expected value of a
normally distributed performance function (e.g.,
ln (FS)) exceeds zero, than the probability of failure
For N random variables, there are 2N combinations of can be calculated as:
the point estimates and 2N terms in the summation. To
obtain the expected value of the performance function, Pr f ' R &$ ' R &z
the function g(X1,X2) is calculated 2N times using all the
combinations and the exponent M is 1. To obtain the
where R(-z) is the cumulative distribution function of
standard deviation of the performance function, the
the standard normal distribution evaluated at -z, which
exponent M is taken as 2 and the squares of the
is widely tabulated and available as a built-in function
obtained results are weighted and summed to obtain
on modern microcomputer spreadsheet programs.
E[Y2]. The variance can then be obtained from the
identity
B-10. Overall System Reliability
Var Y ' E Y 2 & E Y 2
B-10
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(1) Solutions are available for systems requiring Reliability indices are a relative measure of the current
r-out-of-n operable components, which may be condition and provide a qualitative estimate of the
applicable to problems such as dewatering with expected performance. Embankments with relatively
multiple pumps, where r is defined as the number of high reliability indices will be expected to perform
reliable units. Subsystems involving independent their function well. Embankments with low reliability
parallel and series systems can be mathematically indices will be expected to perform poorly and present
combined by standard techniques. major rehabilitation problems. If the reliability indices
are very low, the embankment may be classified as a
(2) Upper and lower bounds on system reliability hazard. The target reliability values shown in
can be determined by considering all components to be Table B-1 should be used in general.
from subgroups of parallel and series systems, respec-
tively; however, the resulting bounds may be so broad
as to be impractical. A number of procedures are Table B-1. Target Reliability Indices
found in the references to narrow the bounds. Expected Probability of
Performance Unsatisfactory
(3) Engineering systems such as embankments are Level Beta Performance
complex and have many performance modes. Some of High 5 0.0000003
these modes may not be independent; for instance,
Good 4 0.00003
several performance modes may be correlated to the
occurrence of a high or low pool level. Rational Above average 3 0.001
estimation of the overall reliability of an embankment
Below average 2.5 0.006
is a topic that is beyond this ETL.
Poor 2.0 0.023
d. A practical approach. Unsatisfactory 1.5 0.07
B-11