Risk/Reliability-Based Hydraulic Engineering Design: Yeou-Koung Tung

7.
1 INTRODUCTION
7.1.1 Uncertainties in Hydraulic Engineering Design
In designing hydraulic engineering systems, uncertainties arise in various aspects includ-
ing, but not limited to, hydraulic, hydrologic, structural, environmental, and socioeco-
nomical aspects. Uncertainty is attributed to the lack of perfect knowledge concerning the
phenomena and processes involved in problem definition and resolution. In general,
uncertainty arising because of the inherent randomness of physical processes cannot be
eliminated and one has to live with it. On the other hand, uncertainties, such as those asso-
ciated with the lack of complete knowledge about processes, models, parameters, data,
and so on, can be reduced through research, data collection, and careful manufacturing.
Uncertainties in hydraulic engineering system design can be divided into four basic
categories: hydrologic, hydraulic, structural, and economic (Mays and Tung, 1992).
Hydrologic uncertainty for any hydraulic engineering problem can further be classified
into inherent, parameter, or model uncertainties. Hydraulic uncertainty refers to the uncer-
tainty in the design of hydraulic structures and in the analysis of the performance of
hydraulic structures. Structural uncertainty refers to failure from structural weaknesses.
Economic uncertainty can arise from uncertainties in various cost items, inflation, project
life, and other intangible factors. More specifically, uncertainties in hydraulic design
could arise from various sources (Yen et al., 1986) including natural uncertainties, model
uncertainties, parameter uncertainties, data uncertainties, and operational uncertainties.
The most complete and ideal way to describe the degree of uncertainty of a parameter,
a function, a model, or a system in hydraulic engineering design is the probability densi-
ty function (PDF) of the quantity subject to uncertainty. However, such a probability func-
tion cannot be derived or found in most practical problems. Alternative ways of express-
ing the uncertainty of a quantity include confidence intervals or statistical moments. In
particular, the second order moment, that is, the variance or standard deviation, is a mea-
sure of the dispersion of a random variable. Sometimes, the coefficient of variation,
defined as the ratio of standard deviation to the mean, is also used.
CHAPTER 7
RISK/RELIABILITY-BASED
HYDRAULIC ENGINEERING
DESIGN
7.1
Yeou-Koung Tung
Department of Civil Engineering
Hong Kong University of Science and Technology
Clear Water Bay Kowloon,
Hong Kong
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Source: HYDRAULIC DESIGN HANDBOOK
The existence of various uncertainties (including inherent randomness of natural
processes) is the main contributor to the potential failure of hydraulic engineering sys-
tems. Knowledge of uncertainty features of hydraulic engineering systems is essential for
assessing their reliability.
In hydraulic engineering design and analysis, the decisions on the layout, capacity, and
operation of the system largely depend on the system response under some anticipated
design conditions. When some of the components in a hydraulic engineering system are
subject to uncertainty, the systems responses under the design conditions cannot be
assessed with certainty. An engineer should consider various criteria including, but not
limited to, the cost of the system, failure probability, and consequences of failure, such
that a proper design can be made for the system.
In hydraulic engineering design and analysis, the design quantity and system output
are functions of several system parameters not all of which can be quantified with absolute
certainty. The task of uncertainty analysis is to determine the uncertainty features of the
system outputs as a function of uncertainties in the system model and in the stochastic
parameters involved. Uncertainty analysis provides a formal and systematic framework to
quantify the uncertainty associated with the system output. Furthermore, it offers the
designer useful insights with regard to the contribution of each stochastic parameter to the
overall uncertainty of the system outputs. Such knowledge is essential in identifying the
important parameters to which more attention should be given to better assess their val-
ues and, accordingly, to reduce the overall uncertainty of the system outputs.
7.1.2 Reliability of Hydraulic Engineering Systems
All hydraulic engineering systems placed in a natural environment are subject to various
external stresses. The resistance or strength of a hydraulic engineering system is its abil-
ity to accomplish the intended mission satisfactorily without failure when subject to load-
ing of demands or external stresses. Failure occurs when the resistance of the system is
exceeded by the load. From the previous discussions on the existence of uncertainties, the
capacity of a hydraulic engineering system and the imposed loads, more often than not,
are random and subject to some degree of uncertainty. Hence, the design and operation of
hydraulic engineering systems are always subject to uncertainties and potential failures.
The reliability, p
s
, of a hydraulic engineering system is defined as the probability of
nonfailure in which the resistance of the system exceeds the load; that is,
p
s
P(L R) (7.1)
where P() denotes the probability. The failure probability, p
f
, is the compliment of the
reliability which can be expressed as
p
f
P[(L R)] 1 p
s
(7.2)
In hydraulic engineering system design and analysis, loads generally arise from natur-
al events, such as floods and storms, which occur randomly in time and in space. A com-
mon practice for determining the reliability of a hydraulic engineering system is to assess
the return period or recurrence interval of the design event. In fact, the return period is
equal to the reciprocal of the probability of the occurrence of the event in any one time
interval. For most engineering applications, the time interval chosen is 1 year so that the
probability associated with the return period is the average annual probability of the
occurrence of the event. Flood frequency analysis, using the annual maximum flow series,
is a typical example of this kind of application. Hence, the determination of return period
7.2 Chapter Seven
RISK/RELIABILITY-BASED HYDRAULIC ENGINEERING DESIGN
depends on the time period chosen (Borgman, 1963). The main disadvantage of using the
return period method is that reliability is measured only in terms of time of occurrence of
loads without considering the interactions with the system resistance (Melchers, 1987).
Two other types of reliability measures that consider the relative magnitudes of resis-
tance and anticipated load (called design load) are frequently used in engineering prac-
tice. One is the safety margin (SM), defined as the difference between the resistance (R)
and the anticipated load (L), that is,
SM R L (7.3)
The other is called the safety factor (SF), a ratio of resistance to load, which is
defined as
SF R/L (7.4)
Yen (1979) summarized several types of safety factors and discussed their applications to
hydraulic engineering system design.
There are two basic probabilistic approaches to evaluate the reliability of a hydraulic
engineering system. The most direct approach is a statistical analysis of data of past failure
records for similar systems. The other approach is through reliability analysis, which con-
siders and combines the contribution of each factor potentially influencing the failure. The
former is a lumped system approach requiring no knowledge about the behavior of the facil-
ity or structure nor its load and resistance. For example, dam failure data show that the over-
all average failure probability for dams of all types over 15 m height is around 10
3
per dam
year (Cheng, 1993). In many cases, this direct approach is impractical because (1) the sam-
ple size is too small to be statistically reliable, especially for low probability/high conse-
quence events; (2) the sample may not be representative of the structure or of the popula-
tion; and (3) the physical conditions of the dam may be nonstationary, that is, varying with
respect to time. The average risk of dam failure mentioned above does not differentiate con-
crete dams from earthfill dams, arch dams from gravity dams, large dams from small dams,
or old dams from new dams. If one wants to know the likelihood of failure of a particular
10 yearold doublecurvature arch concrete high dam, one will most likely find failure data
for only a few similar dams, this is insufficient for any meaningful statistical analysis. Since
no dams are identical and dam conditions change with time, in many circumstances, it may
be more desirable to use the second approach by conducting a reliability analysis.
There are two major steps in reliability analysis: (1) to identify and analyze the uncer-
tainties of each contributing factor; and (2) to combine the uncertainties of the stochastic
factors to determine the overall reliability of the structure. The second step, in turn, may
proceed in two different ways: (1) directly combining the uncertainties of all factors, or
(2) separately combining the uncertainties of the factors belonging to different compo-
nents or subsystems to evaluate first the respective subsystem reliability and then com-
bining the reliabilities of the different components or subsystems to yield the overall reli-
ability of the structure. The first way applies to very simple structures, whereas the sec-
ond way is more suitable for complicated systems. For example, to evaluate the reliabili-
ty of a dam, the hydrologic, hydraulic, geotechnical, structural, and other disciplinary reli-
abilities could be evaluated separately first and then combined to yield the overall dam
reliability. Or, the component reliabilities could be evaluated first, according to the differ-
ent failure modes, and then combined. Vrijling (1993) provides an actual example of the
determination and combination of component reliabilities in the design of the Eastern
Scheldt Storm Surge Barrier in The Netherlands.
The main purpose of this chapter is to demonstrate the usage of various practical
uncertainty and reliability analysis techniques through worked examples. Only the essen-
tial theories of the techniques are described. For more detailed descriptions of the meth-
ods and applications, see Tung (1996).
Risk/ReliabilityBased Hydraulic Engineering Design 7.3
7.2 TECHNIQUES FOR UNCERTAINTY ANALYSIS
In this section, several analytical methods are discussed that would allow an analytical
derivation of the exact PDF and/or statistical moments of a random variable as a function
of several random variables. In theory, the concepts described in this section are straight-
forward. However, the success of implementing these procedures largely depends on the
functional relation, forms of the PDFs involved, and analysts mathematical skill.
Analytical methods are powerful tools for problems that are not too complex. Although
their usefulness is restricted in dealing with real life complex problems, situations do exist
in which analytical techniques could be applied to obtain exact uncertainty features of
model outputs without approximation or extensive simulation. However, situations often
arise in which analytical derivations are virtually impossible. It is, then, practical to find
an approximate solution.
7.2.1 Analytical Technique: Fourier and Exponential Transforms
The Fourier and exponential transforms of a PDF, f
x
(x), of a random variable X are
defined, respectively, as
x
(s) E[e
isx
]
e
isx
f
x
(x) dx (7.5a)
and
x
(s) E[e
sx
]
e
sx
f
x
(x) dx (7.5b)
where i 1 and E() is the expectation operator; E[e
isX
] and E[e
sX
] are called, respec-
tively, the characteristic function and moment generating function, of the random variable
X. The characteristic function of a random variable always exists for all values of the argu-
ments whereas for the moment generating function this is not necessarily true.
Furthermore, the characteristic function for a random variable under consideration is
unique. In other words, two distribution functions are identical if and only if the corre-
sponding characteristic functions are identical (Patel et al., 1976). Therefore, given a char-
acteristic function of a random variable, its probability density function can be uniquely
determined through the inverse transform as
f
x
(x)
2
1
e
isx
x
(s) ds (7.6)
The characteristic functions of some commonly used PDFs are shown in Table 7.1.
Furthermore, some useful operational properties of Fourier transforms on a PDF are given
in Table 7.2
Using the characteristic function, the r
th
order moment about the origin of the random
variable X can be obtained as
E(X
r
)
i
1
r
d
r
d
s
x
r
(s)
s = 0
(7.7)
Fourier and exponential transforms are particularly useful when random variables are
independent and linearly related. In such cases, the convolution property of the Fourier
transform can be applied to derive the characteristic function of the resulting random vari-
able. More specifically, consider that WX
1
X
2
. . . X
N
and all Xs are independent
7.4 Chapter Seven
random variables with known PDF, f
j
(x), j 1, 2, . . . , N. The characteristic function of
W then can be obtained as
w
(s)
1
(s)
2
(s)
. . .

N
(s) (7.8a)
and
w
(s)
1
(s)
2
(s)
. . .

N
(s) (7.8b)
which is the product of the characteristic and moment generating functions of each
individual random variable. The resulting characteristic function or moment generating
function for W can be used in Eq. (7.7) to obtain the statistical moments of any order for
TABLE 7.1 Characteristic Functions of Some Commonly Used Distributions
Distribution PDF, f
X
(x) Characteristic Function
Binomial
n
C
x
p
x
q
nx
(q p
is
)
n
Poisson
x
v
!
v
x
exp{v(e
is
1)}
Uniform
b
1
a

i
e
(
i
b
bs
a
e
i
)
a
s
s
Normal
2
1

e
1
2
(
)
2
exp {is 0.5 s
2
2
}
Gamma
(x)
1
e
x
is
Exponential e
x
is
Extreme
exp
exp
e
is
(1 is)
TABLE 7.2 Operation Properties of Fourier Transform on a PDF
Property PDF Random Fourier
Variable Transform
Standard f
X
(x) X
x
(s)
Scaling f
X
(ax) X a
1
x
(s/a)
Linear af
X
(x) X a
x
(s)
Translation 1 e
ax
f
X
(x) X
x
(s ia)
Translation 2 f
X
(x a) X e
ias
x
(s)
Source: From Springer (1979).
Value I
the random variable W. Furthermore, the inverse transform of
W
(s), according to Eq.
(7.6), can be made to derive the PDF of W, if it is analytically possible.
7.2.2 Analytical Technique: Mellin Transform
When the random variables in a function Wg(X) are independent and nonnegative and
the function g(X) has a multiplicative form as
W g(X) a
0
N
i 1
X
ai
i
(7.9)
the Mellin transform is particularly attractive for conducting uncertainty analysis (Tung,
1990). The Mellin transform of a PDF f
X
(x), where x is positive, is defined as
M
X
(s) M[f
x
(x)]
o
x
s1
f
x
(x) dx E (x
s1
), x 0 (7.10)
where M
X
(s) is the Mellin transform of the function f
X
(x) (Springer 1979). Therefore, the
Mellin transform provides an alternative way to find the moments of any order for non-
negative random variables.
Similar to the convolutional property of the exponential and Fourier transforms, the
Mellin transform of the convolution of the PDFs associated with multiple independent
random variables in a product form is simply equal to the product of the Mellin trans-
forms of individual PDFs. In addition to the convolution property, the Mellin transform
has several useful operational properties as summarized in Tables 7.3 and 7.4.
Furthermore, the Mellin transform of some commonly used distributions are summa-
rized in Table 7.5.
Example 7.1. Mannings formula is frequently used for determining the flow capacity
7.6 Chapter Seven
TABLE 7.4 Mellin Transform of Products and Quotients of Random Variables*
Random Variable PDF Given M
W
(s)
W X f
X
(x) M
X
(s)
W X/
b
f
X
(x) M
X
(bs b 1)
W 1/X f
X
(x) M
X
(2s)
W XY f
X
(x), g
Y
(y) M
X
(s)M
Y
(s)
W X/Y f
X
(x), g
Y
(y) M
X
(s)M
Y
(2s)
W aX
b
Y
c
f
X
(x), g
Y
(y) a
s 1
M
X
(bs b 1)M
Y
(cs c 1)
Source: From Park (1987). a, b, c: constants ; X, Y, W: random variables.
TABLE 7.3 Operation Properties of the Mellin Transform on a PDF
Property PDF Random Mellin
f
X
(x) Variable Transform
Standard f
X
(x) X M
x
(s)
Scaling f
X
(ax) X a
s
M
x
(s)
Linear af
X
(x) X a M
x
(s)
Translation x
a
f
X
(x) X M
x
(a s)
Exponentiation f
X
(x
a
) X a
1
M
x
(s/a)
Source: From Park (1987).
of storm sewer by
Q = 0.463 n
1
D
2.67
S
0.5
where Q is flow rate (ft
3
/s), n is the roughness coefficient, D is the sewer diameter (ft), and
S is pipe slope (ft/ft). Assume that all three model parameters are independent random
variables with the following statistical properties. Compute the mean and variance of the
sewer flow capacity by the Mellin transform.
TABLE 7.5 Mellin Transforms for Some Commonly Used Probability Density Functions
Probability PDF, f
X
(x) Mellin Transform
Uniform
b
1
a

s
b
(
s
b
a
a
s
)
Standard Normal
1
2
e
z
2
/2
Lognormal
2
1
x
lnX
e
1
2
(
lnX
lnX
)
2
exp
,
,
(s 1)
lnX
1
2
(s 1)
2
2
lnX
]
]
]
Exponential e
x
1s
(s)
Gamma
(x)
1
e
s1
(
(
)
s1)
Triangular
b
2
a
j
,
(
m
x
a
a
\
(
,
, a x m
s(s1)
2
(b a)
,
,
b (
b
b
s
m
m
s
)
a (
m
m
s
a
a
s
)
]
]
]
b
2
a
j
,
(
b
b
m
x
\
(
,
, m x b
Weibull
j
,
(
\
(
,
1
exp
,
,
j
,
(
\
(
,
]
]
]

s 1
k 0
j
,
(
S
k
1
\
(
,
s1 k
j
,
(
1
\
(
,
Nonstandard beta
Standard beta
B
1
(
(1
,
)
x)

s 1
k 0
j
,
(
s
k
1
\
(
,
a
s1k
(b a)
k
M
X
(k)
where M
X
(k) for standard beta
(a b) (a s 1)
(x a)
1
(b x)
1
B(, ) (b a)
1
2
s1
j
,
(
2
s
\
(
,
0
, for s odd
, for s even
Parameter Distribution
n Uniform distribution with lower bound 0.0137 and upper
bound 0.0163
D Triangular distribution with lower bound 2.853, mode 3.0,
and upper bound 3.147
S Uniform distribution with bounds (0.00457, 0.00543)
Referring to Table 7.4, the Mellin transform of sewer flow capacity, M
Q
(s), can be
derived as
M
Q
(s) 0.463
s 1
M
n
(s 2) M
D
(2.67s 1.67) M
S
(0.5s 0.5)
For roughness coefficient n having a uniform distribution, from Table 7.5, one obtains
M
n
(s 2)
For sewer diameter D with a triangular distribution, one obtains
M
D
(2.67s 1.67)
,
,
]
]
]
.
For sewer slope S with a uniform distribution, one obtains
M
S
(0.5s 0.5)
Substituting individual terms into M
Q
(s) results in the expression of the Mellin trans-
form of sewer flow capacity specifically for the distributions associated with the three sto-
chastic model parameters.
Based on the information given, the Mellin transforms of each stochastic model para-
meter can be expressed as
M
n
(s)
0.016
0
3
.
s
00
26
0
s
.0137
s
M
D
(s)
(0.294)
2
s(s 1)

,
,
]
]
]
M
S
(s)
The computations are shown in the following table:
0.00543
s
0.00457
s
0.00086 s
2.853(3.00
s
2.853
s
)
0.147
3.147(3.147
s
3.00
s
)
0.147
(s
b
)
0.5
s
0.5
(s
a
)
0.5
s
0.5
(0.5s 0.5) (s
b
s
a
)
d
a
(d
m
2.67s 1.67
d
a
2.67s 1.67
)
d
m
d
a
d
b
(d
b
2.67s1.67
d
m
2.67s1.67
)
d
b
d
m
2
(d
b
d
a
)(2.67s 1.67) (2.67s 0.67)
n
b
s2
n
a
s 2
(s 2)(n
b
n
a
)
7.8 Chapter Seven
s 2 s 3
0.463
s 1
0.463 0.463 0.2144
M
n
(s 2) M
n
(0) 66.834 M
n
(1) 4478.080
M
D
(2.67s 1.67) M
D
(3.67) 18.806 M
D
(6.34) 354.681
M
n
(0.5s 0.5) M
S
(1.50) 0.0707 M
S
(2.00) 0.005
Therefore, the mean sewer flow capacity can be determined as
E(Q) M
Q
(s 2) 0.463 M
n
(0) M
D
(3.67) M
S
(1.50)
0.463(66.834)(18.806)(0.0707) 41.137 ft
3
/s
The second moment about the origin of the sewer flow capacity is
E(Q
2
) M
Q
(s 3) 0.463
2
M
n
(1) M
D
(6.34) M
S
(2.00)
0.463
2
(4478.08) (354.681) (0.005) 1702.40 ft
3
/s.
The variance of the sewer flow capacity can then be determined as
Var(Q) E(Q
2
) E
2
(Q) 1702.40 41.137
2
10.147 (ft
3
/s)
2
with the standard deviation being
Q
1 0.1 47 3.186 ft
3
/s
7.2.3 Approximate Technique: First-Order Variance Estimation
(FOVE) Method
The FOVE method, also called the variance propagation method (Berthouex, 1975), esti-
mates uncertainty features of a model output based on the statistical properties of the
model's random variables. The basic idea of the method is to approximate a model involv-
ing random variables by the Taylor series expansion.
Consider that a hydraulic or hydrologic design quantity Wis related to N random vari-
ables X
1
, X
2
, . . ., X
N
as
W g(X) g(X
1
, X
2
, . . ., X
N
) (7.11)
where X (X
1
, X
2
, . . ., X
N
)
t
, an Ndimensional column vector of random variables, the
superscript t represents the transpose of a matrix or vector. The Taylor series expansion of
the function g(X) with respect to the means of random variables X in the parameter
space can be expressed as
Wg()
N
i 1
j
,
(
(
X
X
i
)
\
(
,
(X
i

i
)
1
2
N
i = 1
N
j = 1
j
,
(
X
2
g
i
(
X
X
)
j
\
(
,
(7.12)
(X
i

i
) (X
j

j
)
where
i
is the mean of the ith random variable X
i
and represents the higher order terms.
The firstorder partial derivative terms are called the sensitivity coefficients, each rep-
resenting the rate of change of model output Wwith respect to unit change of each vari-
able at .
Dropping the higher-order terms represented by , Eq. (7.12) is a secondorder
approximation of the model g(X). The expectation of model output W can be approxi-
mated as
E[W] g()
1
2
N
i 1
N
j 1
,
,
X
2
g
i
(
X
X
)
j
]
]
]
Cov [X
i
, X
j
] (7.13)
and the variance of W g(X) can be expressed as
Var[W]
N
i 1
N
j 1
j
,
(
(
X
X
i
)
\
(
,
j
,
(
g
X
(X
j
)
\
(
,
E[(X
i

i
) (X
j

j
)]
(7.14)
1
2
N
i 1
N
j 1
N
K 1
,
,
(
X
X
i
)
]
]
]
,
,
X
2
g
j
(X
X
)
K
]
]
]
E[(X
i

i
) (X
j

j
) (X
K

K
)]
As can be seen from Eq. (7.14), when random variables are correlated, the estimation
of the variance of W using the secondorder approximation would require knowledge
about the crossproduct moments among the random variables. Information on the
crossproduct moments are rarely available in practice. When the random variables are
independent, Eqs. (7.13) and (7.14) can be simplified, respectively, to
E[W] g()
1
2
N
i 1
,
,
g
X
(X
i
2
)
]
]
]
E[(X
i

i
)
2
] (7.15)
and
Var[W]
N
i 1
,
,
(
X
X
i
)
]
]
]
2
i
1
2

N
i 1
,
,
(
X
X
i
)
]
]
]
,
,
g
X
(X
i
2
)
]
]
]
E[(X
i

i
)
3
] (7.16)
Referring to Eq. (7.16), the variance of W from a second-order approximation, under
the condition that all random variables are statistically independent, would require knowl-
edge of the third moment. For most practical applications where higher order moments
and crossproduct moments are not easily available, the first order approximation is fre-
quently adopted. In the area of structural engineering, the second order methods are com-
monly used (Breitung, 1984; Der Kiureghian et al., 1987 Wen, 1987).
By truncating the second and higherorder terms of the Taylor series, the firstorder
approximation of W at X is
E[W] g() w
(7.17)
and
Var[W]
N
i 1
N
j 1
j
,
(
(
X
X
i
)
\
(
,
j
,
(
(
X
X
j
)
\
(
,
Cov (X
i
, X
j
) s
t
C(X)s (7.18)
in which s
x
W() is an Ndimensional vector of sensitivity coefficients evaluated at
; C(X) is the variance covariance matrix of the random vector X. When all random vari-
ables are independent, the variance of model output W can be approximated as
7.10 Chapter Seven
Var(W)

N
i 1
s
i
2
i
2
sDs, (7.19)
in which represents the standard deviation and Ddiag (
1
2
,
2
2
, ,
N
2
), a diagonal matrix
of variances of involved random variables. From Eq. (7.19), the ratio s
i
2
i
2
/Var[W], indi-
cates the proportion of overall uncertainty in the model output contributed by the uncer-
tainty associated with the random variable X
i
.
Example 7.2. Referring to Example 7.1, the uncertainty associated with the sewer
slope due to installation error is 5 percent of its intended value 0.005. Determine the
uncertainty of the sewer flow capacity using the FOVE method for a section of 3 ft sewer
with a 2 percent error in diameter due to manufacturing tolerances. The roughness coeffi-
cient has the mean value 0.015 with a coefficient of variation 0.05. Assume that the cor-
relation coefficient between the roughness coefficient n and sewer diameter D is 0.75.
The sewer slope S is uncorrelated with the other two random variables.
Solution: The firstorder Taylor series expansion of Manning's formula about n
n
0.015, D
D
3.0, and S
S
0.005, according to Eq. (7.12), is
Q 0.463 (0.015)
1
(3)
2.67
(0.005)
0.5
Q
n
(n 0.015)
Q
D
(D 3.0)
Q
S
(S 0.0005)
41.01 [0.463 (1) (0.015)
2
(3.0)
2.67
(0.005)
0.5
] (n 0.015)
[0.463 (2.67)(0.015)
1
(3.0)
1.67
(0.005)
0.5
] (D 3.0)
[0.463 (0.5)(0.015
)1
(3.0)
2.67
(0.005)
0.5
] (S 0.005)
41.01 2733.99 (n 0.015) 36.50 (D 3.0) 4100.99 (S 0.005)
Based on Eq. (7.17), the approximated mean of the sewer flow capacity is
Q
41.01 ft
3
/s
According to Eq. (7.18), the approximated variance of the sewer flow capacity is
2
Q
(2733.99)
2
Var(n) (36.50)
2
Var(D) (4100.99)
2
Var(S)
2(2733.99)(36.50) Cov(n, D) 2(2733.99)(4100.99) Cov(n, S)
2(36.50)(4100.99) Cov(D, S)
The above expression reduces to
2
Q
(2733.99)
2
Var(n) (36.50)
2
Var(D) (4100.99)
2
Var(S)
2(2733.99)(36.50) Cov(n, D)
because Cov(n, S) Cov(D, S) 0. Since the standard deviations of roughness, pipe
diameter, and slope are
n
(0.05)(0.015) 0.00075
D
(0.02)(3.0) 0.06
S
(0.05)(0.005) 0.00025
the variance of the sewer flow capacity can be computed as
2
Q
(2733.99)
2
(5.625 10
7
) (36.50)
2
(3.6 10
4
)
(4100.99)
2
(6.25 10
8
) 2 (2733.99)(36.50) (3.375 10
5
)
2.05
2
2.19
2
1.03
2
6.74 16.79 ft
3
/s
2
Hence, the standard deviation of the sewer flow capacity is 16.7 9 4.10 ft
3
/s which is
10.0 percent of the estimated mean sewer flow capacity.
Without considering correlation between n and D,
Q
2
16.79 6.74 10.05
which underestimates the variance of the sewer flow capacity. The percentages contri-
bution of uncertainty of n, D, and S to the overall uncertainty of the sewer flow capac-
ity under the uncorrelated condition are, respectively, 41.8 percent, 47.7 percent, and
10.5 percent. The uncertainty associated with the sewer slope contributes less signifi-
cantly to the total sewer flow capacity uncertainty as compared with the other two ran-
dom variables even though it has the highest sensitivity coefficient among the three.
This is because the variance of S, Var(S), is smaller than the variances of the other two
random variables.
7.2.4 Approximate Technique: Rosenblueths Probabilistic Point
Estimation (PE) Method
Rosenblueths probabilistic point estimation (PE) method is a computationally straight-
forward technique for uncertainty analysis. It can be used to estimate statistical moments
of any order of a model output involving several random variables which are either corre-
lated or uncorrelated. Rosenblueths PE method was originally developed for handling
random variables that are symmetric (Rosenblueth, 1975). It was later extended to treat
nonsymmetric random variables (Rosenblueth, 1981).
Consider a model, W g(X), involving a single random variable X whose first three
moments or probability density function (PDF)/ probability mass function (PMF) are
known. Referring to Fig. 7.1, Rosenblueths PE method approximates the original PDF or
PMF of the random variable X by assuming that the entire probability mass of X is con-
centrated at two points x
and x
. Using the two point approximation, the locations of x
and x
and the corresponding probability masses p
and p
are determined to preserve the

first three moments of the random variable X. Without changing the nature of the original
problem, it is easier to deal with the standardized variable, X' (X)/, which has zero
mean and unit variance. Hence, in terms of X', the following four simultaneous equations
can be established to solve for x'
, x'
, p
, and p
:
p
1 (7.20a)
p
0 (7.20b)
7.12 Chapter Seven
FIGURE 7.1 Schematic diagram of Rosenblueths PE method in univariate case
(Tung, 1996)
p
x
2
x
2

2
X
/ 1 (7.20c)
p
x
3
x
3
(7.20d)
in which x
' .
x

/, x'
/, and is the skew coefficient of the random

variable X. Solving Eqs. (7.20a-d) simultaneously, one obtains
x
(7.21a)
x
(7.21b)
p
(7.21c)
p
1 p
(7.21d)
When the distribution of the random variable X is symmetric, that is, 0, then Eqs.
(7.21ad) are reduced to x'
x'
1 and p
0.5. This implies that, for a sym-

metric random variable, the two points are located at one standard deviation to either side
of the mean with equal probability mass assigned at the two points.
From x'
and x'
the two points in the original parameter space, x
and x
, can respec-
tively be determined as
x
x'
(7.22a)
x
x'
(7.22b)
Based on x
and x
, the values of the model W g(X) at the two points can be com-
puted, respectively, as w
g(x
) and w
g(x
). Then, the moments about the origin

of W g(X) of any order can be estimated as
E[W
m
] '
W,m
p
m
p
m
(7.23)
Unlike the FOVE method, Rosenblueths PE estimation method provides added capa-
bility allowing analysts to account for the asymmetry associated with the PDF of a ran-
f
x
(x)
p
p
+
x
x
+
x

dom variable. Karmeshu and Lara Rosano (1987) show that the FOVE method is a first
order approximation to Rosenblueths PE method.
In a general case where a model involves N correlated random variables, the
m
th
moment of the model output W g(X
1
, X
2
, , X
N
) about the origin can be approxi-
mated as
E(W
m
) p
(1, 2,, N)
[w
(1, 2,, N)
]
m
(7.24)
in which the subscript
i
a sign indicator and can only be or representing the ran-
dom variable X
i
having the value of x
i

i
x'
i

i
or x
i

i
x'
i

i
, respectively; the
probability mass at each of the 2
N
points, p
(1, 2,, N)
can be approximated by
p
(
1
,
2
,,
N
)
i 1
p
i
N1
i 1

N
j i 1
j
a
ij
(7.25)
with
a
ij
(7.26)
where
ij
is the correlation coefficient between random variables X
i
and X
j
. The number of
terms in the summation of Eq. (7.24) is 2
N
which corresponds to the total number of pos-
sible combinations of and for all N random variables.
Example 7.3 Referring to Example 7.2, assume that all three model parameters in
Mannings formula are symmetric random variables. Determine the uncertainty of sewer
flow capacity by Rosenblueths PE method.
Solution: Based on Mannings formula for the sewer, Q = 0.463 n
1
D
2.67
S
0.5
, the stan-
dard deviation of the roughness coefficient, sewer diameter, and pipe slope are
n
0.00075;
D
0.06;
S
0.00025
With N 3 random variables, there are a total of 2
3
8 possible points to be considered
by Rosenblueths method. Since all three random variables are symmetric, their skew
coefficients are equal to zero. Therefore, according to Eqs. (7.21ab), n'
n'
D'
D'
S'
S'
1 and the corresponding values of roughness coefficient, sewer diam-

eter, and pipe slope are
n

n
n'

n
0.015 (1)(0.00075) 0.01575
n

n
n'

n
0.015 (1)(0.00075) 0.01425
D

D
D'

D
3.0 (1)(0.06) 3.06 ft
D

D
D'

D
3.0 (1)(0.06) 2.94 ft
S

S
S'

S
0.005 (1)(0.00025) 0.00525
S

S
S'

S
0.005 (1)(0.00025) 0.00475
Substituting the values of n
, n
, D
, D
, S
, and S
into Mannings formula to com-

pute the corresponding sewer capacities, one has, for example,
ij
/
2
N
,
,
j
,
(
2
i
\
(
,
2
]
]
]
7.14 Chapter Seven
Q
0.463 (n
)
1
(D
)
2.67
(S
)
0.5
0.463 (0.01575)
1
(3.06)
2.67
(0.00525)
0.5
42.19 ft
3
/s
Similarly, the values of sewer flow capacity for the other seven points are given in the
following table:
Point n D S Q (ft
3
s) p
1 42.19 0.03125
2 40.14 0.03125
3 37.92 0.21875
4 36.07 0.21875
5 46.64 0.21875
6 44.36 0.21875
7 41.91 0.03125
8 39.87 0.03125
Because the roughness coefficient and sewer diameter are symmetric, correlated ran-
dom variables, the probability masses at 2
3
8 points can be determined, according to
Eqs. (7.257.26) as
p
(1
nD

nS

DS
)/8 (1 0.75 0 0)/8 0.03125
p
(1
nD

nS

DS
)/8 (1 0.75 0 0)/8 0.03125
p
(1
nD

nS

DS
)/8 (1 0.75 0 0)/8 0.21875
p
(1
nD

nS

DS
)/8 (1 0.75 0 0)/8 0.21875
The values of probability masses also are tabulated in the last column of the above
table. Therefore, the m
th
order moment about the origin for the sewer flow capacity can be
calculated by Eq. (7.24). The computations of the first two moments about the origin are
shown in the following table in which columns (1)(3) are extracted from the above table.:
Point Q(ft
3
) p Q p Q
2
Q
2
p
(1) (2) (3) (4) (5) (6)
1 42.19 0.03125 1.318 1780.00 55.625
2 40.14 0.03125 1.254 1611.22 50.351
3 37.92 0.21875 8.295 1437.93 314.547
4 36.07 0.21875 7.890 1301.04 284.603
5 46.64 0.21875 10.203 2175.29 475.845
6 44.36 0.21875 9.704 1967.81 430.458
7 41.91 0.03125 1.310 1756.45 54.889
8 39.87 0.03125 1.246 1589.62 49.676
Sum 1.00000 41.219 1715.99
From the above table,
Q
E(Q) 41.219 ft
3
and E(Q
2
) 1715.994
f
s
t
3
2
. Then, the
variance of the sewer flow capacity can be estimated as
Var(Q) E(Q
2
) (Q)
2
1715.994 (41.219)
2
16.988
f
s
t
3
2
Hence, the standard deviation of sewer flow capacity is 1 6.9 88 4.12 ft
3
/s
3
.
Comparing with the results in Example 7.2, one observes that Rosenblueths PE method
yields higher values of the mean and variance for the sewer flow capacity than those
obtained with the FOVE method.
7.2.5 Approximate Technique: Harrs Probabilistic
Point Estimation (PE) Method
To avoid the computationally intensive nature of Rosenblueths PE method when the num-
ber of random variables is moderate or large, Harr (1989) proposed an alternative proba-
bilistic PE method which reduces the required model evaluations from 2
N
to 2N and great-
ly enhances the applicability of the PE method for uncertainty analysis of practical prob-
lems. The method is a second moment method which is capable of taking into account of
the first two moments (that is, the mean and variance) of the involved random variables
and their correlations. Skew coefficients of the random variables are ignored by the
method. Hence, the method is appropriate for treating normal and other symmetrically
distributed random variables. The theoretical basis of Harr's PE method is built on orthog-
onal transformations of the correlation matrix.
The orthogonal transformation is an important tool for treating problems with corre-
lated random variables. The main objective of the transformation is to map correlated ran-
dom variables from their original space to a new domain in which they become uncorre-
lated. Hence, the analysis is greatly simplified.
Consider N multivariate random variables X (X
1
, X
2
, , X
N
)
t
having a mean vector
X
(
1
,
2
, ,
N
)
t
and the correlation matrix R(X)
C (X')
R (X)

Note that the correlation matrix is a symmetric matrix, that is,
ij

ij
for i j.
The orthogonal transformation can be made using the eigenvalue eigenvector decom-
position or spectral decomposition by which R(X) is decomposed as
R(X) = C(X') = V V
t
(7.27)
where V is an N N eigenvector matrix consisting of N eigenvectors as V = (v
1
, v
2
, ..., v
N
)
with v
i
being the i
th
column eigenvector and diag(
1
,
2
, ,
N
) is a diagonal eigen-
values matrix.
In terms of the eigenvectors and eigenvalues, the random vector in the original para-
meter space can be expressed as
X = + D
1/2
V
1/2
Y (7.28)
1
12

13

1N
21
1
23

2N

N1

N2

N3
1
7.16 Chapter Seven
in which Y is a vector of N standardized random variables having 0 as the mean vector
and the identity matrix, I, as the covariance matrix, and D is a diagonal matrix of vari-
ances of N random variables. The transformed variables, Y, are linear functions of the
original random variables, therefore, if all the original random variables X are normally
distributed, then the standardized transformed random variables, Y, are independent stan-
dard normal random variables.
For a multivariate model W g (X
1
, X
2
, , X
N
) involving N random variables, Harrs
method selects the points of evaluation located at the intersections of N eigenvector axes
with the surface of a hypersphere having a radius of N in the eigenspace as
x
i
N D
1/2
v
i
, i 1, 2, ..., N (7.29)
in which x
i
represents the vector of coordinates of the N random variables in the para-
meter space corresponding to the i
th
eigenvector v
i
; (
1
,
2
, ...,
N
)
t
, a vector of means
of N random variables X.
Based on the 2N points determined by Eq. (7.29), the function values at each of the 2N
points can be computed. Then, the mth moment of the model output W about the origin
can be calculated according to the following equations:
w
m
i
=
w
m
i
2
w
m
i
g
m
(x
i
)
2,
g
m
(x
i
)
i = 1, 2, , N; m = 1, 2, (7.30)
E[W
m
] =
m
(W) = , for m = 1, 2,
(7.31)
Alternatively, the orthogonal transformation can be made to the covariance matrix.
Example 7.4. Referring to Example 7.2, determine the uncertainty of the sewer flow
capacity using Harrs PE method.
Solution: From the previous example, statistical moments of random parameters in
Mannings formula,
Q 0.463 n
1
D
2.67
S
0.5
are
n
0.01500;
D
3.00;
S
0.00500
n
0.00075;
D
0.06;
S
0.00025
From the given correlation relation among the three random variables, the correlation
matrix can be established as
R (n, D, S)

1.00 0.75 000
0.75 1.00 000
000 000 1.00
N
i=1
i
w
m
N
i=1
i
The corresponding eigenvector matrix and eigenvalue matrix are, respectively,
V [v
1
v
2
v
3
]
,
,
]
]
]
,
,
]
]
]
and
diag (
1
,
2
,
3
) diag (1.75, 0.25, 1.00)
According to Eq. (7.29), the coordinates of the 2 3 6 intersection points corre-
sponding to the three eigenvectors and the hypersphere with a radius 3 can be deter-
mined as
x
i
=

3

v
i
=

3

v
i
, for i 1, 2, 3
The resulting coordinates at the six intersection points from the above equation are list-
ed in column (2) of the table given below. Substituting the values of x in column (2) into
Mannings formula, the corresponding sewer flow capacities are listed in column (3).
Column (4) lists the value of Q
2
for computing the second moment about the origin later.
After columns (3) and (4) are obtained, the averaged value of Q and Q
2
along each eigen-
vector are computed and listed in columns (5) and (6), respectively.
Point x (n, D, S) Q Q
2
Q
2
(1) (2) (3) (4) (5) (6)
1 (0.01592, 2.9265, 0.00500) 36.16 1307.82 41.39 1739.98
1 (0.01408, 3.0735, 0.00500) 46.61 2172.14
2 (0.01592, 3.0735, 0.00500) 41.22 1699.09
2 (0.01408, 2.9265, 0.00500) 40.89 1671.99 41.05 1685.54
3 (0.01500, 3.00, 0.00543) 42.74 1826.45
3 (0.01500, 3.00, 0.00457) 39.20 1537.17 40.97 1681.81
The mean of the sewer flow capacity can be calculated, according to Eq. (7.31), with
m 1, as
41.22 ft
3
/s
1.75 (41.39) 0.25 (41.05) 1.00 (40.97)
1
Q
1

2
Q
2

3
Q
3
1

2

3
0.00075 0 0
0 0.06 0
0 0 0.00025
0.015
3.0
0.005
n
0 0
0
D
0
0 0
S
S
0.7071 0.7071 0.0000
0.7071 0.7071 0.0000
0.0000 0.0000 1.0000
v
11
v
12
v
13
v
21
v
22
v
23
v
31
v
32
v
33
7.18 Chapter Seven
The second moment about the origin is calculated as:
E(Q
2
)
1716.05 (ft
3
/s)
2
The variance of the sewer flow capacity then can be calculated as
Var(Q) E(Q
2
) (
Q
)
2
1716.05 (41.22)
2
16.82 (ft
3
/s)
2
.
Hence, the standard deviation of sewer flow capacity is 16.8 2 4.10 ft
3
/s
2
.
Comparing with the results in Examples 7.2 and 7.3, one observes that the mean and vari-
ance of the sewer flow capacity computed with Harr's PE method lie between those com-
puted with the FOVE method and Rosenblueths method.
7.3 RELIABILITY ANALYSIS METHODS
In a multitude of hydraulic engineering problems uncertainties in data and in theory,
including design and analysis procedures, warrant a probabilistic treatment of the prob-
lems. The risk associated with the potential failure of a hydraulic engineering system is
the result of the combined effects of inherent randomness of external loads and various
uncertainties involved in the analysis, design, construction, and operational procedures.
Hence, to evaluate the probability that a hydraulic engineering system would function as
designed requires performing uncertainty and reliability analyses.
As discussed in Sec. 7.1.2, the reliability, p
s
, is defined as the probability of safety (or
nonfailure) in which the resistance of the structure exceeds the load, that is,
p
s
P (L R).
Conversely, the failure probability, p
f
, can be computed as
p
f
P (L R) 1 p
s
.
The above definitions of reliability and failure probability are equally applicable to
component reliability as well as total system reliability. In hydraulic design, the resistance
and load are frequently functions of a number of random variables, that is, L g(X
L
)
g(X
1
, X
2
, , X
m
) and R h(X
R
) h(X
m 1
, X
m 2
, ,X
n
) where X
1
, X
2
, , X
n
are random
variables defining the load function, g(X
L
), and the resistance function, h(X
R
).
Accordingly, the reliability is a function of random variables
p
s
P [g(X
L
) h(X
R
)] (7.32)
As discussed in the preceding sections, the natural hydrologic randomness of flow and
precipitation are important parts of the uncertainty in the design of hydraulic structures.
However, other uncertainties also may be significant and should not be ignored.
7.3.1 Performance Functions and Reliability Index
In the reliability analysis, Eq. (7.32) can alternatively be written, in terms of a perfor-
mance function, W(X) W(X
L
, X
R
), as
1.75 (1727.11) 0.25(1673.12) 1.00(1669.54)
1
Q
1
2

2
Q
2
2

3
Q
3
2
1

2

3
p
s
P [W(X
L
, X
R
) 0] = P [W(X) 0], (7.33)
in which X is the vector of basic random variables in the load and resistance functions. In
reliability analysis, the system state is divided into safe (satisfactory) set defined by W(X)
> 0 and failure (unsatisfactory) set defined by W(X) < 0 (Fig. 7.2). The boundary that sep-
arates the safe set and failure set is the failure surface, defined by the function W(X) 0,
called the limit state function. Since the performance function W(X) defines the condition
of the system, it is sometimes called the system state function.
The performance function W(X) can be expressed differently as
W
1
(X) R L h(X
R
) g(X
L
) (7.34)
W
2
(X) (R/L) 1 [h(X
R
)/g(X
L
)] 1 (7.35)
W
3
(X) ln(R/L) ln[h(X
R
)] ln[g(X
L
)] (7.36)
Referring to Sec. 7.1.2, Eq. (7.34) is identical to the notion of safety margin, whereas Eqs.
(7.35) and (7.36) are based on safety factor representations.
Also in the reliability analysis, a frequently used reliability indicator, , is called the
reliability index. The reliability index was first introduced by Cornell (1969) and later for-
malized by Ang and Cornell (1974). It is defined as the ratio of the mean to the standard
deviation of the performance function W(X)

W
W
(7.37)
in which
W
and
W
are the mean and standard deviation of the performance function,
7.20 Chapter Seven
FIGURE 7.2 System states defined by performance function
respectively. From Eq. (7.37), assuming an appropriate PDF for the random performance
function W(X), the reliability then can be computed as
P
s
1 F
W
(0) 1 F
W
'() (7.38)
in which F
W
() is the cumulative distribution function (CDF) of the performance function
W and W' is the standardized performance function defined as W' (W
W
)/
W
. The
expression of reliability, p
s
, for some distributions of W(X) are given in Table 7.6. For
practically all probability distributions used in the reliability analysis, the value of the reli-
ability, p
s
, is a strictly increasing function of the reliability index, . In practice, the nor-
mal distribution is commonly used for W(X) in which case the reliability can be simply
computed as
p
s
1 () () (7.39)
where () is the standard normal CDF whose values can be found in various probability
and statistics books.
7.3.2 Direct Integration Method
From Eq. (7.1), the reliability can be computed in terms of the joint PDF of the load and
resistance as
p
s

r
2
r
1
,
,
l
f
R,L
(r,) d
]
]
]
dr
l
2
1
,
,
r
2
f
R,L
(r,) dr
]
]
]
d (7.40)
in which f
R,L
(r, ) is the joint PDF of random load, L, and resistance, R; r and are dummy
arguments for the resistance and load, respectively; and (r
1
, r
2
) and (
1
,
2
) are the lower
and upper bounds for the resistance and load, respectively. This computation of reliabili-
ty is commonly referred to as the loadresistance interference.
When load and resistance are statistically independent, Eq. (7.40) reduces to
p
s

r
2
r
1
F
L
(r) f
R
(r) dr E
R
[F
L
(R)] (7.41)
or
p
s

1
[1 F
R
()] f
L
() d 1 E
L
[F
R
(L)] (7.42)
in which F
L
() and F
R
() are the marginal CDFs of random load L and resistance R, respec-
tively; and E
R
[F
L
(R)] is the expectation of the CDF of random load over the feasible range
of the resistance. A schematic diagram illustrating loadresistance interference in the reli-
ability computation, when the load and resistance are independent random variables, is
shown in Fig. 7.3.
In the case that the PDF of the performance function W is known or derived, the reli-
ability can be computed, according to Eq. (7.33), as
p
s

0
f
W
(w) dw (7.43)
in which f
W
(w) is the PDF of the performance function.
In the conventional reliability analysis of hydraulic engineering design, uncertainty
7.22 Chapter Seven
D
i
s
t
r
i
b
u
t
i
o
n

o
f

W
P
D
F
,
f
W
(
w
)
M
e
a
n
,
W
C
o
e
f
f
i
c
i
e
n
t

o
f

V
a
r
i
a
t
i
o
n
,
R
e
l
i
a
b
i
l
i
t
y
w
p
s
=
P
(
W
0
)
N
o
r
m
a
l

2
1

e
x
p

, ,
1 2
j , (
w
\ ( ,
2
] ] ]
,
w
<
W

W W
j , (

W W
\ ( ,
L
o
g
n
o
r
m
a
l
1
w
l
n
W
e
x
p

, ,
1 2
j , (
l
n
(
w
)
l
n
W
l
n
W
\ ( ,
2
] ] ]
,
w
e
x
p

, ,
l
n
W
1 2
2 l
n
W
] ] ]
e
x
p
(
2 l
n
W
j , (

l l
n n
W W
\ ( ,
S
h
i
f
t
e
d

E
x
p
o
n
e
n
t
i
a
l
(
w
w
o
)
,
w
w
o
1
w
o
1
w
o
(
w
w
o
)
G
a
m
m
a
,
w
I

[
]
N
o
n
s
t
a
n
d
a
r
d

B
e
t
a
a
(
b
a
)
(
b
)
a
)
W
B
B
u
(
(
,
,
)
)
;
u
a
a
T
r
i
a
n
g
u
l
a
r
b
2
a
j , (
w
m

a
a
\ ( ,
,
a
m
a
m
3
, ,
1 2
a
b
6 a
m
2 W
b
m
] ] ]
1
/
2
1
(
b
(
w
a
)
(
m
a
)
2
a
)
,
a
m
b
2
a
j , (
b b

m w
\ ( ,
,
m
b
U
n
i
f
o
r
m
b
1
a
,
a
b
a
2
b

1
3
b b

a a
b
b

a w
(
x

a
)
1
(
b
x
)
B
(
)

(
b
a
)
(
w
)
]
1
e
(
w
T
A
B
L
E

7
.
6
R
e
l
i
a
b
i
l
i
t
y

F
o
r
m
u
l
a
s

f
o
r

S
e
l
e
c
t
e
d

D
i
s
t
r
i
b
u
t
i
o
n

(
A
f
t
e
r

Y
e
n

e
t

a
l
.
,
1
9
8
6
)

S
o
u
r
c
e
:
F
r
o
m

Y
e
n

e
t

a
l
.
,
1
9
8
6
.
from the hydraulic aspect often is ignored. Treating the resistance or capacity of the
hydraulic structure as a constant reduces Eq. (7.40) to
p
s

r
o
0
f
L
() d (7.44)
in which r
o
is the resistance of the hydraulic structure, a deterministic constant. If the
PDF of the hydrologic load is the annual event, such as the annual maximum flood, the
resulting annual reliability can be used to calculate the corresponding design return
period.
The method of direct integration requires the PDFs of the load and resistance or the
performance function be known or derived. This is seldom the case in practice, especial-
ly for the joint PDF, due to the complexity of hydrologic and hydraulic models used in the
design and of the natural system being approximated with these models. Explicit solution
of direct integration can be obtained for only a few PDFs as shown in Table 7.6 for the
reliability p
s
. For most other PDFs the use of numerical integration is unavoidable. For
example, the distribution of the safety margin W expressed by Eq. (7.34) has a normal dis-
tribution if both load and resistance functions are linear and all random variables are nor-
mally distributed. In terms of safety factor expressed as Eqs. (7.35) and (7.36), the distri-
bution of W(X) is lognormal if both load and resistance functions have multiplicative
forms involving lognormal random variables.
Example 7.5 Referring to Example 7.2, the random variables n, D, and S used in
Manning's formula to compute the sewer capacity are independent lognormal random
variables with the following statistical properties:
FIGURE 7.3 Schematic diagram of of load-resistance
interference
Parameter Mean Coeff. of Variation
n (ft
1/6
) 0.015 0.05
D (ft) 3.0 0.02
S (ft/ft) 0.005 0.05
Compute the reliability that the sewer can convey the inflow discharge of 35 ft
3
/s.
Solution: In this example, the resistance function is R(n, D, S) 0.463 n
1
D
2.67
S
0.5
and the load is L 35 ft
3
/s. Since all three stochastic parameters are lognormal random
variables, the performance function appropriate for use is
W(n, D, S) ln(R) ln(L)
[ln(0.463) ln(n) 2.67 ln(D) 0.5 ln(S)] ln(35)
ln(n) 2.67 ln(D) 0.5 ln(S) 4.3319
The reliability p
s
P[W(n,D,S) 0] can then be computed as the following.
Since n, D, and S are independent lognormal random variables, hence, ln(n), ln(D), and
ln(S) are independent normal random variables. The performance function W(n, D, S) is a
linear function of normal random variables, then, by the reproductive property of normal
random variables, W(n, D, S) also is a normal random variable with the mean
W

ln(n)
2.67
ln(D)
0.5
ln(S)
4.3319
and variance
Var(W) Var[ln(n)] 2.672 Var[ln(D)] 0.52 Var[ln(S)]
The means and variances of logtransformed variables can be obtained as
Var[ln(n)] ln(1 0.052) 0.0025;
ln(n)
ln(n) 0.5 Var[ln(n)] 4.201
Var[ln(D)] ln(1 0.022) 0.0004;
ln(D)
ln(D) 0.5 Var[ln(D)] 1.0984
Var[ln(S)] ln(1 0.052) 0.0025;
ln(S)
ln(S) 0.5 Var[ln(S)] 5.2996
Then, the mean and variance of the performance function, W(n, D, S), can be com-
puted as
W
0.1520; Var(W) 0.005977
The reliability can be obtained as
p
s
P(W 0)
j
,
(
W
W
\
(
,

j
,
(
0
0
.
.
1
0
5
0
2
5
0
966
\
(
,
(1.958) = 0.975
7.3.3 Mean-Value First-Order Second-Moment (MFOSM) Method
In the firstorder secondmoment methods the performance function W(X), defined on the
7.24 Chapter Seven
basis of the load and resistance functions, g(X
L
) and h(X
R
), are expanded in a Taylor series
at a selected reference point. The second and higher order terms in the series expansion are
truncated, resulting in an approximation that requires the first two statistical moments of
the random variables. This simplification greatly enhances the practicality of the first order
methods because in many problems it is rather difficult, if not impossible, to find the PDF
of the variables while it is relatively simple to estimate the first two statistical moments.
Detailed procedures of the firstorder secondmoment method are given in Sec. 7.2.3
which describes the FOVE method for uncertainty analysis.
The MFOSM method for the reliability analysis first applies the FOVE method to esti-
mate the statistical moments of the performance function W(X). This is done by applying
the expectation and variance operators to the firstorder Taylor series approximation of
the performance function W(X), expanded at the mean values of the random variables.
Once the mean and standard deviation of W(X) are estimated, the reliability is computed
according to Eqs. (7.38) or (7.39) with the reliability index
MFOSM
computed as
MFOSM
(7.45)
where and C(X) are the vector of means and covariance matrix of the random variables
X, respectively; s
x
W() is the column vector of sensitivity coefficients with each ele-
ment representing W/X
i
evaluated at X .
Example 7.6 Referring to Example 7.5, compute the reliability that the sewer capaci-
ty could convey an inflow peak discharge of 35 ft
3
/s. Assume that stochastic model para-
meters n, D, and S are uncorrelated.
Solution: The performance function for the problem is W Q 35. From Example
7.2, the mean and standard deviation of the sewer capacity are 40.96 ft
3
/s and 3.17 ft
3
/s,
respectively. Therefore, the mean and standard deviation of the performance function W
are, respectively,
Q
35 40.96 35 5.96 ft
3
/s;
W
Q
3.17 ft
3
/s
The MFOSM reliability index is
MFOSM
5.96/3.17 1.880. Assuming a normal dis-
tribution for Q, the reliability that the sewer capacity can accommodate a discharge of 35
ft
3
/s is
p
s
= P[Q > 35] (
MFOSM
) (1.880) 0.9699
The corresponding failure probability is p
f
(1.880) 0.0301.
Ang (1973), Cheng et al. (1986), and Yeng and Ang (1971), indicated that,if the cal-
culated reliability or failure probability is in the extreme tail of a distribution, the shape of
the tails of a distribution becomes very critical. In such cases, accurate assessment of the
distribution of W(X) should be used to evaluate the reliability or failure probability.
7.3.4 Advanced First-Order Second-Moment (AFOSM) Method
The main thrust of the AFOSM method is to mitigate the deficiencies associated with the
MFOSM method, while keeping the simplicity of the firstorder approximation. The dif-
ference between the AFOSM and MFOSM methods is that the expansion point in the
firstorder Taylor series expansion in the AFOSM method is located on the failure surface
s
t
C ( X)s
7.26 Chapter Seven
FIGURE 7.4 Characteristics of design point in standardized space
defined by the limit state equation, W(x) 0.
In cases where several random variables are involved in a performance function, the
number of possible combinations of such variables satisfying W(x) 0 is infinite. From
the design viewpoint, one is more concerned with the combination of random variables
that would yield the lowest reliability or highest failure probability. The point on the fail-
ure surface associated with the lowest reliability is the one having the shortest distance in
the standardized space to the point where the means of the random variables are located.
This point is called the design point (Hasofer and Lind, 1974) or the most probable fail-
ure point (Shinozuka, 1983).
In the uncorrelated standardized parameter space, the design point in x'space is the
one that has the shortest distance from the failure surface W(x') 0 to the origin x' 0.
Such a point can be found by solving
Minimize x' = (x'
t
x')
1/2
(7.46a)
subject to W(x') 0. (7.46b)
in which x' represents the length of the vector x'. Utilizing the Lagrangian multiplier
method, the design point can be determined as
x
*
'
x
x
'
'
W
W
(
(
x
x
*
*
'
'
)
)
x
*
' x
*
'
*
(7.47)
in which
*
x'W(x'
*
)/ x'W(x'
*
) is a unit vector eminating from the design point x'
*
and
pointing toward the origin (Fig. 7.4). The elements of
*
are called the directional deriv-
atives representing the value of the cosine angle between the gradient vector
x'
W(x'
*
) and
axes of the standardized variables. Geometrically, Eq. (7.47) shows that the vector x'
*
is
perpendicular to the tangent hyperplane passing through the design point. Recall that x
i
i

i
x'
i
, for i 1, 2, , N. By the chainrule in calculus, the shortest distance, in terms
of the original variables x, can be expressed as
x
*
'
(7.48)
in which x
*
(x
1*
, x
2*
, , x
N*
)
t
is the point in the original parameter xspace, which can
be easily determined from the design point x'
*
in x'space as x
*
D
1/2
x'
*
. It is shown
in the next subsection that the shortest distance from the origin to the design point, x'
*
,
in fact, is the reliability index based on the firstorder Taylor series expansion of the per-
formance function W(X) with the expansion point at x
*
.
7.3.4.1 First-order approximation of performance function at design point. Referring
to Eq. (7.12), the firstorder approximation of the performance function, W(X), taking the
expansion point x
o
x
*
, is
W(X)
N
i 1
s
i*
(X
i
x
i*
) s
*
t
(X x
*
) (7.49)
in which s
*
(s
1*
, s
2*
, , s
N*
)
t
is a vector of sensitivity coefficients of the performance
function W(X) evaluated at the expansion point x
*
, that is,
s
i*
,
,
W
X
(X
i
)
X x*
W(x
*
) is not on the righthandside of Eq. (7.49) because W(x
*
) 0. Hence, at the
expansion point x
*
, the expected value and the variance of the performance function W(X)
can be approximated as
W
s
t
*
( x
*
) (7.50)
2
W
s
t
*
C(X) s
*
(7.51)
in which and C(X) are the mean vector and covariance matrix of the random variables,
respectively. If the random variables are uncorrelated, Eq. (7.51) reduces to
W
2
N
i 1
s
i
2
*

2
i
(7.52)
in which
i
is the standard deviation of the i
th
random variable.
When the random variables are uncorrelated, the standard deviation of the perfor-
mance function W(X) can alternatively be expressed in terms of the directional deriva-
tives as
N
i 1
i*
s
i*

i
(7.53)
where
i*
is the directional derivative for the i
th
random variable at the expansion point x
*
N
i 1
j
,
(
W
x
(
i
x)
\
(
,
x
*
(
i
x
i*
)
N
j
j
,
(
W
x
(
i
x)
\
(
,
2
x
2
i

i*
, i 1, 2, , N (7.54a)
or in matrix form
D
D
1
1
/2
/2
x
x
W
W
(
(
x
x
*
*
)
)
(7.54b)
which is identical to the definition of
*
in Eq. (7.47). With the mean and standard devi-
ation of the performance function W(X) computed at x
*
, the AFOSM reliability index
AFOSM
, given in Eq. (7.37), can be determined as
AFOSM

W
W
(7.55)
Equation (7.55) is identical to Eq. (7.48), indicating that the AFOSM reliability index
B
AFOSM
is identical to the shortest distance from the origin to the design point in the stan-
dardized parameter space. This reliability index
AFOSM
is also called the HasoferLind
reliability index.
Once the value of
AFOSM
is computed, the reliability can be estimated by Eq. (7.39) as
p
s
(
AFOSM
). Since
AFOSM
x'
*
, the sensitivity of
AFOSM
with respect to the uncor-
related, standardized random variables is
x
'
AFOSM
x
' x'
*

x
x
'
'
*
*

*
(7.56)
Equation (7.56) shows that
i*
is the rate of change in
AFOSM
due to a 1 standard
deviation change in random variable X
i
at X x
*
. Therefore, the relation between
x'

and
x
can be expressed as
x
'
AFOSM
D
1/2
x
'
AFOSM
D
1/2
*
(7.57)
It also can be shown that the sensitivity of reliability or failure probability with respect
to each random variable can be computed as
j
,
(
X
p
i
s
'
\
(
,
x
'
*

i*
(
AFOSM
);
j
,
(
X
p
s
i
\
(
,
x
'
*
i*
(
i
AFOSM
)
; i 1, 2, , N (7.58a)
in which () is the standard normal PDF or in matrix form as
x' *
p
s
(
AFOSM
)
*
(7.58b)
x*
p
s
(
AFOSM
)
x
*
AFOSM
(
AFOSM
) D
1\2
These sensitivity coefficients reveal the relative importance of each random variable on
reliability or failure probability.
7.3.4.2 Algorithms of AFOSM for independent normal parameters. In the case that X
are independent normal random variables, standardization of X reduces them to indepen-
dent standard normal random variables Z' with mean 0 and covariance matrix I with I
N
i 1
s
i*
(
i
x
i*
)
N
i 1
i*
s
i*

i
s
i*

i
N
j
j
2
*
2
j
7.28 Chapter Seven

being an N N identity matrix. Hasofer and Lind (1974) proposed the following recur-
sive equation for determining the design point z'
*
z'
(r 1)
[
t
(r)
z'
(r)
]
(r)
W
z
'
W
(z'
(
(r
z
)
)
'
(r)
)
(r)
, r 1, 2, (7.59)
in which subscripts (r) and (r 1) represent the iteration numbers; denotes the unit
gradient vector of the failure surface pointing to the failure region. It would be more cove-
nient to rewrite the above recursive equation in the original xspace as
x
(r 1)
D s
(r)
, r 1, 2 3, (7.60)
Based on Eq. (7.60), the HasoferLind algorithm for the AFOSM reliability analysis
for problems involving uncorrelated, normal random variables can be outlined as follows.
Step 1. Select an initial trial solution x
(r)
.
Step 2. Compute W(x
(r)
) and the corresponding sensitivity coefficient vector s(r).
Step 3. Revise solution point x
(r 1)
according to Eq. (7.60).
Step 4. Check if x
(r)
and x
(r 1)
are sufficiently close. If yes, compute the reliability index
AFOSM
according to Eq. (7.55) and the corresponding reliability p
s
(
AFOSM
),
then, go to Step 5; otherwise, update the solution point by letting x
(r)
x
(r 1)
and
return to Step 2.
Step 5. Compute the sensitivity of reliability index and reliability with respect to changes
in random variables according to Eqs. (7.56), (7.57), and (7.58).
Because of the nature of nonlinear optimization, the above algorithm does not neces-
sarily converge to the true design point associated with the minimum reliability index.
Therefore, Madsen et al. (1986) suggest that different initial trial points are used and the
smallest reliability index is chosen to compute the reliability.
Sometimes, it is possible that a system might have several design points. Such a con-
dition could be due to the use of multiple performance functions or the performance func-
tion is highly irregular in shape. In the case that there are J such design points, the relia-
bility of the system requires that, at all design points, the system performs satisfactorily.
Assuming independence of the occurrence of individual design point, the reliability of the
system is the survival of the system at all design points which can be calculated as
p
s
[ (
AFOSM
)]
J
(7.61)
Example 7.7 (uncorrelated, normal). Refer to the data as shown below for the storm
sewer reliability analysis in previous examples.
Parameter Mean Coefficient of Variation
n (ft
1/6
) 0.015 0.05
D (ft) 3.0 0.02
S (ft/ft) 0.005 0.05
Assume that all three random variables are independent, normal random variables.
Compute the reliability that the sewer can convey an inflow discharge of 35 ft
3
/s by the
HasoferLind algorithm.
[x
(r)
]
t
s
(r)
W(x
(r)
)
s
t
(r)
D s
(r)
Solution: The initial solution is taken to be the means of the three random variables,
namely, x
(1)
(
n
,
D
,
S
)
t
(0.015, 3.0, 0.005)
t
. The covariance matrix for the three
random variables are
D =

Because the origin (n, D, S) (0, 0, 0) is located in the failure region compared to the
target of 35 ft
3
/s as opposed to the safe region used in the mathematical derivations, a neg-
ative sign must be applied to the performance function Q
C
Q
L
as
W(n, D, S) (Q
C
Q
L
) 0.463 n
1
D
8/3
S
1/2
35
At x
(1)
, the value of the performance function W(n, D, S) 6.010 which is not equal
to zero. This implies that the solution point x
(1)
does not lie on the limit state surface. By
Eq. (7.64) the new solution, x
(2)
, can be obtained as x
(2)
(0.01592, 2.921, 0.004847).
Then, one checks the difference between the two consecutive solution points as
x
(1)
x
(2)
[(0.01592 0.015)
2
(2.9213.0)
2
(0.004847 0.005)
2
]
0.5
0.07857
which is considered large and, therefore, the iteration continues. The following table lists
the solution point, x
(r)
, its corresponding sensitivity vector, s
(r)
, and the vector of direc-
tional derivatives,
(r)
, in each iteration. The iteration stops when the difference between
the two consecutive solutions is less than 0.001 and the value of the performance function
is less than 0.001.
Iteration Variable x
(r)
s
(r)

(r)
x
(r1)
r 1 n 0.1500E 01 0.2734E 04 0.6468E 00 0.1592E 0 01
D 0.3000E 01 0.3650E 02 0.6907E 00 0.2921E 0 01
S 0.5000E 02 0.4101E 04 0.3234E 00 0.4847E 0 02
diff .7857E 01 W .6010E 01 0.0000E 00
r 2 n 0.1592E 01 0.2226E 04 0.6138E 00 0.1595E 0 01
D 0.2921E 01 0.3239E 02 0.7144E 00 0.2912E 0 01
S 0.4847E 02 0.3656E 04 0.3360E 00 0.4827E 0 02
diff 0.9584E 02 W 0.4421E 00 0.1896E 01
r 3 n 0.1595E 01 0.2195E 04 0.6118E 00 0.1594E 0 01
D 0.2912E01 0.3209E 02 0.7157E 00 0.2912E 01
S 0.4827E 02 0.3625E 04 0.3369E 00 0.4827E 02
diff 0.1919E 03 W 0.2151E 02 0.2056E 01
r 4 n 0.1594E 01 0.2195E 04 0.6119E 00 0.1594E 01
D 0.2912E 01 0.3210E 02 0.7157E 00 0.2912E 01
S 0.4827E 02 0.3626E 04 0.3369E 00 0.4827E 02
diff 0.3721E 05 W 0.2544E 06 0.2057E 01
After four iterations, the solution converges to the design point x
*
(n
*
, D
*
, S
*
)
(0.01594, 2.912, 0.004827). At the design point x
*
, the mean and standard deviation of the
performance function W can be estimated, by Eqs. (7.50) and (7.53), respectively, as
0.00075
2
0 0
0 0.06
2
0
0 0 0.00025
2
2
n
0 0
0
2
D
0
0 0
2
S
7.30 Chapter Seven
W*
5.536 and
W*
2.691
The reliability index can be computed as
*

W*
/
W*
2.057 and the correspond-
ing reliability and failure probability can be computed, respectively, as
p
s
(
*
) 0.9802; p
f
1 p
s
0.01983
Finally, at the design point x
*
, the sensitivity of the reliability index and it reliability
with respect to each of the three random variables can be computed by Eqs. (7.57) and
(7.58). The results are shown in columns (4)(7) of the table below.
Variable x
*
/x
i
' p
s
/x
i
' /x
i
p
s
/x
i
x/x
i
x
i
p
s
/p
s
x
i
(1) (2) (3) (4) (5) (6) (7) (8) (9)
n 0.01594 0.6119 0.6119 0.02942 815.8 39.22 6.323 0.638
D 2.912 0.7157 0.7157 0.03441 11.9 0.57 16.890 1.703
S 0.00483 0.3369 0.3369 0.01619 1347.0 64.78 3.161 0.319
From the above table, the quantities /x' and p
s
/x' show the sensitivity of the reli-
ability index and the reliability for a onestandarddeviation change in the random vari-
ables whereas /x and p
s
/x correspond to a one unit change of random variables in
the original space. The sensitivity of and p
s
associated with Mannings roughness is neg-
ative whereas those for pipe size and slope are positive. This indicates that an increase in
Mannings roughness would result in a decrease in and p
s
, whereas an increase in slope
and/or pipe size would increase and p
s
.The indication is physically plausible because an
increase in Mannings roughness would decrease the flow carrying capacity of the sewer
whereas, on the other hand, an increase in pipe diameter and/or pipe slope would increase
the flow carrying capacity of the sewer.
Furthermore, one can judge the relative importance of each random variable based on
the absolute values of sensitivity coefficients. It is generally difficult to draw meaningful
conclusion based on the relative magnitude of /x and p
s
/x because units of different
random variables are not the same. Therefore, sensitivity measures not affected by the
dimension of the random variables such as /x' and p
s
/x' are generally more useful.
With regard to change in or p
s
per one standard deviation change in each variable X, for
example, pipe diameter is significantly more important than the pipe slope.
An alternative sensitivity measure, called the relative sensitivity, is defined as
s
i%
x
y
i
/
/
y
x
i
j
,
(
x
y
i
\
(
,
j
,
(
x
y
i
\
(
,
, i 1, 2, , N (7.62)
in which s
i%
is a dimensionless quantity measuring the percentage change in the depen-
dent variable y due to 1 percent change in the variable x
i
. The last two columns of the table
given above show the percentage change in and p
s
due to 1 percent change in Mannings
roughness, pipe diameter, and pipe slope. As can be observed, the pipe diameter is the
most important random variable in Mannings formula affecting the reliability of the flow
carrying capacity of the sewer.
7.3.4.3 Treatment of correlated normal random variables. When some of the random
variables involved in the performance function are correlated, transformation of correlat-
ed variables to uncorrelated ones is made. This can be achieved through the orthogonal
transformation such as the spectral decomposition described above.
Consider that the original random variables are multivariate normal random variables.
The original random variables X can be transformed to uncorrelated, standardized normal
variables Z' as
Z'
x
1/2
V
x
t
D
1/2
(X
x
) (7.63)
in which
x
and V
x
are, respectively, the eigenvalue matrix and eigenvector matrix corre-
sponding to the correlation matrix R(X).
In the transformed domain as defined by Z', the directional derivatives of the perfor-
mance function in z'space,
z'
, can be computed, according to Eq. (7.47), as
z'
z
z
'
'
W
W
(
(
z
z
'
'
)
)
(7.64)
in which the vector of sensitivity coefficients in Z'space, s
z'

z'
W(z'), can be obtained
from
x
W(x) through the chainrule of calculus as
s
z'

z'
W(z') D
1/2
V
x

x
1/2
x
W(x) D
1/2
V
x

x
1/2
s
x
(7.65)
in which s
x
is the vector of sensitivity coefficients of the performance function with
respect to the original random variables X.
After the design point is found, one also is interested in the sensitivity of the relia-
bility index and failure probability with respect to changes in the involved random
variables. In the uncorrelated, standardized normal Z'space, the sensitivity of and p
s
with respect to Z' can be computed by Eqs. (7.57) and (7.58) with X' replaced by Z'.
The sensitivity of with respect to X in the original parameter space then can be
obtained as
x

,
,
Z
X
i
j
'
z
'
1/2
V
x
t
D
x
1/2
z'

1/2
V
x
t
D
x
1/2
z
' (7.66)
from which the sensitivity for p
s
can be computed by Eq. (7.58b). The procedure for
HasoferLind's approach to handle the case of correlated normal variables is given
below.
Step 1. Select an initial trial solution x
(r)
.
Step 2. Compute W(x
(r)
) and the corresponding sensitivity coefficient vector s
x
,(r).
Step 3. Revise solution point x
(r 1)
according to
x
(r 1)

x
C(X) s
x,(r)
. (7.67)
Step 4: Check if x
(r)
and x
(r 1)
(r)
according to
AFOSM
[(x
*

x
)
t
C(X)
1
(x
*

x
)]
1/2
(7.68)
and the corresponding reliability p
s
(
AFOSM
), then, go to Step 5; otherwise,
update the solution point by letting x
(r)
x
(r 1)
and return to Step 2.
Step 5. Compute the sensitivity of reliability index and reliability with respect to changes
in random variables at the design point x
*
.
[x
(r)

x
]
t
s
(r)
W(x
(r)
)
s
x
t
,(r)
C(X) s
x, (r)
7.32 Chapter Seven
Example 7.8 (Correlated, normal). Refer to the data in Example 7.7 for the storm
sewer reliability analysis problem. Assume that Mannings roughness (n) and pipe diam-
eter (D) are dependent normal random variables having a correlation coefficient of 0.75.
Furthermore, the pipe slope (S) also is a normal random variable but is independent of
Mannings roughness and pipe size. Compute the reliability that the sewer can convey an
inflow discharge of 35 ft
3
/s by the HasoferLind algorithm.
Solution. The initial solution is taken as the means of the three random variables,
namely, x
(1)
(
n
,
D
,
S
)
t
( 0.015, 3.0, 0.005)
t
. Since the random variables are cor-
related normal random variables with a correlation matrix as
R (X) =

by the spectral decomposition, the eigenvalue matrix associated with the correlation
matrix R (X) is
x
diag (1.75, 0.25, 1.00) and the corresponding eigenvector matrix
V
x
is
V
X
=

At x
(1)
( 0.015, 3.0, 0.005)
t
, the sensitivity vector of the performance function
W(n, D, S) (Q
C
Q
L
) 0.463 n
1
D
2.67
S
1/2
35
is
s
x,(1)
W
n
W
D
W
S
t
(2734, 36.50, 4101 )
t
and the value of the performance function W(n, D, S) 6.010, which is not equal to
zero. This indicates that the solution point x
(1)
does not lie on the limit state surface.
Applying Eq. (7.67), the new solution, x
(2)
, can be obtained as x
(1)
(0.01569, 2.900,
0.004885). Then, checking the difference between the two consecutive solutions as
x
(1)
x
(2)
[(0.01569 0.015)
2
(2.9 3.0)
2
(0.004885 0.005)
2
]
0.5
0.1002.
This is considered to be large and therefore the iteration continues. The following table
lists the solution point, x
(r)
, its corresponding sensitivity vector, s
x,(r)
, and the vector of
directional derivatives,
z',(r)
, in each iteration. The iteration stops when the Euclidean dis-
tance between the two consecutive solution points is less than 0.001 and the value of the
performance function is less than 0.001.
Iter Var x
(r)
s
(r)

(r)
x
(r 1)
r 1 n 0.1500E 01 0.2734E 04 0.1237E 01 0.1569E 01
D 0.3000E 01 0.3650E 02 0.9999E 00 0.2900E 01
0.7071 0.7071 0.0000
0.7071 0.7071 0.0000
0.0000 0.0000 1.0000
1.00 0.75 0.00
0.75 1.00 0.00
0.00 0.00 1.00
1.0
n,D

n,S
n,D
1.0
D,s
n,S

D,s
1.0
S 0.5000E 02 0.4101E 04 0.6647E 02 0.4885E 02
diff 7857E 01 W 0.6010E01 0.000E00
r 2 n 0.1569E 01 0.2256E 04 .1236E 01 0.1572E 01
D 0.2900E 01 0.3259E 02 .9999E 00 0.2891E 01
S 0.4885E 02 0.3623E 04 .7113E 02 0.4872E 02
diff 0.8906E 02 W 0.3972E 00 0.1804E 01
r 3 n 0.1572E 01 0.2227E 04 .1236E 01 0.1571E 01
D 0.2891E 01 0.3233E 02 .9999E 00 0.2891E 01
S 0.4872E 02 0.3592E 04 .7144E 02 0.4872E 02
diff 0.1120E03 W .1769E 02 0.1987E 01
r 4 n 0.1571E 01 0.2227E 04 0.1236E 01 0.1571E 01
D 0.2891E 01 0.3233E 02 0.9999E 00 0.2891E 01
S 0.4872E 02 0.3592E 04 0.7144E 02 0.4872E 02
diff 0.9467E 06 W 0.6516E 07 0 .1991E 01
After four iterations, the solution converges to the design point x
*
(n
*
, D
*
, S
*
)
t
(0.01571, 2.891, 0.004872)

t
. At the design point x
*
, the mean and standard deviation of the
performance function W can be estimated, by Eqs. (7.50) and (7.53), respectively, as
W*
5.580 and
W*
3.129
The reliability index then can be computed as
*

W*
/
W*
1.991 and the corre-
sponding reliability and failure probability can be computed, respectively, as
p
s
(
*
) 0.9767; p
f
1 p
s
0.02326.
Finally, at the design point x
*
, the sensitivity of the reliability index and reliability with
respect to each of the three random variables can be computed by Eqs. (7.57), (7.58),
(7.66), and (7.62). The results are shown in the following table:
Variable x
i

*i
/z
i
p
s
/z
i
/x
i
p
s
/x
i
x
i
/x
i
p
s
x
i
/p
s
x
i
(1) (2) (3) (4) (5) (6) (7) (8) (9)
n 0.01571 0.0124 0.0124 0.00068 17.72 0.9746 0.1399 0.01568
D 2.891 0.9999 0.9999 0.05500 0.26 0.0142 0.3734 0.04186
S 0.004870.0071 0.0071 0.00039 28.57 1.5720 0.0699 0.00784
The sensitivity analysis indicates similar information about the relative importance of the
random variables as in Example 7.7.
7.3.4.4 Treatment of non-normal random variables. When nonnormal random vari-
ables are involved, it is advisable to transform them into equivalent normal variables.
Rackwitz (1976) and Rackwitz and Fiessler (1978) proposed an approach which trans-
forms a nonnormal distribution into an equivalent normal distribution so that the value
7.34 Chapter Seven
of the CDF of the transformed equivalent normal distribution is the same as that of the
original nonnormal distribution at the design point x
*
. Later, Ditlvesen (1981) provided
the theoretical proof of the convergence property of the normal transformation in the reli-
ability algorithms searching for the design point. Table 7.7 presents the normal equivalent
for some commonly used nonnormal distributions in the reliability analysis.
By the Rackwitz (1976) approach, the normal transform at the design point x
*
satisfies
the following condition:
F
i
(x
i*
)
j
,
(
x
i*
i*N
i*N
\
(
,
(z
i*
), i 1, 2, , N (7.69)
in which F
i
(x
i*
) is the CDF of the random variable X
i
having a value at x
i*
;
i*N
, and
i*N
are the mean and standard deviation of the normal equivalent for the i
th
random variable
at X
i
x
i*
; respectively and z
i*
1
[F
i
(x
i*
)] is the standard normal quantile. Equation
(7.69) indicates that the cumulative probability of both the original and normal trans-
formed spaces must be preserved. From Eq. (7.69), the following equation is obtained:
i*N
x
i*
z
i*

i*N
(7.70)
Note that
i*N
and
i*N
are functions of the expansion point x
*
. To obtain the normal
equivalent standard deviation, one can take the derivative of both sides of Eq. (7.69) with
respect to x
i
resulting in
f
i
(x
i*
)
1
i*N

j
,
(
x
i*
i*N
i*N
\
(
,
(
i
z
*
i
N
*
)
in which f
i
() and () are the PDFs of the random variable X
i
and the standard normal vari-
able Z
i
, respectively. From the above equation, the normal equivalent standard deviation
i*N
can be computed as
i*N
f
i
(
(
x
z
i
i
*
*
)
)
(7.71)
Therefore, according to Eqs. (7.70) and (7.71), the mean and standard deviation of the
normal equivalent of the random variable X
i
at any expansion point x
*
can be calculated.
It should be noted that the above normal transformation utilizes only the marginal dis-
tributions of the stochastic variables without considering their correlations. Therefore, it
is, in theory, suitable for problems involving independent nonnormal random variables.
When random variables are nonnormal and correlated, additional considerations must be
given in the normal transformation and they are described in the next subsection.
To incorporate the normal transformation for nonnormal, uncorrelated random vari-
ables, the iterative algorithms described previously for the AFOSM reliability method can
be modified as follows.
Step 1: Select an initial trial solution x
(r)
.
Step 2: Compute W(x
(r)
) and the corresponding sensitivity coefficient vector s
x,(r)
.
Step 3: Revise solution point x
(r 1)
according to Eq. (7.60) with the means and standard
deviations of nonnormal random variables replaced by their normal equivalents,
that is,
x
(r 1)

,(r)
D
,(r)
s
x,(r)
(7.72)
(x
(r)

,(r)
)
t
s
x,(r)
W(x
(r)
)
s
x,(r)
D
,(r)
s
x,(r)
7.36 Chapter Seven
T
A
B
L
E

7
.
7
N
o
r
m
a
l

E
q
u
i
v
a
l
e
n
t

f
o
r

S
o
m
e

C
o
m
m
o
n
l
y

U
I
s
e
d

N
o
n
N
o
r
m
a
l

D
i
s
a
t
r
i
b
u
t
i
o
n
s
.
D
i
s
t
r
i
b
u
t
i
o
n

o
f

X
P
D
F
,
f
x
(
x
*
)
E
q
u
i
v
a
l
e
n
t

S
t
a
n
d
a
r
d

N
o
r
m
a
l

V
a
r
i
a
b
l
e
N
Z
N
1
[
F
x
(
X
*
)
L
o
g
n
o
r
m
a
l
e
x
p

, ,
1 2
j , (
l
n
(
x
*
)
l
n
X
l
n
X
\ ( ,
2
] ] ]
,
x
>
0
l
n
(
x
*
)
l
n
X
l
n
X
s
*
l
n
X
S
h
i
f
t
e
d

e
x
p
o
n
e
n
t
i
a
l
(
x
*
x
o
)
,
x
x
o
1
, ,
1
(
x
*
x
0
)
] ] ]

1
2
e
x
p

, ,
(
x
*
x
o
)
] ] ]
G
a
m
m
a
,
x
*
1
, ,
1
(
x
*

)
\ ( ] ] ]

1
j
(
x
*
j
!
)
]
j

f
x
(
(
Z
x
N *
)
)
T
y
p
e

1

e
x
t
e
r
n
a
l

(
m
a
x
)
1
e
x
p

, ,
j , (
x
\ ( ,
e
x
p

j , (
x
\ ( ,
] ] ]
,
1
, ,
e
x
p

, ,
e
x
p

j , (
\ ( ,
] ] ]
] ] ]

f
x
(
(
Z
x
N *
)
)
T
r
i
a
n
g
u
l
a
r
b
2
a
j , (
x m
*

a a
\ ( ,
,
a
1
, ,
(
b
(
x
a
*
)
(
m
a
)
2
a
)
] ] ]
,
a
m

f
x
(
(
Z
x
N *
)
)
2
a
j , (
b x

b m
*
\ ( ,
,
m
1
, ,
1
(
b
(
x
a
)
(
b b
*
)
2
m
)
] ] ]
,
m
b
U
n
i
f
o
r
m
f
(
x
)
1
a
,
a
1
j , (
x
b
*
a
a
\ ( ,
(
b
a
)
(
Z
N
)
(
x
*
)
]
1
e
(
x
*
)
Z
N 2
2
1
l
n
x
S
o
u
r
c
e
:
F
r
o
m

Y
e
n

e
t

a
l
.
,
1
9
8
6
.

I
n

a
l
l

c
a
s
e
s

x
*
z
N
N
.
in which the subscript stands for statistical properties in equivalent normal
space.
Step 4: Check if x
(r)
and x
(r 1)
AFOSM
according to Eq. (7.55) and the corresponding reliability p
s
(
AFOSM
),
then, go to Step 5; otherwise, update the solution point by letting x
(r)
x
(r 1)
and return to Step 2.
Step 5: Compute the sensitivity of reliability index and reliability with respect to
changes in random variables according to Eqs. (7.57) and (7.58) with D replaced
by D
at the design point x

*
.
7.3.4.5 AFOSM reliability analysis for non-normal, correlated random variables. For
most practical engineering problems, parameters involved in load and resistance functions
are correlated, nonnormal random variables. Such distributional information has impor-
tant implications on the results of reliability computation, especially on the tail of the
probability distribution of the system performance function. The procedures of the
Rackwitz normal transformation and orthogonal decomposition described previously can
be integrated in the AFOSM reliability analysis.
For correlated non normal variables, Der Kiureghian and Liu (1985) and Liu and Der
Kiureghian (1986) developed a normal transformation that preserve the marginal proba-
bility contents and the correlation structure of multivariate nonnormal random variables.
More specifically, their approach considers that each nonnormal random variable can be
transformed to the corresponding standard normal variable as
Z
i

1
,
,
F
X
i
(X
i
)
]
]
]
for i 1, 2, , N (7.73)
Furthermore, the correlation between a pair of nonnormal random variables is pre-
served in the standard normal space by Nataf's bivariate distribution model as
ij

j
,
(
x
i
\
(
,
j
,
(
x
j
\
(
,
ij
(z
i
, z
j

ij
) dz
i
dz
j
(7.74)
in which
ij
and
ij
*are, respectively, the correlation coefficient of random variables X
i
and X
j
in the original and normal transformed space; and x
i
F
1
Xi
[(z
i
)].
For a pair of nonnormal random variables, X
i
and X
j
, with known marginal PDFs and
correlation coefficient,
ij
, Eq. (7.74) can be applied to solve for
ij
*. To avoid the required
computation for solving
ij
* in Eq. (7.74), Der Kiureghian and Liu (1985) developed a set
of semiempirical formulas as
ij
T
ij

ij
(7.75)
in which T
ij
is a transformation factor depending on the marginal distributions and corre-
lation of the two random variables under consideration. In the case that the pair of random
variables considered are both normal, the transformation factor, T
ij
, has a value of 1. Given
the marginal distributions and correlation for a pair of random variables, the formulas of
Der Kiureghian and Liu (1985) compute the corresponding transformation factor, T
ij
, to
obtain the equivalent correlation
ij
*
as if the two random variables were bivariate normal
random variables. After all pairs of random variables are treated, the correlation matrix in
the correlated normal space, R(Z), is obtained.
Ten different marginal distributions commonly used in reliability computations were
considered by Der Kiureghian and Liu (1985) and are tabulated in Table 7.8. For each com-
bination of two distributions, there is a corresponding formula. Therefore, a total of 54 for-
mulas for 10 different distributions were developed which are divided into five categories as
shown in Fig. 7.5. The complete forms of these formulas are given in Table 7.9. Due to the
semiempirical nature of the equations in Table 7.9, there is a slight possibility that the result-
ing
ij
*
may violate its valid range when the original
ij
is close to 1 or 1. An algorithm for
the AFOSM reliability analysis based on the transformation of Der Kiureghian and Liu for
problems involving multivariate nonnormal random variables can be found in Tung (1996).
The normal transformation of Der Kiureghian and Liu (1985) preserves only the margin-
al distributions and the secondorder correlation structure of the correlated random variables
which are partial statistical features of the complete information repesentable by the joint dis-
tribution function. Regardless of its approximate nature, the normal transformation of Der
Kiureghian and Liu, in most practical engineering problems, represents the best approach to
treat the available statistical information about the correlated random variables. This is
because, in reality, the choices of multivariate distribution functions for the correlated random
variables are few as compared to the univariate distribution functions. Furthermore, the
derivation of a reasonable joint probability distribution for a mixture of correlated nonnor-
mal random variables is difficult, if not impossible.
7.3.5 Monte Carlo Simulation Methods
Monte Carlo simulation is the general purpose method to estimate the statistical proper-
ties of a random variable that is related to a number of random variables which may or
7.38 Chapter Seven
FIGURE 7.5 Categories of the Normal Transformation Factor, T
ij
(From Kiureghian
and Liu, 1985)
TABLE 7.8 Definitions of Distributions Used in Fig. 7.5 and Table 7.9
Distributions PDF Moments and Parameters Rlaios
Normal
2
1

e
(x
2
2
)
2
Uniform
b
1
a
a
2
b
;
2
(b
12
a)
2
Shifted exponential e
(x x
0
)

x
0
;
2
1
2
Shifted Rayleigh 1.253 x

0
0.655136
Type I largest
(x
)
e
0.5772
(Gumbel)
6
; 1.1396
Type I Smallest
(x
x)
e
0.5772

6
; 1.1396
Lognormal
2
1
x
lnX
e

1
2
(
ln (x
)
ln
lnX
)
2
lnX
ln (
X
)

1
2

lnX
2
lnX
ln
,
,
1
j
,
(
X
X
\
(
,
2]
]
]
Gamma
;
2
Type II largest
j
,
(
\
(
,
1
e
(
x
)

j
,
(
1
\
(
,
2

2
,
,
j
,
(
1
\
(
,

2
j
,
(
1
\
(
,
]
]
]
Type III smallest
j
,
(
\
(
,
1
e
(
x

j
,
(
1
\
(
,
2

2
,
,
j
,
(
1
\
(
,

2
j
,
(
1
\
(
,
]
]
]
Source: From Der Kiureghian and Liu (1985).
(x )
1
e
(x )
(x x)
(x x)
(x x
0
) e
1
2
x
0
)
2
2
7.40 Chapter Seven
T
A
B
L
E

7
.
9
S
e
m
i
e
m
p
i
r
i
c
a
l

N
o
r
m
a
l

T
r
a
n
s
f
o
r
m
a
t
i
o
n

F
o
r
m
u
l
a
s

(
a
)

C
a
t
e
g
o
r
y

1

o
f

t
h
e

t
r
a
n
s
f
o
r
m
a
t
i
o
n

f
a
c
t
o
r

T
i
j
i
n

F
i
g
.

7
.
5
*
U
E
R
T
1
L
T
1
S
N
T
i
j
c
o
n
s
t
a
n
t
1
.
0
2
3
1
.
1
0
7
1
.
0
1
4
1
.
0
3
1
1
.
0
3
1
M
a
x
.

e
r
r
o
r
0
.
0
%
0
.
0
%
0
.
0
%
0
.
0
%
0
.
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%
*
d
i
s
t
r
i
b
u
t
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o
n

i
n
d
i
c
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s

a
r
e

:
E

S
h
i
f
t
e
d

E
x
p
o
n
e
n
t
i
a
l
;

N

N
o
r
m
a
l
;
R
S
h
i
f
t
e
d

R
a
y
l
e
i
g
h
;

T
1
L

T
y
p
e
1

L
a
r
g
e
s
t

V
a
l
u
e
;

T
1
S

T
y
p
e
1

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m
a
l
l
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s
t

V
a
l
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e
.

U

U
n
i
f
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r
m
.
(
b
)

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a
t
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g
o
r
y

2

o
f

t
h
e

t
r
a
n
s
f
o
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m
a
t
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n

f
a
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T
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j
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n

F
i
g
.

7
.
5
*
L
G
T
2
L
T
3
S
N
T
i
j
f

(
j
)
1
.
0
0
1
1
.
0
0
7
0
.
1
1
8
j
2
1
.
0
3
0
0
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2
3
8
0
.
3
6
4
2
j
1
.
0
3
1
0
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1
9
5
0
.
3
2
8
22
M
a
x
.

e
r
r
o
r
E
x
a
c
t
0
.
0
%
0
.
1
%
0
.
1
%
*
j
i
s

t
h
e

c
o
e
f
f
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c
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f

v
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f

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j
t
h
v
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b
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d
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s
t
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b
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t
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o
n

i
n
d
i
c
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s

a
r
e
:
G

G
a
m
m
a
;

L
=
L
o
g
n
o
r
m
a
l
;

N

N
o
r
m
a
l
;

T
2
L

T
y
p
e
2

L
a
r
g
e
s
t

v
a
l
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e
;

T
3
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T
y
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m
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t

V
a
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.
l
n
2
j
)
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o
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:
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r

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i
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g
h
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n

a
n
d

L
i
u

(
1
9
8
5
)
T
A
B
L
E

7
.
9
(
c
o
n
t
i
n
u
e
d
)
(
c
)

C
a
t
e
g
o
r
y

3

o
f

t
h
e

T
r
a
n
s
f
o
r
m
a
t
i
o
n

F
a
c
t
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r

T
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j
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n

F
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g
.

7
.
5
U
E
R
T
1
L
T
1
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T
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f
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3
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r
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0
%
0
.
0
%
0
.
0
%
E
T
i
j
f
(
i
j
)
1
.
2
2
9

0
.
3
6
7
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j

0
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1
5
3
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j
2
1
.
1
2
3

0
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1
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j

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4
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a
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T
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f
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6

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6
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2
M
a
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r
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0
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0
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T
1
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T
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f
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1
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6
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9
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j
2

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2
1
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2
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a
x
.

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r
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0
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1
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j
f
(
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9
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0
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5
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2
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a
x
.

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r
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r
0
.
0
%
*
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j
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s

t
h
e

c
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r
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a
t
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n

c
o
e
f
f
i
c
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e
n
t

b
e
t
w
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e
n

t
h
e

i
t
h

v
a
r
i
a
b
l
e

a
n
d

t
h
e

j
t
h

v
a
r
i
a
b
l
e
;

d
i
s
t
r
i
b
u
t
i
o
n

i
n
d
i
c
e
s

a
r
e
:
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s
h
i
f
t
e
d

e
x
p
o
n
e
n
t
i
a
l
;

R
s
h
i
f
t
e
d

R
a
y
l
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g
h
;

T
1
L
T
y
p
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1

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a
r
g
e
s
t

V
a
l
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e
;

T
1
S
T
y
p
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1

S
m
a
l
l
e
s
t

V
a
l
u
e
;

U
U
n
i
f
o
r
m
.
7.42 Chapter Seven
T
A
B
L
E

7
.
9
(
c
o
n
t
i
n
u
e
d
)
(
d
)

C
a
t
e
g
o
r
y

4

o
f

t
h
e

T
r
a
n
s
f
o
r
m
a
t
i
o
n

F
a
c
t
o
r

T
i
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n

F
i
g
.

7
.
5
|
|
L
G
R
T
2
L
T
3
S
U
T
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j
f
(
i
j
,
j
)
1
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1
9

0
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1
4
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j
2
0
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4
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3
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2
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9
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5
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2
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.

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r
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0
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3
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3
%
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c
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d

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j
t
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7.44 Chapter Seven
may not be correlated. In Monte Carlo simulation, the values of stochastic parameters are
generated according to their distributional properties. The generated parameter values are
used to compute the value of performance function. After a large number of simulated
realizations of performance function are generated, the reliability of the structure can be
estimated by computing the ratio of the number of realizations with W 0 to the total
number of simulated realizations.
The major disadvantage of Monte Carlo simulation is its computational intensiveness.
The number of sample realizations required in simulation to accurately estimate the risk
depends on the magnitude of the unknown risk itself. In general, as the failure probability
value gets smaller, the required number of simulated realizations increases. Therefore, some
variations of Monte Carlo simulation to accurately estimate the failure probability while
reducing excessive computation time have been developed. They include stratified sampling
and Latin hypercubic sampling (McKay et al., 1979), importance sampling (Harbitz, 1983;
Schueller and Stix, 1986), and the reduced space approach (Karamchandani, 1987).
7.4 RISK-BASED DESIGN OF HYDRAULIC STRUCTURES
Reliability analysis methods can be applied to design hydraulic structures with or without
considering risk costs. Risk costs are the cost items incurred due to the unexpected failure
of the structures and they can be broadly classified into tangible and intangible costs.
Tangible costs are those measurable in terms of monetary units which include damage to
properties and structures, loss in business, cost of repair, and so forth. On the other hand,
intangible costs are not measurable by monetary units such as psychological trauma, loss
of lives, social unrest, and others.
Risk-based design of hydraulic structures integrates the procedures of uncertainty and
reliability analyses in the design practice. The risk-based design procedure considers trade
offs among various factors such as failure probability, economics, and other performance
measures in hydraulic structure design. Plate and Duckstein (1987, 1988) list a number of
performance measures, called the figures of merit in the risk-based design of hydraulic
structures and water resource systems, which are further discussed by Plate (1992). When
the risk-based design is embedded into an optimization framework, the combined proce-
dure is called the optimal risk-based design.
7.4.1 Basic Concept
The basic concept of risk-based design is shown schematically in Fig. 7.6. The risk func-
tion accounting for the uncertainties of various factors can be obtained using the reliabil-
ity computation procedures described in previous sections. Alternatively, the risk function
can account for the potential undesirable consequences associated with the failure of
hydraulic structures. For the sake of simplicity, only the tangible damage cost is consid-
ered here.
Because risk costs associated with the failure of a hydraulic structure cannot be pre-
cisely predicted from year to year. A practical way is to quantify these costs using an
expected value on an annual basis. The total annual expected cost (TAEC) is the sum of
the annual installation cost, operation and maintenance costs, and annual expected dam-
age cost which can be expressed as
TAEC() FC() CRF E(D ) (7.76)
where FC is the first or total installation cost which is a function of decision vector that
may include the size and configuration of the hydraulic structure; E(D) is the annual
expected damage cost associated with the structural failure; and CRF is the capital recov-
ery factor, which brings the present worth of the installation costs to an annual basis. The
CRF can be computed as (See Section 1.6)
CRF
(1
i(
1
i)
n
i)
n
1
(7.77)
with n and i being the expected service life of the structure and the interest rate, respectively.
Frequently in practice, the optimal risk-based design determines the optimal structural
size, configuration, and operation such that the annual total expected cost is minimum.
Referring to Fig. 7.6, as the structural size increases, the annual installation cost increases
whereas the annual expected damage cost associated with the failure decreases. The optimal
risk-based design procedure attempts to determine the minimum point on the total annual
expected cost curve. Mathematically, the optimal risk-based design problem can be stated as:
Minimize TAEC() FC() CRF E(D) (7.78a)
subject to g
i
() 0, i 1, 2, , m (7.78b)
where g
i
() 0, i 1, 2, , m are constraints representing the design specifications that
must be satisfied.
In general, the solution to Eqs. (7.78ab) could be acquired through the use of appropri-
ate optimization algorithms. The selection or development of the solution algorithm is large-
ly problem specific, depending on the characteristics of the problem to be optimized.
7.4.2 Historical Development of Hydraulic Design Methods
FIGURE 7.6 Schematic sketch of risk-based design
The evolution of hydraulic design methods can be roughly classified into three stages: (1)
return period design, (2) conventional risk-based design, and (3) optimal risk-based
design with consideration given to various uncertainties.
7.4.2.1 Return-period design. Using the return period design approach, a water resource
engineer first determines the design discharge from a frequency discharge relation by
selecting an appropriate design frequency or return period. The design discharge then is
used to determine the structure size and layout that has a satisfactory hydraulic perfor-
mance. By the return period design method, the selection of the design return period is
crucial to the hydraulic design. Once the design return period is determined, it remains
fixed throughout the design process. In the past, the design return period was subjective-
ly selected on the basis of an individuals experience, perceived importance of the struc-
ture, and/or legal requirements. The selection of the design return period is a complex pro-
cedure which involves consideration of economic, social, legal, and other factors.
However, the procedure does not account for these factors explicitly.
7.4.2.2 Conventional risk-based design. The conventional risk-based design considers
the inherent hydrologic uncertainty in the calculation of the expected economic losses. In
the risk-based design procedure, the design return period is a decision variable instead of
being a preselected design parameter value as in the return period design procedure.
The concept of risk-based design has been recognized for many years. As early as in
1936, the U.S. Congress passed the Flood Control Act (U. S. Statutes 1570) in which con-
sideration of failure consequences in the design procedure was advocated. The economic
risks or the expected flood losses were not explicitly considered until the early 1960s.
Pritchetts (1964) work was one of the early attempts to apply the risk-based hydraulic
design concept to highway culverts. At four actual locations, Pritchett calculated the invest-
ment costs and the expected flood damage costs on an annual basis for several design alter-
natives among which the most economical was selected. The results indicated that a more
economical solution could be reached by selecting smaller culvert sizes compared with the
traditional return period method used by the California Division of Highways. The con-
ventional approach has been applied to the design of various hydraulic structures.
7.4.2.3 Risk-based design considering other uncertainties. In the conventional
riskbased hydraulic design procedure, economic risks are calculated considering only the
randomness of hydrologic events. In reality, there are various types of uncertainties in a
hydraulic structure design. Advances were made to incorporate other aspects of uncer-
tainty in various hydraulic structure design.
7.4.3 Tangible Costs in Risk-Based Design of Hydraulic Structures
Design of a hydraulic structure, by nature, is an optimization problem consisting of an
analysis of the hydraulic performance of the structure to convey flow across or through
the structure and a determination of the most economical design alternative. The objective
function is to minimize the sum of capital investment cost, the expected flood damage
costs, and operation and maintenance costs. For example, the relevant variables and para-
meters associated with the investment cost and the expected damage costs of highway
drainage structures are listed in Tables 7.10 and 7.11, respectively. The maintenance cost
over the service life of the structure is generally treated as a yearly constant. Based on
Tables 7.10 and 7.11, the information needed for the risk-based design of a highway
drainage structure can be categorized into four types:
1. Hydrologic/physiographical data, including flood and precipitation data, drainage
7.46 Chapter Seven
area, channel bottom slope, and drainage basin slope. These data are needed to pre-
dict the magnitude of hydrologic events such as streamflow and rainfall by frequency
analysis and/or regional analysis.
2. Hydraulic data, including flood plain slopes, geometry of the channel crosssection,
roughness coefficients, size of structural opening, and height of embankment. These
data are needed to determine the flow carrying capacities of hydraulic structures and
to perform hydraulic analysis.
3. Structural data, including material of substructures and layout of structure.
4. Economic data, including (1) type, location, distribution, and economic value of
upstream properties such as crops and buildings; (2) unit costs of structural materials,
equipment, operation of vehicle, accident, occupancy, and labor fee; (3) depth and
duration of overtopping, rate of repair, and rate of accidents; and (4) time of repair
and length of detour.
In the design of hydraulic structures, the installation cost often is dependent on
the environmental conditions such as the location of the structure, geomorphic and geo-
logic conditions, the soil type at the structure site, type and price of construction mater-
ial, hydraulic conditions, flow conditions, recovery factor of the capital investment, labor
and transportation costs. In reality, these factors would result in uncertainties in cost
functions used in the analysis. The incorporation of the economic uncertainties in the
risk-based design of hydraulic structures can be found elsewhere (U.S. Army Corps of
Engineers, 1996).
7.4.4 Evaluations of Annual Expected Flood Damage Cost
In reliabilitybased and optimal risk-based designs of hydraulic structures, the thrust is
to evaluate E(D) as the function of the PDFs of load and resistance, damage function,
and the types of uncertainty considered.
7.4.4.1 Conventional approach. In the conventional risk-based design where only
inherent hydrologic uncertainty is considered, the structural size and its corresponding
flow carrying capacity q
c
, in general, have a one to one, monotonically increasing rela-
tion. Consequently, the design variable alternatively can be expressed in terms of
design discharge of the hydraulic structure. The annual expected damage cost, in the con-
TABLE 7.10 Variables and Parameters Relevant in Evaluating Capital Investment Cost of Highway
Drainage Structures
Pipe Culverts Box Culverts Bridges
Parameters Unit cost of culvert Unit cost of concrete Unit cost of bridge
Unit cost of steel
Variables Number of pipes Number of barrels Bridge length
Pipe size Length of barrel Bridge width
Pipe length Width of barrel
Pipe materials Quantity of concrete
Quantity of steel
Source: From Tung and Bao (1990).
7.48 Chapter Seven
TABLE 7.11 Damage categories and related economic variables and site characteristics in risk-
based design of highway drainage structures
Damage Category Economic Variables Site Characteristics
Floodplain Property Damage:
Losses to crops Type of crops Location of crop fields
Losses to buildings Economic value of crops Location of buildings
Physical layout of
drainage structures
Roadway geometry
Flood characteristics
Stream crosssection
Slope of channel
Channel & floodplain
roughness properties
Damage to Pavement and
Embankment:
Pavement damage Material cost of pavement
Embankment damage Material cost of embankment
Equipment costsLabor costs
Repair rate for pavement
Traffic Related Losses:
Increased travel cost due to
detour
Lost time of vehicle
occupants
Increased risk of accidents
on detour
Increased risk of accidents
on a flooded highway
Source: From Tung and Bao (1990).
ventional risk-based hydraulic design, can be computed as
E
1
(D)
q
c
*
D(qq
c
, ) f(q) dq (7.79)
where q
c
*
is the deterministic flow capacity of a hydraulic structure subject to random flood
loadings following a PDF, f(q), and D(qq
c
*
,) is the damage function corresponding to the
flood magnitude of q and hydraulic structure capacity q
c
*
. Due to the complexity of the
Economic values of buildings
& embankment
Flood magnitude
Flood hydrograph
Overtopping duration
Depth of overtopping
Total area of pavement
Total volume of
embankment
Types of drainage
structures and layout
Roadway geometry
Rate of repair
Operational cost of vehicle
Distribution of income for
vehicle occupants
Cost of vehicle accident
Rate of accident
Duration of repair
Average daily traffic
volume
Composition of vehicle
types
Length of normal
detour path
Flood hydrograph
Duration and depth of
overtopping
damage function and the form of the PDF of floods, the analytical integration of Eq.
(7.79), in most practical applications, is difficult, if not impossible. Hence, it is practical
to replace Eq. (7.79) by a numerical approximation.
Equation (7.79) only considers the inherent hydrologic uncertainty due to the random
occurrence of flood events, represented by the PDF, f(q). It does not consider hydraulic
and economic uncertainties. Furthermore, a perfect knowledge about the probability dis-
tribution of flood flow is assumed. This generally is not the case in reality.
7.4.4.2 Incorporation of hydraulic uncertainty. As described in Sec. 7.1.1, uncertainties
also exist in the process of hydraulic computations for determining the flow carrying
capacity of the hydraulic structure. In other words, q
c
is a quantity subject to uncertainty.
From the uncertainty analysis of q
c
, the statistical properties of q
c
can be estimated. Hence,
to incorporate the uncertainty feature of q
c
in risk-based design, the annual expected dam-
age can be calculated as
E
2
(D)
0
D(qq
c
,) f(q) dq
g(q
c
) dq
c
=
0
E
1
(Dq
c
,) g(q
c
) dq
c
(7.80)
in which g(q
c
) is the PDF of random flow carrying capacity q
c
. Again, in practical prob-
lems, the annual expected damage in Eq. (7.80) would have to be evaluated through the
use of appropriate numerical integration schemes.
7.4.4.3 Extension of conventional approach by considering hydrologic parameter
uncertainty. Since the occurrence of streamflow is random by nature, the statistical prop-
erties such as the mean, standard deviation and skewness of the distribution calculated
from a finite sample also are subject to sampling errors. In hydrologic frequency analysis,
a commonly used frequency equation for determining the magnitude of a hydrologic event
of a specified return period T years is
q
TR
K
T
(7.81)
in which q
T
is the magnitude of hydrologic event of the return period T years; and are
the population mean and standard deviation of the hydrologic event under consideration
respectively; and K
T
is the frequency factor depending on the skew coefficient and proba-
bility distribution of the hydrologic event of interest.
Consider flooding as the hydrologic event that could potentially cause the failure of the
hydraulic structure. Due to the uncertainty associated with , , and K
TR
in Eq. (7.81), the
flood magnitude of a specified return period, q
TR
, also is a random variable associated
with its probability distribution (Fig. 7.7) instead of being a single valued quantity repre-
sented by its "average", as commonly done in practice. Sampling distributions for some
of the probability distributions frequently used in hydrologic flood frequency analysis
have been presented elsewhere (Chowdhury and Stedinger, 1991; Stedinger, 1983).
Hence, there is an expected damage corresponding to a flood magnitude of the TRyear
return period which can be expressed as
E(D
T
q
c
,)
q
c
*
D(q
T
q
c
,) h(q
T
) dq
T
(7.82)
where E(D
T
q
c
,) is the expected damage corresponding to a Tyear flood given a
known flow capacity of the hydraulic structure, q
c
, h(q
T
) is the sampling PDF of the
flood magnitude estimator of a T year return period; and q
T
is the dummy variable for a
T year flood. To combine the inherent hydrologic uncertainty, represented by the PDF
of annual flood, f(q), and the hydrologic parameter uncertainty, represented by the sam-
pling PDF for a flood sample of a given return period, h(q
T
), the annual expected dam-
age cost can be written as
E
3
(Dq
c
,)
q
c
*
,
,
q
c
*
D(q
T
q
c
,) h(q
T
q) dq
T
]
]
]
f(q) dq (7.82)
7.4.4.4 Incorporation of hydrologic inherent/parameter and hydraulic uncertainties.
To include hydrologic inherent and parameter uncertainties along with the hydraulic
uncertainty associated with the flow carrying capacity, the annual expected damage cost
can be written as
E
4
(D)
0
,
,
q
c
,
,
q
c
D(q
T
, q
c
) h(q
T
) dq
T
]
]
]
f(q) dq
]
]
]
g(q
c
) dq
c

0
E
3
(D) g(q
c
) dq
c
(7.83)
Based on the above formulations for computing annual expected damage in the risk-
based design of hydraulic structures, one realizes that the mathematical complexity
increases as more uncertainties are considered. However, to obtain an accurate estimation
of annual expected damage associated with the structural failure would require the con-
sideration of all uncertainties, if such can be practically done. Otherwise, the annual
7.50 Chapter Seven
FIGURE 7.7 Sampling distribution associated with flood estimator (Tung, 1996)
expected damage would, in most cases, be underestimated, leading to inaccurate optimal
design. Tung (1987) numerically shows that, without providing full account of uncertain-
ties in the analysis, the resulting annual expected damage is significantly under estimated,
even with a 75 years long flood record.
7.4.5 U.S. Army Corps of Engineers Risk-Based Analysis for
FloodDamage Reduction Structures
This section briefly summarizes the main features of the U.S. Army Corps of Engineers
(USACE, 1996) risk-based analysis procedure applied to flood damage reduction plans,
such as levee construction, channel modification, flood detention, or mixed measure plan.
The procedure explicitly considers the uncertainties in dischargefrequency relation, stage
discharge function, and stagedamage relation. The performance measures of each flood
damage reduction plan include economic indicator, such as annual expected innudation
damage reduction, and noneconomic measures, such as expected annual exceedance
probability, longterm risk, and conditional annual nonexceedance probability, and con-
sequence of capacity exceedance. The longterm failure probability is computed by
p
f
(n) 1 [1 p
f
(1)]
n
(7.84)
where p
f
(1) the annual failure probability, and p
f
(n) the longterm failure probabili-
ty over a period of n years.
Uncertainty in discharge frequency relation, as described in Sec. 7.4.4.3, is mainly
arised from the sampling error due to the use of limited amount of flood data in estab-
lishing the relation. Statistical procedures for quantifying uncertainty associated with a
discharge frequency relation can be found elsewhere (Interagency Advisory Committee on
Water Data, 1982; Stedinger et al., 1993). For stagedischarge function, its uncertainty
may be contributed from factors like measurement errors from instrumentation or method
of flow measurement, bed forms, water temperature, debris or other obstructions,
unsteady flow effects, variation in hydraulic roughness with season, sediment transport,
channel scour or depoition, changes in channel shape during or as a result of flood events,
as well as other factors. Uncertainty associated with stage discharge function for gauged
and ungauged reach has been examined by Freeman et al. (1996).
Stage damage relation describes the direct economic loss of flood water innudation
for a particular river reach. It is an important element in risk-based design and analysis
of hydraulic structures. The establishment of stage damage relation requires extensive
survey and assessment of economic values of the structures and their contents affected
by flood water at different water stages. Components and sources of uncertainty in estab-
lishing a stage damage relation is listed in Table 7.12. For example, variation of content
to structure value ratios of different types of structure in the United Stated is shown in
Table 7.13.
In evaluating the performance of different flood damage reduction plans or alterna-
tives within a plan, hydraulic simulations such as backwater computation or unsteady
state flow routing, are required to assess the system response before various perfor-
mance measures can be quantified. Due to this compuational complexity and the
presece of large number of uncertainties, the evaluation of various economic and
noneconomic performance measures in the risk-based analysis procedure cannot be
done analytically. Therefore, the computation procedure adopted in the USACE risk-
based analysis for flood damage reduction structures is the Monte Carlo simulation. By
Monte Carlo simulation, a large number of plausible dischargefrequency function,
stage discharge relation, and stagedamage relation are generated according to the
7.52 Chapter Seven
TABLE 7.12 Components and Sources of Uncertainty in StageDamage Function
Parameter/Model Source of Uncertainty
Number of structure in each category Errors in identifying structures; errors in
classifying structures
First-floor elevation of structure Survey errors, inaccuracies in topographic maps;
errors in interpolation of contour lines
Depreciated replacement value of structure Errors in real estate appraisal; errors in estima-
tion of replacement cost estimationeffective
age; errors in estimation of depreciation; errors
in estimation of market value
Structure depth-damage function Errors in postflood damage survey; failure to
account for other critical factors: flood water
velocity, duration of flood, sediment load,
building material, internal construction,
condition, flood warning
Depreciated replacement value of contents Errors in contentinventory survey, errors in
estimates of ratio of content to structure value
Content depthdamage function Errors in postflood damage survey, failure to
account for other critical factors; floodwater
velocity, duration of flood, sediment load,
content location, flood warning
Source: From USACE (1996).
TABLE 7.13 ContenttoStructure Value Ratios
*,
Structure Category No. of Cases Mean Standard Minimum Maximum
Deviation
One story no basement 71,629 0.434 0.250 0.100 2.497
One story basement 8,094 0.435 0.217 0.100 2.457
Two story no basement 16,056 0.402 0.259 0.100 2.492
Two story basement 21,753 0.441 0.248 0.100 2.500
Split level no basement 1,005 0.421 0.286 0.105 2.493
Split level basement 1,807 0.435 0.230 0.102 2.463
Mobil home 2,283 0.636 0.378 0.102 2.474
All categories 122,597 0.435 0.253 0.100 2.500
Source: From USACE (1996). * Note that these are less than ratios commonly used by casualty insurance compa-
nies, but those reflect replacement costs rather than depreciated replacement costs.
Research by the Institute of Water Resources suggests that errors may be described best with an asymmetric
distribution, such as a lognormal distribution. In that case, the parameters of the error distribution cannot be esti-
mated simply from the values shown in this table.
underlying or assume probability distributions for each of the factors with uncertainty
involved. Under each generated scenario, necessary hydraulic computations are per-
formed based on which various performance measures of different flood damage reduc-
tion plans are calculated. The process is repeated for a large number of possible sce-
narios and, then, the various performance measures are averaged for comparing the rel-
ative merit of different plans.
The risk-based analysis procedure is illustrated through an example (see Chap. 9, USACE,
1996) in which the preformance measures of several flood damage reduction plans for the
metropolitan Chester Creek Basin in Pennsylvania are examined. Results of the risk-based
analysis for each plan are shown in Table 7.14 ac. Note that fromTable 7.14, there are four
alternative levee heights being considered and the mixed measure consists of channel modi-
fication and detention. Results of riskbased analysis are shown in Table 7.14a which clear-
ly indicates that the levee plan by building a 8.23m dike is the most cost effective. The medi-
an annual exceedance probability shown in second column of Table 7.14b is close to the result
of conventional flood frequency analysis without considering any other uncertainties but nat-
ural randomness of the floods. Compared with the third column, it is clearly observed that the
annual expected exceedance probability is higher than the corresponding one without con-
sidering uncertainty. Consequently, the longterm failure probabilities will be underestimat-
ed if other uncertainties in flood frequency relationship are not accounted for. In Table 7.14c,
conditional annual nonexceedance probabilities for each plan under a 50, 100, and 250
year event have also indicated the supreiority of levee plan over the other flood damage reduc-
tion plans in terms of failure probability.
From all economic and non economic indicators used in this risk-based analysis, it
appears that the levee height of 8.23m is the most desirable alternative in flood damage
reduction for Chester Creek Basin, Pennsylvania. Of course, there may be other issues that
may have be to be considered, such as impacts of levee on environment, aesthetics, and
TABLE 7.12 Performance Measures from Risk-Based Analysis of Flood Damage Reduction Plans
for Chester Creek Basin, Pennsylvania
(a) Present Economic Benefits of Alternatives
Plan Annual With- Annual Innudation Annual Annual Net
Project Residual Reduction Benefit, Cost, Benefit,
Damage, $1000's $1000's $1000's $1000's
Without project 78.1 0.0 0.0 0.0
6.68 m levee 50.6 27.5 19.8 7.7
7.32 m levee 39.9 38.2 25.0 13.2
7.77 m levee 29.6 48.5 30.6 17.9
8.23 m levee 18.4 59.7 37.1 22.6
Channel modification 41.2 36.9 25.0 11.9
Detention basin 44.1 34.0 35.8 1.8
Mixed measure 24.5 53.6 45.6 8.0
giving the public a false sense of security, before a final decision is made. Irrespect of
some incompleteness of the current stateoftheart of risk-based analysis, the procedure
does make an advancement over the conventional procedure by explicitly facing and deal-
ing the uncertainties in design and analysis of hydraulic structures, rather than using a
obscure factor of safety. The risk-based procedure provides more useful information for
engineers to make better and more scientifically defensible design and analysis.
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6.68 m levee 0.010 0.0122 0.12 0.26 0.46
7.32 m levee 0.007 0.0082 0.08 0.19 0.34
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Detention basin 0.033 0.0380 0.32 0.62 0.86
Mixed measure 0.014 0.0160 0.15 0.33 0.55
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7.56 Chapter Seven

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7.

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and the corresponding probability masses p

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Risk/ReliabilityBased Hydraulic Engineering Design 7.27

7.28 Chapter Seven

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