Journal of Hydrology, 132 (1992) 157-177

157

Elsevier Science Publishers B.V., A m s t e r d a m

[4]

An improved first-order reliability approach for

assessing uncertainties in hydrologic modeling
C.S. Melching
Department of Civil and Environmental Engineering, Rutgers University, Piscataway, NJ 08855, USA
(Received 14 February 1991; revised and accepted 9 July 1991)

ABSTRACT
Melching, C.S., 1992. An improved first-order reliability approach for assessing uncertainties in hydrologic
modeling. J. Hydrol., 132: 157-177.
First-order reliability analysis involving Taylor series linearization at central values of the uncertain
variables is well known as a means of approximating the output reliability for hydrologic and environmental models. However, linearization at central values has several key flaws - - namely, problems with
non-linear systems and estimation of extreme probabilities
which limit its usefulness. An improved
first-order reliability approach is presented wherein the linearization point varies to match the output level
whose exceedance probability is sought. Thus, the improved approach circumvents some of the problems
of central value linearization while retaining much of its simplicity. The accuracy, relative to Monte Carlo
simulation, of the improved approach and its use are demonstrated for an example of estimating the
probability distribution of peak discharge predicted by two conceptual rainfall-runoff models with
uncertain parameters.

INTRODUCTION

A number of hydrologists and environmental engineers are aware of the

potential uses of first-order reliability analysis for assessment of the effects of
uncertainties on the reliability of water resources designs and model output.
In recent years the popularity of first-order reliability analysis has been
growing in hydraulic design as reviewed by Yen (1989), in groundwater
modeling as reviewed by Sitar et al. (1987), and in water quality modeling as
reviewed by Beck (1987). In fact, the most recent version of the widely used
water quality model QUAL2E includes subroutines (UNCAS), which directly
employ first-order reliability analysis to assess the uncertainty in the model's
output (Brown and Barnwell, 1987).
The majority of applications of first-order reliability analysis to water
resources problems have involved taking a first-order Taylor series expansion
at central values (typically the mean values) of the basic variables which

0022-1694/92/$05.00

1992 - - Elsevier Science Publishers B.V. All rights reserved

158

C.S. M EL('HIN(i

comprise the system and its uncertainties. This mean-value first-order reliability
analysis method (MFORM) has worked well for many applications but it has
been found to have several important shortcomings which limit its application.
This paper illustrates an improved (advanced) first-order reliability analysis
method (AFORM), which retains many of the advantages of M F O R M while
circumventing many of MFORM's disadvantages. AFORM is not unknown
in water resources engineering, however, most of its applications have been
presented at specialty conferences (see references in Yen, 1989). Only Sitar
et al.'s (1987) application of AFORM to simple groundwater flow and solute
transport examples and Melching et al.'s (1990) use of AFORM to derive the
probability distribution of peak discharge estimates for specific events
produced by the HEC-1 rainfall-runoff model have reached a wider audience
of water resources professionals. The purpose of this paper is to discuss in
detail the improvements offered by AFORM relative to MFORM and to
show the computational procedure for A F O R M and its accuracy relative to
Monte Carlo simulation and M F O R M for two example rainfall-runoffmodel
applications. Thus, providing water resources professionals with additional
evidence that AFORM is a potentially powerful tool for design and decision
making subject to uncertainties.
GENERAL

RELIABILITY

ANALYSIS

CONCEPTS

For any engineering system the reliability, R L, is defined by the probability

that the load acting on the system, L, is less than or equal to the system"s
capacity to resist that load, R,
RL

(1)

Pr(L <~ R)

where P r ( X ) is the probability of event X occurring.

If the joint probability density function (PDF) of L and R were known, the
reliability could be calculated by direct integration as
/

RL

1 -

lfR.,

*d

td

(r,

l)drdl

(2)

wherejR.L(r, l) is the joint PDF of L and R.

If the load and resistance are statistically independent, eqn. (2) may be
simplified as
RL =

1 --

fL(l)

fR(r)dr dl

(3)

Generally, for realistic problems the joint PDF of R and L and the

UNCERTAINTIES IN HYDROLOGIC MODELING

159

individual P D F s of R and L are u n k n o w n and difficult to estimate due to

the dependence of R and L on numerous basic components (variables) of the
system and the interactions among these components. Reliability analysis
methods approximate the system reliability by combining the uncertainties in
the basic components (variables) of the system. The framework of the model
(hydrologic, hydraulic, etc.) used to represent the system characterizes the
basic component interactions. The overall response of the system is described
by the system performance function, Z, which relates R and L such that when
L is greater than R, Z is negative, i.e. Z = R - L, Z = In (R/L), or
occasionally Z = (R/L) - 1. The reliability in terms of Z is

R c = Pr(Z >~ O)

(4)

where Z = g(x~, x2, x3 . . . . . Xp) = g(x), x is a vector of the basic variables

of the system, and p is the number of basic variables.
MEAN VALUE FIRST-ORDER RELIABILITY ANALYSIS METHOD (MFORM)

In the first-order reliability analysis methods, a Taylor series expansion of

the performance function is truncated after the first-order term

= g(x,.) + ~ ( x i - : q w ) ( t ? g ) ~

where xw is the expansion point.

In M F O R M , the expansion point is at the mean value (or some other
convenient central value) of the basic variables. Thus, the performance
function's expected value and variance are

E[Z]

~- g(i)
P

VAR(Z)

(6)
P

~ CiCj E [ ( x g - ci)(xj - ~j)]

(7)

i=1 j=l

where Ci = Og/Oxi evaluated at , Cj -- Og/#xs evaluated at .~, and .~ is the

vector of basic variable mean values.
If the variables are statistically independent, the variance of Z becomes
P

VAR(Z)

a_2 ~

~ C2a~
s=~

(8)

where a~ is the standard deviation of the performance function, and a~ is the

standard deviation o f basic variable i.
In some cases the derivatives, Ci, may be determined analytically, either
directly or by adjoint sensitivity methods (e.g. LaVenue et al., 1989). In other
cases it is best that they be determined numerically. In the case study presented

160

c . s MELCHING

in this paper a foreward difference is used wherein each basic variable value
is increased 1% with the others held constant and the change in Z is calculated.
The system reliability is measured in terms of a reliability index,/3, defined
as

/3 = E[Zl/az

(9)

which is the reciprocal of the coefficient of variation of Z. In order to express

the reliability in probabilistic terms it is typically assumed that Z is normally
distributed, and thus the system reliability is
RL =

*(/3)

(10)

where ~( ) is the standard normal integral.

This assumption has several practical advantages. If the system performance function is linear (i.e. Z = R - L) and the load and resistance are
normally distributed (this is a reasonable assumption for basic variables with
small coefficients of variation, 6i), eqn. (10) yields the exact risk. If the system
performance function is non-linear such that Z = In (R/L) is appropriate and
the load and resistance are log-normally distributed, eqn. (10) yields a very
close approximation to the exact risk as long as the 6s of L and R are relatively
small. Furthermore, Yen et al. (1986) discuss cases where the Gaussian
assumptions of eqn. (10) may be quite useful given limited information on
basic variable distributions.
The great advantage of M F O R M is its simplicity, requiring knowledge
of only the first two statistical moments of the basic variables and simple sensitivity calculations about selected central values. However, when applied to
engineering design problems, in general, including water resources modeling
and design, M F O R M has several theoretical and/or conceptual problems:
(1) the relative accuracy of the first-order Taylor series approximation;
(2) for engineering systems the events of failure generally happen at
extreme values rather than near the mean load and resistance;
(3) most real world engineering systems exhibit non-linear behavior;
(4) the results of this method vary depending on the particular mathematical
formulation of the reliability problem;
(5) the use of the normal distribution of Z is a weakly supported
assumption;
(6) this method provides no logical way to include available information on
basic variable probability distributions.
Problems (1)-(3) above are the most serious, and several poignant examples
exist in the water resources literature to illustrate the non-linearity and
extreme value vs. central value problems.
Scavia et al. (1981) detected the non-linearity effects quite distinctly when

UNCERTAINTIES

IN H Y D R O L O G I C

161

MODELING

they compared variance estimates from M F O R M with those from Monte

Carlo simulation for a eutrophication model of Saginaw Bay, Lake Huron,
USA. From a physical standpoint they reasoned that the discrepancy between
the variance estimates was due to the fact that M F O R M estimates measure
variability about the typical component of the algal population (i.e. the typical
algae species) while Monte Carlo estimates consider variability over the entire
algal population. Similarly, Garen and Burges (1981) compared variance
estimates for a modified version of the Stanford Watershed model obtained
by M F O R M and Monte Carlo simulation. Again non-linearity effects greatly
influenced the results as they found that M F O R M estimates only agreed well
with the Monte Carlo estimates if the coefficients of variation of the most
sensitive basic variables (model parameters) were kept below 0.25. To
circumvent non-linearity problems Kuczera (1988) applied Beale's (1960)
non-linearity coefficient to measure the relative non-linearity in the system. He
demonstrated the usefulness of Beale's non-linearity coefficient for checking
the validity of prediction confidence limits derived by M F O R M for two
conceptual, non-linear, rainfall-runoff models.
LaVenue et al. (1989) clearly detected the problem of extreme values vs.
central values. They wished to estimate the probability distribution of the
travel time for a radioactive particle from a waste storage site through a
multilayer aquifer to a water supply layer considering the uncertainty in the
knowledge of aquifer characteristics. They found that the travel path changed
greatly for faster travel times (relative to the travel time corresponding to the
basic variable mean values), and MFORM's sensitivity to the mean travel
path did not adequately reflect the probabilities of the other failure paths.
ADVANCED FIRST-ORDER RELIABILITY ANALYSIS METHOD (AFORM)

A F O R M is the result of research seeking to maintain some of the simplicity

of M F O R M and yet reduce its flaws. The basic concept behind A F O R M was
proposed by Hasofer and Lind (1974), but Rackwitz (1976) was the first to
present A F O R M in its entirety.
The essence of this method is to take a Taylor series linearization at a point,
x*, on the failure surface of the performance function, i.e. when g(x*) = O.
The expected value and variance of the performance function as approximated
by a first-order Taylor series at this point are
P

E[Z]

C*(<-x*)

(ll)

i-[
P

VAR(Z)

a2 ___ Z ~, CffCff E [ ( x i i= l j

X*)(Xj

--

x*)]

where (7* = 8g/Oxi evaluated at x*, and ~ ' = 8g/Oxj evaluated at x*.

(12)

162

c.s. MELCHING

For the case of statistically independent basic variables the variance

becomes
p

VAR(Z)

= a~ ~-

E (C*a~) 2

(13)

i=1

Hence, for the case of statistically independent variables, the reliability index
for A F O R M is
p

g(x*) + Z c?(yci- x*)

fl =

~:t

(14)

(C*
i=|

of course g(x) = 0 at x*. A similar relation may be derived for the case of
correlated basic variables.
A F O R M formulations are fairly simple and straightforward. The key to
this method is the determination of the failure point for the Taylor series
expansion. Several iteration methods have been proposed for determining the
failure point - - e.g. a flow chart of the Rackwitz (1976) method is given in
Fig. 1. The efficiency of these methods is largely a function of whether the
failure surface corresponds to extreme values of the basic variables. It can be
shown that for A F O R M the reliability index, B, (or its absolute value) is
the shortest distance in standardized space between the system mean state
(i.e. where all basic variables are at their mean values) and the failure surface
(Shinozuka, 1983). Hence, optimization algorithms currently employed for
constrained non-linear programming problems can be used for failure point
determination. For example, Cheng (1982) proposed using the well-known
generalized reduced-gradient algorithm to minimize the absolute value of
Z with the constraints chosen such that the proper ~ value is determined.
Also, Shinozuka (1983) describes a Lagrange multiplier approach for direct
minimization of ~.
For linear failure surfaces where all the basic variables are normally distributed, the reliability is exactly given by eqn. (10). For convex failure
surfaces where all the basic variables are normally distributed, Hasofer (1974)
showed that the system reliability is bounded as
*(/~) ~< RL ~< Z~(Y)

(15)

where 2( ) is a chi-square distribution with p degrees of freedom.

The conventional approach has been to set the exceedance probability
equal to the lower bound in eqn. (15). The validity and accuracy of this

| 63

UNCERTAINTIES IN HYDROLOGIC MODELING

NO

Evaluate:
-')Iei = (~G/~Xi) at x*it V i

Evaluate:
IC i = (~G/~Xi) at x*il V i
Calculate:
~iNi and aiN 1 V i
I(mqs. lS and 19)

Calculate:
XiNt and OiN t V i
(Eqs. 18 and 19)

Compute

Ci iNt

Compute:

aiNl =

aiNt = " p
{j__El (Cj OjNt)2} I/2

Compute
x*
= I i(t+l)

XiNt - aiNt Bt iNt V i

:
C i iN I
p
{ Z (Cj OjNI)2}i/2
j=1

Icmpute:
~1 (Eq. 14)

Compute :
~t+l using x~(t+1) and
Ig(x~+l)
(Eq. 14)

Reeompute :
x*(t+l ) as above V i using Bt+ 1

NO

YES

Compute:

= (Bt+ I)

Fig. 1. Flow chart of Rackwitz's (1976) iterative algorithm for locating the failure point, x* (independent
basic variables).

assumption has been found acceptable for a number of non-linear performance functions typical of those found in practical engineering problems
(Ang and Tang, 1984, p. 383). Further, this assumption is explored in this
paper using a comparison with Monte Carlo simulation for estimation of the

164

C.S, MELCHING

peak discharge exceedance probability for storm event predictions made by

two rainfall-runoff models for an example watershed.
For most real systems, not all the basic variables are normally distributed.
Thus, it is desirable to transform the non-normal variables into equivalent
normally distributed variables. Rackwitz (1976) proposed a transformation
where the values of the cumulative distribution function (CDF) and the PDF
of the non-normal distributions are the same as those of the equivalent normal
distributions at the failure point, i.e.
F~,(x*) =

O ( x*aiN-xiN~/

fx,(x*) = fN (X* -- X/N~/

(16)

(17)

where Fx,(x*) is the CDF ofx~ at x*,fx,(X*) is the PDF ofx~ at x*, a n d f N ( )
is the PDF of the standard normal distribution.
In order to do this, Rackwitz approximated the non-normal distribution
function by a first-order Taylor series expansion. Thus, the mean, ~N, and the
standard deviation, o"m, of the equivalent normal distributions become
~,y =
am =

x* - @-'[Fx,(x*)]aiN
i N{O-' [F~,(x*)]}

L,(x*)

(18)
(19)

Rackwitz and Fiessler (1978) pointed out that this normal transformation
of non-normal variables is exact within the accuracy of the first-order theory
under consideration. Transformation of uniform- and gamma-distributed
loss-rate functions for a reliability analysis of a simple rainfall-runoff-flood
frequency model confirm the accuracy of this normal distribution transformation (Melching et al., 1987).
EXAMPLE

APPLICATION

MFORM, AFORM, and Monte Carlo simulation results are compared

for the case of uncertainty in peak discharge predictions produced by two
rainfall-runoff models to demonstrate the accuracy of A F O R M and its
improvement over M F O R M over a wide range of (non-linear) system
outcomes. Specifically, the CDF of peak discharge or rather its complement
the exceedance probability - - is considered. In this case the system performance function is of the form Z = R - L with the resistance taken as a
fixed 'target level', T, whose value is varied to fill-in points on the CDF curve,
and the load is the peak discharge estimate from the rainfall-runoff model

UNCERTAINTIES

IN H Y D R O L O G I C

MODELING

"

165

adjusted for model bias:

Z

T - 2h(0)

(20)

where )t is the correction factor which accounts for bias in model predictions,
h( ) is the model functions which estimate peak discharge, and 0 is the vector
of model parameters.
The union of 2 and 0 is the vector of basic variables, x, for this case.

Example watershed
The Vermilion river watershed at Pontiac, Illinois, USA is a 1500km 2
agricultural watershed located about 120km southwest of Chicago. The
watershed outline is formed by morainal ridges which range in elevation from
230 to 240 m, and with the exception of these ridges the watershed is a nearly
flat plain ranging in elevation from 180 to 200 m. The soil types are primarily
silt loams and silty clay loams which support considerable agricultural
development (about 85% of land in row crops). The gentle slopes and low
permeabilities require the use of an extensive agricultural drainage system
including channelization of the Vermilion river and many of its tributaries. In
the period from 1950 to 1985 the city of Pontiac experienced five significant
flood events. The results reported in this paper are a part of a larger study of
flooding at Pontiac and the assessment of the reliability of flood event forecasting (Melching, 1987).

Example rainfall-runoff models

The US Army Corps of Engineers (1985) HEC-1, Flood Hydrograph
Package, and the Australian RORB, Runoff Routing Program (Laurenson
and Mein, 1985) are selected as example rainfall-runoff models. While
A F O R M may be applied to nearly all commonly used rainfall-runoff models,
HEC- 1 and RORB are selected because each has been well tested for a variety
of hydrologic modeling uses under many different conditions around the
world. Furthermore, HEC-1 has become one of the most frequently used
rainfall-runoff models in the USA while in Australia, RORB is used by all
water authorities and all consultants working in the water business.
In this study, HEC-1 is used in a lumped system mode where the Thiessen
weighted average hourly rainfall is input to the model and the hourly
discharge at the outlet is output. The rainfall is converted to rainfall excess via
the abstraction option of initial loss (IL) - - continuing, constant loss rate
(CL), which is recommended by Ford et al. (1980) for cases of sparse precipitation data. The rainfall excess is then transformed into runoff at the outlet

C.S. MELCHING

166
TABLE 1
Statistics of the basic variables for HEC-1
Parameter

Mean

Standard
deviation

Distribution

Notes

(~p = HEC-1 predicted peak

discharge (m3s 1); mean eq.
reduces model bias
QB = baseflow at beginning
of event (m 3s ~); mean eq.
accounts for antecedent
conditions

2H

1.726-0.154 In Qp

0.0472

Normal

IL

3.88-0.60 In QB

0.718

Log-normal

0.645
8.94
4.32

Log-normal
Normal
Normal

CL
TC

0.591
38.0
27.7

"Mean equations derived from linear regression of calibration results.

bFor log-normally distributed variables the mean and standard deviation are those of the
logarithms.

by the Clark unit hydrograph option using the built-in dimensionless timearea curve as recommended by Ford et al. (1980). The basic variables for
this modeling case are IL (mm), CL (mm h-~), the watershed time of concentration, TC (h), the watershed storage coefficient, R(h), and the model
correction factor 2 . . Table 1 gives the mean value, standard deviation, and
distributional assumptions for the basic variables used in this study. These
assumptions are based on the results of calibrating HEC-1 to 32 flood and
near-flood events occurring on the Vermilion river during the period 1965-1983
as discussed in Melching (1987).
RORB is a quasi-distributed, non-linear conceptual rainfall-runoff model.
In RORB applications the watershed is divided into a number of subcatchments each of which is assigned (ideally) a rainfall depth based on the storm
(or typical storm) isohyetal pattern and a rainfall temporal distribution based
on a representative raingage. This distributed rainfall input is reduced by an
abstraction scheme of initial loss (ILR) - - continuing, constant loss rate
(CLR). Each of the loss parameters have identical values for all subcatchments above a c o m m o n stream gage (if there is only one stream gage all
subcatchments have the same I L R and C L R values), hence, making RORB
quasi-distributed. The rainfall excess for each subcatchment is then routed
through the channel network to the outlet via a cascade of conceptual nonlinear reservoirs.
In this study, the Vermilion watershed was divided into 21 subcatchments.

UNCERTAINTIES IN HYDROLOGIC MODELING

167

TABLE 2
Statistics of the basic variables for RORB
Parameter

Mean

Standard
deviation

2R

1.737-0.152 In (~pr

0.0629

ILR

3.88-0.60 In QB

0.718

CLR
m

0.564
0.9

C~

0.556
-

65.4

11.6

Distribution

Notes

Normal

Qpr = RORB predicted

peak discharge (m3s t);
mean eq. reduces model bias
Log-normal QB = baseflow at beginning
of event (m3s ~); mean eq.
accounts for antecedent
conditions
Log-normal
Fixed; its uncertainty
accounted for in the
variance of C~ and 2R
Normal

Mean equations derived from linear regression of calibration results.

bFor log-normally distributed variables the mean and standard deviation are those of the
logarithms.
However, the available rainfall data are insufficient to prepare storm isohyetal
maps. Hence, both the rainfall depth and temporal distribution for each
subcatchment is taken as that for the raingage nearest to it. The basic
variables for this case are I L R (mm), C L R (ram h-~ ), the storage non-linearity
exponent, m, the watershed delay time factor, Ct, and the model correction
factor 2 R. Table 2 gives the mean value, standard deviation, and distributional
assumptions for the basic variables used in this study. These assumptions are
based on the results of calibrating R O R B to 30 flood and near-flood events
occurring on the Vermilion river during the period 1965-1983 as discussed in
Melching (1987).
COMPUTATIONAL

NOTES

M o n t e Carlo simulation

In Monte Carlo simulation, r a n d o m basic variable values are generated in

accordance with their corresponding probability distributions. A model
simulation is performed using these basic variable values and the performance
function is calculated. The exceedance probability for a given target level, T,
is estimated as the number o f exceedances (Z < 0) divided by the number o f
simulations. By varying the target level the entire C D F of Z may be obtained.

168

f . s . MELCHING

The probability estimated by Monte Carlo simulation is not unique. However,

it may closely approximate the exact value if the number of trials is 'sufficiently
large'. The definition of 'sufficiently large' is a functon of the number of
parameters, the complexity of the model, and the magnitude of the probability
being estimated.
In this study the results of Cheng's (1982) comparison of the convergence
of Monte Carlo simulation vs. direct integration for two simple four-basicvariable problems were used as a guide to the selection of the appropriate
number of simulations. To determine the exceedance probability curves a
single set of 10 000 simulations was made. It is felt that this offers reasonably
accurate estimates for probabilities between 0.01 and 0.99. For other cases
where the exceedance probability for specific target levels (i.e. dangerous flood
levels) was expected to be greater than 0.2 (based on A F O R M estimates),
three sets of 1000 simulations were made and the probabilities were found to
have sufficiently converged. For events and target levels whose exceedance
probabilities were expected to be less than 0.01, no Monte Carlo simulation
was attempted due to computer time constraints.
AFORM
In this study the Rackwitz (1976) iterative algorithm shown in Fig. 1 was
used to find the failure point x*. The majority of the probability estimates in
this study converged as for the ideal case. However, for several estimates, such
ideal convergence was not obtained and the value of/3* (the value of/3 for x*)
was approximated.
One of the key assumptions of A F O R M is that the system performance
function is continuous and differentiable or at least locally differentiable.
Owing to the use of block (1 h) hyetograph data and the abstraction model of
initial loss-continuing loss rate, the system performance function is discontinuous. These discontinuities lead to two significant convergence problems.
For the case when the relationship between the initial loss and the precipitation up to and including time period i, P,, is
Pi-

bCL < IL < P~

(21)

where b = 2 for RORB and is related to the difference between IL and Pi for
HEC-1, the value of IL between these bounds is irrelevant in the calculation
of the rainfall excess. When the iteration scheme moves to such a point,
c~Z/c3IL = 0 which is generally a drastic change from its previous non-zero
value and this leads to problems with iteration convergence. This is more of
a problem with HEC-1, which uses a single hyetograph, than for RORB,
which uses multiple hyetographs (two in this study). Generally, these

UNCERTAINTIES IN HYDROLOGIC MODELING

169

problems can be circumvented by making IL equal to 19.. Hence, c3Z/OlL will

have a non-zero value and the iterations will continue toward convergence.
The iteration scheme also has problems with iterations which go back and
forth from one side of a discontinuity to the other and, hence, cannot converge
in the basic variables. Generally, for such cases, the value of/3 has converged
to the second decimal place. Hence, a good approximation of/3* may be
obtained.
The iterations often diverged for extreme probability cases (/3 > 2.5). The
difference in/3 values for Z near zero was typically on the order of 0.2-0.4. The
iteration whose /3 value was closest to zero was chosen as a reasonable
estimate of the true /3*. In this study, the /3 values so approximated were
generally on the order of 0.006-0.00004. Hence, from a practical viewpoint,
such approximations of/3* do not greatly change the estimated flood risk for
the event in question.

MFORM
In the case of the initial loss parameter for both models the Taylor series
expansion was performed at the median (i.e. the mean value of the logarithms),
while for all other parameters the expansion was taken at the mean values.
Only the results of M F O R M with the performance function in the form
Z = R - L are reported here. The form Z = (R/L) - 1 performs poorly in
general (Yen et al., 1986), while for this case study the form Z = ln(R/L)
performs poorly, especially when extreme discharge levels are considered
(Melching, 1987).
PRESENTATION OF RESULTS

Monte Carlo simulation, M F O R M , and A F O R M were used to estimate

exceedance probabilities for various target levels for 16 verification storm
events (i.e. events not used in calibration) occurring mainly during the period
1955-1965. Figures 2-5 display the exceedance probability curves for HEC-1
peak discharge estimates of the storm events of 8 April 1965, 26 April
1959, 4 May 1965, and 13 July 1957, respectively. Figures 6-9 display the
exceedance probability curves for RORB peak discharge estimates of these
same storm events.
These figures show a generally good agreement between Monte Carlo and
A F O R M results for a wide range of storm magnitudes - - 8 April 1965,
rainfall depth = 26.4mm, direct runoff peak = 97.4m 3 s-I; 4 May 1965,
rainfall depth = 60.4mm, direct runoff peak = 218m 3 s -I. Also Monte
Carlo and A F O R M results compare well for different types of storm events

170

C.S. MELCHING
1.0

MFORM--

0.8
\

Monte
Carlo

0.6-

\ \
u

0.4--

0.2

o.o

I
50

I
i00

Peak Discharge,

150

200

Q (m3/s)

Fig. 2. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
peak discharge predictions by HEC-I for the storm of 8 April 1965.

- - the storm event of 13 July 1957 is a convective type event while the others
are frontal (cyclonic) events.
Cornell (1972) noted that the basis for judging the quality of first-order
reliability analysis should not be the exactness of the probabilities estimated
but rather the decision or design parameters derived from the probabilities.
1.0

AFORM
~\

>~ 0 . 8

MFORM -

~\

.o@

0.6

0.4

--

Monte
Carlo

,\
x

\\,
\\\

x~, \ ,

~ o.2
0.0

I
i00

,
200

Peak Discharge,

300

4O0

0 (m3/~],

Fig. 3. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
peak discharge predictions by HEC-1 for the storm of 26 April 1959.

UNCERTAINTIES

IN HYDROLOGIC

--

1.0

171

MODELING

\
~-

0.8

'AFORM I
MFORM

0.6

0.4

0.2

0.0 0

i00

x,

~\
"~k \
-~

---

'

Monte
Carlo

'

200

300

400

Peak Discharge, Q (m3/s)

Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
discharge predictions by HEC-I for the storm of 4 May 1965.

Fig. 4.
peak

The exceedance probabilities for a stage (5.44 m) which leads to significant

flooding in Pontiac as estimated by Monte Carlo simulation, MFORM, and
A F O R M are displayed in Tables 3 and 4 for HEC-1 and RORB, respectively.
Examination of these tables shows that regardless of the reliability analysis
method the same flood watch or warning decision would likely be made

AFORM -0.8 ~

MFOP~M

---

..4

Monte
Carlo

0.6

o.4

0.2

\ ~

0.

i00

200

300

400

Peak Discharge, Q (m3/s~

Fig. 5. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
discharge predictions by HEC-1 for the storm of 13 July 1957.

peak

172

C.S. MELCHING
1.0

0.8

_ " ~

,~\\~\

'
I
AFORM
MFORM
Monte
Carlo

0.6
0.4

7
M

0.2

I
50

0.0

I
i00

Peak Discharge,

150

200

Q (m3/s)

Fig. 6. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
peak discharge predictions by RORB for the storm of 8 April 1965.

considering the probability of flooding. Hence, on a decision parameter level,

the comparison between A F O R M or M F O R M and Monte Carlo simulation
looks favorable.
Examination of Tables 3 and 4 shows that MFORM frequently offers
better agreement with Monte Carlo simulation than does AFORM with
respect to the probability of flood level exceedance. Also, Figs. 3, 4, and 7

1.0
~-_._

0.8

'\

AFORM' i__ - MFORM

--

"~\
~

'

0.6

__

'_ _
_

Monte
Carlo

\\

,\

0.4

0.2

0.0
i00

200

Peak Discharge,

300

400

Q (m3/s)

Fig. 7. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
peak discharge predictions by RORB for the storm of 26 April 1959.

UNCERTAINTIES IN HYDROLOGIC MODELING

173

1.0
AFORM

0.8

~ ~\

MFORM--

"\
,.Q

0.6

\\
\\,

u
r~

Monte
Carlo

'\

0.4

0.2

0.0

100

300

200

Peak D i s c h a r g e ,

400

Q (m3/s)

Fig. 8. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
peak discharge predictions by RORB for the storm of 4 May 1965.

show that MFORM offers very good agreement with Monte Carlo simulation
estimates of the peak discharge CDF for HEC-1 modeling of the 26 April 1959
and 4 May 1965 events and RORB modeling of the 26 April 1959 event. The
agreement is best in the central portion of the CDF and it degrades significantly
at the extremes (as would be expected). The other figures show very poor
1.0

'

'

AFORM
MFORM -0.8

" ~

"~

~
..~

Monte
Carlo

~ ~..

0.6

'\

"-~>

0.4
tB

o oo

i00

200

Peak D i s c h a r g e ,

--"-t

300

-- ~-"'-~--~

400

Q (m3/s)

Fig. 9. Comparison of Monte Carlo (MFORM) and AFORM estimates of exceedance probabilities of
peak discharge predictions by RORB for the storm of 13 July 1957.

174

C.S. MELCHING

TABLE 3
Probabilities of flood level exceedance estimated for HEC-1 using Monte Carlo simulation,
MFORM, and AFORM
Date

Monte Carlo

AFORM

MFORM

21/6/56
16/4/57
24/4/57
13/7/57
22/7/57
9/6/58
12/6/58
14/7/58
26/4/59
23/9/61
10/5/62
5/4/65
8/4/65
23/4/65
4/5/65
12/6/73

0.192
0.108
0.023
0.191
0.164
0.023
0.933
0.019
0.0046
0.160
0.260

0.0026
0.239
0.125
0.034
0.251
0.214
0.036
0.954
0.035
0.000005
0.00026
0.000088
0.000024
0.0094
0.222
0.335

0.0018
0.212
0.077
0.0083
0.222
0.206
0.105
0.962
0.025
0.000003
0.00067
0.00002
0.0023
0.0047
0.216
0.298

agreement between M F O R M and Monte Carlo estimates of the peak

discharge CDF.
The difference in performance can be linked directly to the error in
M F O R M ' s estimate of the standard deviation of the output, and, hence,
indirectly to non-linearity in model performance for certain events. For
the events for which M F O R M provides poor estimates of the C D F or the
probability of flood level exceedance, the error in the M F O R M estimate of the
output standard deviation relative to the Monte Carlo estimate ranges
between 29 and more than 100%. While those events for which M F O R M
appears to out-perform A F O R M in terms of probabilities and CDFs the error
in the M F O R M estimate of the output standard deviation relative to the
Monte Carlo estimate ranges between 2 and 18% with an average absolute
error of 11%. Hence when the model performance is fairly linear such that the
first-order variance about the predicted value adequately reflects the overall
variance for a wide range of outcomes, M F O R M provides a good estimate of
the CDF. However, for cases where the non-linearities in the model performance cause the first-order variance about the predicted value to poorly
reflect the overall variance, M F O R M poorly estimates the CDF. The strength
of A F O R M is shown by its good performance even for cases with strong
non-linearity.
A F O R M consistently overpredicts (with a few exeptions) the exceedance

UNCERTAINTIESIN HYDROLOGICMODELING

175

TABLE 4

Probabilities of flood level exceedance estimated for R O R B using Monte Carlo simulation,
M F O R M , and A F O R M
Date

Monte Carlo

AFORM

MFORM

21/6/56
16/4/57
24/4/57
13/7/57
22/7/57
9/6/58
12/6/58
14/7/58
26/4/59
23/9/61
10/5/62
5/4/65
8/4/65
23/4/65
4/5/65
12/6/73

0.363
0. | 62
0.057
0.438
0.278
0.228
0.944
0.026
-

0.029
0.425
0.170
0.078
0.504
0.340
0.290
0.960
0.044
0.00033
0.0027
0.0011
0.00072
0.040
0.314
0.552

0.0059
0.378
0.138
0.013
0.467
0.296
0.292
0.951
0.062
0.00091
0.0018
0.00079
0.014
0.024
0.318
0.511

0.026
0.254
0.485

probabilities relative to Monte Carlo simulation. The discontinuities in Z due

to the block hyetograph input discussed earlier are the cause of the overprediction. The overestimate results from the fact that by ignoring the discontinuity, AFORM overestimates the partial derivative, C;, and, hence,
AFORM perceives the model output to have greater variability than it truly
does. Therefore, ]ill is underestimated and higher exceedance probabilities for
the various target levels are estimated by A F O R M relative to Monte Carlo
simulation. Events with at least one period of very high rainfall relative to
E[IL] are less affected by the discontinuity, and for such events A F O R M and
Monte Carlo simulation should compare well in the central portion of the
output probability distribution. The storm event of 13 July 1957 has a high
rainfall period and the expected close agreement between AFORM and
Monte Carlo simulation can be seen in Figs. 5 and 9.
CONCLUSIONS

The advanced first-order reliability analysis method (AFORM) is potentially

of great use to water resources professionals, who are interested in assessing
the effects of uncertainty on design and decision making parameters. AFORM

176

C.S. MELCHING

offers a compromise between the accuracy of Monte Carlo simulation (at high
computational cost) and the simplicity of mean value first-order reliability
analysis (with considerable problems for non-linear systems and extreme
failure events). A simple example of the uncertainty in peak discharge
estimates from two rainfall-runoff models demonstrated the accuracy of
AFORM relative to Monte Carlo simulation over a wide range of exceedance
probabilities. This example included several events where non-linearities in
model performance caused serious problems for MFORM and yet AFORM
still performed well for these cases. The example also considered large coefficients of variation for the most sensitive basic variables and non-normal
distributions for the basic variables which can in general lead to problems with
MFORM estimates.
Performance function discontinuities can lead to overestimation of
exceedance probabilities by AFORM. However, this overestimation may not
be significant at the design or decision parameter level. For cases where the
discontinuity effects are small, the agreement between AFORM and Monte
Carlo simulation is quite close.
It is hoped that this paper will stimulate water resources professionals to try
A F O R M for assessing uncertainties for those problems where the computational demands of Monte Carlo simulation are still too great.
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