24-03-2017/REID

PROBABILISTIC ANALYSIS IN
SOIL MECHANICS

CE-660-March 2017

Dr. Budhaditya Hazra

Assistant Professor
Department of Civil Engineering

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INTROCUTION
Principle aim of design: SAFETY
Often this objective is non-trivial
On occasions, structures fail to perform their
intended function
RISK is inherent
Absolute safety can never be guaranteed for
any engineering system; a probabilistic notion

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A motivating example
F = 1 KN
EI = 10000000 Nm2
L =2m

FL3

3EI
0.2667 mm

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Uncertainties
Can we be always certain about EI ?
For RCC, fixing a point or a single value of E
is fraught with risks
Are we always sure about I ? Or the dimensional
properties ? Can be risky again
In lot of practical applications, even F cannot be known
for certain ?

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Lets consider the cantilever beam example

again, now with some uncertainties

F=1+0.1*randn(100,1) ; % F is normally distributed

EI=10^7+1000*randn(100,1); % EI is normally distributed

L=2;

for i=1:100
delta(i)= F(i)*L^3/(3*EI(i));
end

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The displacement becomes uncertain too

Frequency of no of occurences 20

15

10

0
0.26 0.262 0.264 0.266 0.268 0.27 0.272 0.274 0.276
Deflection in mm
Mean value = 0.2674 mm

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Probability

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Sample space

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Classical definition

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Issues & frequency def

Drawbacks

What is equally likely?

What if not equally likely?
No room for experimentation.

Frequency definition
If a random experiment has been performed n number of times
and if m outcomes are favorable to event A, then the probability of
event A is given by

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Axioms of probability
Notions lacking definition

Experiments
Trials
Outcomes

An experiment is a physical phenomenon that is

repeatable. A single performance of an experiment is
called a trial. Observation made on a trial is called outcome.

Axioms are statements commensurate with our experience.

No formal proofs exist. All truths are relative to the
accepted axioms.

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Axioms of probability

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Definitions & representations

Sample space

Event A

Complementary event A

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Intersection and Union

Either A or B or both occurs

Both A or B occur

What are mutually exclusive and

mutually independent events ?

Ref to the chalk-board notes for details

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Conditional events
B Event B occurs first

A occurs given that B has

already occurred

P (A/B) = ?
= P (AB) / P(B)

A/B
Pay attention to the chalk-board notes for details

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Example-2

Find the probability of

a [P(a) =0.05] failure of the truss ?
c [P(c) =0.03]
Assume: The failures of
each of the members are
b [P(b) =0.04]
mutually independent

F
Hint: Define the failure event first

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Example-3
Prob of settlement of each footing = 0.1
Prob of settlement of each footing given the other one has settled = 0.8

Find the prob of differential settlement

Hint: Define the failure event (i.e. differential settlement)

first

A B
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Theorem of total probability

Sometimes probability of an event A cannot be assigned directly but can
be assigned conditionally for a number of other events Bi
Bi must be mutually exclusive and collectively exhaustive

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Example-4

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Bayes theorem: motivating example

In order to ensure the quality of concrete

material used in RCC construction:

concrete cylinders are collected at random from the

concrete mixes delivered to the construction site by a mixing
plant

Past records show that 80% of the concrete mixes are good

Let one of those cylinders be tested for compressive

strength, the reliability of this test is 90%
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Bayes theorem: motivating example

Define good quality concrete : G
A concrete cylinder passes test: T
What is P(T/G) = ?
= Prob that a concrete cylinder passes the test
given that the quality of concrete is good
= 0.9
What is P(G/T) and find its value ?

P(G/T)= a posteriori probability, i.e. probability that the concrete

is good given that it passes the test.

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Random variable
Random Variable (RV): A finite single valued function that
maps the set of all experimental outcomes in sample space S into
the set of real numbers R, is said to be a RV

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Discrete Random Variable

Discrete random variables are generally used to

describe events that are counted, for example: No of
cars crossing the intersection
Discrete random variables are expressed using
integers
The probability content of a discrete random
variable is described using the probability mass
function(PMF) and is denoted by pX(x)

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Discrete Random Variable

The cumulative distribution function(CDF) is defined as a
function of x, whose value is:

The probability that X is less than or equal to x

Because the events are mutually exclusive(i.e. X can only

assume one value at a time) the CDF is obtained simply by
adding the discrete probabilities as

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Properties of RV
A discrete random variable X can take m possible values X =
{x1, x2, , xm} is the sample space

Rolling a die, X= {1, 2, 3, 4, 5, 6}

P(xk) = Probability of taking a kth value (= xk) ( from PMF)

Expected Value or Mean =

Variance of X =

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Binomial Distribution
Suppose, the distribution of the number of failures X in a
group of 4 machines is a RV

The RV follows binomial distribution

= = 4C (1 )(4)

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Binomial Distribution
The number of trials (occurrence of transients or
accidents = m)

The number of failures in m trials = X, a RV (X m)

Probability of failure per transient/accident = p

Binomial distribution (Prob of exactly k occurrences

in m trials)
= = C ( )() ;
k = 1, 2,3,m
Distribution parameters are = m and p

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Poisson Distribution
Binomial distribution converges to the Poisson distribution

When probability of failure p 0 (very small)

And the population of component (very large)
Such that , constant called mean number of
failures

Poisson distribution gives the distribution of the number of

failures (N)

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Continuous RVs
A continuous random variable can assume any value
within a given range e.g. undrained shear strength

The probability content of a continuous random variable is

described by the probability density function(PDF)

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Continuous RVs
The probability associated with the random variable in
a given range is represented by the area under the PDF

Total area = 1.0

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CDF
The cumulative distribution function (CDF)

The CDF is equal to cumulative probability (ranges

between 0 and 1)

It is apparent from above that the PDF

is the first derivative of the CDF

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CDF & Quantile function

In some cases, we may be interested in finding out what
is the value of the random variable for a given probability

Probabilistic bounds that are important for design

purposes

The result is called the percentile or quantile value

For example, the value of the random variable

associated with 95 % (cumulative) probability is the
95th percentile value

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CDF & Quantile function

To estimate the percentile values, we must invert the CDF

as :

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Uniform distribution

It is the simplest distribution

It is the most uncertain distribution between a & b
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Normal distribution

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Normal distribution

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Standard normal distribution

The Standard Normal variate is used to transform the
original random variable x into standard format as

The Standard Normal distribution is denoted as

N(0,1)and has a mean of zero and standard
deviation equal to one

Because of its wide use, the CDF of the Standard

Normal variate is denoted as (s)

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Example: A reliability problem

A concrete column is expected to support a stress of
34 MPa.
Assuming the Normal distribution for concrete
strength, what is the probability of failure?
The sample mean and standard deviation computed
from tests are equal to 40 Mpa and 4.56 MPa

Soln: Probability of failure is the area under the Normal PDF

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The probability that the concrete strength is less

than or equal to the applied stress (34 MPa) is
obtained using the Standard Normal CDF as

Therefore, given an estimated average value of

40 Mpa from the 35 laboratory tests with a standard
deviation of 4.56 MPa, the probability of failure is
9.4 %

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Log-Normal distribution
The logarithmic or Log-Normal distribution is used when the
random variable cannot take on a negative value

A random variable follows the Log-Normal distribution if the

logarithm of the random variable is Normally distributed

ln (X) follows the Normal distribution; =>X follows the

Lognormal distribution

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Log-Normal distribution

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Log-Normal distribution
The Log-Normal distribution is related to the Normal
distribution, and can be evaluated using the Standard
Normal distribution as

The distribution parameters are related to the Normal

distribution parameters as

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Log-Normal distribution

The distribution parameters are :

Shape parameter = Mean of ln(x)

Scale parameter = STDEV of ln(x)

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Log-Normal distribution
Assuming the concrete strength is described by
the Log-Normal distribution, what is the
probability that the concrete strength is less than
or equal to 34 MPa?

Soln: The lognormal distribution parameters are :

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The probability that the concrete strength is less than or

equal to 34 Mpa is obtained using the Standard Normal
CDF as

Assuming the concrete strength follows the Log-Normal

distribution (i.e., the LOG of the concrete strength follows
the Normal distribution), there is a 8.5 %chance that the
concrete strength is less than or equal to 34 MPa

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Exponential distribution

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Exponential distribution
The cumulative distribution function (CDF) of the
Exponential distribution is given by:

The distribution parameters can be estimated using

the sample data (i.e. sample statistics)

The scale parameter is equal to or simply the

reciprocal of the sample average

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Multiple RVs
Consider 2 RVs X and Y

If the RVs are discrete, then the joint probability

distribution is described by the joint probability mass
function(PMF)

, , = ( = )( = )

CDF: , , = < < ,

)
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Continuous RV
CDF

Marginal PDF

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Moments of continuous RV

= ,

(,) [ ]
= =

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Properties of moments

+ = +
2
= 2 ( )
+ = 2 ()
Cov(X,Y)=
Var(X+Y)=Var(X)+Var (Y) + 2Cov(X,Y)

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Bi-variate Gaussian distribution

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Example

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Solution
How will you find k ?

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Solution
How will you find marginal pdfs

Is ?

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Solution

Conditional densities

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Function of random variables

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Function of random variables

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Example

What is pdf of y ?

Solution:

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Example

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Exercise
Solve the following problem ?

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Moments of functions of RVs

= 1 1 + 2 2

= 12 1 + 22 2 +21 2 12 1 2

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Moments of functions of RVs

In many cases derived probability distributions may be very difficult
to evaluate for general nonlinear functions.

Either use Monte Carlo simulation to find the derived density

Or,

Estimate mean and variance using an approximate analysis which in

Most of the practical applications is sufficient, although the
Pdf may still be undermined.

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Moments of general function of

a single RV

To find the approximate expressions of mean and variance,

we use Taylors series to expand a function about its mean

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Moments of general function of

a single RV
Second order approx.

= Do it yourself ?

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Example

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Example

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Monte carlo simulation

Many engineering problems involve a functional
relationship between a number of parameters
Load may depend on many environmental variables while
capacity could be a function of material properties
In many cases, the underlying parameters are subject to
uncertainty and could be treated as random variables
Evaluating a function of random variables is not trivial
The problem can be solved using Monte carlo simulation

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Simulating random numbers

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Simulating random numbers:

Matlab inbuilt functions

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Cantilever beam: Monte carlo-1

Perform Monte Carlo simulation and determine the maximum
deflection and maximum bending moment for the following
cases:

a) F~N (50,2.5) KN, L ~ N(2,0.01) m, EI ~ N(10^7,10^3) Nm^2

b) F~ LN (50,2.5), L ~ LN(2,0.01), EI~N(10^7,10^3)

Do it yourself

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Cantilever
clc
beam: Monte carlo-1
clear all
close all

N=1000; % Sample size, keep changing this number to understand the

%accuracy of results

F=normrnd(50000,2500,N,1); % Generates a random vec of size (Nx1)

%figure, hist(F,N);

L=normrnd(2,0.01,N,1);

%figure, hist(L,100);

EI=normrnd(1e+7,1e+3,N,1);

def=F.*(L.^3)./(3*EI); mmom=F.*L;

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Cantilever beam: Monte carlo-1

meandef= mean(def);

sddef = std(def);

meanmmom= mean(mmom);

sdmmom= std(mmom);

figure, hist(def,10); hold on;

plot(
meandef*ones(300,1),[1:300],'k',0.01333*ones(300,1),[
1:300],'--r','linewidth',3)

title('Histogram of the deflection in mm')

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Cantilever col buckling: Monte carlo-2

Consider the stability problem as shown in figure. Perform probabilistic

stability analysis with random values assumed for L and EI.

Perform Monte Carlo simulation and determine the critical load for the
following cases:

a) L ~ N(6,0.05), EI ~ N(7x10^5,200)

b) L ~ LN(6,0.05), EI~N(7x10^5,200) : Do it yourself

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