QUANTITATIVE RISK ASSESSMENT IN GEOTECHNICAL ENGINEERING

The First Order Second Moment Method (FOSM)

Presented by
D. V. Griffiths (Colorado School of Mines)

Colombian Geotechnical Society

XV CGC & II ISCSR
4th October, 2016 113
 The First Order Second Moment (FOSM) Method

All rules considered so far were for linear functions of random variables.

….but many equations in geotechnical engineering are

non-linear functions of the input variables.

B
e.g. Bearing Capacity: qult  cNc  qN q  N
2

114
 0.8
0.7
 f 
0.6 K a  tan 2  45  
 2
0.5

Ka 0.4
1
e.g. Earth Pressure: Pa   H 2 K a 0.3
2 0.2
0.1
0
0 10 20 30 40 50
f'

25

20
D  5m
15
t90 yr
0.848D 2
e.g. Consolidation: t90  10
cv
5

0
0 1 2 3 4 5
2
cv m /yr

How can we account for nonlinear functions of random variables? 115

A well-established approximate method for estimating the influence of
one or more random input variables on a function is called the
First Order Second Moment (FOSM) method.

The method is called “First Order” because it includes only first order terms
in a Taylor expansion of the nonlinear function. Essentially, it approximates
a nonlinear function as a linear function in the vicinity of the mean value.

The method is called “Second Moment” because it enables estimates

to be made of the variance (second moment) of the function.

116
 Non-linear function of a single random variable (SRV)

Let the nonlinear function be f  X  . Expand the function

using the Taylor series about the mean point  X , but
truncate the series after first order (linear terms).
derivative
evaluated at  X
df
f  X   f  X    X  X  
dx

Since we have "linearized" the function,

we can use the rules for E  X  and Var  X 
for linear functions described previously.

117
Expectation of the “linearized” function of a SRV
0
 df 
E  f  X    E  f   X    X   X  
 dx 
 f  X 

Variance of the “linearized” function of a SRV

0 0
 df 
Var  f  X    Var  f   X    X   X  
 dx 
2
 df 
   Var  X 
 dx 
118
 Non-linear function of two random variables

Let the nonlinear function be f  X , Y  . Expand the function

using the Taylor series about the mean point   X , Y  ,
but truncate the series after first order (linear terms).
derivatives evaluated
at   X , Y 
f f
f  X , Y   f   X , Y    X   X   Y  Y  
x y

Since we have "linearized" the function,

we can use the rules for E  X , Y  and Var  X , Y 
for linear functions described previously.

119
 Expectation of a “linearized” function of two random variables

0 0
 f f 
E  f  X , Y    E  f   X , Y    X   X   Y  Y  
 x y 
 f   X , Y 

Variance of a “linearized” function of two random variables

0 0 0
 f f 
Var  f  X , Y    Var  f   X , Y    X   X   Y  Y  
 X Y 
 f  f f  f 
2 2

  Var  X   2 Cov  X , Y     Var Y 

 X  X Y  Y 

All derivatives evaluated at   X , Y 

120
 Expectation of a “linearized”
function of multiple random variables
E  f  X1 , X 2 , 
X n   f  X1 ,  X 2 , X n

Variance of a “linearized” function of
multiple correlated random variables
n n
 f   f 
Var  f  X 1 , X 2 , X n         Cov  X i , X j 
i 1 j 1  dxi   dx j 

Variance of a “linearized” function of

multiple uncorrelated random variables
2
n
 f 
Var  f  X 1 , X 2 , X n       Var  X i 
j 1  dxi 
121
 Calculation of the derivatives in geotechnical problems

Option 1: If the function can be expressed explicitly

we can differentiate directly.
Option 2: If the function cannot be expressed explicitly
we can differentiate numerically.
Here we can use a "central difference " approach in which the function is
evaluated twice for each random variable, while fixing all the others at their
mean values.
For example in the case of a function of two random variables, f  X , Y 
f f   X  x, Y   f   X  x, Y 

x 2x

f f   X , Y  y   f   X , Y  y 

y 2y

When x and y are "small" this is called a "perturbation method"

122
 If the function is essentially linear in the    range,
some investigators have advocated letting x   X and y   Y

f f   X   X , Y   f   X   X , Y  f X
 
x 2 X 2 X

f f   X , Y   Y   f   X , Y   Y  fY
 
y 2 Y 2 Y
This approach has the advantage that after substitution into the expression for
Var  f  X , Y   the variance of the random variables  X2 and  Y2 cancel,
leading to (assuming X and Y are uncorrelated).

 f   f 
2 2

Var  f  X , Y     X    Y 
 2   2 
In general, for functions of n uncorrelated random variables
 f X i 
2
n
Var  f  X 1 , X 2 , , X n     
i 1  2  123
 If X and Y are correlated with  X ,Y and noting that

Cov  X , Y    X ,Y X  Y

 f  f f  f 
2 2

Var  f  X , Y      Var  
X  2 Cov     Var Y 
X , Y 
 X  X Y  Y 
 f  1  f 
2 2

  X   f X fY  X ,Y   Y 
 2  2  2 

In general, for functions of n correlated random variables

1 n n
Var  f  X 1, X 2 , , X n     f X i f X j  X i , X j
4 i1 j 1
124
When preparing a "performance function" of random variables
for use with FOSM,

e.g. M  X 1 , X 2 , , Xn 

it is convenient to arrange terms such that

"failure" or "unsatisfactory performance"
corresponds to M  0

125
 Wall Sliding Example using FOSM
(4 Random Variables)
0.30

Cohesionless soil

c  0, f 
Active Earth Pressure Coefficient

K a  tan 2 (45  f )
4.57
H  5.03
2

c  bf
Pa Units in kN and m
1.37 1.83
0.46
tan 
3.66
Example modified from
Duncan, J.M. (2000) “Factors of safety and reliability in geotechnical engineering”,
J Geotech Geoenv Eng, v.126, no.4, pp.307-316 126
 0.30

Cohesionless soil
c  0, f 
Active Earth Pressure Coefficient

K a  tan 2 (45  f )
4.57
H  5.03
2

c  bf
Pa
Units in kN and m
1.37 1.83
0.46
tan 
3.66

1
Earth load from Rankine's Theory : Q  Pa   bf H 2 K a  12.65 bf K a
2
Weight of concrete and backfill
W  Wc  Wbf
1
 0.46(3.66) c  (4.57)(0.30  0.46) c  1.83(4.57) bf
2
 3.42 c  8.36 bf
Frictional resistance : R   3.42 c  8.36 bf  tan 
127
 Input data for (uncorrelated) random variables

Property  
c (kN/m3) 23.58 0.31
bf (kN/m3) 18.87 1.10
Ka 0.333 0.033
tan  0.5 0.05
R  3.42 c  8.36 bf  tan 
Factor of Safety against sliding : FSsl  
Q 12.65 bf K a
 1.50 (based on mean values)
To use FOSM, set up a "performance function" M where
failure is indicated by M  0, e.g.
R
M  1  FS  1
Q

M
 3.42 c  8.36 bf  tan 
1 Eq.(1)
12.65 bf K a 128
 Now use the FOSM Method to estimate the statistics of M

E[M ] 
 3.42 E[ c ]  8.36 E[ bf ] E[ tan  ]
1
12.65 E[ bf ] E[K a ]
 M
2
 M 
2 2 2
 M   M   M 
Var[M ]    Var[ c ]    Var[ bf ]    Var[K ]    Var[ tan  ]
  c    bf  K a    (tan   
a

  FS
2
sl

The mean value of M can be estimated in the FOSM Method by substituting all the
mean values of the input variables into the governing function, thus:

Hence, M 
 3.42(23.58)  8.36(18.87)  0.5
 1  0.50
12.65(18.87)0.333

Since we have a functional relationship between M and the input variables,

from Eq.(1), the variance of M can be estimated in this case by
analytical differentiation at the mean.
129
Performance Function: M
 3.42 c  8.36 bf  tan 
1
12.65 bf K a

M 0.27 tan 
  0.02
 c  bf K a

M 0.27 c tan 
  0.03
 bf  bf2 K a

M (0.66 bf  0.27 c ) tan 

  4.50
K a  bf K a
2

M (0.66 bf  0.27 c )
  3.00
(tan    bf K a

All derivatives evaluated at the mean

130
Hence:

Var[M ]  0.022  0.312  0.032 1.102  4.502  0.0332  32  0.052

 0.0457
  M = 0.04568=0.2137

 M  0.50
Summary: 
 M  0.2137

What is the probability of sliding failure?

P  M  0  ?? 131
 In order to compute probabilities we need to assume a suitable PDF for M

Let’s assume that M is normally distributed

 0.50 
P  M  0     
 0.2137 
 2.3397)
 1   2.3397)
 1  0.9903
 0.0097 or 0.97%

hence
  2.340 (Reliability Index)

132
 Include some cross-correlation
Let Ka and  bf have a cross-correlation of Ka , bf  0.5
The covariance between these parameters is then given by:
Cov[K a ,  bf ]   Ka , bf  Ka   bf
 0.5  0.033 1.10
 0.018
and the following term is added to Var[M] obtained previously:
M M
2 Cov[K a ,  bf ]
K a  bf
Var[M ]  0.04568  2   4.5   0.03   0.018
 0.0408
The variance has been reduced, so the p f will also be reduced.
P  M  1    2.475  0.0066 or 0.66% 133
 Same Wall Sliding Example
but with a different arrangement of the
Performance Function
0.30

Cohesionless soil
c  0, f 
Active Earth Pressure Coefficient
4.57 f
H  5.03 K a  tan 2 (45  )
2
c  bf
Pa Units in kN and m
1.37 1.83
0.46
tan 
3.66

134
 0.30

Cohesionless soil
c  0, f 
Active Earth Pressure Coefficient

K a  tan 2 (45  f )
4.57
H  5.03
2

c  bf
Pa
Units in kN and m
1.37 1.83
0.46
tan 
3.66

1
Earth load from Rankine's Theory : Q  Pa   bf H 2 K a  12.65 bf K a
2
Weight of concrete and backfill
W  Wc  Wbf
1
 0.46(3.66) c  (4.57)(0.30  0.46) c  1.83(4.57) bf
2
 3.42 c  8.36 bf
Frictional resistance : R   3.42 c  8.36 bf  tan 
135
 Input data for (uncorrelated) random variables

Property  
c (kN/m3) 23.58 0.31
bf (kN/m3) 18.87 1.10
Ka 0.333 0.033
tan  0.5 0.05

R  3.42 c  8.36 bf  tan 

Factor of Safety against sliding: FSsl  
Q 12.65 bf K a
 1.50 (based on mean values)
To use FOSM, set up a "performance function" M where
failure is indicated by M  0, e.g.

M  R Q
 
M  3.42 c  8.36 bf tan   12.65 bf K a Eq.(1)
136
 Now use the FOSM Method to estimate the statistics of M

E[M ]   3.42 E[ c ]  8.36 E[ bf ] E[ tan  ]  12.65 E[ bf ] E[K a ]

 M
2
 M 
2 2 2
 M   M   M 
Var[M]    Var[ c ]    Var[ bf ]    Var[K ]    Var[ tan  ]
  c    bf  K a    (tan   
a

  M2
The mean value of FSsl can be estimated in the FOSM Method by substituting all the
mean values of the input variables into the governing function, thus:

Hence, M   3.42(23.58)  8.36(18.87)  0.5  12.65(18.87)0.333  39.71

Since we have a functional relationship between M and the input variables,

from Eq.(1), the variance of M can be estimated in this case by
analytical differentiation at the mean.
137
Performance Function: M   3.42 c  8.36 bf  tan   12.65 bf Ka

M
 3.42 tan   1.71
 c

M
 8.36 tan   12.65K a  0.03245
 bf

M
 12.65 bf  238.7055
K a

M
  3.42 c  8.36 bf   238.3968
(tan  

All derivatives evaluated at mean values

138
Hence:

Var[M ]  1.712  0.312  0.0322 1.102  238.72  0.0332  238.42  0.052

 204.42

  M  204.42=14.30

 M  39.71
Summary: 
 M  14.30

What is the probability of sliding failure?

P  M  0  ?? 139
In order to compute probabilities we need to assume a suitable PDF for M

Let’s assume that M is normally distributed

 39.71 
P  M  0     
 14.30 
 2.777)
 1   2.777)
 0.0027 or 0.27%

  2.78 (Reliability Index)

Note that the first Performance Function gave

  2.340 and p f  0.97%
140
Slope Stability Example using FOSM and Numerical Differentiation
(2 Random Variables)

Shear strength parameters:

f  20,  f  2.4 Uncorrelated
c  10.0 kN/m 2 ,  c  3.0 kN/m 2

What is the probability of failure? 141

 From FOSM

E  FS   FS  f ,c 
   FS      FS  
2 2

Var  FS     Var f     Var  c

 f    c 
In slope stability analysis we rarely have a “formula” to differentiate
analytically, so we need to use numerical differentiation.
If we use a central difference estimate of the derivatives with
"perturbations" of   , then

 FSf   FSc 
2 2

Var  FS      
 2   2 

where FSf  FS  f   f , c   FS  f   f , c 

FSc  FS  f , c   c   FS  f , c   c 
142
Use any standard limit equilibrium or FE slope stability program

Here we have used a program called STABR that uses Bishop’s Method
to compute the Factor of Safety for the following 5 cases.

f c FS
f  , c 20.0 10 1.419 FS  1.419

f    f , c 22.4 10 1.540

FSf  0.240
f    f  , c 17.6 10 1.300

f  , c   c 20.0 13 1.566

FSc  0.303
f  , c   c 20.0 7 1.263
143
 FS  1.419
 FSf    FSc 
2 2

Var  FS      
 2   2 
2 2
 0.240   0.303 
   
 2   2 
 0.0374
hence  FS  0.0374  0.193

Assume that the FS probability density function is normal....

 1  1.419 
p  FS  1    
 0.193 
   2.17 
 1    2.17 
 1  0.98499
 0.015 (1.5%) 144
 Bearing Capacity Example using FOSM and Numerical Differentiation
(2 Random Variables)

q  40 kPa
B  2m

f   30,  f   2 Consider cases where

a) c,f  =0 (uncorrelated)
c  20 kPa,  c  10 kPa b) c,f  =0.5 (positively correlated)
  18 kN/m3
Bearing capacity equation:
B
qult  cN c  qN q  N
2
where
N q  K p e tan f  , N c   N q  1 cot f , N  2  N q  1 tan f 

qult
Let the allowable bearing pressure be given by qall  based on mean parameters.
3
Assuming bearing capacity is lognormal, use FOSM to estimate P  qult  qall 
145
We could differentiate analytically, but a bit messy, so use numerical differentiation
with the    method.

Set up a table: f c qult

30 20 1742
f   30,  f   2
c  20 kPa,  c  10 kPa
 qult ,f  775
28 20 1406
32 20 2181

30 10 1441
30 30 2043  qult ,c  602

1742
qall   581
3

146
 q  1742
ult

a) c,f  =0 (uncorrelated) 2 2
 775   602 
q       491
ult
 2   2 

If qult is lognormal, find mean and standard deviation of normal distribution of ln qult

  491 2 
 ln q  ln 1      0.276
  1742  
ult

1
ln q  ln 1472    0.276   7.256
2
ult
2
P  qult  581  P ln qult  ln  581 
 ln  581  7.256 
  
 0.276 
   3.224 
 1    3.87 
 1  0.99937
 6.3  104 147
 q  1742
ult

b) c,f  =0.5 (positively correlated) 2 2

 775  1  602 
q     (775)(602)(0.5)     598
ult
 2  2  2 

If qult is lognormal, find mean and standard deviation of normal distribution of ln qult

  598 2 
 ln q  ln 1      0.334
  1742  
ult

1
ln q  ln 1472    0.334   7.239
2
ult
2
P  qult  581  P ln qult  ln  581 
 ln  581  7.239 
  
 0.334  Note that positive correlation
   2.618  results in a higher p . f
 1    2.618  This will be further discussed
 1  0.99558 in the section on FORM and
 4.4  103 Monte-Carlo.
 Disadvantages of FOSM

The FOSM described previously does not necessarily produce unique results as shown
in the wall sliding example.

Consider a "Performance Function" M for some geotechnical problem in which failure

is defined when M  0

E[M ]
The Reliability Index  in this case is given by  
Var[ M ]

…which measures how far the mean of the performance function is from zero
(the “failure” point) in standard deviation units.

149
 Approach 1

In the classical "resistance" R versus "load" Q problem, the performance function M

can be defined as M  R  Q

Assuming R and Q are uncorrelated, the FOSM method gives,

E[ M ]  E[ R]  E[Q]   R  Q

and
2 2
 M   M 
Var[ M ]    Var[ R ]    Var[Q ]   2
  2

 R  
R Q
 Q 
(note that since the performance function M is linear in this case
the first order mean and variance of M are exact)

hence,
 R  Q
=
 R2   Q2
150
 Approach 2
For non-negative loads and resistances (typical in Geotechnical Engineering),
an alternative definition of the performance function could be:
R
M  ln   so that failure occurs when M  0 as before.
Q
Once more assuming R and Q are uncorrelated, the FOSM method gives,
 E  R 
E[ M ]  ln   ln  R  ln Q
 E Q  
 
2 2
 M   M 
Var[ M ]    Var[ R ]    Var[Q] (derivatives evaluated at the means)
 R   Q 
Var[ R] Var[Q] Var[ R] Var[Q]
 2
 2
 2  2
R Q E [ R] E [Q]
 vR2  vQ2
ln(  R )  ln( Q )
hence  = which is clearly different to before.
vR2  vQ2
151
 Approach 3
For non-negative loads and resistances (typical in Geotechnical Engineering),
an alternative definition of the performance function could be:
R
M   1 so that failure occurs when M  0 as before.
Q

Once more assuming R and Q are uncorrelated, the FOSM method gives,
E  R
E[ M ]  1
E Q 

2 2
 M   M 
Var[ M ]    Var[ R ]    Var[Q] (derivatives evaluated at the means)
 R   Q 
1 E2  R
 2 Var[ R]  4 Var[Q]
E Q  E Q 

Q   R  Q 
hence  = which again is different.
Q2 R2   R2 Q2
152
 Numerical Example

Consider a load  Q  and resistance  R  problem where

E Q   5, Var Q   4 and E  R   8, Var  R   8

Approach  pf (%)
1 -0.866 19.3%
2 -0.880 18.9%
3 -0.702 24.1%

153
 The non-uniqueness of the FOSM method is due to the fact that
different functional representations of M will have different mean
estimates and different first derivatives.

What the FOSM method is doing is estimating the distance from the mean
point to the performance function in the direction of the gradient at the mean.

Hasofer and Lind (1974) solved the non-uniqueness problem by

searching for the true minimum distance between the mean point
and the performance function.
This method is usually called the First Order Reliability Method (FORM)

Hasofer, A.M. and Lind, N.C. (1974) “An exact and

invariant first order reliability format.” J
Eng Mech Div, ASCE, EM1:111-121.
154