Low, B. K. (2005). Géotechnique 55, No.
1, 63–75
Reliability-based design applied to retaining walls
B. K . L OW *
Geotechnical engineers have long used the lumped factor
of safety approach in the design of foundations and
retaining walls. A more recent alternative is the limit
state approach using partial factors, for example as
suggested in Eurocode 7. Yet another approach is per-
haps more flexible and rational: design based on a target
reliability index that reflects the uncertainty of the para-
meters and their correlation structure. Among the var-
ious versions of reliability indices, the Hasofer–Lind
index and first-order reliability method (FORM) are
more consistent. This paper illustrates practical reliabil-
ity-based design procedures for retaining walls based on
the Hasofer–Lind index and FORM. Correlated normal
and non-normal random variables are considered. The
efficient spreadsheet-based probabilistic approach, based
on the work of Low & Tang, achieves the same result as
the Hasofer–Lind method and FORM, but uses an in-
tuitive expanding dispersion ellipsoid perspective that
greatly simplifies the computations and interpretations.
The differences between a reliability-based design and
one based on partial factors will be discussed. Sensitivity
information as conveyed in a reliability analysis will be
studied. The probabilities of failure inferred from relia-
bility indices will be compared with Monte Carlo simula-
tions. This paper deals only with certain aspects of
reliability, namely methodology and concepts, and not
reliability in its widest sense.
KEYWORDS: design; retaining walls; statistical analysis
INTRODUCTION
The objectives of this paper are to describe an alternative
interpretation of the Hasofer–Lind reliability index (Hasofer
& Lind, 1974) in the original space of the random variables,
and to illustrate practical reliability-based geotechnical de-
sign of retaining walls using object-oriented constrained
optimisation in the ubiquitous spreadsheet platform (Low &
Tang, 1997a, 2004). The difference between reliability-based
design and one based on partial factors will be discussed.
Sensitivity information conveyed by the reliability analysis
will be studied.
Consider the semi-gravity retaining wall shown in Fig. 1.
A long-established deterministic approach evaluates the
lumped factor of safety (Fs ) against rotational failure as
W 1 3 Arm1 þ W 2 3 Arm2
Fs ¼ ¼ f ð
9, , . . .Þ (1)
Pah 3 Armah
Pav 3 Armav
where W1 and W2 are the component weights of the semi-
gravity wall, with horizontal lever distances Arm1 and Arm2
respectively, measured from the toe of the wall; Pah and Pav
are the horizontal and vertical components of the active
Manuscript received 30 April 2004; revised manuscript accepted 21
October 2004.
Discussion on this paper closes 1 August 2005, for further details
see p. ii.
* School of Civil and Environmental Engineering, Nanyang
Technological University, Singapore.
63
Les géotechniciens utilisent depuis longtemps la méthode
à facteurs regroupés de sécurité pour la conception de
fondations et de murs de soutènement. Il existe une
alternative plus récente, la méthode d’état limite utilisant
des facteurs partiaux, comme ce qui est suggéré dans
Eurocode 7 par exemple. Pourtant, il existe une autre
méthode qui est peut-être plus flexible et plus ration-
nelle : une conception basée sur un indice de fiabilité qui
reflète l’incertitude des paramètres et leur structure de
corrélation. Parmi les diverses versions d’indices de fiabi-
lité, l’indice Hasofer-Lind et FORM (méthode de fiabilité
de premier ordre) sont les plus constants. Cet exposé
illustre les procédures pratiques de conception basées sur
la fiabilité pour des murs de soutènement, procédures
basées sur l’indice Hasofer-Lind et FORM. Nous consid-
érons les variables aléatoires corrélées normales et non
normales. La méthode probabiliste à tableaux, basée sur
les travaux de Low & Tang, arrive au même résultat que
la méthode Hasofer-Lind et FORM mais utilise une per-
spective ellipsoı̈de intuitive de dispersion croissante qui
simplifie énormément les calculs et interprétations. Nous
discutons des différences entre une conception basée sur
la fiabilité et une conception basée sur des facteurs
partiels. Nous étudions l’information de sensitivité telle
qu’elle est donnée dans une analyse de fiabilité. Nous
comparons les probabilités d’une défaillance dérivée des
indices de fiabilité à des simulations de Monte Carlo. Cet
exposé ne traite que de certains aspects de fiabilité,
nommément de méthodologie et de concepts et non pas
de fiabilité dans son sens le plus large.
earth thrust Pa , with levers Armah and Armav respectively;
and
9 and  are the internal friction angle of the retained
soil and the soil–wall interface friction angle respectively.
With the notations as defined in Fig. 1, if H ¼ 6 m, ªwall ¼
24 kN/m3 , º ¼ 108, Æ ¼ 908, ªsoil ¼ 18 kN/m3 , a ¼ 0.4 m,
b ¼ 1.8 m,
9 ¼ 358 and  ¼ 208, then the factor of safety
against overturning is Fs  1.65, by equation (1). In the
two-dimensional space of
9 and  one can also plot the Fs
contours for different combinations of
9 and , as shown in
Fig. 2, where the average point (
9 ¼ 358 and  ¼ 208) is
situated on the contour (not plotted) of 1.65. Design is
considered satisfactory with respect to overturning if the
factor of safety by equation (1) is not smaller than a certain
value (e.g. when Fs > 1.5).
A more recent and logical approach (e.g. Eurocode 7;
CEN, 1994) applies partial factors to the parameters in the
evaluation of resisting and overturning moments. Design is
acceptable if
X
ðResisting moments, factoredÞ
X
> ðOverturning moments, factoredÞ (2)
A third approach is reliability-based design, in which the
uncertainties and correlation structure of the parameters are
represented by a one-standard-deviation dispersion ellipsoid
(Fig. 2) centred at the mean-value point, and safety is
64 LOW
ì ó
x* mean StDev nx
H ãwall ë á ö¢ ä ãsoil a b
6 24 10 90 (x*, in radians) 18 0.4 1.8 ö¢ 26.428 35 3.5 22.449

0.1745 1.5708 0.4613 0.2711 ä 15.534 20 2 22.233

ca 100 100 15 0.000

Boxed cells contain equations

Correlation matrix
ö¢ 1 0.8 0
Ka Pa
1 K ãH 2 ä 0.8 1 0
0.3978 128.9 Pa 5 a (x* 2 ì)
2 nx 5
ó
ca 0 0 1

ö ä ca

Force Arm Moment

=SQRT(MMULT(TRANSPOSE(nx),MMULT(MINVERSE(crmat),nx)))
Pav 34.52 1.8 62.136
Ctrl + Shift, then Enter
W1 100.8 0.9333 94.08

W2 57.6 1.6 92.16 PerFn1 â PerFn2

192.9 248.4 ÓM 3 3 1028 2.491 55.812

Overturning mode Sliding mode

Pah 124.2 2 248.4

ì ó
a x* mean StDev nx
Soil : Unit weight ã ö¢ 29.136 35 3.5 21.6756
Angle of friction ö¢
ä 17.207 20 2 21.3967

ca 60.866 100 15 22.6089

1
Pa 5 K ãH 2
2 a
H
W2
â PerFn2
W1 ä 1 á 2 90°
3.102 0.00

Sliding mode

b Adhesion ca Stiff clay

Fig. 1. Reliability analysis of overturning failure mode and sliding mode, for correlated normal random variables, using
Microsoft Excel spreadsheet

gauged by a reliability index that is the shortest distance
(measured in units of directional standard deviations, R/r)
from the safe mean-value point to the most probable failure
combination of parameters (the ‘design point’) on the limit
state surface (defined by Fs ¼ 1.0). Furthermore, the prob-
ability of failure (Pf ) can be estimated from the reliability
index  using the established equation Pf ¼ 1
Ö() ¼
Ö(
), where Ö is the cumulative distribution (CDF) of the
standard normal variate. The relationship is exact when the
limit state surface is planar and the parameters follow
normal distributions, and approximate otherwise.
The merits of a reliability-based approach over the lumped
factor-of-safety approach are illustrated in Fig. 3(a), in
which case A and case B (with different average values of
soil shear strength parameters c9 and
9) show the same
values of lumped factor of safety, yet case A is clearly safer
than case B. The higher reliability of case A over case B
will be correctly revealed when the reliability indices are
computed. On the other hand, a slope may have a computed
lumped factor of safety of 1.5, and a particular foundation
(with certain geometry and loadings) in the same soil may
have a computed lumped factor of safety of 2.5, as in case
C of Fig. 3(b). Yet a reliability analysis may show that they
both have similar levels of reliability.
As will be made clear in the following section, the design
point (Fig. 2) is the most probable failure combination of
parametric values. The ratios of the respective parametric
values at the centre of the dispersion ellipsoid (correspond-
 RELIABILITY-BASED DESIGN APPLIED TO RETAINING WALLS 65
Fs 5 1.75 One-standard-deviation parisons are made with Monte Carlo simulations, and simila-
45 dispersion ellipse rities and differences between reliability-based design and
1.50
limit state design using partial factors are discussed. Reason-
40 able statistical properties are assumed for the hypothetical
1.25
cases presented, although actual determination of the statis-
ìö¢ â-ellipse tical properties is not covered. Only parametric uncertainty
35
r is considered, and model uncertainty is not dealt with. Hence
this paper is about reliability method and perspectives, and
30 not reliability in its widest sense. The focus is on introdu-
R
cing an efficient and rational design approach using the
Design point ubiquitous spreadsheet platform.
25
ö¢: degrees

20 Limit state surface
(Fs 5 1·0, or PerFn1 5 0)
15
10 â 5 R/r 5 2·49
5
0 The reliability analysis of the retaining wall in Fig. 1 is
0 10
ä: degrees
Fig. 2. Design point and normal dispersion ellipsoids illustrated
in the space of ö9 and ä. The correlation coefficient r is 0.8, as
shown in Fig. 1
ing to the mean values) to those at the design point are
similar to the partial factors in limit state design, except that
these factored values at the design point are arrived at
automatically (and as by-products) via spreadsheet-based
constrained optimisation. The reliability-based approach is
thus able to reflect varying parametric sensitivities from case
to case in the same design problem (e.g. Fig. 3(a)) and
across different design realms (e.g. Fig. 3(b)).
In the next section a practical spreadsheet-automated
reliability analysis is first illustrated and discussed for a
simple retaining wall with only two random variables. The
intuitive expanding dispersion ellipsoid perspective and the
meaning of reliability index are explained. This is followed
by the reliability-based design of an anchored wall involving
nine random variables, which are first treated as correlated
normal variates, and then as correlated non-normals. Com-
Safe
domain
RELIABILITY ANALYSIS OF A SEMI-GRAVITY
RETAINING WALL USING A SPREADSHEET
Three geotechnical failure modes need to be considered in
Failure the design of a semi-gravity retaining wall: rotation about
the toe of the wall, horizontal sliding along the base of the
domain
wall, and bearing capacity failure of the soil beneath the
wall, under the inclined and eccentric resultant load derived
µä from the weight of the wall and the active earth thrust Pa
acting on the back of the wall.
20 30
performed using Microsoft Excel software and its built-in
optimisation program Solver. For simplicity, it is assumed
that the in-situ stiff clay offers ample reliability against
bearing capacity failure: hence only the rotation and sliding
modes will be considered. (Reliability analysis with respect
to bearing capacity limit state was illustrated in Low &
Phoon, 2002).
Limit state functions with respect to rotation and sliding
The Coulomb active earth pressure coefficient will be
used, which is based on the assumption of a plane slip
surface in the soil. The value is practically the same as the
more rigorous Caquot and Kerisel active earth pressure coef-
ficient which assumes a logarithmic spiral slip surface, as
given in BS 8002 (BSI, 1994), for example. The Coulomb
active coefficient Ka is
Ka ¼
" #2
sinðÆ

9Þ=sin Æ
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
sinðÆ þ Þ þ sinð
9 þ Þsinð
9
ºÞ=sinðÆ
ºÞ
(3)

One-standard-deviation Slope
Fs ⫽ 3·0
Fs ⫽ 1·4 dispersion ellipsoid Foundation

Fs ⫽ 1·2 A 1·5
2·0

1·2 C
Safe
c′

c′

Fs ⫽ 1·0 B Fs ⫽ 1·0
(Foundation)

Unsafe, Fs ⬍ 1·0 Fs ⫽ 1·0

Unsafe
(Slope)

φ′ φ′
(a) (b)
Fig. 3. Schematic scenarios showing possible limitations of lumped factor of safety. (a) Cases A
and B have the same lumped Fs 1.4, but Case A is clearly more reliable than Case B. (b)
Case C may have Fs 1.5 for a slope and Fs 2.5 for a foundation, and yet have a similar
level of reliability
66
where Æ and º are the inclinations (Fig. 1) of the back of
the wall and the retained fill surface with respect to the
horizontal,
9 is the angle of internal friction of the soil,
and  is the interface friction angle between the concrete
wall and the soil. The water table is below the base of the
retaining wall. The active earth thrust Pa (kN/m) is taken to
act at a height of H/3 above the base of the wall and at an
angle  with the normal to the back of the wall: that is, at
an angle ( + Æ
908) with the horizontal. In Fig. 1, the
following equations have been set up, for a wall with a
vertical back (i.e. Æ ¼ 908):
Pav ¼ Pa sin , Armav ¼ b, W 1 ¼ 0:5ªwall ð b
aÞ H,
Arm1 ¼ 23ð b
aÞ
a H
W 2 ¼ ªwall aH, Arm2 ¼ b
, Pah ¼ Pa cos , Armah ¼
2 3
The performance functions (PerFn1 and PerFn2) with re-
spect to rotational mode and sliding mode are respectively
PerFn1 :¼ W 1 Arm1 þ W 2 Arm2 þ Pav Armav
Pah Armah
PerFn2 :¼ b 3 ca
Pah
If the base resistance to sliding has a frictional component
(W1 + W2 + Pav )tan
a , it can be added to the adhesion
component b 3 ca without affecting the solution procedure
described below.
The matrix formulation (Ditlevsen, 1981) of the Hasofer–
Lind index  is
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
 ¼ min x2 F ð x
ÞT C
1 ð x
Þ (6a)
or, equivalently,
sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
   
xi
 i T
1 xi
 i
 ¼ min x2 F ½ R
i i
where x is a vector representing the set of random variables
xi ,  is the vector of mean values  i , C is the covariance
matrix, R is the correlation matrix, i is the standard
deviation, and F is the failure domain. Low & Tang (1997b,
2004) used equation (6b) in preference to equation (6a)
because the correlation matrix R is easier to set up, and
conveys the correlation structure more explicitly than the
covariance matrix C.
For the reliability example in Fig. 1, the random variables
are soil friction angle
9, the interface friction angle , and
the base adhesion ca . It is expected that
9 and  are
positively correlated, and a correlation coefficient of 0.8 is
adopted, as shown by the correlation matrix in Fig. 1. The
parameters
9,  and ca in the above equations read their
LOW
minverse are Microsoft Excel’s built-in functions, each being
a container of program codes for matrix operations.
Initially the column labelled ‘x*’ is assigned the mean
values. The spreadsheet’s built-in Solver optimisation routine
is then invoked, to ‘Minimize’ , ‘By Changing’ the three
‘x*’ values, ‘Subject To’ the constraints PerFn1 , ¼ 0 and
the x* value of
9 . ¼ º. The Solver option ‘Use automatic
scaling’ can also be activated. (The constraint PerFn2 , ¼
0 would be specified instead when performing reliability
analysis with respect to the sliding mode.)
The solution ( ¼ 2.491) obtained by Solver is shown in
Fig. 1 for the overturning mode. The solution for the sliding
mode ( ¼ 3.102) is also shown in the insert. The spread-
sheet approach is simple and intuitive because it works in
the original space of the variables. It does not involve the
orthogonal transformation of the correlation matrix, and
iterative numerical partial derivatives are done automatically
on spreadsheet objects that may be implicit or contain
codes.
The x* values obtained in the top right of Fig. 1 represent
the most probable failure point on the limit state surface. It
(4) is the point of tangency (Fig. 2) of the expanding dispersion
(5) ellipsoid with the overturning limit state surface and, in the
bottom insert, with the sliding limit state surface. The
following may be noted:
(a) For the overturning limit state, the x* values shown in
the top right of Fig. 1 render equation (4) (PerFn1)
equal to zero. Hence the point represented by these x*
values lies on the overturning limit state surface. That
the nx value of ca turns out to be zero (by virtue of the
x* value of ca not deviating at all from the mean ca )
implies that the overturning mode is insensitive to the
base adhesion ca , as one would expect when the
overturning mode does not depend on ca at all. This
means that PerFn1 and its associated  index can be
plotted in the two-dimensional space of
9 and , as
(6b)
shown in Fig. 2, to scale. The limit state surface
separating the safe domain from the unsafe domain is
described by equation (4). The one-standard-deviation
ellipse and the  ellipse are tilted because the
correlation coefficient between
9 and  is 0.8. The
design point is where the expanding dispersion ellipse
touches the limit state surface, at the point represented
by the x* values of Fig. 1.
(b) As a multivariate normal dispersion ellipsoid expands,
its expanding surfaces are contours of decreasing
probability values, according to the established prob-
ability density function of the multivariate normal
distribution:
1
f ð xÞ ¼ n exp[
12ð x
ÞT C
1 ð x
Þ] (9a)
ð2Þ jCj0:5
2

values from the column labelled ‘x*’. The x* values, and the
functions dependent on them, change during the optimisation
search for the most probable failure point.
The column labelled ‘nx’ in Fig. 1 contains the equation
x 
i
nxi ¼ i
i
where  i stands for the mean value and i stands for the
standard deviation. Equation (6b) for the reliability index is
entered in the cell labelled  as an array formula:
¼ sqrt(mmult(transpose(nx), mmult(minverse(crmatrix), nx)))
(8)
followed by ‘Enter’ while holding down the ‘Ctrl’ and
‘Shift’ keys. In the above formula, mmult, transpose and
1
¼ n exp[
122 ] (9b)
ð2Þ 2 jCj0:5
where  is defined by equation (6a) or (6b), without the
‘min’. Hence, to minimise  (or 2 in the above
(7)
multivariate normal distribution) is to maximise the
value of the multivariate normal probability density
function, and to find the smallest ellipsoid tangent to
the limit state surface is equivalent to finding the most
probable failure point (the design point). This intuitive
and visual understanding of the design point is
consistent with the more mathematical approach in
Shinozuka (1983), equations 4, 41, and Fig. 2, in which
all variables were transformed into their standardised
forms and the limit state equation had also to be
written in terms of the standardised variables. The
 RELIABILITY-BASED DESIGN APPLIED TO RETAINING WALLS
differences between the present original space and
Shinozuka’s standardised space of variables will be
further discussed in ( j) below.
(c) Therefore the design point, being the first point of
contact between the expanding ellipsoid and the limit
state surface in Fig. 2, is the most probable failure
point with respect to the safe mean-value point at the
centre of the expanding ellipsoid, where Fs ¼ 1.654
against overturning. The reliability index  is the axis
ratio (R/r) of the ellipse that touches the limit state
surface and the one-standard-deviation dispersion
ellipse. By geometrical properties of ellipses, this co-
directional axis ratio is the same along any ‘radial’
direction.
(d) For each parameter, the ratio of the mean value to the
x* value is similar in nature to the partial factors in
limit state design (e.g. Eurocode 7). However, in a
reliability-based design one does not specify the partial
factors. The design point values (x*) are determined
automatically and reflect sensitivities, standard devia-
tions, correlation structure, and probability distributions
in a way that prescribed partial factors cannot.
(e) One may investigate the significance of assuming
uncorrelated
9 and , by replacing the two 0.8 values
in the correlation matrix (Fig. 1) with 0, reinitialising
x* values to mean values, and re-invoking Solver. A
higher reliability index of  ¼ 3.13 is obtained, as
shown in Fig. 4, to scale. The two ellipses in Fig. 4 are
canonical (i.e. non-tilted) because the correlation coef-
ficient is zero. Thus in this case when
9 and  are
both resistance parameters, ignoring their positive
correlation leads to an unconservative estimate of
reliability against overturning mode:  ¼ 2.49 in Fig.
2 compared with  ¼ 3.13 in Fig. 4. (On the other
hand, had the two random variables been
9 and soil
unit weight ª, which logically should also be positively
correlated, ignoring the correlation would result in an
underestimation of the reliability index  against the
overturning limit state.)
One-standard-deviation
50 dispersion ellipse
Fs 5 1·75
45
1·50
40
1·25
35 ìö¢
r
30
ö¢: degrees
R Eurocode 7) are not pre-defined. This ability of the
25 Limit state surface
(Fs 5 1·0)
20
15
Design point
10
â 5 R/r 5 3·13
5
ìä
0 pare remarkably well with the values 0.006 33 and
0 10 20
ä: degrees
Fig. 4. Design point and normal dispersion ellipsoids illustrated
in the space of ö9 and ä. Correlation coefficient r is 0
67
ρ ⫽ ⫺0·8 ρ ⫽ 0·8
ρ⫽0
39 ρ ⫽ ⫺0·99
ρ ⫽ 0·99
37 σφ′
35 µφ′
φ′: degrees
33
31
σδ
29
µδ
27
14 16 18 20 22 24 26
δ: degrees
Fig. 5. Rotation of one-standard-deviation dispersion ellipsoid as
correlation coefficient r changes
( f ) Figure 5 provides a graphical appreciation of positive
and negative correlation for
9 and , corresponding to
the mean and standard deviation values shown in Fig.
1. These one-standard-deviation dispersion ellipses were
plotted based on equation (6b), with  ¼ 1.0, for
different values of the correlation coefficient r. Since in
this case the internal friction angle and interface
friction angle could only be positively correlated, the
two negatively tilted ellipses are shown as dashed
curves.
(g) The results of reliability analysis for the sliding limit
state given by equation (5) are shown in the bottom-
right insert in Fig. 1. A reliability index of 3.102 is
obtained. The x* values and the three non-zero values
of nx imply that the sliding limit state is sensitive to all
three parameters,
9,  and ca , with ca being highest on
â-ellipse the sensitivity scale. The mean value point, at (35, 20,
100), is safe against sliding; but sliding failure occurs
when the
9,  and ca values are decreased to the
values shown: (29.136, 17.207, 60.866). The distance
from the safe mean-value point to this most probable
failure combination of parameters, in units of direc-
tional standard deviations, is the reliability index ,
equal to 3.102 in this case. One may further note that
the ratios of /x* (akin to the partial factors of
reliability analysis to seek the most probable x* values
Safe
domain (corresponding to a target reliability level) without
presuming any partial factors is an important and
desirable feature.
Failure (h) As mentioned in the introduction, the probability of
domain
failure (Pf ) can be estimated from the reliability index
. Microsoft Excel’s built-in function NormSDist(.) can
be used to compute Ö(.) and hence Pf. Thus for the
overturning mode of Fig. 1, Pf ¼ NormSDist(
2.491)
¼ 0.006 37, and for the sliding mode Pf ¼
NormSDist(
3.102) ¼ 0.000 961. These values com-
30
0.001 08 in Table 1, obtained from Monte Carlo
simulation with 800 000 trials using the commercial
simulation software @RISK (www.palisade.com). The
correlation matrix was accounted for in the simulation.
68 LOW
Table 1. Probabilities of failure of Fig. 1’s semi-gravity retaining wall, using Monte
Carlo simulations
Monte Carlo Overturning Sliding Simultaneous Total failure
simulations failure failure overturning probability
(1) (2) and sliding (3) (1) + (2)
(3)
200 000 trials .
0 006 05 .
0 000 99 0.000 21 0.006 83
500 000 trials 0.006 29 0.001 10 0.000 28 0.007 11
800 000 trials 0.006 33 0.001 08 0.000 26 0.007 15

The excellent agreement between 0.006 37 from the
reliability index and 0.006 33 from Monte Carlo
simulation is hardly surprising given the almost linear
limit state surface and normal variates shown in Fig. 2.
However, for the anchored wall shown in the next
section, where nine random variables are involved and
non-normal distributions are used, the nine-dimensional
equivalent hyperellipsoid and the limit state hypersur-
face can only be perceived in the mind’s eye. Never-
theless, as shown in Table 2, the probabilities of failure
inferred from reliability indices are again in close
agreement with Monte Carlo simulations. Computing
the reliability index and Pf ¼ Ö(
) by the present
approach takes only a few seconds. In contrast, the
time needed to obtain the probability of failure by
Monte Carlo simulation is several orders of magnitude
longer, particularly when the probability of failure is
small and many trials are needed. It is also a simple
matter to investigate sensitivities by re-computing the
reliability index  (and Pf ) for different mean values
and standard deviations in numerous what-if scenarios;
not so with Monte Carlo simulations. (Note that the
probability of failure as used here means the probability
that, in the presence of parametric uncertainties in
9
and , the factor of safety, equation (1), will be < 1.0,
or, equivalently, the probability that the performance
function, equation (4), will be < 0.)
(i) Monte Carlo simulations provide additional information
on the number of simultaneous overturning-and-sliding
failures, from which the probability of simultaneous
failure and the total failure probability (Columns 4 and
5, Table 1) can be inferred. The value 0.007 15 for
800 000 trials is likely to be more accurate than the
corresponding values (0.007 11 and 0.006 83) for
500 000 and 200 000 trials. The two-mode total failure
probability of 0.007 15 is within the range indicated by
first-order series bounds for different failure modes Fi
(Cornell, 1967):
Y by using the formula  ¼ (
9)*, where ‘*’ means the
Max[P(Fi )] < P(failure) < 1
[1
P(Fi )] (10a)
which, for the reliability indices of 2.491 and 3.102
shown in Fig. 1, translates to
0:006 37 < P(failure) < 0:007 32 (10b)
( j) Figure 2 defines the reliability index  as the
dimensionless ratio R/r, in the direction from the
mean-value point to the design point. This is the axis
ratio of the  ellipsoid (tangential to the limit state
surface) to the one-standard-deviation dispersion ellip-
soid. This axis ratio is dimensionless and independent
of orientation, when R and r are co-directional. For
instance, a vertical line through the mean-value point
(centre of the ellipses in Fig. 2) will intersect the upper
part of the ellipses at
9 ¼ 37.100 and 40.2316
respectively, and the dimensionless ratio (40.2316

35)/(37.1000
35) is equal to 2.491, identical to the
R/r ratio from the mean-value point to the design point,
and in fact identical to the co-directional R/r ratios in
any other direction. This axis-ratio interpretation in the
original space of the variables overcomes a drawback in
Shinozuka’s (1983) standardised variable space that ‘the
interpretation of  as the shortest distance between the
origin (of the standardised space) and the (transformed)
limit state surface is no longer valid’ if the random
variables are correlated. A further advantage of the
original space, apart from its intuitive transparency, is
that it renders feasible and efficient the computational
approach involving non-normals as presented in Low &
Tang (2004).
(k) The soil–wall interface friction angle  is often
empirically given as a fraction  of the internal friction
angle
9 of the soil,  ¼ 
9, where  may depend on
several factors and cannot be quantified precisely.
Instead of treating
9 and  as two highly correlated
random variables as in Fig. 1, one may instead choose
to model the uncertainties of  and
9, for example
with a mean of  equal to 0.5 and a standard deviation
of  equal to 0.1. If this is done,  will be calculated
values of  and
9 under the x* column in Fig. 1. In
this way the uncertainty of  will be due to those of 
and
9.

Table 2. Comparison of probabilities of failure inferred from reliability indices with probabilities of failure from Monte Carlo
simulations
Case Probability of rotational Probability of rotational
failure inferred from  index failure, from Monte Carlo
¼ Ö(
) ¼ NormSDist(
) simulation, 200 000 trials
Semi-gravity retaining wall of Fig. 1  ¼ 2.491 200 000 trials: 0.0060
Ö(
) ¼ 0.0064 (800 000 trials: 0.0063)
Anchored wall of Figs 6 and 7, L ¼ 12.2 m, and all normal  ¼ 2.50
variates Ö(
) ¼ 0.0062 0.0065
Anchored wall of Figs 6 and 7, L ¼ 12.2 m, and all symmetric  ¼ 2.535
beta distribution variates with (max
min) ¼ 6 Ö(
) ¼ 0.0056 0.0042
Anchored wall of Figs 6 and 7, with L ¼ 12.2 m, and all  ¼ 2.592
lognormal variates Ö(
) ¼ 0.0048 0.0050
 RELIABILITY-BASED DESIGN APPLIED TO RETAINING WALLS
RELIABILITY-BASED DESIGN OF AN ANCHORED
WALL
In this section the embedment depth d of an anchored
wall (Fig. 6) will be determined so as to achieve a reliability
index of 2.5 against rotational failure. Analysis involving
correlated normals and non-normals will be illustrated, and
comparisons made with Monte Carlo simulations. This is
followed by reliability-based design of the required mean
strength of the tie rod so as to achieve a reliability index of
2.5.
The anchored wall in Fig. 6 has a total height equal to L,
of which d is the depth of embedment. The bulk unit weight
of the soil is ª (kN/m3 ) above the water table and ªsat below
the water table. A surcharge pressure q acts at the top of the
retained soil. The tie rod acts horizontally at a depth a
below the top of the wall. Relevant soil properties are the
effective angle of friction
9 and the interface friction angle
 between the soil and the wall. The cohesion of the soil is
assumed to be zero in this example. The water table level
behind the wall is at a depth z1 from the top of the wall; the
tidal level in front is at depth z2 , and the dredge level at
depth z3 . In the reliability analysis the depths z1 , z2 and z3
will be treated as random variables, each with a mean value
and a standard deviation. The deterministic formulation is
described next as it underlies the limit state function in the
reliability analysis.
Deterministic set-up based on free earth support method
The deterministic model is set up in Microsoft Excel
based on the x* column values in Fig. 7. Initially these x*
values are set equal to the respective mean values. For
steady seepage conditions, the effective unit weight of the
soil below the water table is ªea ¼ ª9 + iªw behind the wall
and ªep ¼ ª9
iªw in front of the wall, where ª9 is the
buoyant unit weight and i the hydraulic gradient, equal to
Surcharge q 5 10 kN/m2
A
z
z2
L5? 2
z1
1
z2
3
z3 2 z 2
z3
ãep
d ãea
5 4
Fig. 6. Notations for reliability-based design of anchored wall with steady-state seepage. Uncertainties in water levels (z1 and z2 ),
dredge level (z3 ) and soil properties will be reflected in the analysis
69
(z2
z1 )/(2L
z1
z3 ). The net pore water pressure
diagram shown in Fig. 6 has been obtained following an
established assumption (e.g. Craig, 1997) that the total head
is dissipated approximately uniformly along the back and
front wall surfaces between the water table level behind the
wall and the dredge level: that is, over a flow distance in the
soil of 2(L
z3 ) + (z3
z1 ).
The active pressure distribution on the right side of the
wall in Fig. 6 is divided into rectangular and triangular
blocks for computing resultant forces and lever arms with
respect to anchor point A. In the spreadsheet of Fig. 7, the
first four cells under the column labelled ‘Forces’ contain
equations for the resultants (kN/m) of the active pressure
blocks on the right side of the wall, and the fifth cell
contains the equation computing the resultant of the triangu-
lar passive pressure block on the left side of the wall. All
these equations refer, where relevant, to the parametric
values under the column labelled ‘x*’, not those under the
‘mean’ column. The Coulomb active and passive earth
pressure coefficients have been used, justified by the fact
that the active coefficient is practically the same as the
Caquot and Kerisel coefficient based on a logarithmic spiral
surface, whereas the Coulomb passive coefficient is reason-
ably close to the Caquot and Kerisel passive coefficient
when
9 and  are near the x* values shown in Fig. 7. (The
Coulomb Kp value overestimates passive resistance for high-
er values of
9.)
Uncertainties and correlations in anchored wall design
For the case in hand, the assumed mean values and
standard deviations (StDev) of the nine random variables are
as shown in Fig. 7. The two columns labelled ‘ N ’ and ‘ N ’
contain the formulae ‘¼EqvN(. . ., 1)’ and ‘¼EqvN(. . ., 2)’
respectively, which invoke the user-created functions shown
in Fig. 8 to perform the equivalent normal transformation
No surcharge
above anchorage
a
T da
b
ã, ö¢,ä
Water table z1
p¢h1
6
pw1
ãsat
7 8
pw2
9
Net water
pressure
p¢hb
70 LOW
Mean StDev ìN
x* óN nx ã ãsat q ö¢ ä Tyld z1 z2 z3
normal ã 17 0·4 16·58 17 0·4 21·048 ã 1 0·5 0 0·5 0·4 0 0 0 0

normal ãsat 20 0·5 19·38 20 0·5 21·233 ãsat 0·5 1 0 0·5 0·4 0 0 0 0

normal q 10 2 10·17 10 2 0·0829 q 0 0 1 0 0 0 0 0 0

normal ö¢ 36 3 29·82 36 3 22·059 ö¢ 0·5 0·5 0 1 0·8 0 0 0 0

normal ä 18 1·5 15·32 18 1·5 21·788 ä 0·4 0·4 0 0·8 1 0 0 0 0

normal Tyield 200 15 200 200 15 21E-06 Tyld 0 0 0 0 0 1 0 0 0
normal z1 4·5 0·23 4·508 4·5 0·23 0·0368 z1 0 0 0 0 0 0 1 0·7 0
normal z2 6 0·3 6·068 6 0·3 0·2269 z2 0 0 0 0 0 0 0·7 0·1 0
normal z3 8 0·4 8·541 8 0·4 1·3526 z3 0 0 0 0 0 0 0 0 1

crmatrix (Correlation matrix)

Boxed cells contain equations· The formulae in the boxed
cells below refer to the x* values, not the mean values·

Ka Kah Kp Kph ãw L d i ãea ãep p¢h1 p¢hb pw1 pw2 a â

0·303 0·292 4·991 4·814 9·8 12·20 3·66 0·137 10·9 8·24 24·83 49·4 13·2 9·85 1·50 2·50

Forces Lever arm Moments Forces Lever arm Moments

(kN/m) (m) (kN-m/m) (kN/m) (m) (kN-m/m) 5 sqrt(mmult(transpose(nx),

mmult(minverse(crmat),nx)))
1 236·3 4·600 2167 6 210·3 4·05 241·6
Ctrl+Shift, then Enter
2 249·3 1·506 274·2 7 224·4 5·8 2141 This encapsulates equation (6b)
in a single cell, for constrained
3 2168 6·854 21152 8 24·12 5·39 222·2
optimization by Excel's built-in
4 294·5 8·136 2769 9 218·0 8·26 2149 Solver program·

5 265·4 9·48 2516 PerFn1

5 sum(Moments) 2 3 1026

All normal variates: L 512·20 m, for â 5 2·50, as shown, against rotational failure

All symmetric beta distribution variates: L 5 12·17 m, for â 5 2·50· (If L 512·20 m, â 5 2·53)

All lognormal variates: L 5 12·12 m, for â 5 2·50· (If L 512·20 m, â 5 2·59)

Fig. 7. Reliability-based design of wall height L for target reliability index of 2.50. The required average embedment
is (L 2 mean z3 )

(when variates are non-normal) based on the two equations
in Rackwitz & Fiessler (1978). Reliability analysis can be
performed with various non-normal distributions merely by
entering ‘BetaDist’ or ‘Lognormal’ . . . (instead of ‘normal’)
in the first column of Fig. 7, and distribution parameters in
the columns to the left of the x* column. For correlated
non-normals, the ellipsoid perspective (Fig. 2) and the con-
strained optimisation approach still apply in the original
coordinate system, except that the non-normal distributions
are replaced by an equivalent normal ellipsoid, centred not
at the original mean of the non-normal distributions, but at
an equivalent normal mean N :
vffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
u" # "
u x
N T

1 xi
 i
N
 ¼ min x2 F t i i
½ R
 iN  Ni
as explained in Low & Tang (2004).
For the case in Fig. 7, the uncertainties in parameters z1 ,
z2 and z3 could arise due to uncertain or fluctuating water
table elevations and likely deviations of actual dredged level
from desired dredged level. Since a normal variate lies
within  three standard deviations from the mean with a
probability of 0.997, one may regard the mean value of 8 m
and standard deviation of 0.4 m for the dredge level z3 as
implying that z3 is almost certain to be within the range
6.8 m to 9.2 m, with 8.0 m as the most likely value. Some
correlations among parameters are assumed, as shown in the
correlation matrix (crmatrix). It is judged logical that the
unit weights ª and ªsat should be positively correlated, and
#
that each is also positively correlated to the angle of friction
(11)
9. Also, the angle of friction
9 and the wall–soil interface
friction angle  are deemed to be positively correlated with
 RELIABILITY-BASED DESIGN APPLIED TO RETAINING WALLS 71

Fig. 8. User-created Excel function codes for automatic equivalent normal transformation when performing non-normal
reliability analysis (more distribution options available in Low & Tang, 2004)

a correlation coefficient r ¼ 0.8, as in the previous illustra-
tive semi-gravity wall example.
Reliability-based design of total wall height L for a desired
 index value of 2.5
The analytical formulations based on force and moment
equilibrium in the deterministic analysis are also required in
a reliability analysis, but are expressed as limit state func-
tions or performance functions.
Given the uncertainties and correlation structure in Fig. 7,
and with the x* column initially given the mean values, it is
desired to find the required total wall height L so as to
achieve a reliability index of 2.5 with respect to rotation
failure about the anchor level ‘A’. The solution, obtained
using Excel’s built-in constrained optimisation program Sol-
ver (to minimise the  cell, by changing the x* column
automatically, subject to the constraint that the cell PerFn1
be equal to zero) is as shown in Fig. 7. The Solver option
‘Use automatic scaling’ can also be activated. A few L
72
values were tried, each followed by Solver minimisation to
obtain the reliability index promptly within seconds. A wall
height of L ¼ 12.2 m, with expected embedment depth ¼ L

 z3 ¼ 4.2 m, was found to give a reliability index 
of 2.50. Note that in this case the performance function
(¼ sum(Moments)) is a non-linear and lengthy function of
the nine random variables under the column labelled ‘x*’. It
is interesting to note that, at the point where the nine-
dimensional dispersion ellipsoid touches the limit state sur-
face, both unit weights ª and ªsat (16.58 and 19.38) are
lower than their corresponding mean values, contrary to the
expectation that higher unit weights will cause higher active
pressure and hence greater instability. This apparent paradox
is resolved if one notes that smaller ªsat will (via smaller
ªep ) reduce passive resistance, that smaller
9 will cause
greater active pressure and smaller passive pressure, and that
ª, ªsat and
9 are positively correlated. Note also that at
failure (x* values being on the limit state) by rotation about
A, active and passive pressures are justifiably fully mobi-
lised.
The values in the x* column (following Solver’s search
for the critical ellipsoid) denote the most probable failure
point: that is, the most likely combination of parametric
values that would cause a particular failure mode to occur.
The reliability index  is the distance from the mean-value
point (the centre of the nine-dimensional dispersion ellip-
soid) to this most probable failure point on the limit state
hypersurface (analogous to Fig. 2), in units of directional
standard deviations. One notes that the x* value of Tyield (the
yield force of the tie rod) is unchanged at its mean value of
200, indicating the insensitivity of the reliability index to
Tyield when rotational failure about anchor point A is being
considered. (Tyield is important in the next failure mode to be
considered.) Another parameter that is a lightweight in terms
of sensitivity is the surcharge q, owing to its relatively small
mean value. However, in a different scenario where the mean
value of q is of considerable relative magnitude (and for a
similar /  ratio), its sensitivity scale could conceivably be
more significant. The sensitivity measures of parameters may
not always be obvious from a priori reasoning. A case in
point is the strut with complex supports analysed in Low &
Tang (2004, p. 85), where the mid-span spring stiffness k3
and the rotational stiffness º1 at the other end both turn out
to have surprisingly negligible sensitivity weights: this sensi-
tivity conclusion was confirmed by previous elaborate deter-
ministic parametric plots. In contrast, reliability analysis
achieved the same conclusion relatively effortlessly.
Sensitivities of the design variable or reliability index to
different mean values, standard deviations, assumed prob-
ability distributions or correlation structure can be investi-
gated efficiently and promptly. For example, Fig. 9 shows
that, for a target reliability index of 2.50, the required
wall height L and the required average embedment length
(¼ Required L
Average passive soil surface elevation  z3 )
increase with increasing standard deviation of z3 , and to
some extent also vary with the assumed probability distribu-
tion of the variates.
As noted in Simpson & Driscoll (1998, pp. 81, 158),
clause 8.3.2.1 of Eurocode 7 requires that an ‘overdig’
allowance shall be made for walls that rely on passive
resistance. This is an allowance ‘for the unforeseen activities
of nature or humans who have no technical appreciation of
the stability requirements of the wall’. The reliability analy-
sis in Fig. 7 accounts for uncertainty in the ground level (z3 )
of the passive soil, requiring only the mean value and the
standard deviation of z3 (and its distribution type, if not
normal) to be specified. For the case in hand, the failure
combination of parametric values under the x* column
shows the design value of the passive soil surface to be
LOW
5·50
5·00
Required average embedment
Normal variates
5 (Required L 2 ìz3)
4·50
4·00
Symmetric beta distribution
variates
3·50
Lognormal variates
3·00
0 0·2 0·4 0·6 0·8 1·0
Standard deviation of z3
Fig. 9. Variation of required average embedment with the
standard deviation of the passive soil surface level, for different
assumed distributions of the nine random variables in Fig. 7.
Target â index is 2.50.
0.541 m below its average value of 8.0 m. However, this
difference between the design value and the mean value is a
function of uncertainty: if the standard deviation of z3 is
0.2 m instead of 0.4 m, the reliability index will be 2.81 for
length L ¼ 12.2 m, and the failure combination of para-
meters shows the design value of the passive soil surface to
be only 0.16 m below its average value of 8.0 m.
The two-parameter normal distribution is symmetrical and,
theoretically, has a range from
1 to +1. For a parameter
that admits only positive values, the probability of encroach-
ing into the negative realm is extremely remote if the coef-
ficient of variation (standard deviation/mean) of the
parameter is 0.25 or smaller. The lognormal distribution has
often been suggested in lieu of the normal distribution, as it
excludes negative values and affords some convenience in
mathematical derivations. A more versatile distribution is the
four-parameter (a1 , a2 , min, max) beta distribution, which
can be symmetrical (if a1 ¼ a2 ) or non-symmetrical (a1 6¼
a2 ). The mean  and standard deviation  of a beta
distribution with parameters a1 , a2 , min and max are (e.g.
Evans et al., 2000)
a1
 ¼ min þ ðmax
minÞ 3 ,
a1 þ a2
rffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
ðmax
minÞ a1 a2
 ¼ (12)
ð a1 þ a2 Þ a1 þ a2 þ 1
Hence, if a1 ¼ a2 ¼ 4, the mean is at the mid-point between
min and max, and the standard deviation is equal to 1/6 of
the range (max
min). The mode of the beta distribution is
ð a1
1Þ
mode ¼ min þ ðmax
minÞ 3 ;
ð a1 þ a2
2Þ
a1 . 1, a2 . 1 (13)
In Fig. 7, when performing reliability analysis assuming
beta-distribution variates, the parameters used are (4, 4,
mean
3*StDev, mean + 3*StDev). For example, the
surcharge q would be given beta distribution parameters (4,
4, 4, 16), which is the symmetric BetaDist curve shown in
Fig. 10. As summarised in the bottom insert of Fig. 7, for a
target reliability index of 2.50, the required total wall height
L is 12.20 m, 12.17 m and 12.12 m when all nine variates
follow the normal distribution, beta distribution and lognor-
mal distribution respectively. Since  z3 ¼ 8.0 m, these
required L values correspond to expected embedment depths
 RELIABILITY-BASED DESIGN APPLIED TO RETAINING WALLS
0·25
Lognormal (ì 5 10, ó 5 2)
BetaDist (a1, a2, min, max)
0·20
(1·5, 4, 4, 16)
Probability density
0·15
(2·5, 4, 4, 16)
0·10
0·05
0
0 5
4 16
Fig. 10. Comparing the symmetrical normal distribution (21 < x < 1) with beta
distributions bounded between 4 and 16. The parameters a1 and a2 determine the shape
of the beta distribution
of 4.20 m, 4.17 m and 4.12 m respectively, as shown in Fig.
9, at z3 ¼ 0.4 m, which is the standard deviation value
assumed in Fig. 7. The difference in the required wall height
L reaches a maximum value of 0.17 m at z3 ¼ 0.8 m, when
the required L is 13.21 m assuming lognormal variates, and
13.04 m assuming symmetric BetaDist variates. From a
practical perspective, the difference between 13.21 m and
13.04 m is small, and hence the required L may be deemed
not sensitive to the three assumed probability distributions,
for the case in hand. Such insensitivity of the design to the
underlying probability distributions may not always be ex-
pected—even when the mean and standard deviations remain
unchanged—particularly when the coefficient of variation
(standard deviation/mean) exceeds about 20%, or when
skewness varies significantly from one distribution to an-
other.
Failure probabilities inferred from reliability indices and
from Monte Carlo simulations
Table 2 compares the probabilities of rotational failure
inferred from reliability indices with those from Monte
Carlo simulations (with correlation) using the @RISK com-
mercial software, for L ¼ 12.2 m. The same restrictive sense
of ‘probability of failure’ mentioned earlier (in connection
with Fig. 1) applies here also, in that it means the prob-
ability that the resisting moment will be less than the
overturning moment, based on the analytical model adopted,
and considering only parameter uncertainty. Because the
probability of failure is smaller than 1%, many trials are
needed in the Monte Carlo simulation, as illustrated in Table
1 earlier. Unlike Table 1, which has only two normal
variates, the case in Table 2 with nine correlated beta
distribution variates took close to 2 h to complete 200 000
trials, yielding a probability of failure of 0.0042, compared
with the 0.0056 obtained from a few seconds’ computation
of the  index and Ö(
). (The author sees much value in
using Monte Carlo simulation for verification and compari-
son, but feels that it would be time-consuming to carry out
reliability-based design and sensitivity investigations—such
as Fig. 9—using Monte Carlo simulations.)
In Table 2, for the anchored wall with BetaDistribution
variates, the larger relative difference between the probabil-
ities 0.0056 and 0.0042, inferred from reliability index and
Monte Carlo simulations respectively, may be attributed to
73
Normal (ì 5 10, ó 5 2)
(4, 4, 4, 16)
(4, 1·5, 4, 16)
(4, 2·5, 4, 16)
10 15 20
q
the approximation of using an equivalent normal ellipsoid
(equation (11)) in the evaluation of the reliability index
when the random variables follow beta distributions.
Reliability-based design for the required mean strength of
anchor tie rod
For the case in hand, the yield strength (Tyield, in kN/m) of
the tie rod is r 2 yield /(tie rod horizontal spacing), where
r 2 is the cross-sectional area of the steel rod, and yield is
the yield stress of steel. The performance function for
yielding of the tie rod is PerFn2 ¼ Tyield + sum(Forces 1 to
9), where Tyield refers to its value under the x* value column
of Fig. 7, and forces 1 to 9 are computed by the formulae in
the nine cells under the two columns labelled ‘Forces’ in
Fig. 7. For L ¼ 12.2 m, with Tyield having a coefficient of
variation (/  ratio) of 7.5%, and in the presence of other
uncertainties as shown in Fig. 7, reliability analysis indicates
that a mean tie rod strength of 140 kN/m (with standard
deviation ¼ 10.5 kN/m) would be sufficient to secure a
reliability index of 2.5 with respect to tie rod yield failure.
Had a mean tie rod strength of 200 kN/m (with standard
deviation 15 kN/m) been provided, as in Fig. 7, the reliabil-
ity index against tie rod yielding would be 3.01. These
solutions were obtained within a minute.
Other limit states that need to be considered include pull-
out failure due to insufficient anchorage, and structural limit
states of the wall. These are not pursued here.
Distinguishing negative from positive reliability indices
In Fig. 7, if a trial L value of 10 m is used, and the entire
‘x*’ column is given values equal to the ‘mean’ column
values, the performance function PerFn1 exhibits a value

631.1, meaning that the mean value point is already inside
the unsafe domain (e.g. to the left of the limit state surface
in Fig. 2, but in the nine-dimensional space). Upon Solver
optimisation with constraint PerFn1 ¼ 0, a  index of 1.88
is obtained, which should be regarded as a negative index,
i.e.
1.88, meaning that the unsafe mean value point is at
some distance from the nearest safe point on the limit state
surface that separates the safe and unsafe domains. In other
words, the computed  index can be regarded as positive
only if the PerFn1 value is positive at the mean value point.
For the case in hand, the mean value point (prior to Solver
74
optimisation) yields a positive PerFn1 for L . 10.2 m. The
computed  index increases from about 0 (equivalent to a
factor of safety equal to 1.0) when L is 10.2 m to 2.5 when
L is 12.2 m for the assumed normal variates of Fig. 7.
CORRELATION MATRIX NEEDS TO BE POSITIVE-
DEFINITE
Although the correlation coefficient between two random
variables has a range
1 , r ij , 1, one is not totally free
in assigning any values within this range for the correlation
matrix. The correlation matrix has to be positive-definite.
For example, consider the correlation coefficients r ij among
three random variables X1 , X2 , and X3 : if r12 ¼ r13 ¼ 0.8,
the correlation coefficient r23 has to be greater than 0.3 in
order for R to be positive-definite. It can be appreciated
intuitively that, when both the random variables X2 and X3
are highly and positively correlated with X1 (via r12 ¼ r13
¼ 0.8), then X2 and X3 should also be positively correlated
with each other to a certain extent (. 0.3). More discussions
on the need for a positive-definite correlation matrix are
given in Ditlevsen (1981) and Low & Tang (2004, pp. 81–
82), with a pragmatic checking procedure in the latter.
COUPLING RESPONSE SURFACE METHOD WITH
CONSTRAINED OPTIMISATION
Although programs can be written in spreadsheet form to
handle implicit and complicated limit state functions (e.g.
Low et al., 1998, 2001; Low, 2003; Low & Tang, 2004,
p. 87), there are many situations in which serviceability
limit states can only be evaluated using stand-alone finite
element or finite difference programs. In these circum-
stances, reliability analysis and reliability-based design by
the present spreadsheet-based constrained optimisation ap-
proach can still be performed, provided one first obtains a
response surface function via the established response sur-
face methodology, somewhat similar to curve-fitting via
deterministic parametric studies. Such response surface func-
tions are closed-form expressions, usually polynomials,
which closely approximate the outcome of the stand-alone
finite element or finite difference programs. Once the closed-
form response functions have been obtained, performing
reliability-based design for a target reliability index is
straightforward and fast. Examples of coupled response sur-
face method and spreadsheet-based reliability analysis were
illustrated in Li (2000) and Vipman et al. (2000).
SUMMARY AND CONCLUSIONS
There are conceptual and computational barriers in
reliability analysis by the Hasofer–Lind method and the
first-order reliability method (FORM). This is because the
classical approaches of these methods (well-documented in
Ditlevsen, 1981; Ang & Tang, 1984; Madsen et al., 1986;
Haldar & Mahadevan, 1999; USACE, 1999; Baecher &
Christian, 2003) require frame-of-reference rotation and co-
ordinate transformation, and iterative numerical derivatives
using less ubiquitous special-purpose programs. This paper
provides graphical extensions (Figs 2–5) of the intuitive
expanding dispersion ellipsoid perspective of Low & Tang
(1997a, 2004), in the context of a two-random-variable
gravity retaining wall. The ellipsoidal perspective in the
original coordinate space of the variables leads to an effi-
cient automatic constrained optimisation approach of relia-
bility-based design in a spreadsheet. The approach obtains
the same result as the Hasofer–Lind method and FORM, but
is operationally more direct and transparent, and the plat-
form is ubiquitous. For non-normals, the approach adopts
LOW
the established method of equivalent normal transformation,
as in FORM, but without involving the concepts of eigenva-
lues, eigenvectors and transformed space, which are used in
the classical approach. The latter mathematical concepts,
though elegant and useful, tend to inhibit wider application
of the classical method of reliability computation.
Reliability-based design was illustrated for an anchored
wall involving nine correlated random variables (Figs 6 and
7). The correlation structure of the nine variables was
defined in a correlation matrix. A normal distribution,
symmetrical beta distribution and skewed lognormal distribu-
tion were assigned in turn to all nine variables, to investigate
the implication of different probability distributions (Figs 7,
9 and 10). The procedure is able to incorporate and reflect
the uncertainty of the passive soil surface elevation. The
sensitivity of the design variable to correlation structure,
probability distributions, and standard deviations was also
discussed.
For the retaining wall examples considered herein, the
probabilities of failure inferred from reliability indices were
found to be in very good agreement with those from Monte
Carlo simulations (Tables 1 and 2). It is emphasised that
sensitivity analysis and what-if scenarios of reliability-based
design by the present approach can be accomplished effi-
ciently and promptly. In contrast, to do so by Monte Carlo
simulations would be time-consuming.
The differences between reliability-based design and de-
sign by Eurocode 7 were briefly discussed. The merits of
reliability-based design are thought to lie in its ability to
explicitly reflect correlation structure, standard deviations,
probability distributions and sensitivities, and to automati-
cally seek the most probable failure combination of para-
metric values case by case without relying on fixed partial
factors. Corresponding to each desired value of reliability
index there is also a reasonably accurate simple estimate of
the probability of failure.
The spreadsheet-based reliability approach can be coupled
with stand-alone finite element or other numerical packages,
via the established response surface methodology.
The partial factors of Eurocode 7 are the outcome of
many years of deliberation by multinational committees. The
reliability methodology presented in this paper is thought to
be in line with the spirit of Eurocode 7, in that both
endeavour to enhance the rationality of design procedures,
which are not meant to be static and final. The method in
this paper can play a supplementary verification and com-
parison role to a design based on Eurocode 7, particularly
when the designer or code developer would like to explicitly
incorporate his or her estimates of parametric uncertainty
and correlation into the design so as to achieve a target
probability of non-failure.
The Excel files for the reliability analysis shown in Fig. 1
and for the reliability-based design shown in Figures 6 and
7 are available for download at Low (2005).
NOTATION
C covariance matrix
ca adhesion between wall base and soil
d embedment depth of anchored wall
Fs factor of safety
i hydraulic gradient
Ka , Kp active and passive pressure coefficients
Kah , Kph horizontal component of Ka and Kp
L total height of anchored wall
Pa active earth thrust
Pah, Pav horizontal and vertical components of active earth
thrust
pw1, pw2 net water pressures acting on anchored wall
q surcharge pressure on retained fill
 RELIABILITY-BASED DESIGN APPLIED TO RETAINING WALLS 75
R correlation matrix Hasofer, A. M. & Lind, N. C. (1974). Exact and invariant second-
Tyield yield strength of tie rod moment code format. J. Engng Mech. 100, 111–121.
xi , i , i a random variable, its mean value, and its standard Li, G. J. (2000). Soft clay consolidation under reclamation fill and
deviation reliability analysis. PhD thesis. Nanyang Technological Univer-
x, ,  vectors of random variables, mean values, and standard sity, School of Civil & Environmental Engineering, Singapore.
deviations Low, B. K. (2003). Practical probabilistic slope stability analysis.
 Hasofer-Lind reliability index Proceedings of Soil and Rock America, Vol. 2, pp. 2777–2784.
ª, ªsat unit weight and saturated unit weight of soil Essen: Verlag Glückauf GmbH.
ªw , ªwall Unit weight of water, and unit weight of wall material Low, B. K. (2005). Excel files for ‘Reliability-based design applied
ªea , ªep effective unit weights (in active and passive zones) to retaining walls’, http://www.ntu.edu.sg/home/cbklow/
accounting for seepage pressure Low, B. K. & Phoon, K. K. (2002). Practical first-order reliability
 interface friction angle (between wall and retained soil) computations using spreadsheet. Proceedings of the Conference

9 effective angle of shearing resistance on Probabilistics in Geotechnics: Technical And Economic Risk
 mean value Estimation, pp. 39–46. Essen: Verlag Glückauf GmbH.
N equivalent normal mean of nonnormal distribution Low, B. K. & Tang, W. H. (1997a). Efficient reliability evaluation
r correlation coefficient using spreadsheet. J. Engng Mech., ASCE 123, No. 7, 749–752.
 standard deviation Low, B. K. & Tang, W. H. (1997b). Reliability analysis of
N equivalent normal standard deviation of nonnormal reinforced embankments on soft ground. Can. Geotech. J. 34,
distribution No. 5, 672–685.
Low, B. K. & Tang, W. H. (2004). Reliability analysis using object-
oriented constrained optimization. Structural Safety 26, No. 1,
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