In CD-ROM Proceedings of the Eight International Conference on Structural Safety and Reliability, ICOSSAR ‘01,

Newport Beach, California, 17-22 June 2001, 8 pages, A.A.Balkema Publishers.

Structural Safety and Reliability, Corotis et al. (eds), © 2001 Swets & Zeitlinger, ISBN 90 5809 197 X

Efficient reliability-based design using spreadsheet optimization

B.K. Low & C.I. Teh
School of Civil & Structural Engineering, Nanyang Technological University, Singapore 639798
Wilson H. Tang
School of Civil Engineering, Hong Kong University of Science & Technology, Hong Kong, China

Keywords: reliability index, Hasofer-Lind, constrained optimization, retaining walls

ABSTRACT: An intuitive ellipsoidal perspective of the Hasofer-Lind reliability index in the origi-
nal space of the random variables is described. This alternative interpretation gave rise to a practi-
cal approach for reliability analysis. The approach implements object-oriented constrained optimi-
zation of multidimensional ellipsoids with ease and clarity in the ubiquitous spreadsheet platform.
It obtains the same result as the first order reliability method, but deals with the correlation matrix
in its original form without diagonalizing it. The performance functions can be implicit. Reliability-
based design via spreadsheet optimization is illustrated in two problems involving a semi-gravity
retaining wall and an anchored sheet pile wall. Multiple performance criteria are considered.

1 INTRODUCTION

The objectives of this paper are to describe an alternative interpretation of the Hasofer-Lind (H-L)
index in the original space of the random variables, and to illustrate practical reliability-based de-
sign using object-oriented constrained optimization in the ubiquitous spreadsheet platform.
The factors of safety used in civil engineering design do not explicitly account for the uncer-
tainty of the underlying parameters. A more rational approach is to evaluate the H-L second mo-
ment reliability index that depends not only on the mean values of the parameters but also on their
scatters. An advantage of the invariant H-L index is that it avoids the ambiguities associated with
different formulations of the factor of safety when the performance function is nonlinear.
The matrix formulation (Ditlevsen 1981) of the H-L index β is:

β = min
x ∈F
( x − m) T C −1 ( x − m) (1a)

or, equivalently:
T
é x − mi ù −1 é x − mi ù
β = min ê i ú [ R] ê i ú (1b)
x ∈F
ë σi û ë σi û

where x is a vector representing the set of random variables, m the mean values, C the covariance
matrix, R the correlation matrix, and F the failure region. An established elegant procedure for
computing the β index as defined by Eq. 1 is to transform the failure surface into the space of re-
duced variates, whereby the shortest distance from the transformed failure surface to the origin of
the reduced variates is the reliability index β. This classical procedure requires rotating the frame of
reference (orthogonal transformation of the covariance matrix), translation, and normalization, so
that the one-standard-deviation dispersion ellipsoid in original space becomes a unit sphere cen-
tered at the origin of the transformed space. It is explained in Ditlevsen (1981), Ang and Tang
(1984), Madsen et al. (1986), Haldar and Mahadevan (1999), for example.

1
2 EXPANDING ELLIPSOID PERSPECTIVE AND SPREADSHEET OPTIMIZATION

An alternative interpretation of the H-L index was described in Low and Tang (1997a), where the
perspective of an expanding ellipsoid in the original space of the variables led to a simple method
of computing the index using spreadsheet-automated object-oriented constrained optimization. By
this perspective, the quadratic form in Eq. 1 is visualized as a tilted multidimensional ellipsoid
(centered at the mean) in the original space of the random variables; there is no need to diagonalize
the covariance or correlation matrix.
The quadratic form in Eq. 1 appears also in the negative exponent of the multivariate normal
distribution. Therefore, to minimize β (or β2 in the multivariate normal distribution) is to maximize
the value of the multivariate normal probability density function, and to find the smallest ellipsoid
that is tangent to the failure surface is equivalent to finding the most probable failure point. This
perspective is consistent with Shinozuka (1983) that “the design point x* is the point of maximum
likelihood if x is Gaussian, whether or not its components are uncorrelated.”
The spreadsheet optimization approach achieves the same result as the classical first order reli-
ability method (FORM). For nonnormals, the spreadsheet approach adopts the established method
of equivalent normal transformation, as in FORM, but without involving the concepts of eigenval-
ues, eigenvectors, and transformed space, which are required in the classical approach. The latter
mathematical concepts, though elegant and useful, tend to inhibit wider application of the classical
method of reliability computation.
The power and versatility of the spreadsheet object-oriented constrained optimization approach
is further enhanced when used in combination with user-defined functions coded in the program-
ming environment of a spreadsheet, for example the Visual Basic (VBA) programming environ-
ment of the Microsoft Excel spreadsheet software. This means that the performance function can be
implicit, iterative, and based on numerical methods (e.g. Low et al. 1998, 2001).
In the following sections, practical reliability-based design procedures via object-oriented con-
strained optimization in spreadsheet are illustrated for two common geotechnical design problems.

3 RELIABILITY-BASED DESIGN OF A SEMI-GRAVITY RETAINING WALL

The deterministic design of a semi-gravity retaining wall using factors of safety are well discussed
in Lambe & Whitman (1979) and Craig (1997). Three failure modes need to be checked, namely
rotation about the toe of the wall, horizontal sliding along the base of the wall, and bearing capacity
failure of the soil beneath the wall under the inclined and eccentric resultant load derived from the
weight of the wall and the active earth thrust Pa acting on the back of the wall.
In this section the reliability-based design of the retaining wall shown in Fig. 1 will be illus-
trated. 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 can be performed as shown in Low and Tang, 1997b).

3.1 Limit state functions with respect to rotation and sliding

The Coulomb active earth pressure coefficient is based on the assumption of plane slip surface in
the soil. The value is practically the same as the more rigorous Caquot and Kerisel active pressure
coefficient which assumes logarithmic spiral slip surface, as given in Lambe & Whitman (1979),
Craig (1997), and British Standards BS 8002:1994. The Coulomb active coefficient Ka is:

2
æ sin (α − φ ′) sin α ö
Ka = ç ÷ (2)
ç sin (α + δ ) + sin (φ ′ + δ )sin (φ ′ − λ ) sin (α − λ ) ÷
è ø

2
 H γwall γsoil λ α φ' δ x* mean StDev nx
6 24 18 10 100.2 29.3 17.1 φ' 29.3 35 5 -1.14

0.175 1.749 0.511 0.298 δ 17.1 20 3 -0.968

Radians ca 56.44 90 18 -1.864
Boxed cells contain equations
a 0.297 0.3 0.05 -0.063
Ka Pa 1 b 2.294 2.3 0.05 -0.127
Pa = K aγH 2
0.45 145.7 2 α 100.2 100 1.5 0.134

Correlation matrix
2
æ sin(α −φ′) sinα ö φ' 1 0.8 0 0 0 0
Ka = ç ÷
ç sin(α + δ ) + sin(φ′ + δ ) sin(φ′ − λ) sin(α − λ) ÷ δ 0.8 1 0 0 0 0
è ø
ca 0 0 1 0 0 0
a 0 0 0 1 0.5 0
Force Arm Moment b 0 0 0 0.5 1 0
Pav 66.81 1.934 129.2 α 0 0 0 0 0 1

W1 66.03 0.611 40.37 φ' δ ca a b α

W2 42.74 1.065 45.54
W3 77.74 1.574 122.4 PerFn1 PerFn2 β
Rv 253.3 337.5 ΣM 78.55 0.000 2.195
Overturning mode Sliding mode
Pah 129.5 2 258.9 for sliding mode

λ
a

Soil:
Concrete
unit weight γ,
wall
Angle of friction φ'
1
H Pa = K aγH 2
W2 2
ο
W1 δ+α−90
W3

Toe α
b
Adhesion ca Stiff clay

Figure 1. Reliability analysis of semi-gravity wall

3
where α and λ are the inclinations (Fig. 1) of the back of the wall and the retained fill surface with
respect to the horizontal, φ′ the angle of internal friction of the soil, and δ the interface friction an-
gle between the concrete wall and the soil. The water table is below the base of the retaining wall.
Assuming no cohesion for the soil, the active earth thrust Pa (kN/m) is:
Pa = 0.5 K a γH 2 (3)

This force is taken to act at a height of H/3 above the base of the wall and at an angle δ with the
normal to the back of the wall, that is, at an angle (δ + α − 90°) with the horizontal. In Fig. 1, the
following equations have been set up:

(
Pav = Pa sin δ + α − 90 o , ) Armav = b −
H
3
(
tan α − 90 o ) (4)

( (
W1 = 0.5γ wall b − a − H tan α − 90 o H , )) Arm1 =
2
3
( (
b − a − H tan α − 90 o )) (5)

W2 = γ wall aH ,
æ
( aö
Arm 2 = ç b − H tan α − 90 o − ÷
2ø
) (6)
è

(
W3 = 0.5γ wall H 2 tan α − 90 o , ) Arm 3 = b −
2
3
(
H tan α − 90 o ) (7)

(
Pah = Pa cos δ + α − 90 o , ) Arm ah =
H
3
(8)

The performance functions (PerFn1 and PerFn2) with respect to rotation (i.e. overturning) mode
and sliding mode are, respectively:
PerFn1 = W1 Arm1 + W2 Arm2 + W3 Arm3 + Pav Armav − Pah Armah (9)

PerFn2 = b × c a − Pah (10)

If the base resistance to sliding has a frictional component (W1 + W2 + W3 + Pav)tanφa, it can be
added to the adhesion component b×ca without affecting the solution procedure described below.
Note that the parameters φ′, δ, ca, a, b, and α in Eqs. 2 to10 read their values from the column
labeled x* in Fig. 1; these values, and the functions dependent on them, change during the optimi-
zation search for the most probable failure point.

3.2 Uncertainties in soil properties and wall dimensions, and reliability analysis
For the example problem in Fig. 1, the random variables are soil friction angle φ′, interface friction
angle δ, base adhesion ca, wall dimensions a and b, and wall back inclination α, with mean and
standard deviations as shown. To treat a, b, and α as random is to allow for some uncertainties in
construction alignment and layout of formworks. It is expected that φ′ and δ are positively corre-
lated, and a correlation coefficient of 0.8 is adopted. In addition, a and b are assumed to be corre-
lated with a coefficient of 0.5. The resulting correlation matrix is shown in Fig. 1.
The column labeled “nx” contains the equation:
xi * − meani
nxi = (11)
σi

4
where σi stands for standard deviations. Equation 1b for the reliability index is entered in the cell
labeled β, as an array formula:
=sqrt(mmult(transpose(nx), mmult(minverse(crmatrix), nx))) (12)
followed by pressing “Enter” while holding down the “Ctrl”and “Shift” keys. (mmult, transpose,
and minverse are Microsoft Excel’s built-in spreadsheet functions for matrix operations. “nx” and
“crmatrix” are names pre-defined by user for the column labeled “nx” and for the block of cells
containing the correlation coefficients.)
Initially the column labeled “x*” are assigned the mean values. The spreadsheet’s Solver opti-
mization routine is then invoked, to “Minimize” β, “By Changing” the six “x*” values, “Subject
To” the constraints PerFn1 <= 0, and the x* value of φ′ >= λ. The Solver option “Assume non-
negative” is also activated. The constraint PerFn2 <=0 would be specified (instead of PerFn1 <= 0)
when performing reliability analysis with respect to sliding mode.
The solution obtained by Solver is shown in Fig. 1 for the sliding mode. The spreadsheet ap-
proach is simple and intuitive because it works in the original space of the variables. It does not in-
volve the orthogonal transformation of the correlation matrix, and iterative numerical partial de-
rivatives are done automatically on spreadsheet objects which may be implicit or contain codes.
The six “x*” values as obtained in Fig. 1 represent the most probable point on the limit state
surface. It is the point of tangency of the 6-dimensional dispersion ellipsoid with the sliding limit
state surface.

3.3 Reliability-based design of wall dimension b and inclination λ for a specified β index value
For the given mean values and covariance structure shown in Fig. 1, the reliability indices with re-
spect to overturning and sliding modes are 2.648 and 2.195 respectively. Suppose it is desired to
select the mean values of the base width b and the inclination α of the back of wall so as to achieve
a specified reliability index of 2.5 with respect to both the overturning and the sliding limit states.
This is solved by repeating the reliability analysis a number of times, to obtain two contours of β =
2.5 as a function of mean α and mean b. Thus it is found that if a base width of b = 1.8 m is speci-
fied together with an inclination of α = 80°, the reliability index will be 2.5 with respect to both
horizontal sliding along base and rotation about the toe. However, with this dimension, the line of
action of the weight of the concrete wall is close to the heel, and the reliability with respect to rota-
tion about the heel, prior to placement of the backfill, may not be adequate. Alternatively, for con-
struction convenience, one can specify b = 2.2 m and α = 90° (i.e., vertical wall back), for which
the reliability index is 2.5 with respect to sliding, and greater than 2.5 with respect to overturning.

4 RELIABILITY-BASED DESIGN OF ANCHORED OR PROPPED WALLS

4.1 Analytical formulations based on free earth support method

The retaining wall in Fig. 2 has a total height equal to (h1 + h2 + d), of which d is the depth of em-
bedment. The water table is the same on both sides of the wall. The bulk unit weight of the soil is γ
(kN/m3) above the water table and γsat below the water table. A surcharge pressure σs 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 φ′ and the interface friction angle δ between the
soil and the wall. The cohesion of the soil is assumed to be zero in this example.
Craig (1997, Example 6.9) illustrates the deterministic design of this anchored sheet pile wall
using the free earth support method. The required depth of embedment d and the tie force (per m
wall length) T were determined, assuming a factor of safety of 2.0 with respect to gross passive re-
sistance, i.e., the horizontal component (Kph) of the passive earth pressure coefficient was divided
by 2. Alternative calculations were also shown for an assumed factor of safety of 1.2 with respect
to shear strength, i.e., the mobilized angle of friction was equal to tan-1(tanφ′ / 1.2). This resulted in

5
 x* mean StDev nx crmatrix (Correlation matrix)
a 1.498 1.500 0.075 -0.023 1 0 0 0 0 0 0 0 0 a
h1 6.489 6.400 0.320 0.2787 0 1 -0.5 0 0 0 0 0 0 h1
h2 2.417 2.400 0.120 0.1414 0 -0.5 1 0 0 0 0 0 -0.5 h2
γ 16.155 17.000 0.850 -0.994 0 0 0 1 0.5 0 0.5 0 0 γ
γsat 18.612 20.000 1.000 -1.388 0 0 0 0.5 1 0 0.5 0 0 γsat
σs 10.044 10.000 1.000 0.044 0 0 0 0 0 1 0 0 0 σs
φ' 27.346 36.000 3.600 -2.404 0 0 0 0.5 0.5 0 1 0.8 0 φ'
δ 14.492 18.000 1.800 -1.949 0 0 0 0 0 0 0.8 1 0 δ
d 3.916 4.011 0.201 -0.472 0 0 -0.5 0 0 0 0 0 1 d
a h1 h2 γ γsat σs φ' δ d
Boxed cells contain equations
Ka Kah Kp Kph β
Forces Lever arm @ "A" Moments 0.334 0.323 4.259 4.123 2.4997

(kN/m) (m) (kN-m/m)

1 -41.62 4.913 -204 =Kacosδ PerFn1
2 -109.9 2.828 -311 -0

3 -214.6 8.158 -1750

4 -57.11 9.213 -526
=sum(Moments)
5 278.64 10.019 2792

=sqrt(mmult(transpose(nx), mmult(minverse(crmatrix), nx)))

Surcharge σs = 10 kN/m2
No surcharge above anchorage

a
b da
A T
h1 γ, φ', δ
2
Water table
1
h2
γsat
3
γsat
d
5 4

Figure 2. Reliability-based design of anchored sheet pile wall

6
computed values of d and T which were about 16% lower and higher, respectively, than those
based on factored Kph.
In the following sections the anchored sheet pile wall will be designed based on reliability
analysis. The representative values used in Craig (1997) are taken to be the mean values in the reli-
ability analysis. Instead of factors of safety, the standard deviations and correlations are used in the
reliability analysis. The analytical formulations based on force and moment equilibrium in the de-
terministic analysis are also required in a reliability analysis, but are expressed as limit state func-
tions or performance functions.
The active pressure distribution on the right side of the wall in Fig. 2 is divided into rectangular
and triangular blocks for computing resultant forces and lever arms with respect to anchor point A.
The first 4 cells under the column labeled “Forces” contain equations for the resultants (kN/m) of
the active pressure blocks on the right side of the wall, while the fifth cell contains the equation
computing the resultant of the triangular passive pressure block on the left side of the wall. All
these equations refer, where relevant, to the parametric values under the column labeled “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 logarithmic spiral surface, whereas the Coulomb passive coefficient is
reasonably close to the Caquot and Kerisel passive coefficient when φ′ and δ are near the x* values
shown in Fig. 2. (The Coulomb Kp value overestimates passive resistance for higher values of φ′.)

4.2 Uncertainties and correlations in anchored wall design

For the case in hand, the standard deviations (StDev) are assumed to be 10% of the corresponding
mean values (i.e., coefficients of variation = 0.1) for random variables σs, φ′ and δ, and 5% for ran-
dom variables a, h1, h2, γ, γsat, and d. These random variables are assumed to be normally distrib-
uted. The uncertainties in parameters h1, h2 and d may be associated with uncertain water table ele-
vation and deviations of actual dredged level from design dredged level. Some correlations among
parameters are assumed, as shown in the correlation matrix (crmatrix). It is judged logical that the
unit weights γ and γsat should be positively correlated, and that each is also positively correlated to
the angle of friction φ′, whereas negative correlation exists between h1 and h2, and between h2 and
d, by virtue of their geometrical proximity.

4.3 Reliability-based design of embedment length d for a desired β index value of 2.5
Given the uncertainties and correlation structure in Fig. 2, it is desired to find the required mean
embedment depth d so as to achieve a reliability index of 2.5 with respect to rotation failure about
the anchor level “A”. The solution, obtained using the procedure similar to section 3.2, is as shown
in Fig. 2, that is, a design embedment depth d of 4.01 m would give a reliability index β of 2.50.
Note that in this case the performance function (=sum(Moments)) is a nonlinear and lengthy func-
tion of the nine random variables under the column labeled “x*”. It is interesting to note that at the
point where the nine-dimensional dispersion ellipsoid touches the limit state surface, both unit
weights γ and γsat (16.155 and 18.612) are lower than the corresponding mean values, contrary to
the expectation that higher unit weights will cause higher active pressure and hence greater instabil-
ity. This apparent paradox is resolved if one notes that smaller γsat will reduce passive resistance,
smaller φ′ will cause greater active pressure and smaller passive pressure, and that γ, γsat, and φ′ are
positively correlated. Note also that at failure by rotation about A, active and passive pressures are
justifiably fully mobilized.

4.4 Distinguishing negative from positive reliability indices

In Fig. 2, if a trial mean d value of 1 m is used, and the entire “x*” column given the values equal
to the “mean” column values, the performance function PerFn1 exhibits a value –624.4, meaning
that the mean value point is already inside the unsafe domain. Upon Solver optimization with con-

7
straint PerFn1 = 0, a β index of 2.038 is obtained, which should be regarded as a negative index,
i.e., –2.038, 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 com-
puted β 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 optimization) is positive for d >
1.911 m. The computed β index increases from about 0 when mean d is 1.911 m to 2.5 when the
mean d is 4.01 m. Note also that the correlation matrix has to be positive definite to avoid √(-ve).

4.5 Reliability-based design for the required mean strength of anchor tie rod
If the strength of the tie rod (T) has a coefficient of variation of 10%, and in the presence of other
uncertainties as shown in Fig. 2, reliability analysis indicates that a mean tie rod strength of 147.3
kN/m would be required to secure a reliability index of 2.5 with respect to tie rod failure (whether
pullout or rupture). The reliability-based design depth d and T are somewhat larger than the deter-
ministic design values of d and T calculated in Craig (1997). The difference is attributable to more
parameters (nine) being treated as uncertain in the reliability-based design, and that correlations
have been used, whereas in the deterministic design approach only Kph or tanφ′ is factored.

5 SUMMARY AND CONCLUSIONS

An expanding ellipsoid perspective (Low and Tang, 1997a) provides an alternative and more intui-
tive interpretation of the Hasofer-Lind index. This perspective led to a practical and transparent
spreadsheet procedure for performing reliability analysis. The spreadsheet procedure is based on
object-oriented constrained optimization of multidimensional ellipsoids. Correlation matrix is han-
dled directly without diagonalizing it. Two reliability-based design using a ubiquitous spreadsheet
platform and its built-in constrained optimization routine have been illustrated in the paper.

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