Probability and Statistics for Engineering Applications

2020.02.17 - Tutorial in preparation of the Final

Problem 1
A structure is designed with a capacity to withstand a wind velocity of 150 kph; i.e. any wind
velocity up to 150 kph will not cause damage to the structure. In a hurricane-prone area, the
maximum wind velocity during a hurricane may be modeled as an extreme Type I asymptotic
distribution with a mean velocity of 100 kph and a c.o.v. of 0.45.

(a) For a structure with the above wind-resistant capacity, what would be the probability of
wind damage during a hurricane?

(b) If the permissible damage probability were to be reduced to 1/10 of the original design, as
described in (a) above, what should be the wind-resistant capacity of the revised design
(in kph)?

(c) If the occurrence of hurricanes in the area is modeled as a Poisson process with a return
period of 200 years, what is the probability of damage to the original structure over a life
of 100 years? Also, what would be the corresponding damage probability to the revised
structure? Assume that damages between hurricanes are statistically independent.

Reminder
Asymptotic dustribution CDF FY (y) and pdf fY (y)

FY (y) = exp[− exp(−α(y − u))] −∞ < y < ∞

fY (y) = α exp[−α(y − u) − exp(−α(y − u))] −∞ < y < ∞

Distribution parameters:
π 1.282 γ
α= √ = , u = µY −
6σY σY α
where
γ ≈ 0.5772 is the Euler constant.
Problem 1 - Solution
V = wind velocity (extreme Type I asymptotic)
µV = 100 kph
c.o.v.V = 0.45 ⇒ σV = 45 kph

Distribution parameters

π
α= √ = 0.0285
6σV
γ 0.5772
u = µV − = 100 − = 79.75
α 0.0285
(a) P (V > 150) = 1 − [exp {− exp(−0.0285(150 − 79.75))}] = 0.126

(b) x = new capacity, so that P (V > x)=0.0126

0.0126 = 1 − [exp {− exp(−0.0285(x − 79.75))}]

ln 0.9874 = − exp(−0.0285(x − 79.75))
ln 0.01268 = −0.0285(x − 79.75)

x = 233 kph

(c) Hurricanes are Poisson with λ = 1/200

P (Damage|Hurricanes) = 0.126

so damaging hurricanes are Poisson with λ = (0.126)(1/200) = 0.00063

P (T < 100) = 1 − exp(−0.00063(100))

P (T < 100) = 0.061
1
for the original structure. For the revised structure λ = 0.0126 200 = 0.000063

P (T < 100) = 1 − exp(−0.000063(100)) = 0.0063

Problem 2
The flow capacity of a storm sewer drain can be computed using Manning’s formula
√
0.463D2.67 S
Q=
N
where

• Q = flow rate (in ft3 /sec)

• N = roughness coefficient

• D = pipe diameter (in ft)

• S = pipe slope (in ft/ft)

The constant in the formula includes appropriate unit conversions. You are analyzing an
existing sewer drain, and the input values are random variables due to uncertainty in the
as-built condition relative to what you can measure. Assume the random variables are all
independent with µN = 0.015, δN = 0.15, µD = 3 ft, δD =0.02, µS = 0.005 ft/ft and δS =0.05

(a) Compute the first-order second-moment (FOSM) estimates of the mean and standard
deviation of Q

(b) What is the percentage contribution of each input random variable to the variance of Q?

(c) If you considered only the most important input random variable identified in (b), and
assumed the other two random variables to have coefficients of variation equal to zero,
what standard deviation would you estimate for Q?
Problem 2 - Solution
µN = 0.015, δN = 0.15, σN = δN · µN = 0.00225
µD = 3.0, δD = 0.02, σD = δD · µD = 0.06
µS = 0.005, δS = 0.05, σS = δS · µS = 0.00025
Let √
0.463D2.67 S
Q= = g(N, D, S) = g(X1 , X2 , X3 )
N
µQ ≈ g(µX1 , µX2 , µX3 )
3 X 3
2
X ∂g ∂g
σQ ≈ ρXi Xj σXi σXj
i=1 j=1
∂x i ∂x j

(a) Mean and standard deviation of Q

√ √
0.463µ2.67
D µ S 0.463 · 3 2.67
0.005
µQ ≈ = = 41
µN 0.015
Random variables are independent ⇒
 2   2   2 
2 ∂g 2 ∂g  ∂g
σQ ≈ σD + σS2 + 2
σN
 
∂D  ∂S  ∂N
  

x=µX x=µX x=µX

√ 2 2.67 √ 2 √ 2
0.463 · 2.67µ1.67 0.463 · µD 0.463 · µ2.67
  
2 D µS 2 µS 2 D µS 2
σQ ≈ σD + √ σS + − 2
σN
µN µN · 2 µS µN
2
σQ = 43.69, σQ = 6.61

(b) Contribution of each random variable to the variance of Q

√ 2
0.463 · 2.67µ1.67

D µS 2 2
σD /σQ = 0.1098
µN
2.67 √ 2
0.463 · µD

µS
√ σS2 /σQ
2
= 0.0241
µN · 2 µS
√ 2
0.463 · µ2.67

D µS 2 2
− 2
σN /σQ = 0.8662
µN

(c) Standard deviation of Q using most important random variable

√ 2
0.463 · µ2.67

2 D µS 2
σQ ≈ − 2
σN = 34.84
µN
σQ = 6.15
Problem 3
The purpose of a safety or reliability analysis of a simple structure is to determine the probability
of failure Pf which equals the probability that S, the loading acting on the structure, exceeds
R, the structural load-carrying capacity. To evaluate Pf an engineer assumes that the random
variables S and R are independent and from data he/she estimates that

- the mean of R is twice as large as the mean of S

- the coefficient of variations of both S and R is equal to 0.2

Using tabulated values of the standard normal distribution, determine the numerical values of
Pf in the following two cases

1. S and R are normally distributed

2. The transformed variables S 0 = log S and R0 = log R are normally distributed

What are your considerations on the results you obtained?

Problem 3 - Solution
(a) Pf = P (R < S) = P (R − S < 0) = P (M ) < 0 where M = R − S = ”safety margin”

R, S independent normal ⇒ M normal

E[M ] = E[R] − E[S] = m − 0.5m = 0.5m
V ar[M ] = σR2 + σS2 = (0.2m)2 + (0.2 · (0.5m))2 = 0.05m2

Pf = P (M < 0)
 
0 − 0.5 m
= Φ √ = Φ(−2.24) = 1 − Φ(0.224) ≈ 0.013
0.05 m2

(b) Pf = P (R < S) = P (ln R − ln S < 0) = P (R0 − S 0 < 0) = P (M 0 < 0)

Same analysis as before with M 0 = R0 − S 0 now normally distributed.

   
0 1 2 1 2
E[M ] = mR0 − mS 0 = ln(mR ) − ln(1 + VR ) − ln(mR ) − ln(1 + VS )
2 2
mR
= ln(mR ) − ln(mS ) = ln = ln(2) = 0.693
mS

V ar[M 0 ] = σR2 0 + σS2 0

= ln(1 + VR2 ) + ln(1 + VS2 ) = 2 ln(1 + (0.2)2 ) = 0.0784

 
0 0 − 0.693
Pf = P (M < 0) = Φ √ = Φ(−2.47) = 1 − Φ(2.47) ≈ 0.007
0.0784

The two models give very different values for Pf . The reason for selecting one over the other
should be very well motivated or, at least, the results from both models should be presented.
Problem 4
The profit from your company’s last 10 projects (in units of thousands of dollars) were 25.1,
93.9, 90.3, 52.0, 12.1, 45.5, -7.4 104.2, 80.9, 65.5, where negative numbers indicate a loss. As-
sume that profit form an individual project is normally distributed. Use this data to estimate
the profit level for future projects that will be exceeded with 95% probability (or equivalently,
the profit level that you have a 5% probability of not exceeding).
Problem 4 - Solution
P
xi
X = i = 56.21
n
s
P 2
i (xi − X)
SX = = 37.5
n−1
• Using t-distribution with n − 1 = 10 − 1 = 9 dofs:
Find X such that FX (x) = 0.05
 
x − 56.21
CDFt = 0.05
37.5

CDFt (−1.85) = 0.05, so

x − 56.21
= −1.85 ⇒ x = −13.165 thousand $
37.5
• Using normal distribution the estimate is unconservative: Find X such that FX (x) = 0.05
 
x − 56.21
Φ = 0.05
37.5

Φ(−1.85) = 0.05, so
x − 56.21
= −1.64 ⇒ x = −5.29 thousand $
37.5
Problem 5
The distribution of wave height has been suggested to follow a Rayleigh density function
 
h 1 2
fH (h) = 2 exp − (h/α ) , h ≥ 0
α 2

with parameter α. Suppose the following measurements on wave heights were recorded

1.5, 2.8, 2.5, 3.2, 1.9, 4.1, 3.6, 2.6, 2.9, 2.3 m

Estimate the parameter α by the method of maximum likelihood.

Problem 5 - Solution
Let n = 10 be the number of measurements and, for the sake of clarity, the following notations
are used next: n n
Y X
h2i ≡ q = 80.4


hi ≡ p = 16341,
i=1 i=1

The likelihood function is

n  
Y hi 1 2
L(h1 , h2 , . . . , hn , α) = exp − (hi /α) =
i=1
α2 2
 
−2n 1
= pα exp − 2 q
2α

dL
We maximize L by imposing =0⇒
dα
" q h #
dL −  q i
= p e 2α2 −2nα−2n−1 + α−2n − (−8α−3 )
dα 2
" q #
−
= p e 2α2 α−2n−1 [−2n + qα−2 ] = 0

⇓
Pn
q (h2i ) 80.4
qα−2 = 2n ⇒ α2 = = i=1
= = 4.02 ⇒ α = 2.005
2n 2n 20
Problem 6
Consider the following 20-year record of the annual maximum wind velocity V (in km/h) in a
given city:
Year V (km/h) Year V (km/h)
1950 78.2 1960 78.4
1951 75.8 1961 76.4
1952 81.8 1962 72.9
1953 85.2 1963 76.0
1954 75.9 1964 79.3
1955 78.2 1965 77.4
1956 72.3 1966 77.1
1957 69.3 1967 80.8
1958 76.1 1968 70.6
1959 74.8 1969 73.5

(a) Calculate the sample mean and the sample variance of V .

(b) Determine the 99% confidence interval for the mean velocity. Assume that the true
standard deviation of V , σV , is satisfactorily given by the sample standard deviation sV .

(c) Assume that V has a lognormal distribution; determine the point estimates for the cor-
responding parameters λV and ξV .
Problem 6 - Solution
(a)
n
1 X
Sample Mean : V = Vi = 76.5
N i=1
n
!
1 X 2
Sample Variance : s2V = V 2 − nV = 14.27 ⇒ sV = 3.78
n − 1 i=1 i

(b) For 99% confidence interval (0.005; 0.995):

Φ(z) = 0.995 ⇒ z = 2.58

Assume sV ≈ σV :
V −µ
−2.58 ≤ √ ≤ 2.58 ⇒ 74.3 ≤ µ ≤ 78.7
sV / n

(c)
s2V
 
ξV2 = = ln 1 + 2 = 0.0024 
 ξV = 0.049
V
⇒
1 λV = 4.34

λV = ln V − ξV2
2
Problem 7
Suppose that a sample of 9 steel reinforcing bars were tested for yield strength, and the sample
mean was found to be 20 kips.

(a) What is the 90% confidence interval for the population mean, if the standard deviation
is assumed to be equal to 3 kips?

(b) How many additional bars must be tested to increase the confidence of the same interval
to 95%?

(c) If the standard deviation is not known, but the 9 measurements yielded
9
X
(xi − 20)2 = 84.5,
i=1

then what would be the 90% confidence interval for the mean yield strength? Assume
that the yield strength is a normal variate.

Reminder:
1 kip = 1000 pounds-force = 4.448 kN
Problem 7 - Solution
x = 20 kips, σ = 3 kips. 90% confidence, n = 9. Assume normal variates.

(a)
x−µ
Φ(z) = 0.95 ⇒ z = 1.64 ⇒ −1.64 ≤ √ ≤ 1.64 ⇒ 18.36 ≤ µ ≤ 21.64
σ/ n

(b)
Φ(z) = 0.975 ⇒ z = 1.96
x − 18.36
√ = 1.96 ⇒ m = 3.85
σ/ 9 + m
Need 4 more samples for a 95% confidence.

(c) If the standard deviation is unknown, then we turn to the t-test, bacause n < 10 (so we
cannot assume s ≈ σ):
9
1 X 84.5
2
s = (xi − x)2 = = 10.56
n − 1 i=1 8
 
x−µ
P −tα/2,n−1 ≤ √ ≤ tα/2,n−1 = 1 − α
s/ n
⇓
α = 0.1; α/2 = 0.05 for a 90% confidence
20 − µ
t0.05;8 = 1.86 ⇒ −1.86 ≤ r ≤ 1.86 ⇒ µ90% = (17.985; 22.015)
10.56
9
Problem 8
The following five repeated observations (measurements) were made on each of the outer and
inner radii of a circular ring:

outer radius: r1 : 2.5, 2.4, 2.6, 2.6, 2.4 cm

inner radius: r2 : 1.6, 1.5, 1.6, 1.4, 1.4 cm

(a) Determine the best estimates of the outer and inner radii, and corresponding standard
errors;

(b) The area between the two concentric circles is computed based on the mean values of the
measured outer and inner radii; namely

A = π r21 − r22 .

What is the computed area?

(c) Determine the standard deviation (standard error) of the computed area.

(d) If it is desired to compute the sample mean of r1 within ±0.07 cm with 99% confidence,
how many additional independent measurements must be made on r1 ? Assume that all
the measurements are independent and taken with the same care and skill.
Problem 8 - Solution
(a) !
X r1 1 X
r1 = k
= 2.5, s21 = r12k − nr21 = 0.01
k
n n−1 k

⇓
s1
Standard error σr1 ≈ √ = 0.045 cm
n
!
X r2 1 X
r2 = k
= 1.5, s22 = r22k − nr22 = 0.01
k
n n−1 k

⇓
s2
Standard error σr2 ≈ √ = 0.045 cm
n

(b)
A = π r21 − r22 = π 2.52 − 1.52 = 12.566 cm2

(c)
A = π r12 − r22 ⇒ σA2 = π 2 var(r12 ) − var(r22 ) ,

where, for a regular function f (·), one has

 2
∂f
σf2(X) ≈ 2
σX
∂X

∂f
and therefore for f (x) = x2 and = 2x, one gets
∂x
σr22 = (2r1 )2 σr21 = 4(2.5)2 (0.045)2 = 0.051
1

σr22 = (2r2 )2 σr22 = 4(1.5)2 (0.045)2 = 0.0182

2

⇓
σA2 = π 2 (0.051 + 0.0182) = 0.679 ⇒ σA = 0.82 cm

(d) For r1 − µ1 = ±0.07 cm with 99% confidence, for n < 10 and unknown σ, use t-test:
r1 − µ 0.07 √
√ = t0.995;n−1 ⇒ = n · t0.995;n−1
s/ n 0.1

that iteratively gives n = 17 trials needed. Therefore

17 − 5 = 12 additional trials needed

Problem 9
For a sample of bar yielding strengths x1 , x2 , . . . , x10 the following data are given:
10
X 10
X
xi = 3850, x2i = 3.230.800
i=1 i=1

Data follow a lognormal distribution X. Let Y = ln X, where Y = N (µ, σ).

(a) Use the method of moments to estimate µ and σ.

(b) Compute P (X > 400)

Problem 9 - Solution
(a)
σ2
  
 E(X) = exp µ +


2


E(X 2 ) = exp (2µ + 2σ 2 )


Upon equating these expressions with their sample counterparts, the following system of
two equations in the two unknowns (µ, σ) are obtained:
 10
 X
xi



2
 
σ


= i=1


 exp µ + = 385

 2 10
(1)
10


 X
x2i





 exp (2µ + 2σ 2 ) = i=1

= 323.080

10
⇓
exp (2µ + 2σ 2 ) 323.080
2 ≡ exp(σ 2 ) = 2
= 2, 1797 ⇒ σ 2 = ln(2, 1797) = 0.779, σ = 0, 8827
2
(exp(µ + σ /2)) 385
By inverting Equation (1)1 one then gets

σ2
µ = ln 385 − = 5, 564.
2
⇓
µ = 5, 564 σ = 0, 8827

(b) Y = ln X is N (5, 564; 0, 8827) ⇒

 
ln 400 − µ
P (X > 400) = 1 − P (X < 400) = 1 − Φ
σ
 
5, 9915 − 5, 564
= 1−Φ
0, 8827

= 1 − Φ(0.484)

= 1 − 0.685 = 0.315.
Problem 10
The settlement of a column footing (See Figure 1) is composed of two components - the settle-
ments of the sand and clay strata. The flexibilities (that is, inches settlement per foot of strata
per ton of applied load) of the two strata, denoted FS and FC , are independent normal variates
N (0.001, 0.0002) and N (0.008, 0.002), respectively. The total column load is W , which may be
assumed to be statistically independent of FS and FC .

(a) If W = 20 tons, what is the probability that the total settlement will exceed 3 in.?

(b) Suppose the load W is also a random variable with Probability Mass Function (PMF)
given as 
 0.6 W = 20
fW (w) =
0.4 W = 25


Determine the mean and variance of the total settlement by first-order approximation. In
this case, what would be the probability that the settlement will exceed 3 in. assuming
that settlement follows a normal distribution?

Figure 1: Settlement Problem

Problem 10 - Solution
Let
• u = total settlement;

• fS = sand stratum flexibility (inches settlement per ton of applied load);

• fC = clay stratum flexibility (inches settlement per ton of applied load);

• tS = 20 ft = sand stratum thickness;

• tC = 10 ft = clay stratum thickness.

The flexibilities (inches settlement per ton of applied load) are given as

fS = tS · FS ⇒ fS ∼ N (tS µFS , tS σFS ) = N (0.02, 0.004);

fC = tC · FC ⇒ fC ∼ N (tC µFC , tC σFC ) = N (0.08, 0.02);

As for the overall flexibility f :
 q 
2 2
f = fS + fC ⇒ f ∼ N µfS + µfC , σfS + σfC = N (0.10, 0.02040)

(a)
u = W f ⇒ u ∼ N (W µf , W σf ) = N (2, 0.4079)
⇓
 
3 − µu
P (u > 3) = 1 − P (u < 3) = 1 − Φ
σu
 
3−2
= 1−Φ = 1 − Φ(2.4515)
0.4079

= 1 − 0.993 = 0.007

(b) If W is a (normal) random variable, the settlement u = W · f is the product of to normal

random variables (and as such its pdf is neither known nor easy to compute). We therefore
proceed approximately using a first-order approximation.
First of all, (µW , σW ) are computed using the given PMF:

µW = 0.6 · 20 + 0.4 · 25 = 22,

2
σW = E[W 2 ] − µ2W = 0.6 · 202 + 0.4 · 252 − 222 = 6 ⇒ σW = 2.449

Therefore (µW , σW ) = (22, 2.449). Now

µu = E[W · f ] ≈ E[W ]E[f ] = 22 · 0.10 = 2.2 in.

 2  2
∂u  ∂u 
σu2 ≈ 2
σW + σ 2 = µ2f σW
2
+ µ2W σf2 = 0.2613
∂W mean
 ∂f mean f
 ⇓
σu = 0.511
 
3 − µu
P (u > 3) = 1 − P (u < 3) = 1 − Φ
σu
 
3 − 2.2
= 1−Φ = 1 − Φ(1.565)
0.511

= 1 − 0.9405 = 0.0595