Institute of Technology of Cambodia Statistics

Solution
1. Calculate the means (or expected value) E(X), E(W) and the variances V(X), V(W)
We have the probability density function of Gaussian and Weibull’s distribution

1 (𝑥 − 𝜇)2
𝑓𝑁 (𝑥) = 𝑒𝑥𝑝 (− ) −∞<𝑥 <∞
√2𝜋𝜎 2 2𝜎 2
𝑚 𝑥−𝑥0 𝑚−1 𝑥−𝑥0 𝑚
𝑓𝑊 (𝑥) = ( ) 𝑒𝑥𝑝[− ( ) ], 𝑥 ≥ 𝑥0
𝛼 𝛼 𝛼
𝑤ℎ𝑒𝑟𝑒 − ∞ < 𝜇 < ∞, 𝜎 > 0, 𝛼 > 0, 𝑚 > 0 𝑎𝑛𝑑 𝑥0 ≥ 0.
∞
𝐸(𝑋) = ∫ 𝑥𝑓𝑁 (𝑥)𝑑𝑥
−∞

∞ 1 (𝑥−𝜇)2
= ∫−∞ 𝑥 𝑒𝑥𝑝 (− ) 𝑑𝑥
√2𝜋𝜎 2 2𝜎 2

∞ 1 (𝑥−𝜇)2
= ∫−∞[(𝑥 − 𝜇) + 𝜇] 𝑒𝑥𝑝 (− ) 𝑑𝑥
√2𝜋𝜎 2 2𝜎 2

∞ 1 (𝑥−𝜇)2 ∞ 1 (𝑥−𝜇)2
= ∫−∞(𝑥 − 𝜇) 𝑒𝑥𝑝 (− ) 𝑑𝑥 + 𝜇 ∫−∞ 𝑒𝑥𝑝 (− ) 𝑑𝑥
√2𝜋𝜎 2 2𝜎 2 √2𝜋𝜎 2 2𝜎 2

1 ∞ −𝑥+𝜇 (𝑥−𝜇)2 ∞ 1 (𝑥−𝜇)2

= (−𝜎 2 ) ∫−∞ 𝑒𝑥𝑝 (− ) 𝑑𝑥 + 𝜇 ∫−∞ 𝑒𝑥𝑝 (− ) 𝑑𝑥
√2𝜋𝜎 2 𝜎2 2𝜎 2 √2𝜋𝜎 2 2𝜎 2

We now see that the right integral is the complete integral over a normal pmf qe get
∞
1 (𝑥−𝜇)2
E(X) = (−𝜎 2 ) [𝑒𝑥𝑝 (− )] +𝜇
√2𝜋𝜎 2 2𝜎 2 −∞
1
= (−𝜎 2 )(0 − 0) + 𝜇
√2𝜋𝜎 2

=𝜇
2 ∞
V(X) = 𝐸(𝑋 − 𝐸(𝑋)) = ∫−∞(𝑥 − 𝜇)2 𝑓𝑁 (𝑥) 𝑑𝑥
∞ 1 (𝑥−𝜇)2 𝑥−𝜇
= ∫−∞(𝑥 − 𝜇)2 𝑒𝑥𝑝 (− ) 𝑑𝑥 by letting 𝑡 =
√2𝜋𝜎 2 2𝜎 2 𝜎√2

∞ 1 2 ∞ 2
Then𝑉(𝑋) = ∫−∞ 𝜎 2 2𝑡 2 𝑒 −𝑡 𝜎√2𝑑𝑡 = 2𝜎 2 /√𝜋 ∫−∞ 𝑡. 𝑡𝑒 −𝑡 𝑑𝑡
√2𝜋𝜎 2
2
We now use integration by parts with 𝑢 = 𝑡 𝑎𝑛𝑑 𝑑𝑣 = 𝑡𝑒 −𝑡 𝑑𝑡 it follow that,
−1 −𝑡 2 ∞ ∞
−1 −𝑡 2
𝑉(𝑋) = 2𝜎 2 /√𝜋 ([𝑡 𝑒 ] −∫ 𝑒 𝑑𝑡
2 −∞ −∞ 2

We see that the bracketed term is zero by L'Hôpital's rule.

∞
2
1 −𝑡 2
𝑉(𝑋) = 2𝜎 /√𝜋 ∫ 𝑒 𝑑𝑡
−∞ 2

Now we use the Gaussian integral again

2𝜎 2 1
𝑉(𝑋) = × √𝜋 = 𝜎 2
√𝜋 2

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Therefore, mean and variance of Gaussian’s distribution are 𝐸(𝑋) = 𝜇 𝑎𝑛𝑑 𝑉(𝑋) = 𝜎 2 .
For Weibull’s distribution
∞ ∞ 𝑚 𝑥−𝑥0 𝑚−1 𝑥−𝑥 𝑚
E(X)= ∫−∞ 𝑥𝑓𝑊 (𝑥)𝑑𝑥 = ∫𝑥 𝑥 ( ) 𝑒𝑥𝑝[− ( 0 ) ] 𝑑𝑥
0 𝛼 𝛼 𝛼

𝑥−𝑥0 𝑚 1
𝛼 1
Let 𝑡 = ( ) => 𝑥 = 𝛼𝑡 𝑚 + 𝑥0 𝑠𝑜 𝑑𝑥 = 𝑡 𝑚−1 𝑑𝑡 𝑤ℎ𝑒𝑛 𝑥 → 𝑥0 𝑡ℎ𝑒𝑛 𝑡 → 0 𝑎𝑛𝑑 𝑥 → ∞, 𝑡 → ∞
𝛼 𝑚
1
∞ 𝑚 1− 1 𝛼 1 −1 −𝑡
Hence E(X)= ∫0 (𝛼𝑡 𝑚 + 𝑥0 ) 𝑡 𝑚 𝑡𝑚 𝑒 𝑑𝑡
𝛼 𝑚
1
∞ ∞
= ∫0 𝛼𝑡 𝑚 𝑒 −𝑡 𝑑𝑡 + 𝑥0 ∫0 𝑒 −𝑡 𝑑𝑡
1 ∞
= 𝛼𝛤 ( + 1) + 𝑥0 (𝐺𝑎𝑚𝑚𝑎 𝐹𝑢𝑛𝑐𝑡𝑖𝑜𝑛 𝛤(𝛼) = ∫0 𝑡 𝛼−1 𝑒 −𝑡 𝑑𝑡)
𝑚

∞ ∞ 𝑚 𝑥−𝑥0 𝑚−1 𝑥−𝑥0 𝑚

𝐸(𝑊 2 ) = E(X)= ∫−∞ 𝑥 2 𝑓𝑊 (𝑥)𝑑𝑥 = ∫𝑥 𝑥 2 ( ) 𝑒𝑥𝑝[− ( ) ] 𝑑𝑥
0 𝛼 𝛼 𝛼

𝑥−𝑥0 𝑚 1
𝛼 1
Let 𝑡 = ( ) => 𝑥 = 𝛼𝑡 𝑚 + 𝑥0 𝑠𝑜 𝑑𝑥 = 𝑡 𝑚−1 𝑑𝑡 𝑤ℎ𝑒𝑛 𝑥 → 𝑥0 𝑡ℎ𝑒𝑛 𝑡 → 0 𝑎𝑛𝑑 𝑥 → ∞, 𝑡 → ∞
𝛼 𝑚

1 2
∞ 𝑚 1− 1 𝛼 1 −1 −𝑡
So, 𝐸(𝑊 2 ) = ∫0 (𝛼𝑡 𝑚 + 𝑥0 ) 𝑡 𝑚 𝑡𝑚 𝑒 𝑑𝑡
𝛼 𝑚
2 1
∞ ∞ ∞
= ∫0 𝛼 2 𝑡 𝑚 𝑒 −𝑡 𝑑𝑡 + ∫0 2𝛼𝑥0 𝑡 𝑚 𝑒 −𝑡 𝑑𝑡 + ∫0 𝑥02 𝑒 −𝑡 𝑑𝑡
2 1
= 𝛼 2 𝛤 ( + 1) + 2𝛼𝑥0 𝛤 ( + 1) + 𝑥02
𝑚 𝑚

We apply the formula of variance 𝑉(𝑊) = 𝐸(𝑊 2 ) − [𝐸(𝑊)]2

2 1 1 2
= 𝛼 2 𝛤 ( + 1) + 2𝛼𝑥0 𝛤 ( + 1) + 𝑥02 − [ 𝛼𝛤 ( + 1) + 𝑥0 ]
𝑚 𝑚 𝑚

2 1 1 2 1
= 𝛼 2 𝛤 ( + 1) + 2𝛼𝑥0 𝛤 ( + 1) + 𝑥02 − 𝛼 2 [𝛤 ( + 1)] − 2𝛼𝑥0 𝛤 ( + 1) − 𝑥02
𝑚 𝑚 𝑚 𝑚

2 1 2
=𝛼 2 (𝛤 ( + 1) − [𝛤 ( + 1)] ).
𝑚 𝑚

Therefore the mean and variance of Weibull’s distribution are given by

1 2 1 2
𝐸(𝑊) = 𝛼𝛤 ( + 1) + 𝑥0 and V(W) =𝛼 2 (𝛤 ( + 1) − [𝛤 ( + 1)] ) .
𝑚 𝑚 𝑚

2. Calculate E(J) and V(J)

Since 𝐽 = 𝑆 − 𝐿 , 𝑆 𝑎𝑛𝑑 𝐿 𝑎𝑟𝑒 𝑖𝑛𝑑𝑒𝑝𝑒𝑛𝑑𝑒𝑛𝑡 𝑛𝑜𝑟𝑚𝑎𝑙 𝑟𝑎𝑛𝑑𝑜𝑚 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒𝑠
Then 𝐸(𝐽) = 𝐸(𝑆 − 𝐿) = 𝐸(𝑆) − 𝐸(𝐿) = 𝜇 − 𝜇 = 0

𝑉(𝐽) = 𝑉(𝑆 − 𝐿) = 𝑉(𝑆) + 𝑉(𝐿) = 𝜎 2 + 𝜎 2 = 2𝜎 2

Therefore, 𝐸(𝐽) = 0 𝑎𝑛𝑑 𝑉(𝐽) = 2𝜎 2 .

𝜇𝐽
Show that the reliability 𝑅𝐽 = 𝛷(𝛽) where 𝛽 =
𝛿𝐽

𝑍−𝜇𝐽 0−𝜇𝐽
Since 𝑅𝐽 = 𝑃(𝐽 > 0) = 1 − 𝑃(𝐽 < 0) = 1 − 𝑃( < )
𝜎𝐽 𝜎𝐽

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𝜇
= 1 − 𝛷(− 𝐽 )
𝜎𝐽

𝜇 𝜇 𝜇𝐽
= 1 − (1 − 𝛷( 𝐽 ) = 𝛷( 𝐽 ) = 𝛷(𝛽) where 𝛽 =
𝜎𝐽 𝜎𝐽 𝛿𝐽

𝜇𝐽
Therefore the reliability 𝑅𝐽 = 𝛷(𝛽) where 𝛽 = is the reliability index (or safety index)
𝛿𝐽

Draw the graph to make geometrical interpretation of 𝛽

Such that S≡ 𝑅 , 𝐿 ≡ 𝑄 𝑎𝑛𝑑 𝐽 ≡ 𝑔.

3. Calculate the probability of failure 𝑃𝑓 for the value of 𝛽 given in the table

Since 𝑃𝑓 = 𝛷(−𝛽)

For 𝛽 = 4.3 => 𝑃𝑓 = 𝛷(−4.3) ≈ 10−5

𝛽 = 3.8 => 𝑃𝑓 = 𝛷(−3.8) ≈ 10−3

𝛽 = 3.3 => 𝑃𝑓 = 𝛷(−3.3) = 0.9995

𝛽 = 4.2 => 𝑃𝑓 = 𝛷(−4.2) ≈ 10−5

𝛽 = 4.7 => 𝑃𝑓 = 𝛷(−4.7) ≈ 10−6

𝛽 = 5.2 => 𝑃𝑓 = 𝛷(−5.2) = 10−7

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Reliability index for a structure element
20𝑘𝑁
We have, 𝑞̅ = , 𝑉𝑞 = 8%, 𝑄̅ = 60𝑘𝑁, 𝑉𝑞 = 12%, ̅̅̅̅
𝑀𝑟 = 290𝑘𝑁. 𝑚, 𝑉𝑀𝑟 = 10%
𝑚

The standard deviation is equal to the product of the mean value and coefficient of variation, that is,

𝑉𝑋 × 𝑋̅ = 𝜎𝑋 . So the deviation 𝜎 2 of q ant Q and 𝑀𝑟 are equal

𝜌𝑞2 = (0.08 × 20)2 = 2.56

𝜌𝑄2 = (0.12 × 60)2 = 51.84

2
𝜌𝑀 𝑟
= (0.10 × 290)2 = 841.

Limit state function is defined by 𝐽 = 𝑆 − 𝐿 know that, the structural strength 𝑆 = 𝑀𝑟 and the load effect L is
equal to the sum of maximum at exposed distribution load q and the concentrated load Q, that is
𝑙2 𝑙
𝐿 = ( ) 𝑞 + ( )Q.
8 4

The mean value and load variation on the structure (in this case the bending moment)
𝑙 2 𝑙
𝐿̅ = ( ) 𝑞̅ + ( )𝑄̅
8 4

52 5
= ( ) 20 + ( ) 60
8 4

= 137.5 .
𝑙2 𝑙
And the mean value 𝜌𝐿2 = ( ) 𝜎𝑞2 + ( )𝜎𝑄2
8 4

52 5
= ( ) 2.56 + ( ) 51.84
8 4

= 106 .
The mean value and the variation of the structure capacity (in this case the bending capacity)
𝑆̅−𝐿̅
𝑆̅ = ̅̅̅̅
𝑀𝑟 = 290, 𝜎𝑆2 = 𝜎𝑀
2
𝑟
= 841. The reliability index is equal to 𝛽 =
√𝜎𝑆2 +𝜎𝐿2

290−137.5
Then 𝛽 = = 4.95. And the probability of failure 𝑃𝑓 = 𝛷(−𝛽) = 𝛷(−4.95) = 3.12 × 10−7 .
√841+106

Therefore the reliability index 𝛽 = 4.95 and the probability of failure 𝑃𝑓 =3.12 × 10−7 .

Reliability index for steel cross-section

Calculate the reliability index and probability of failure
10 3 𝑘𝑁
We have, 𝑓̅𝑦 = 280𝑀𝑃𝑎 = 280 × , 𝑉𝑓𝑦 = 8%,
𝑚2

𝑍̅ = 0.8 × 10−3 𝑚3 , 𝑉𝑍 = 7%
̅̅̅̅
𝑀𝑢 = 140𝑘𝑁. 𝑚, 𝑉𝑀𝑢 = 10%

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Let 𝐽 = 𝑀𝑝 − 𝑀𝑢 is the state function

The probability of failure is define by 𝑃𝑓 = 𝑃(𝐽 < 0)

= 𝑃(𝑀𝑝 − 𝑀𝑢 < 0)
𝑀𝑝
= 𝑃( < 1)
𝑀𝑢

𝑓𝑦 𝑍
Since 𝑀𝑝 = 𝑓𝑦 𝑍 then 𝑃𝑓 = 𝑃( < 1) . Variances of 𝑓𝑦 , 𝑍 𝑎𝑛𝑑 𝑊𝑢 are given respectively by
𝑀𝑢

𝜎𝑓2𝑦 = [0.08(280 × 103 )]2 = 501.76 × 106

𝜎𝑍2 = [0.07(0.8 × 10−3 )]2 = 501.76 × 10−9

2
𝜎𝑀 𝑢
= [0.10(280)]2 = 784

Let 𝑌𝑓 = 𝑙𝑛𝑓𝑦 𝑌𝑍 = 𝑙𝑛𝑍 𝑎𝑛𝑑 𝑌𝑀 = 𝑙𝑛𝑀𝑢 .

Since, 𝑓𝑦 , 𝑍 𝑎𝑛𝑑 𝑀𝑢 𝑎𝑟𝑒 𝑖𝑛𝑑𝑒𝑝𝑒𝑛𝑑𝑒𝑛𝑡 𝑟𝑎𝑛𝑑𝑜𝑚 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒𝑠 𝑙𝑜𝑔𝑎𝑟𝑖𝑡ℎ𝑚𝑖𝑐𝑎𝑙𝑙𝑦 𝑛𝑜𝑟𝑚𝑎𝑙 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒𝑠 𝑠o,
variances and means for 𝑌𝑓 , 𝑌𝑍 𝑎𝑛𝑑 𝑌𝑀 𝑎𝑟𝑒

𝜎𝑌2𝑓 = 𝑙𝑛 (𝑉𝑌2𝑓 + 1) = 𝑙𝑛(0.082 + 1) = 6.38 × 10−3

̅𝑌̅̅2̅ = 𝑙𝑛𝑓 − 1 𝜎 2 = 𝑙𝑛(280 × 103 ) − 1 6.38 × 10−3 = 12.54

𝑓 𝑦 2𝑌𝑓 2

𝜎𝑌2𝑍 = 𝑙𝑛(𝑉𝑌2𝑍 + 1) = 𝑙𝑛(0.072 + 1) = 4.89 × 10−3

1 1
̅̅̅
𝑌𝑍 = 𝑙𝑛𝑍̅ − 𝜎𝑌2𝑍 = 𝑙𝑛(0.08 × 10−3 ) − 4.89 × 10−3 = −7.13
2 2

𝜎𝑌2𝑀 = 𝑙𝑛(𝑉𝑌2𝑀 + 1) = 𝑙𝑛(0.102 + 1) = 9.95 × 10−3

1 2 1
̅̅̅
𝑌𝑀̅ = 𝑙𝑛𝑀
̅̅̅̅
𝑢 − 𝜎𝑌𝑀 = 𝑙𝑛(140) − 9.95 × 10
−3
= 4.94 .
2 2
𝑓𝑦 𝑍 𝑓𝑦 𝑍
Let 𝑋0 = and 𝑌 = 𝑙𝑛𝑋0 = 𝑙𝑛 ( ) = 𝑙𝑛𝑓𝑦 + 𝑙𝑛𝑍 − 𝑙𝑛𝑀𝑢
𝑀𝑢 𝑀𝑢

= 𝑌𝑓 + 𝑌𝑍 − 𝑌𝑀

Mean value and variance of Y are equal

𝑌̅ = 𝑌̅𝑓 + 𝑌̅𝑍 − 𝑌̅𝑀

= 12.54 − 7.13 − 4.49

= 0.47 .

𝜎𝑌2 = 𝜎𝑌2𝑓 + 𝜎𝑌_𝑍

2
+ 𝜎𝑌2𝑀

= 6.38 × 10−3 + 4.89 × 10−3 + 9.95 × 10−3

= 21.22 × 10−3
𝑓𝑦 𝑍 (𝑙𝑛1−𝑌̅) 0−0.47
Then the probability of failure is 𝑃𝑓 = 𝑃 ( < 1) = 𝛷 [ ] = 𝛷 [( )] = 𝛷(−3.08)
𝑀𝑢 𝜎𝑌 √21.22×10−3

= 1.24 × 10−3 .

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Therefore,

The reliability index 𝛽 = 3.08 and the probability of failure 𝑃𝑓 = 1.24 × 10−3 .

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