Wind loading and structural response

Lecture 3 Dr. J.D. Holmes

Probability distributions
 Probability distributions

• Topics :
• Concepts of probability density function (p.d.f.) and
cumulative distribution function (c.d.f.)

• Moments of distributions (mean, variance, skewness)

• Parent distributions

• Extreme value distributions

Ref. : Book - Appendix C

 Probability distributions

• Probability density function :

• Limiting probability (x  0) that the value of a random variable X
lies between x and (x + x)

• Denoted by fX(x)


fX(x)

x
x
 Probability distributions

• Probability density function :

• Probability that X lies between the values a and b is the area under the
graph of fX(x) defined by x=a and x=b

fX(x)
Pr(a<x<b)

x=a b
x
b
• i.e. Pra  x  b   f x ( x)dx
a

• Since all values of X must fall between - and +  : 

f x ( x)dx  1

• i.e. total area under the graph of fX(x) is equal to 1

 Probability distributions

• Cumulative distribution function :

• The cumulative distribution function (c.d.f.) is the integral between -
and x of fX(x)
• Denoted by FX(x)

fX(x)

Fx(a)
x= a
x
• Area to the left of the x = a line is : FX(a)

This is the probability that X is less than a

 Probability distributions

• Complementary cumulative distribution function :

• The complementary cumulative distribution function is the integral
between x and + of fX(x)
• Denoted by GX(x) and equal to : 1- FX(x)

fX(x) Gx(b)

x= b x

• Area to the right of the x = b line is : GX(b)

This is the probability that X is greater than b
 Probability distributions

• Moments of a distribution :

• Mean value
 1N
X   xf x ( x)dx    xi

 N  i 1

fX(x)

x =X x

• The mean value is the first moment of the probability distribution, i.e.
the x coordinate of the centroid of the graph of fX(x)
 Probability distributions
• Moments of a distribution :
1N
• Variance 2
x  

x  X 
2
f x ( x)dx    xi  X 
2

 N  i 1
• The variance, X2, is the second moment of the probability distribution
about the mean value
• It is equivalent to the second moment of area of a cross section about
the centroid
• The standard deviation, X, is the square root of the variance

fX(x)
X

x =X x
 Probability distributions
• Moments of a distribution :
 1    1 N
• skewness s x   3   x  X  f x ( x)dx   3  xi  X 
3 3

 X    X N  i 1


• Positive skewness indicates that the distribution has a long tail on the
positive side of the mean
• Negative skewness indicates that the distribution has a long tail on the
negative side of the mean`

fx(x) positive sx
negative sx

x
• A distribution that is symmetrical about the mean value has zero
skewness
 Probability distributions

• Gaussian (normal) distribution :

1   x  X 2 
• p.d.f. f x (x)  exp  2 
2π σ x  2σ x 

0.4

fX(x)
0.3

0.2

0.1

0
-4 -3 -2 -1 0 1 2 3 4

x
allows all values of x : -<x< +

bell-shaped distribution, zero skewness

 Probability distributions

• Gaussian (normal) distribution :

 x X 
• c.d.f. FX(x) =   
 X 

( ) is the cumulative distribution function of a normally distributed

variable with mean of zero and unit standard deviation (tabulated in
textbooks on probability and statistics)

 1  u   z2 
 (u) =    exp dz
 2  
 2 

Used for turbulent velocity fluctuations about the mean wind speed,
dynamic structural response, but not for pressure fluctuations or scalar
wind speed
 Probability distributions

• Lognormal distribution :
   x  
2

• p.d.f.   log e   
1  m  
f x (x)  exp  
2πσ x  2σ 2 
 
 
A random variable, X, whose natural logarithm has a normal
distribution, has a Lognormal distribution
(m,  are the mean and standard deviation of logex)
Since logarithms of negative values do not exist, X > 0
the mean value of X is equal to m exp (2/2)
the variance of X is equal to m2 exp(2) [exp(2) -1]
the skewness of X is equal to [exp(2) + 2][exp(2) - 1]1/2 (positive)

Used in structural reliability, and hurricane modeling (e.g. central pressure)

 Probability distributions

• Weibull distribution :
 kx k 1    x k 
p.d.f. fX(x) =  k  exp    
 c    c  

  x k  complementary   x k 
c.d.f. FX(x) = 1  exp     c.d.f. FX(x) = exp    
  c  
  c  
c = scale parameter (same units as X)
k= shape parameter (dimensionless)

X must be positive, but no upper limit.

Weibull distribution widely used for wind speeds, and sometimes for pressure
coefficients
 Probability distributions

• Weibull distribution :
1.2
k=3
1.0

fx(x) 0.8
k=2
0.6

0.4
k=1
0.2

0.0
0 1 2 3 4
x

Special cases : k=1 Exponential distribution

k=2 Rayleigh distribution

 Probability distributions

• Poisson distribution :

Previous distributions used for continuous random variables (X can

take any value over a defined range)

Poisson distribution applies to positive integer variables

Examples : number of hurricanes occurring in a defined area in a given time

number of exceedences of a defined pressure level on a building

exp   exp T 
Probability function : pX(x) = x  (T ) x
x! x!
 is the mean value of X. Standard deviation = 1/2

 is the mean rate of ocurrence per unit time. T is the reference time period
 Probability distributions

• Extreme Value distributions :

Previous distributions used for all values of a random variables, X

- known as ‘parent distributions
In many cases in civil engineering we are interested in the largest
values, or extremes, of a population for design purposes
Examples : flood heights, wind speeds

Let Y be the maximum of n independent random variables, X1, X2, …….Xn

c.d.f of Y : FY(y) = FX1(y). FX2(y). ……….FXn(y)

Special case - all Xi have the same c.d.f : FY(y) = [FX1(y)]n

 Probability distributions

• Generalized Extreme Value distribution (G.E.V.) :

  k ( y  u ) 1/ k 
c.d.f. FY(y) = exp  1   
  a  

k is the shape factor; a is the scale factor; u is the location parameter

Special cases : Type I (k=0) Gumbel

Type II (k<0) Frechet
Type III (k>0) ‘Reverse Weibull’

G.E.V (or Types I, II, III separately) - used for extreme wind speeds and
pressure coefficients
 Probability distributions

• Generalized Extreme Value distribution (G.E.V.) :

Type I k = 0
Type III k = +0.2
Type II k = -0.2
8

6 (In this way of

(y-u)/a 4 plotting, Type I
2 appears as a straight
0 line)
-3 -2 -1 0 1 2 3 4
-2

-4

-6

Reduced variate : -ln[-ln(FY(y)]

Type I, II : Y is unlimited as c.d.f. reduces

Type III: Y has an upper limit

(may be better for variables with an expected physical upper limit such as wind speeds)
 Probability distributions

• Generalized Pareto distribution (G.P.D.) :

1
  kx  k
c.d.f. FX(x) = 1   σ 
  

k is the shape factor  is the scale factor

1
  1
p.d.f. fX(x) =  1    kx  k
  1   
 σ    σ 
k = 0 or k<0 : 0<X<
k>0 : 0 < X< (/k) i.e. upper limit

G.P.D. is appropriate distribution for independent observations of excesses

over defined thresholds
e.g. thunderstorm downburst of 70 knots. Excess over 40 knots is 30 knots
 Probability distributions

• Generalized Pareto distribution :

1.0

fx(x)
k=+0.5
0

0.5

k=-0.5

0.0
0 1 2 3 4
x/

G.P.D. can be used with Poisson distribution of storm occurrences to

predict extreme winds from storms of a particular type
 End of Lecture 3

John Holmes
225-405-3789 JHolmes@lsu.edu