Computers and Geotechnics 65 (2015) 30–44

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Computers and Geotechnics

journal homepage: www.elsevier.com/locate/compgeo

Research Paper

Reliability-based design and its complementary role to Eurocode 7

design approach
Bak Kong Low a,⇑, Kok-Kwang Phoon b
a
School of CEE, Nanyang Technological University, Singapore
b
Department of CEE, National University of Singapore, Singapore

a r t i c l e i n f o a b s t r a c t

Article history: Reliability-based design (RBD) can play a useful complementary role to overcome some limitations in the
Received 29 July 2014 Eurocode 7 (EC7) design approach, for example in situations with parameters not covered in EC7, differ-
Received in revised form 19 October 2014 ent parametric sensitivities across different problems, cross-correlated or spatially correlated parameters,
Accepted 23 November 2014
design aiming at a target reliability or failure probability, or when uncertainty in unit weight of soil is
modeled. The complementary role played by RBD under these circumstances is illustrated and discussed
for a shallow foundation, a reinforced rock slope, a Norwegian clay slope with spatial variability, a later-
Keywords:
ally loaded pile requiring implicit numerical analysis, and an anchored sheet pile wall. A pragmatic RBD
Reliability-based design
Reliability index
approach involving first-order reliability method (FORM) only and a more rigorous RBD approach involv-
Eurocode 7 ing both first-order and second-order reliability method (SORM) are offered. Both approaches are imple-
Slopes mentable using either spreadsheet-based FORM and SORM procedures, or using various commercially
Earth retaining walls available FORM/SORM packages.
Laterally loaded pile Ó 2014 Elsevier Ltd. All rights reserved.

1. Introduction Hasofer–Lind index [19] for correlated normal random variables.

The design approach based on overall factor of safety has long
been used by geotechnical engineers. More recent alternatives
are the characteristic values and partial factors used in the limit
state design approach in Eurocode 7 (EC7), and the load and resis-
tance factor design (LRFD) approach in North America. Yet another
approach can play at least a useful complementary role to EC7 and
LRFD, namely the design based on a target reliability index that
explicitly reflects the uncertainty of the parameters and their cor-
relation structure. Although uncertainties have been considered in
EC7 and LRFD in an approximate way, correlations (both spatial
correlation between the same parameter at different sampling
points and cross-correlation between different parameters at the
same sampling point) are not considered. Extensive soil databases
have been compiled to demonstrate the presence of cross-correla-
tions between soil parameters fairly conclusively [8,9,11,12,10].
The latest database presented by Ching and Phoon [11] contains
7490 sets of data, each set consisting of 10 clay parameters mea-
sured around the same sampling point.
Among the various versions of reliability indices, that based on
the first-order reliability method (FORM) for correlated nonnor-
mals is most consistent. A special case of FORM is the earlier
⇑ Corresponding author.
These reliability methods are described in Ditlevsen [15], Ang
and Tang [1], Madsen et al. [36], Haldar and Mahadevan [18], Mel-
chers [38], Baecher and Christian [2], for example. In addition, Low
and Tang [22,26,30] presented spreadsheet-based practical proce-
dures for FORM reliability-based analysis and design, with the
2007 approach being an equally efficient alternative to the 2004
approach, and the 2004 approach much more versatile and effi-
cient than the 1997 prototype.
This study illustrates geotechnical reliability-based design/anal-
ysis for a spread footing, a reinforced rock slope, a soil slope, a
laterally loaded pile, and an anchored sheet-pile wall. Focus is on
practical procedures in the Excel spreadsheet platform for FORM,
and discussions of interesting insights which suggest that FORM
reliability-based design can play at least a complementary role to
the Eurocode 7 design approach. In FORM the design point is a
point on the boundary (the limit state surface) which separates
safe combinations of parametric values (e.g. the mean-value point)
from the unsafe combinations of parametric values (e.g. occurrence
of low strength in combination with a large loading). The design
point is the most-probable combination of parametric values at
failure. The similarities and differences between the ratios of mean
values to design-point values on the one hand, and the partial
factors and the characteristic values of limit state design in
Eurocode 7 on the other hand, will be discussed.

http://dx.doi.org/10.1016/j.compgeo.2014.11.011
0266-352X/Ó 2014 Elsevier Ltd. All rights reserved.
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
A brief summary is given next for the two relatively intuitive
and transparent FORM computational procedures of Low and Tang
[26,30], and the associated dispersion ellipsoid perspective in the
original space of random variables, aiming at overcoming the lan-
guage and conceptual barriers (aptly noted by Whitman [46]) sur-
rounding reliability analysis. The physical meaning of the design
point obtained in FORM is explained, and it will be shown that it
is related to the characteristic values and partial factors of EC7.
(Guidance on EC7 can be found in EN1997-1 [16], Simpson and
Driscoll [42], and Frank et al. [17], for example.)
2. Practical FORM procedures and intuitive dispersion ellipsoid
perspective
The merits of reliability-based design (RBD) and how it can
complement EC7 design approach are the focus of Section 4 and
later sections. A prerequisite for RBD to play a complementary role
to the EC7 design approach is that the RBD approach must be rel-
atively transparent and its meaning readily appreciated by engi-
neers, and a balance must thus be sought between rigorous RBD
and pragmatic RBD. Hence the concepts and procedures of RBD
are explained in this section and the next.
The matrix formulation [45,15] of the Hasofer–Lind [19] index b
is:
qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
b ¼ min ðx  lÞT C1 ðx  lÞ
x2F
where x is a vector representing the set of random variables xi, l the
vector of mean values li, C the covariance matrix, and F the failure
domain. The notations ‘‘T’’ and ‘‘1’’ denote matrix transpose and
matrix inverse, respectively. The symbol ‘‘2’’ means ‘‘belongs to’’.
The following alternative formulation, which is mathematically
equivalent to Eq. 1(a), was used in Low and Tang [23], because the
correlation matrix R is easier to set up, and conveys the correlation
structure more explicitly than the covariance matrix C:
sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
 T  
xi  l i xi  li
b ¼ min R1
x2F ri ri
where R is the correlation matrix, ri the standard deviations, and
other symbols as defined for Eq. (1a). It is clear from Eq. (1b) that
standard deviations and correlations are explicitly considered in
the form of ri and R, respectively. The point denoted by the xi val-
ues, which minimizes Eq. (1) and satisfies x 2 F (i.e., x belongs to
the failure domain), is the design point. This is the point of tangency
of an expanding dispersion ellipsoid with the limit state surface
β = R/r
Limit state surface: boundary between
safe and unsafe domains
SAFE σφ One-sigma
Cohesion, c
dispersion ellipse
β-ellipse
μc
r σc
UNSAFE R
Design Mean-value
point
point
μφ
Friction angle, φ
Fig. 1. Illustration of the reliability index b in the plane when c and / are negatively
correlated.
31
(LSS), which separates safe combinations of parametric values from
unsafe combinations (Fig. 1). The one-standard-deviation (1-r) dis-
persion ellipse and the b-ellipse in Fig. 1 are tilted by virtue of cohe-
sion c and friction angle / being negatively correlated. The
quadratic form in Eq. (1) appears also in the negative exponent of
the established probability density function of the multivariate nor-
mal distribution. As a multivariate normal dispersion ellipsoid
expands from the mean-value point, its expanding surfaces are con-
tours of decreasing probability values. Hence, to obtain b by Eq. (1)
means maximizing the value of the multivariate normal probability
density function (at the most probable failure combination of para-
metric values), and is graphically equivalent to finding the smallest
ellipsoid tangent to the LSS at 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 Shin-
ozuka [40], in which all variables were standardized and the limit
state equation was written in terms of standardized variables.
In FORM (for random variables obeying non-normal distribu-
tions), one can rewrite Eq. (1b) as follows [26], and regard the com-
putation of b as that of finding the smallest equivalent
hyperellipsoid (centered at the equivalent normal mean-value
point lN and with equivalent normal standard deviations rN) that
is tangent to the LSS:
sffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
 T  ffi
xi  lNi 1 xi  li
N
b ¼ min R ð2Þ
ð1aÞ x2F N
ri riN
where lNi and rNi can be calculated by the Rackwitz–Fiessler [39]
transformation. Hence, for correlated nonnormals, the ellipsoid per-
spective still applies in the original coordinate system, except that
the nonnormal distributions are replaced by an equivalent normal
ellipsoid, centered not at the original mean values of the nonnormal
distributions, but at the equivalent normal mean lN.
Eq. (2) and the Rackwitz–Fiessler equations (for lNi and rNi )
were used in the spreadsheet-automated constrained optimization
FORM computational approach in Low and Tang [26]. An alterna-
tive to the 2004 FORM procedure is given in Low and Tang [30],
ð1bÞ which uses the following equation for the reliability index b:
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
b ¼ min nT R1 n ð3Þ
x2F
where n stands for the dimensionless vector ðxi  lNi Þ=rNi of Eq. (2).
For each value of ni tried by Excel Solver, a short and simple Excel
VBA code automates the computation of xi from ni for use in the
constraint g(x) = 0, via xi ¼ F 1 ½Uðni Þ, where U is the standard nor-
mal distribution and F is the original nonnormal distribution,
thereby obviating the need to compute lNi and rNi .
The computational approaches of Eqs. (1b), (2) and (3) and the
associated ellipsoidal perspective are complementary to the classi-
cal u-space computational approach, and may help reduce the con-
ceptual and language barriers of FORM. Note that the variables in
u-space are uncorrelated standard normals while the variables in
n-space are correlated standard normals as explained below. It is
also clear that Eq. (1) is a special case (normal distributions) of
Eq. (2).
The two spreadsheet-based computational approaches of
FORM, Eqs. (2) and (3), are compared in Fig. 2. Either method can
be used as an alternative to the classical u-space FORM procedure.
A third alternative (illustrated in [35] is also shown in Fig. 2, for
which the Microsoft Excel’s built-in constrained optimization rou-
tine (Solver) is invoked to vary the u vector automatically so that b
and the design point are obtained. This requires only adding one u
column to the 2007 procedure, and expressing the unrotated n
vector in terms of the u, where u is the uncorrelated standard
equivalent normal vector in the rotated space of the classical
mathematical approach of FORM. The vectors n and u can be
32 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
Fig. 2. Comparison of the two FORM computational approaches of Low and Tang [26,30], and the additional u-to-n-to-x approach. All three procedures are open-source and
use the optimization routine Solver resident in the Microsoft Excel spreadsheet.
obtained from one another, n = Lu and u = L1n, as follows (e.g.,
[33]):
pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
T
b ¼ min nT R1 n ¼ min nT ðLUÞ1 n ¼ min ðL1 nÞ ðL1 nÞ
x2F x2F x2F
pffiffiffiffiffiffiffiffiffi
i:e: b ¼ min uT u; where u ¼ L1 n; and n ¼ Lu
x2F
in which L is the lower Cholesky triangular matrix of R. When the
random variables are uncorrelated, u = n by Eq. (4), because then
L1 = L = I (the identity matrix).
The probability of failure can be estimated approximately as
follows:
Pf  1  UðbÞ ¼ UðbÞ
where U is the cumulative distribution (CDF) of the standard nor-
mal random variable, computed easily using the formula ‘‘ = Nor-
mSDist(b)’’ in Microsoft Excel.
Some files illustrating the [26,30] open-source approaches are
available at http://alum.mit.edu/www/bklow. Step-by-step guid-
ance which enables hands-on appreciations of the [26] spreadsheet
procedure is available in the Low [32] chapter, and will not be
repeated here. Instead, the following sections illustrate the Low
and Tang [30] spreadsheet procedure for FORM, and discuss
insights, advantages and subtleties associated with FORM reliabil-
ity-based design in various geotechnical engineering examples,
and the complementary role which FORM reliability-based design
can play to design based on Eurocode 7. (Although this study uses
the [30] procedure, the same results will be obtained if the [26]
procedure is used.)
3. Practical spreadsheet procedure illustrated for the reliability-
based design of a shallow foundation
Tomlinson [44] Example 2.2 determines the factor of safety
against bearing capacity failure of a retaining wall that carries a
horizontal load (Qh) of 300 kN/m applied at a point 2.5 m above
the base and a centrally applied vertical load (Qv) of 1100 kN/m,
as shown in Fig. 3. The base (5 m  25 m) of the retaining wall is
founded at a depth of 1.8 m in a silty sand with friction angle /
= 25°, cohesion c = 15 kN/m2, and unit weight c = 21 kN/m3.
With respect to bearing capacity failure, the performance func-
tion (PerFunc) is:
ð4aÞ PerFunc ¼ qu  q ð6aÞ
B0
ð4bÞ where qu ¼ cN c sc dc ic þ po Nq sq dq iq þ cNc sc dc ic ;
2
q ¼ Q v =B0 ð6b; cÞ
in which qu is the ultimate bearing capacity, q the applied bearing
pressure, c the cohesion of soil, po the effective overburden pressure
at foundation level, B0 the effective width of foundation (B0 = B  2e,
where e = load eccentricity), c the unit weight of soil below the base
ð5Þ of foundation, and Nc, Nq, and Nc are bearing capacity factors, which
are functions of the friction angle (/) of soil:
 
/
Nc ¼ ðNq  1Þ cotð/Þ; Nq ¼ ep tan / tan2 45 þ ;
2
 
Nc ¼ 2 Nq þ 1 tan / ð7a; b; cÞ
Several expressions for Nc exist. The above Nc is attributed to
Vesic in Bowles [3]. The nine factors sj, dj and ij in Eq. (6b) account
for the shape and depth effects of foundation and the inclination
effect of the applied load. The formulas for these factors are based
on Tables 4.5a and 4.5b of Bowles [3].
To illustrate reliability-based design, Tomlinson’s deterministic
example is extended probabilistically here (Fig. 3). The width B of
the foundation is to be determined based on a reliability index
b = 3.0 against bearing capacity failure. The parameters c, /, Qh,
and Qv are assumed to be lognormal random variables with mean
values equal to the values in Tomlinson’s deterministic example,
and with coefficient of variation equal to 0.20, 0.1, 0.15, 0.10,
respectively. The mean and standard deviation of these four vari-
ables are shown in Fig. 3. The random variables are partially corre-
lated, with correlation matrix as shown in the figure. The
foundation width required to achieve a reliability index b of 3.0
is B = 4.51 m, using the Low and Tang [30] FORM computational
approach on the Microsoft Excel spreadsheet platform. Although
closed-form bearing capacity equations are used in the example
of Fig. 3, in other cases/problems the practical FORM procedure
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
Fig. 3. Determining foundation width B, for a reliability index b of 3.0, using the Low and Tang [30] approach via Microsoft Excel Solver optimization tool.
below can be coupled with stand-alone implicit and/or iterative
analysis, e.g. FEM or FDM software, via the established response
surface method, artificial neural network method, or other similar
methods.
Key features of the spreadsheet FORM approach as illustrated in
Fig. 3 are:
(i) The boxed cells in rows 9 and 11–14 (except cells B14 and
D14) contain established equations related to bearing capac-
ity, including Eqs. (6b,c) and (7a,b,c).
(ii) Cell B14 contains Eq. (6a), and cell D14 contains the array
formula ‘‘ = SQRT(MMULT(TRANSPOSE(G3:G6), MMULT
(MINVERSE(matrix R),G3:G6)))’’, which computes reliability
index b by Eq. (3) via a constrained optimization program
Solver which is part of Microsoft Excel.
(iii) The initial values for the column labeled n were zeros. Input
initial trial value in cell B9 (for foundation width B) such that
the Performance Function g(x) in cell B14 displays a positive
computed value when cells G3:G6 are zeros initially. For the
33
case in hand, g(x) displays ‘‘21.84’’ if trial B = 3, and ‘‘315.89’’
if trial B = 4, and either B value can be used. (The need to
start the search from initial values which result in positive
g(x) value is to ensure that the point from which search
starts is in the safe domain. This is further illustrated in Sec-
tion 8 in connection with reliability-based design of an
anchored sheet pile wall.)
(iv) Microsoft Excel Solver is invoked, to Minimize (automati-
cally) cell D14, By Changing (automatically) cells G3:G6, Sub-
ject to the Constraints cell B14 = 0. If cell B9 for foundation
width is 3 m, a reliability index b (cell D14) of 0.11 will be
obtained by Solver. This falls short of the required b of 3.0.
The cell B9 value is increased from 3 m and Solver is invoked
again. After a few trials a foundation width of 4.51 m is
found to yield a reliability index b of 3.0, as shown in Fig. 3.
As mentioned in the Solver Parameters window (the screen-cap-
ture shown in the lower part of Fig. 3), the Solver’s default solving
method is the Generalized Reduced Gradient (GRG) Nonlinear
34 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
engine for Solver Problems that are smooth nonlinear. In the 2010
version of Microsoft Office, the ‘‘Evolutionary engine’’ can also be
selected for Solver problems that are non-smooth. Also, although
only 4 changing variables (cells G3:G6) and 1 constraint (that cell
B14 = 0) are specified for the problem in hand, in principle up to
200 variable cells and numerous constraints of different forms
can be specified.
If the need arises for verifying whether the real minimum has
been obtained according to Eq. (3) (and hence Eq. (2) or (1)), one
can re-invoke Solver after initializing the column labeled n (cells
G3:G6) to some randomized values, and check whether the same
solution is obtained. For the case in hand, 10 Solver searches (step
(iv) above) each with randomized initial n values between 1 and
+1 yielded identical solutions. (Randomized initial n values are
input readily using Microsoft Excel’s random number generation
tool, for example by specifying random n values between 1 and
+1based on uniform distribution.)
The probability of failure (PerFunc < 0, or qu < q, Eq. (6)) inferred
from the reliability index b = 3.0 using Eq. (5) is 0.135%. This com-
pares very well with the results of six Monte Carlo simulations
each with 800,000 iterations from Latin Hypercube sampling using
the commercial software @RISK (http://www.palisade.com), which
yielded six failure probabilities of 0.117%, 0.125%, 0.134%, 0.126%,
0.121% and 0.123%. The mean of the six Monte-Carlo estimated Pf
is 0.124%. In Monte Carlo simulations, the 95% confidence interval
for the probability of unsatisfactory performance can be estimated
from the following equation [41]:
sffiffiffiffiffiffiffiffiffiffiffiffiffiffi
1  Pf
%error ¼ 200
nPf
where n is the total number of simulation trials. The range of scatter
of estimated Pf in the six Monte Carlo simulations (between 0.117%
and 0.134%) is consistent with Eq. (8) which indicates a %error of
6.4%, based on Pf  0.12% and n = 800,000. Hence, the 95% confi-
dence interval for the probability of unsatisfactory performance Pf
is, approximately, (10.064)  .124% 6 Pf 6 (1+0.064)  .124%, or
0.116% 6 Pf 6 0.132%. The preceding numerical discussions were
meant to emphasize that Monte Carlo simulations, even with itera-
tions close to 1 million, does not produce precise estimate of failure
probability when the failure probability is of the order of 0.1%
which is implied by a design based on a reliability index b of 3.0.
More refined sampling (e.g., the importance sampling method with
sampling near the FORM design point) can narrow (but not elimi-
nate) the scatter of estimated failure probabilities from multiple
sessions of simulations.
If desired, the original correlation matrix can be modified in line
with the equivalent normal transformation, as suggested in Der
Kiureghian and Liu [13]. For the cases illustrated herein, the corre-
lation matrix thus modified differs only very slightly from the ori-
ginal correlation matrix. Hence, for simplicity, the examples of this
study retain the original unmodified correlation matrices. Alterna-
tively, instead of matching the Pearson correlation coefficient
which forms the basis of Der Kiureghian and Liu [13], one can
adopt the approach of matching the Spearman rank correlation.
It is not necessary to modify the correlation matrix for non-normal
random variables in this case. Details are given by Li et al. [21].
The similarities and differences between this reliability-based
design and design based on EC7 are discussed next.
4. Reliability-based design (RBD) compared with Eurocode 7
(EC7), and complementary roles of RBD to EC7 design
In geotechnical design based on EC7, the characteristic values of
resistance parameters are divided by partial factors to obtain the
design values, while the characteristic values of action (load)
parameters are multiplied by partial factors to obtain the design
values. The resistance thus diminished is required to be greater
or equal to the amplified actions (loadings) as shown in Fig. 4,
which also summarizes the three design approaches DA1, DA2
and DA3. The DA2 is akin in principle to the load and resistance
factor design (LRFD) of North America. With respect to characteris-
tic value, Clause 2.4.5.2(2)P [16] defines it as being ‘selected as a
cautious estimate of the value affecting the occurrence of the limit
state’, and Clause 2.4.5.2(10) of EC7 states that statistical methods
may be used when selecting characteristic values of geotechnical
parameters, but they are not mandatory.
One may note the following similarities and differences
between a reliability-based design and that based on EC7, in the
context of the reliability-based design of Fig. 3:
(a) The x⁄ column denotes the point where the 4-dimensional
equivalent dispersion ellipsoid touches the limit state sur-
face. It is the most probable failure combination of the
parameters.
(b) The mean value, standard deviation and design point value
of a parameter can be related to the characteristic value
and partial factor of the same parameter in the EC7 design
approach. For example, for the given mean and standard
deviation of the angle of friction /, the characteristic value
/ (assuming at 10 percentile of the lognormal distribution)
is 21.9°. The partial factor of / (denoted by the symbol c/)
implied in the design point (the x⁄ values) is
c/ = /k//⁄ = 21.9°/20.77° = 1.054. (Note that in EC7 the par-
tial factor c/ is applied to tan /k, not to /k. If the mean and
ð8Þ
standard deviation are given for tan / instead of /, the char-
acteristic value tan /k and its corresponding partial factor
can be back-calculated from the FORM results by the same
principle. Partial factors thus back-calculated depend on
assumed characteristic values.)
(c) On the other hand, for the horizontal load parameter Qh,
with mean 300 kN/m and standard deviation 45 kN/m, the
characteristic value Qhk (assuming at 90 percentile of the
lognormal distribution) is 359 kN/m. The partial factor of
Qh (denoted by the symbol cQh) implied in the design point
(the x⁄ values) is cQh = Qh⁄/Qhk = 412.6/359 = 1.15.
(d) For lower mean value and standard deviation of Qh, or for
different applications (e.g., slope stability or earth retaining
walls), the back-calculated partial factors could be different.
To apply the same specified partial factors of EC7 across dif-
ferent applications or different levels of parametric uncer-
tainty may not imply the same target failure probability. In
contrast, in a reliability-based design, the same target reli-
ability index (with its implied probability of failure) can be
used across different applications and different levels of
parametric uncertainty and correlations, and including
asymmetric probability distribution if appropriate. Also, if
higher reliability is required where the consequence of fail-
ure is more significant, a safer design can be obtained by
raising the target reliability index. Such flexibility and auto-
matic incorporation of parametric sensitivities and correla-
tions into the design process are not found in a Eurocode
design based on code-recommended partial factors.
(e) Table B2 in EN1990:2002 recommends the minimum reli-
ability index for three reliability classes (RCs) for the ulti-
mate limit state. For RC1, RC2, and RC3, the minimum
reliability indices for a 50 year reference period are 3.3,
3.8, and 4.3, respectively. Eurocode 7 describes the concept
of ‘‘Geotechnical Category’’ in Section 2.1 ‘‘Design’’ require-
ments, but there is no statement linking a geotechnical cat-
egory to a reliability class despite an implied intent relating
to reliability differentiation and no guideline on how to
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44 35

General concepts of ultimate limit state design in Eurocode 7:

(if “=“, then “design point”)

Diminished resistance (ck / γc, tanφk / γφ) > Amplified loadings

Characteristic values Based on characteristic values and

partial factors for loading
Partial factors parameters.

“Conservative”, for example, 10 percentile for strength parameters, 90

percentile for loading parameters

The three sets of partial factors (on resistance, actions, and material properties) are
not necessarily all applied at the same time.
In EC7, there are three possible design approaches:
● Design Approach 1 (DA1): (a) factoring actions only; (b) factoring materials only.
● Design Approach 2 (DA2): factoring actions and resistances (but not materials).
● Design Approach 3 (DA3): factoring structural actions only (geotechnical actions
from the soil are unfactored) and materials.

Fig. 4. Characteristic values, partial factors, design point, and design approaches (DA) in Eurocode 7.

modify partial factors or characteristic values to suit differ-
ent geotechnical categories. Based on Section B3.3 and
Table B3 in EN1990:2002, it would appear that partial fac-
tors in all Eurocodes are meant for conventional RC2 and
reliability differentiation is achieved by reducing load fac-
tors by 10% for RC1 and increasing load factors by 10% for
RC3. Partial factors associated with resistance are left
unchanged. Given that Eurocode 7 is intended to be used
in conjunction with EN1990:2002 as stated in Section 1.1.1
‘‘Scope of EN1997’’, one may infer that the same design
approach is applicable when a geotechnical category 1 or 3
situation is encountered. Reliability-based design can easily
accommodate different target reliability indices such as
those recommended in Table B2 of EN1900:2002 and it
can thus play a useful role in validating the 10% load factor
guideline for non-conventional design scenarios that cannot
be classified within geotechnical category 2.
(f) Note that the back-calculated partial factors are corollary
by-products of a reliability-based design, which requires sta-
tistical inputs (mean values, standard deviations, parametric
correlations, probability distributions) but not partial factors
or characteristic values. The design point is obtained as the
most probable failure combinations of parametric values,
and the reliability index b, being the distance (in units of
directional standard deviations) from the safe mean-value
point to the nearest failure boundary (the limit state surface,
Fig. 1), conveys information on the probability of failure. In
Eurocode design or LRFD, there is no explicit information
on the probability of failure.
(g) It is clear from the above discussions that in a reliability-
based design one does not use or specify the partial factors.
The design point values x⁄ (and implied characteristic values
and partial factors) are determined automatically and reflect
sensitivities, standard deviations, correlation structure, and
probability distributions in a way that prescribed partial fac-
tors and ‘‘conservative’’ characteristic values cannot.
(h) In Fig. 3, by comparing the n values in cells G3:G6, it is evi-
dent that bearing capacity is more sensitive to Qh than to Qv,
for the case in hand with its statistical inputs.
(i) The x⁄ value for c is slightly higher than the original mean
value of c, due to the negative correlation between c and /
. In this case, the response is far more sensitive to / than
to c. Negatively correlated c and / means low values of /
tend to occur with high values of c, and vice versa. Under
such circumstances, a reliability-based design will automat-
ically reflect sensitivities in obtaining design point values of
c and / which can be both lower than their respective mean
values (as in the reinforced rock slope of the next section), or
one above average and the other below average as in this
case. For the case in hand, to have both design values of c
and / below their mean values using partial factors is unre-
alistic. This lack of realism arises because negative correla-
tion between c and / cannot be considered in EC7 and it is
difficult for engineers to decide how to factor up c and factor
down / in a coordinated manner consistent with their neg-
ative correlation relationship by pure intuition or judgment.
In the presence of a correlation matrix reflecting all possible
correlations between multiple parameters, it will be impos-
sible to factor up/down correctly without reliability analysis.
The above discussions suggest that reliability-based design can
provide additional insights to EC7 design or LRFD design when the
statistical information (mean values, standard deviations, correla-
tions, probability distributions) of the key parameters affecting
design are known and one or more of the following circumstances
apply:
 When partial factors have yet to be proposed by Eurocode 7 to
cover uncertainties of less common parameters, for example,
in situ stress coefficient K in underground excavations in rocks,
dip direction and dip angles of rock discontinuity planes, and
the smear effect of vertical drains installed in soft clay.
 When output has different sensitivity to an input parameter
depending on the engineering problems (e.g. shear strength
parameters in bearing capacity, retaining walls, slope stability).
 When input parameters are by their physical nature either pos-
itively or negatively correlated. One may note that EC7 does not
mention use of different characteristic values and partial factors
36 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
when some parameters are correlated. The same design is
obtained in EC7 with or without modeling of correlations
among parameters.
 When spatially autocorrelated soil properties need to be mod-
eled. This will be illustrated in Section 6 on a Norwegian slope
with spatially autocorrelated soil unit weight and undrained
shear strength, and in Section 7 on a laterally loaded pile.
 When there is a target reliability index or probability of failure
for the design in hand. The target reliability index or probability
of failure can be set explicitly higher or lower in RBD depending
on the importance of the structure or consequence of failure. In
this regard, one may note that a design by EC7 or LRFD provides
no explicit information on the reliability level or probability of
failure, nor explicit guidance on how characteristic values or
partial factors are to be modified when more stringent safety
requirements are needed.
 When uncertainty in unit weight c of soil needs to be modeled.
This will be illustrated in Section 6 on a Norwegian clay slope,
and in Section 8 on the reliability-based design of an anchored
sheet pile wall.
The following sections illustrate geotechnical reliability-based
design and analysis, focusing on subtleties and insights, and dis-
cussions in the context of the EC7 design approach. The cases
involve the ultimate limit states of a reinforced rock slope, a soil
slope with spatial variability, an anchored sheet pile wall, and
the serviceability limit state of a laterally loaded pile. The comple-
mentary roles that RBD can play toward EC7 design and RBD’s
potential to enhance EC7 design will be emphasized.
The Low and Tang [30] spreadsheet-based x-via-n FORM proce-
dure will be used throughout. The other two methods outlined in
Fig. 2, namely the [26] FORM method (directly varying x) and the
x-via-n-via-u FORM method (a slight variation of the [30] method),
will obtain the same reliability index and design point for all the
examples in this study.
5. Reliability-based design of a reinforced rock slope
Hoek [20] presents a limit equilibrium formulation for a 2-
dimensional rock slope in Hong Kong, leading to the factor of safety
Fs against sliding along a joint plane. The limit equilibrium formu-
lation of Hoek [20] was used in a probabilistic rock slope analysis
in Low [29], in which the reliability index b was computed using
the Low and Tang [26] FORM procedure (Fig. 2, top left), and the
effects of statistical correlations on the computed reliability index
were also investigated. This Hong Kong slope is further investi-
gated in this section with respect to reliability-based design using
the Low and Tang [30] FORM procedure (Fig. 2, top right). It will be
shown that a more precise estimate of failure probability is achiev-
able by performing second-order reliability method (SORM) based
on the design point and reliability index obtained in FORM. A prag-
matic stand on the sufficiency of FORM for reliability-based design
will be proposed.
Fig. 5 shows the FORM reliability-based design of the 2-dimen-
sional rock slope with five correlated random variables, two of
which obey the highly asymmetric truncated exponentials. The
five random variables are: the shear strength parameters c and /
of the failure surface (the joint plane with inclination angle wp),
tension crack depth z, height of water zw in the tension crack,
and the coefficient of horizontal earthquake acceleration a.
The negative correlation coefficient of 0.5 between c and /
shown in the top left of the correlation matrix R in Fig. 5 means
that low values of cohesion c tend to occur with high values of fric-
tion angle /, and vice versa. In addition, one may logically infer
that the tension crack depth z and the extent to which it is filled
with water (as characterized by the ratio zw/z) are also negatively
correlated. This means that shallower crack depths tend to be
water-filled more readily (i.e., zw/z ratio will be higher) than deeper
crack depths, consistent with the scenario suggested in Hoek [20]
that the water which would fill the tension crack in this Hong Kong
slope would come from direct surface run-off during heavy rains.
(On the other hand, positive correlation between z and zw/z may
be justified if the water depth zw in Fig. 5 is governed by a prevail-
ing water table.) For illustrative purposes, a negative correlation
coefficient of 0.5 is assumed between z and zw/z, as shown in
entries R43 and R34, where Rij denotes entry in row i and column j
of the correlation matrix R in Fig. 5. Even though there are no data
to quantify this correlation between z and zw/z, it is still useful to
explore possible correlations to get a feel for its influence on the
reliability index. This is a sensible approach commonly applied in
engineering practice for important but not well characterized
parameters.
Fig. 5 shows that a reinforcing force T of 257 tons (per m length
of slope) inclined at h = 55° (measured from the perpendicular to
the sliding surface) is needed to achieve a target reliability index
of 3.0. The most sensitive parameters for the case in hand are the
ratio zw/z and the coefficient of horizontal earthquake acceleration
a. Note that the design point values of resistant parameters c and /,
at 8.11 t/m2 and 29.65° respectively, are lower than their mean val-
ues of 10 t/m2 and 35° respectively. This is in contrast to the case of
a shallow footing subjected to an inclined load (Fig. 3), where the
design point of c, at 15.2 kPa, is slightly above its mean value of
15 kPa, while the design point value of /, at 20.77°, is below its
mean value of 25°. The contrasting locations of the design points
are explained next.
For the reinforced rock slope of Fig. 5, the design point is where
the expanding ellipsoid (or equivalent dispersion ellipsoid when
nonnormal distributions are involved) is tangent to the limit state
surface at a point where c < lc and / < l/, as shown in Fig. 1 for a
case with two random variables (c and /) only. Had the expanding
ellipsoid in Fig. 1 touched the limit sate surface at the upper left
portion (possible if the limit state surface has a steeper negative
gradient which implies greater sensitivity to the angle of friction
/ than to the cohesion c), the design point value of c would be
higher than its mean (lc) while that of / would be lower than its
mean (l/), as is the case in the shallow footing subjected to
inclined load (Fig. 3), and vice versa if the tangency point is at
the lower right part of the limit state surface (possible if the limit
state surface has a very gentle negative gradient which implies
greater sensitivity to the cohesion c than to the friction angle /).
One may also appreciate that positively correlated resistance
parameters (implying that low resistances tend to occur together)
will have lower reliability index than uncorrelated resistance
parameters, as shown in Figs. 2 and 4 of Low [27]. A reliability-
based approach like the one presented here is able to locate the
design point case by case and in the process reflect parametric sen-
sitivities (related to the limit state surface and hence application
specific) and correlation structure in a way that design based on
prescribed partial factors cannot.
In the retaining wall foundation problem of Fig. 3, the bearing
capacity factors Nc, Nq and Nc are functions (Eq. (7)) of the angle
of friction /. In addition, the three load inclination coefficients iq,
ic and ic in Fig. 3 are (as formulated according to [3]) also functions
of the angle of friction /. Hence the bearing capacity under the
given inclined loading is much more sensitive to / than to c, for
the parametric uncertainties and correlations shown. In contrast,
the rock slope stability of Fig. 5 is about equally sensitive to both
the cohesion c and the friction angle / of the rock joint, as judged
from their respective n values of 0.947 and 1.069.
For the rock slope of Fig. 5, when there is no reinforcing force,
i.e., T = 0, the reliability index obtained by Excel Solver is
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44 37

Units: meter, tonne,

tonne/m2, tonne/m3.
Tension
crack

FORM FORM Monte Carlo

αW followed by simulations,
V Z SORM, sample size
W Zw
Sample size = 8 800,000
H θ U for estimating
Assumed curvature
water
Failure
ψf Tpressure probability
0.13% 0.060% 0.062%
ψp Failure surface

x* Para1 Para2 Para3 Para4 n Correlation matrix R u

Normal c 8.106 10 2 -0.947 1 -0.5 0 0 0 -0.947
Normal φ 29.653 35 5 -1.069 -0.5 1 0 0 0 -1.782
Normal z 13.831 14 3 -0.056 0 0 1 -0.5 0 -0.056
Tr_Exp zw /z 0.801 0.5 0 1 1.428 0 0 -0.5 1 0 1.616
Tr_Exp α 0.133 0.08 0 0.16 1.527 0 0 0 0 1 1.527

H ψf ψp γ γw T θ g(x) β Pf(FORM)
60 50 35.0 2.6 1 257 55 0.000 3.00 0.0013

Fig. 5. A horizontal reinforcing force of 257 tons/m is required to provide the rock slope with a reliability index b of 3.0. The solution values in the column labeled n were
obtained automatically using Excel Solver.

b = 1.887, implying a probability of failure of 2.96% by Eq. (5),
which is unacceptably high. A few trials of the value of T, each
invoking Excel Solver to minimize the b cell by automatically
changing the n vector (initially zeros) subject to the constraint that
the g(x) cell be equal to 0 (similar to step (iv) in Section 3), lead to
the solution as shown, namely a horizontal (for which h = 55°) T
force of 257 tons/m is required to achieve a reliability index b of
3.0, corresponding to a failure probability of about 0.13% by Eq. (5).
Eq. (5) is exact when the LSS is planar and the parameters fol-
low normal distributions. Inaccuracies in Pf estimation may arise
when the LSS is curved and/or nonnormal distributions are mod-
eled. More refined alternatives are available, for example the
established second-order reliability method (SORM). SORM analy-
sis requires the FORM b value and design point values as inputs,
and therefore is an extension dependent on FORM results. In gen-
eral, the SORM attempts to assess the curvatures of the LSS near
the FORM design point in the dimensionless and rotated u-space.
The failure probability is calculated from the FORM reliability
index b and estimated principal curvatures of the LSS using estab-
lished SORM equations of the following form:
Pf ðSORMÞ ¼ f ðbFORM ; Curvatures at the FORM design pointÞ
These SORM formulas have been used by Chan and Low [4], who
presented a practical and efficient spreadsheet automated
approach of implementing SORM using an approximating parabo-
loid [14] fitted to the LSS in the neighborhood of the FORM design
point. Complex mathematical operations associated with Cholesky
factorization, Gram-Schmidt orthogonalization and inverse trans-
formation are relegated to relatively simple short function codes
in the Microsoft Excel spreadsheet platform.
The Pf(SORM) value of 0.06% shown in the table at the top right
of Fig. 5 was obtained using the Chan and Low [4] Excel spread-
sheet SORM approach. The 8 sample points for estimating the 4
components of curvature at the design point in the 5-dimensional
random variable u-space are based on sampling grid coefficient
k = 1 if b 6 3, and k = 3/b if b > 3. The accuracy of this FORM-
then-SORM Pf estimation is confirmed by six Monte Carlo simula-
tions each with 800,000 Latin Hypercube sampling, yielding
0.063%, 0.062%, 0.068%, 0.059%, 0.061% and 0.061%, or an average
failure probability of 0.062%, practically the same as the Pf(SORM)
value of 0.06%. The number of sampling points (eight) for estimat-
ing curvature at the FORM design point is five orders of magnitude
smaller than the 800,000 in a Monte Carlo simulation.
The above RBD of a reinforced rock slope and the RBD of a
retaining wall foundation (Section 3) illustrate the complementary
roles of RBD as described in bullet points 1, 2, 3 and 5 at the end of
Section 4, namely that RBD can be used when there are no EC7 rec-
ommended partial factors yet (e.g., the parameter zw/z in Fig. 5),
when the engineering problems (Figs. 3 and 5) show different sen-
sitivities to the same parameters c and / which cannot be reflected
by fixed partial factors, when the parameters are statistically cor-
related based on physical considerations (e.g. between c and /,
and between z and zw/z in Fig. 5), and when there is a target reli-
ability index and associated failure probability which can be higher
ð9Þ
or lower depending on the consequence of non-performance. More
illustrations of how RBD complements EC7 will be provided in the
sections to follow. But first some pragmatic discussions on FORM
and SORM are necessary and are done in the next paragraph.
Engineers can adopt one of the following positions in perform-
ing reliability-based design:
Pragmatic Approach A, using FORM only: Conduct RBD based
on FORM, for a target reliability index of 3.0 (or higher depending
on importance of structure and consequence of failure). An approx-
imate failure probability Pf can be estimated from Eq. (5), with the
pragmatic stand that although the correct Pf can differ from the
approximate Pf, both are sufficiently small (e.g., confident to a high
38 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
degree that Pf < 0.5% when b = 3.0, and Pf < 0.1% when b = 3.5). This
is in line with the spirit of EC7 design approach which aims at
achieving a sufficiently safe design, not at a specific value of low Pf.
Rigorous Approach B, using FORM and SORM: Conduct RBD
based on FORM for a target reliability index value (e.g. 3 or 3.5),
followed by SORM for a more accurate estimate of failure probabil-
ity Pf. If desired, adjust the design based on SORM Pf so as to
achieve the desired target Pf, as explained later.
The authors recommend the Pragmatic Approach A to practitio-
ners new to RBD via FORM. The FORM-followed-by-SORM RBD Rig-
orous Approach B can be adopted, if desired, when there is sufficient
familiarity with the approach in the target-b-via-FORM of Prag-
matic Approach A. Both the Pragmatic Approach A and the Rigorous
Approach B do not involve Monte Carlo simulations, and for prob-
lems without closed-form solutions, established methods like the
response surface method or neural network approach can be used
to bridge the spreadsheet FORM approach with stand-alone FEM or
FDM programs.
If the Rigorous Approach B is desired, a practical approach for
revising the design is as follows. In the light of the comparison of
FORM Pf of 0.13% vs. actual Pf of 0.060% in Fig. 5, suppose a proba-
bility of failure of 0.1% is the target Pf for the case in hand, one may
do a FORM design of the reinforcing force T for a reliability index
corresponding to a probability of failure (by Eq. (5)) of (0.13%/
0.060%) ⁄ 0.1% = 0.22%, i.e. b ¼ U1 ð1  0:0022Þ ¼ Excel function
NormSInv(0.9978) = 2.85. For the case in Fig. 5, the required T force
is then found (via Excel Solver runs) to be 224 tons/m for a target
b = 2.85. This downward revision of T force from the original
257 tons/m takes about a minute. To verify, with input T = 224,
four Monte Carlo simulations each of 800,000 random sets yielded
probabilities of failure of 0.114%, 0.100%, 0.112% and 0.101%
respectively; the average is practically the target Pf of 0.1%.
The above reliability-based design procedure (no Monte Carlo
simulations needed) may be summarized as follows [34]:
(i) Conduct reliability-based design based on initial target reli-
ability index bi of 3.0 or 3.5. The implied FORM Pf is U(bi),
equal to 0.13% and 0.023%, respectively.
(ii) For the design solution of (i), obtain more accurate Pf using
SORM on the foundation of FORM design point and b. This
Pf is denoted as Pf,SORM.
(iii) Decide on a target Pf (<1%), and repeat the reliability-based
design based on an updated target reliability index (brev) as
follows:
 
Uðbi Þ
brev ¼ U1 1   target Pf ð10Þ
P f ;SORM
The final design solution is obtained via repeated FORM analy-
ses using different designs (e.g. foundation width B) until the reli-
ability index is equal to brev. Linear interpolation between two
designs and their respective reliability indices can also be done.
The final design based on brev will have failure probability close
to the target Pf.
If the design is to be obtained by direct trial and error of differ-
ent designs each checked against Monte Carlo simulations (with or
without importance sampling), the computation time will be very
much longer than the FORM-and-SORM approach involving Eq.
(10).
6. Reliability analysis of a Norwegian slope accounting for
spatial autocorrelation
Spatial autocorrelation (also termed spatial variability) arises in
geological material by virtue of its formation by natural processes
acting over geologic time (order of millions of years). This endows
geomaterial with some unique statistical features (e.g. spatial
autocorrelation) not commonly found in structural material manu-
factured under strict quality control. For example, by the nature of
the slow precipitation (over many seasons) of fine-grained soil par-
ticles in water in nearly horizontal layers, two points in close hor-
izontal or vertical proximity to one another are likely to be more
positively correlated (likely to have similar undrained shear
strength cu values, for example) than two points further apart in
the vertical direction. This is manifested in some clays such as var-
ved clays.
A clay slope in southern Norway was analyzed deterministically
and probabilistically by Low et al. [31] using the Low [25] spread-
sheet-based reformulations of Spencer method and the intuitive
first-order reliability method of Low and Tang [26]. The reformula-
tion allows switching among the Spencer, Bishop simplified and
wedge methods on the same template, by specifying different
side-force inclination options and different constraints of optimi-
zation. Search for the critical circular or noncircular slip surface
is possible. The deterministic procedure was extended probabilisti-
cally by implementing the first-order reliability method via con-
strained optimization of the equivalent dispersion ellipsoid in the
original space of the random variables. The procedure was illus-
trated for an embankment on soft ground, and for a clay slope in
southern Norway, both involving spatially correlated soil proper-
ties. The effects of autocorrelation distance on the results of reli-
ability analysis were studied. Shear strength anisotropy was
modeled via user-created simple function codes in the program-
ming environment of the spreadsheet.
Fig. 6 shows the results of reliability analysis involving 24 spa-
tially correlated cu values and 24 spatially correlated unit weight
values. The lognormal distribution is assumed for random vari-
ables. The cu values and the unit weight c values of the 24 slices
form two horizontally auto-correlated series based on the estab-
lished exponential autocorrelation function:
jxmid;i xmid;j j
qij ¼ e d ð11Þ
where xmid,i and xmid,j are the x-coordinates of the mid-points of the
base of slice i and slice j respectively.
The size of the correlation matrix is 48  48. The design point
obtained by Excel Solver represents the most probable combina-
tion of the 24 values of cu and the 24 values of c which would cause
failure. As expected for resistance parameters, the 24 values of
undrained shear strength cu at the design point are all lower than
their respective mean values. On the other hand, when the auto-
correlation distance d is 10 m or lower, as shown in Fig. 6, the
design point index of c—defined as (ci⁄  lc)/rc where ci⁄ is the
design point value of unit weight c for i from 1 to 24—shows most
values of unit weight c⁄ above their mean value lc, as expected for
20
Elevation (m)
10
− 0.6 m
0
70 90 110 130 150 170 190
-10
-20
1.5
1
δ = 1000
Design Point
0.5
Index of γ
100
0 50
-0.5 70
10 110 150 190
5
-1 2
-1.5 x-Coordinates (m)
1
-2
Fig. 6. Design point index of clay unit weight as a function of horizontal
autocorrelation distance d in meter. [31].
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
loading parameters, but, interestingly, there are some design-point
values of c near the toe which are below their mean values. The
implication is that the slope is less safe when the unit weights near
the toes are lower. This implication can be verified by deterministic
runs using higher c values near the toe, with resulting higher fac-
tors of safety. It would be difficult for Eurocode 7 to recommend
partial factors such that the design values of c are above the mean
along some portions of the slip surface and below their mean along
other portions. In contrast, the design point is located automati-
cally in FORM analysis by the spreadsheet’s built-in constrained
optimization program, and reflects sensitivity and the underlying
statistical assumptions from case to case in a way specified partial
factors cannot.
At higher values of autocorrelation distance d in Eq. (11), the
correlation coefficients approach 1.0; the design point indices of
c of the 24 slices approach a common value, as shown by the nearly
horizontal line in Fig. 6 for d = 1000 m. The design point indices of
cu—defined as (cui⁄  lcui)/rcui—of the 24 slices also approach a uni-
form common value when d = 1000 m; however, the individual
design-point values of cu differ from slice to slice because the
mean, lcui, and standard deviation, rcui, vary from slice to slice.
The implications of not considering seabed erosion versus treat-
ing seabed as random (to account for uncertain depth of erosion)
were discussed by Low et al. [31].
The results of reliability analysis are only as good as the statis-
tical inputs and reliability method used (e.g., FORM or SORM), in
the same way that the results of deterministic analysis are only
as good as the deterministic inputs and method used (e.g. Spencer
method or other methods). A reliability analysis requires addi-
tional statistical input information, which is not required in a
deterministic factor-of-safety approach but results in richer infor-
mation pertaining to the performance function and the design
point that is missed in a deterministic analysis.
The FORM reliability approach reflects the underlying analytical
formulations and statistical assumptions and is able to locate the
most probable combination of parametric values which would
cause failure and the corresponding reliability index, without rely-
ing on rigid partial factors.
It may be noted that all partial factor approaches including
Eurocode 7 cannot address a system reliability problem effectively.
Slopes with multiple soil layers may involve multiple failure
modes and they are fundamentally system reliability problems.
Details are reported by Ching et al. [6], Ching et al. [7]. System reli-
ability analysis via FORM for a multi-layer slope with multiple fail-
ure modes is presented by Low et al. [33].
Spatial variability of soil properties is considered also in the
next RBD example, but logically in the vertical direction of a later-
ally loaded vertical pile (Eq. (12) in the next section) instead of the
horizontal spatial variability modeled by Eq. (11). It will be shown
that the sensitivity of the pile head lateral deflection to the spa-
tially autocorrelated undrained shear strength cu values depends
on the protruding length of the pile above the seabed. RBD auto-
matically reflects such different cu sensitivities from case to case
with different protruding pile lengths above seabed, and thus can
play a very useful complementary role to the Eurocode 7, which
has no provision yet for spatially autocorrelated soil properties or
for different partial factors on cu depending on the protruding pile
lengths above seabed.
7. Multi-criteria reliability-based design of a laterally loaded
pile in clay with spatially autocorrelated shear strength
Low et al. [24] studied the deflection and bending moment of
laterally loaded single piles in which soil-pile interaction was
based on the nonlinear and strain-softening Matlock [37] p–y
39
curves, Fig. 7. The soil–pile interaction problem was solved using
a rigorous numerical procedure based on constrained optimization
in the spreadsheet platform. The numerical procedure was then
extended to reliability analysis in which the Hasofer–Lind index
was computed. The soil resistance was modeled stochastically to
reflect spatial variation. Multicriteria reliability-based design was
also illustrated. The work was further extended in Chan and Low
[5] to a probabilistic analysis of laterally loaded piles using
response surface and neural network approaches. A case of deter-
ministic analysis followed by multi-criteria reliability-based
design from Low et al. [24] is presented in this section, with new
discussions on how RBD complements EC7 design.
The deterministic problem shown in the top right of Fig. 7a is
described in Tomlinson [43], which used manual computation to
compute approximate pile head deflection whereas the solution
in Fig. 7a is obtained using the rigorous numerical procedure
described in Low et al. [24] and Chan and Low [5]. The steel tubular
pile in Fig. 7a has an outside diameter d of 1.3 m and a wall thick-
ness of 0.03 m and is part of a pile group in a breasting dolphin. The
flexural rigidity EpIp of the pile is 4,829,082 kNm2. The pile is
embedded 23 m in the stiff overconsolidated clay with average
undrained shear strength cu = 150 kN/m2 near sea bed, and pro-
trudes 26 m above the sea bed. For the case where a cyclic force
of 421 kN is applied at 26 m above the seabed, only the embedded
portion of the pile requires soil-structure interaction analysis. The
deflection of the pile head at 26 m above the seabed can be inferred
from statics once the deflection and rotation of the pile at seabed
level are known. The Matlock p–y curves for clays, as shown in
Fig. 7b, have been used. The p–y curves are nonlinear, exhibit
strain-softening, and vary with depth. The calculated pile deflec-
tion (yi) at seabed level (where z = 0) is 0.0602 m. The pile head
deflection (at 26 m above the seabed) is, by integrating the
moment-curvature equation, 0.994 m or about 1 m.
For reliability analysis, the 23 m embedded length of the pile
was discretized into 30 segments of progressively greater length.
The random variables were the lateral load PH at pile head and
the undrained shear strength cu at 31 nodal points along the
embedded pile length below the seabed. The PH was assumed to
be normally distributed, with mean value 421 kN and a coefficient
of variation of 25%. Since the mean undrained shear strength cu
typically exhibits an increasing trend with depth, it was assumed
that the mean trend is lcu = 150 + 2z, kPa. The standard deviations
of the 31 cu random variables were equal to 30% of their respective
mean values. The following established negative exponential
model was adopted to model the vertical spatial variation of the
cu values:
qij ¼ e
jDepthðiÞDepthðjÞj
d ð12Þ
The b index obtained was 1.514 with respect to yielding at the
outer edge of the annular steel cross section.
At the most probable failure point (where the hyperellipsoid
touches the limit state surface) the value of the lateral load at pile
head is PH = 580.3 kN, i.e., at 1.513 rPH from the mean value of PH,
while the 31 autocorrelated cu values deviates only very slightly
from their mean values. This is not surprising given the e = 26 m
cantilever length above the seabed; in fact the maximum bending
moment occurs at a depth of only 1.36 m below the seabed, or
27.36 m from the pile head. Hence, for the case in hand, pile yield-
ing caused by bending moment is sensitive to the applied load at
pile head, and not sensitive to the uncertainty of the shear strength
below seabed. However, separate reliability analysis for cases
where the lateral load acts on pile head near ground surface (with
zero cantilever length) indicates that the response is sensitive to
both the lateral load at pile head and the soil shearing resistance
within the first few meters of the ground surface. The different
40 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44

Deflection y (m) Moment M (kNm) Soil reaction (kN/m) PH = 421 kN

-20000 0 20000
y=1m
-0.05 0.00 0.05 0.10 -500 0 500
0 0 0
seabed seabed
e = 26 m
5 5 5
water

10 10 10 y = 60 mm
z=0
seabed
15 15 15

20 20 20 Stiff clay steel pipe pile,

cu = 150 kPa d=1.3m
25 25 25
z = 23 m
(a)

1500
z = 22 m
γ' = 11.8 kN/m3
1000 c u= 150 kN/m 2
J = 0.25 12 m
B = 1.3 m
500 ε = 0.01
1.5
p (kN/m)

z=0m
External diameter (m)

β = 3, (bending)
0 c
z=0m 1.45
-500 β = 3, (def lec tion)
a
1.4
-1000

z = 22 m b
-1500 1.35
-0.3 - 0.1 0.1 0.3 30 32 34 36 38 40
y (m) Steel wall thickness (mm)

(b) (c)
Fig. 7. Multi-criteria reliability-based design of a laterally loaded pile in spatially autocorrelated clay: (a) numerical nonlinear p–y analysis of a steel tubular pile in a breasting
dolphin, (b) Matlock’s nonlinear p–y curves, (c) combinations of pile external diameter and wall thickness for reliability index b of 3. [24].

sensitivities from case to case is automatically reflected in reliabil-
ity analysis aiming at a target index value (presented next), but
will be difficult to consider in codes based on partial factors. The
useful insights offered by RBD to complement EC7 design are obvi-
ous, because RBD automatically reflects such different cu sensitivi-
ties from case to case with different protruding pile lengths above
seabed.
7.1. Illustrative example of multi-criteria reliability-based design of a
laterally loaded pile
The steel tubular pile that forms part of a pile group in a brea-
sting dolphin (Fig. 7) has been examined probabilistically above
based on the single performance function of bending failure mode.
The reliability index is only 1.514. In design, a reliability index of
3.0 or 3.5 is often required. Further, deflection criterion also needs
to be considered. In the following illustrative reliability-based
design example, it is assumed that 1.4 m is the maximum tolerable
pile head deflection, which means a secant tilt angle of about 1.4 in
26, or about 3 degrees, with respect to seabed.
Analysis using mean value of PH and mean trend of cu (i.e.
lcu = 150 + 2z, kPa) results in a pile head deflection of 0.986 m
(slightly smaller than the 0.994 m of the above mentioned deter-
ministic case for which an average cu value of 150 kPa was used
as in Tomlinson [43]). This average deflection of 0.986 m does
not provide information on the reliability of not exceeding the
1.4 m tolerable limit, because the uncertainties of the random vari-
ables have not been reflected in estimates based on mean values.
To illustrate multi-criteria reliability based design, suppose it is
desired to select external diameter d and steel wall thickness t of
the tubular pile so as to achieve a reliability index of 3.0 with
respect to both the pile head deflection limit state and pile bending
moment limit state. The mean and covariance structure of PH and
cu profile are as described above. Pile embedment length is 23 m.
Note that the external diameter d and wall thickness t affect both
ultimate limit state and serviceability limit state functions, by
affecting the moment of inertia I, the Matlock p–y curves (Fig. 7b,
in which B = d = 1.3 m), and the yield moment My = 2ryI/d, where
ry is the yield stress (417 MPa) of high-tensile alloy steel.
Fig. 7c shows the curves of reliability index b = 3 as a function of
the thickness t and external diameter d of the tubular pile, for the
deflection performance criterion and pile bending failure mode.
The configuration at location a (i.e. 32 mm annular wall thickness
and external diameter 1.42 m) yields a reliability index of 3 with
respect to both the deflection and the bending moment modes.
Configurations along line ac will have a reliability index of 3 for
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44 41

bending moment mode, and greater than 3 for deflection mode,
whereas configurations along line ab means a reliability index of
3 for deflection mode, and greater than 3 for bending moment
mode.
The next example illustrates the RBD of an anchored sheet pile
wall, in which uncertainty in the unit weight is modeled. It will be
shown that the RBD abides by the single-source principle of unit
weight c as in EC7, but is able to determine automatically the
design value of the unit weight (namely the value of Characteris-
tic-value-of- c/Partial-factor-of-c), and thus can play a useful com-
plementary role to EC7 which normally specifies 1.0 for the partial
factor of c, perhaps due to EC7’s uncertainty on whether the design
value of unit weight should be higher or lower than its character-
istic value when both active pressure and passive resistance
increase with the unit weight of the soil.
8. FORM design of an anchored sheet pile wall
The Microsoft Excel constrained optimization approach for reli-
ability-based design of the anchored sheet pile wall in Fig. 8 was
presented by Low [28], but solved in this study (and obtaining
the same solution) using the Low and Tang [30] FORM x-via-n pro-
cedure as summarized in Fig. 2 top right. Another example with
steady seepage condition was presented by Low [27]. Given the
uncertainties and correlation structure in Fig. 8, one wishes to find
the required total wall height H so as to achieve a reliability index
of 3.0 against rotational failure about the anchor point ‘‘A’’. The sta-
bility formulation was based on the free-earth support method.
Similar to steps (iii) and (iv) in Section 3, the six values under
the n column in Fig. 8 were initially zeros. A trial value of H (e.g.
H = 11 m) was selected such that the performance function value
is positive when n = 0 initially. Excel Solver was then invoked to
obtain the reliability index b. A few trials of H values, each followed
with an Excel Solver run, finally obtained the solution in Fig. 8,
namely that an input total height of 12.15 m would give a reliabil-
ity index b of 3.0 against rotational failure. With this wall height,
the mean-value point is safe against rotational failure, but failure
occurs when the mean values descend/ascend to the values indi-
cated under the x⁄ column. These x⁄ values denote the design point
on the limit state surface, and represent the most likely combina-
tion of parametric values that will cause failure. The expected
embedment depth is d = 12.15 – 6.4 – lz = 3.35 m. At the failure
combination of parametric values the design value of z is
z⁄ = 2.9632, and d⁄ = 12.15 – 6.4 – z⁄ = 2.79 m. This corresponds
to an ‘overdig’ allowance of 0.56 m. Unlike Eurocode 7, this ‘over-
dig’ is determined automatically, and reflects uncertainties and
sensitivities from case to case in a way that specified ‘overdig’
cannot.
The n column indicates that, for the given mean values and
uncertainties, rotational stability is, not surprisingly, most sensi-
tive to /0 and the dredge level (which affects z and d and hence
the passive resistance). It is interesting to note that at the design
point where the six-dimensional dispersion ellipsoid touches the

Correlation matrix R
x* Mean StDev n u γ γsat qs φ ' δ z
Normal γ 16.204 17 0.85 -0.936 -0.936 γ 1 0.5 0 0.5 0 0
Normal γsat 18.443 20 1 -1.557 -1.258 γsat 0.5 1 0 0.5 0 0

Normal qs 10.276 10 2 0.138 0.138 qs 0 0 1 0 0 0

Normal φ' 33.514 38 2 -2.243 -1.729 φ' 0.5 0.5 0 1 0.8 0
Normal δ 17.293 19 1 -1.707 -0.067 δ 0 0 0 0.8 1 0
Normal z 2.9632 2.4 0.3 1.877 1.877 z 0 0 0 0 0 1

Boxed cells contain Surcharge qs

d* = H − 6.4 − z* equations

Ka Kah Kp Kph H d* PerFn 1.5 m T

0.3 0.249 5.904 5.6372 12.15 2.79 0.00 A
6.4 m
Forces Lever arm Moments β γ, φ', δ
(kN/m) (m) (kN-m/m) 3.00
2
1 -31.1 4.575 -142 Water table
2 -82.8 2.767 -229 1
3 -149 7.775 -1156
z
4 -35.6 8.733 -311

5 189.2 9.72 1839 Dredge level γsat

3

d
5 4

Fig. 8. Design total wall height for a reliability index of 3.0 against rotational failure. Dredge level and hence z and d are random variables.
42 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
limit state surface, both unit weights c and csat (16.20 and 18.44)
are lower than their corresponding mean values, contrary to the
expectation that higher unit weights will increase active pressure
and hence greater instability. This apparent paradox is resolved if
one notes that smaller csat will (via smaller c0 ) reduce passive resis-
tance, smaller /0 will cause greater active pressure and smaller
passive pressure, and that c, csat, and /0 are logically positively cor-
related, and thus modeled with positive correlation coefficients in
the correlation matrix of Fig. 8. It is also logical to assume a posi-
tive correlation between the angle of friction / of the soil and
the interface friction angle d between the soil and the sheet pile,
and this also has been modeled in the correlation matrix.
In this case where some of the six parameters are (logically)
correlated, as shown by the correlation matrix R in Fig. 8, and
where uncertainties in unit weights c and csat are modeled and sin-
gle-source principle is to be observed, RBD can play a complemen-
tary role to EC7 in automatically deciding whether the design
values of c and csat should be lower or higher than their respective
mean values.
Clause 2.4.2(9)P of EC7 explains the ‘single-source principle’ in
terms of permanent favorable and unfavorable actions arising from
the same physical source, and suggests that the same partial factor
may be applied to the sum of these actions or to the effect of them.
The RBD example in Fig. 8 applies the same principle logically to a
material property, namely that the soil unit weight on both sides of
the wall should be the same, and leaves it to RBD to determine
whether the design values of the unit weight should be higher or
lower than its mean value. Although the design value of csat
(18.443 kN/m3) is lower than its mean value of 20 kN/m3 in
Fig. 8, for other geometry and embedment depth of the wall and
for other applications (e.g. the RBD of a Norwegian slope in
Fig. 6) it might be more critical that the design value of the soil unit
weight be higher than its mean value, an issue which RBD can
determine automatically from case to case.
8.1. Distinguishing negative from positive reliability indices
In Fig. 8, if a trial H value of 10 m is used, and the entire n col-
umn given their initial values of 0.0, the x⁄ column will display the
respective mean value, and the performance function PerFn exhib-
its a negative value of 448.52, meaning that, for the input H of
10 m, the mean value point is already inside the unsafe domain
(e.g., to the left of the limit state surface in Fig. 1, but in six-dimen-
sional space). Upon Solver optimization with constraint PerFn = 0, a
b index of 1.34 is obtained, which should be regarded as a negative
index, i.e., 1.34, 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 b index can be regarded as positive only if the perfor-
mance function (PerFn) value is positive at the mean value point.
For the case in hand, the mean value point (prior to Solver optimi-
zation) yields a positive PerFn for H > 10.6 m. The computed b
index increases from about 0 (equivalent to a factor of safety equal
to 1.0) when H is 10.6 m to 3.0 when H is 12.15 m for the statistical
inputs of Fig. 8.
Another example for the need to start from a mean-value point
that is in the positive domain before invoking Solver to compute
reliability index b has been illustrated in step (iii) in connection
with the RBD of the foundation width B of Fig. 3.
8.2. Comparing EC7 design with RBD design, and FORM analysis of EC7
design
The RBD cases in this study are not directly translatable to EC7
design, because the present form of EC7 does not yet deal with cor-
relation coefficients, spatial variability and probability distribu-
tions, and there are parameters in the RBD cases for which
partial factors are not yet specified in the EC7. Presumably the par-
tial factors in EC7 already account for some typical values of the
coefficient of variation (standard deviation/mean) and probability
distribution (e.g. Normal or Lognormal distributions) of the actions
and material properties, and that the resulting EC7 design is meant
to be sufficiently safe, though not aiming at any specific reliability
level. With this in mind, one can proceed with the EC7 design using
characteristic values smaller or higher than mean values (for resis-
tance and loading parameters, respectively), and partial factors
corresponding to design approaches DA1a, DA1b, DA2 or DA3.
The resultant design (for example, foundation width B of Fig. 3,
or embedment depth of Fig. 8) can then be subjected to FORM anal-
ysis if statistical information is actually available, to provide some
very useful information on the probability of failure and the sensi-
tivities of the various parameters, which are not conveyed by an
EC7 Design. One can of course conduct RBD directly if statistical
information (standard deviations, mean values, parametric correla-
tions, probability distributions) is available, to achieve a design for
specified target reliability index, which can provide instructive
comparisons with EC7 design which does not directly reflect
uncertainties and correlation structure.
9. Summary and conclusions
This paper discussed reliability-based design (RBD) for a shal-
low foundation, a reinforced rock slope, a Norwegian clay slope,
a laterally loaded pile, and an anchored sheet-pile wall, using the
practical FORM procedure of Low and Tang [30] to explain con-
cepts and illustrate the complementary role that FORM can play
to the Eurocode 7 design approach. The relatively transparent
spreadsheet-automated FORM and SORM procedures can be cou-
pled with stand-alone numerical packages via bridging techniques
like response surface methods and neural networks.
The expanding dispersion ellipsoid perspective in the original
space of the random variables was presented, as a useful alterna-
tive perspective of the reliability index and the design point.
Various insights and interesting features and subtleties of RBD
as revealed in the different cases were discussed, testifying to the
ability of RBD to locate the design point for a target risk level with-
out presuming any partial factors and to reflect parametric sensi-
tivities and correlations from case to case automatically. Links
between RBD and EC7 design were demonstrated, and the comple-
mentary role which RBD can play to EC7 were explained in six bul-
leted points at the end of Section 4, and further commented in the
different RBD cases of subsequent sections. In particular, for differ-
ent mean value and standard deviation of the lateral load in the
RBD case of footing width of Fig. 3, or for different applications
(e.g., slope stability or earth retaining walls), the partial factors
back-calculated from RBD results could be different. To apply the
same specified partial factors of EC7 across different applications
or different levels of parametric uncertainty may not imply the
same target failure probability. In contrast, in an RBD, the same tar-
get reliability index (with its implied probability of failure) can be
used across different applications and different levels of parametric
uncertainty and correlations, and including asymmetric probabil-
ity distribution if appropriate. Also, if higher reliability is required
where the consequence of failure is more significant, a safer design
can be obtained by raising the target reliability index. Such flexibil-
ity and automatic incorporation of parametric sensitivities and cor-
relations into the design process are not found in a Eurocode
design based on code-recommended partial factors. It is also evi-
dent from the other numerical examples in this study that the
same set of partial factors cannot achieve a uniform reliability
index across different applications or same application with differ-
ent input parameters (e.g. different coefficient of variation of
 B.K. Low, K.-K. Phoon / Computers and Geotechnics 65 (2015) 30–44
friction angle). One should hasten to add that EC7 does not sub-
scribe to a reliability-based design philosophy and hence there is
no intent to produce a uniform reliability index across different
scenarios. Nonetheless, coefficients of variation and cross/auto-
correlations are statistical features of measured data and one
may conclude that EC7 is not sensitive to the statistical aspects
of measured data. When statistical data are available, reliability-
based design can be compared to EC7 design to illuminate the
impact of additional data on design. Finally, even though uncer-
tainties are implicitly considered in EC7, it is worth pointing out
that the practice of assigning a single numerical value to each par-
tial factor implies that only a narrow range of coefficients of vari-
ation has been considered. Soil property evaluation
methodologies are more diverse (to suit diverse site conditions
and practices evolved to suit these conditions) in contrast to struc-
tural property evaluation methodologies. For situations involving
coefficients of variation higher than those implied in EC7, it may
be judicious to apply RBD as an additional design check.
Reliability-based design/analysis involving spatially autocorre-
lated soil properties was illustrated and discussed for a Norwegian
slope (Section 6) and for a laterally loaded pile (Section 7). In the
latter case, RBD with respect to serviceability limit state was also
implemented.
In the RBD of the embedment depth of an anchored sheet pile
wall in Section 8, the soil unit weight above water table affects only
active pressure and thus is of the nature of a loading parameter,
whereas the unit weight csat below water table affects (via c0 = csat -
 cw) both the active pressure behind the wall and the passive
resistance below the dredge level and is hence of the nature of both
a load and a resistance parameter. The complexly intertwined
parametric sensitivities and correlations make it difficult to apply
partial factors consistently. In a reliability-based design (such as
the case in Fig. 8) one does not prescribe the ratios mean/design
value—such ratios, or ratios of (characteristic values)/design value,
are prescribed as partial factors in EC7 limit state design—but
leaves it to the expanding dispersion ellipsoid to seek the most
probable failure point on the limit state surface (similar to Fig. 1
but in multi-dimensional random variable space), a process which
automatically reflects the complexly intertwined parametric sensi-
tivities and correlations. Besides, one can associate a probability of
failure for each target reliability index value. The ability to seek the
most-probable design point without presuming any partial factors
and to reflect sensitivities from case to case automatically is a
desirable feature of the reliability-based design approach.
It was shown that for some geotechnical problems, performing
SORM after FORM can improve the accuracy of the estimated fail-
ure probability, but a pragmatic approach on the adequacy of the
approximate failure probability estimated from FORM b index
was also suggested and discussed in the context of the results of
a reinforced rock slope in Section 5. This pragmatic approach does
not require performing SORM, and may thus reduce the hurdles
confronting practitioners in using reliability-based design. The
more rigorous approach involving both FORM and SORM can be
used, if desired, after some familiarity has been gained with the
pragmatic FORM-only approach.
The spreadsheet-automated [30] FORM procedure has been
used in this study for the purpose of explaining FORM and the intu-
itive dispersion ellipsoidal perspective and the complementary
role of FORM reliability-based design to EC7 design approach. In
practice RBD can be done using either the [30] FORM procedure
or other available FORM packages.
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