Probabilistic Identification o F Keyblocks in Rock Excavations PDF

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Probabilistic identification of keyblocks in rock excavations
by
Rafael Jimenez Rodriguez
Ingeniero (University of Granada, Spain) 1999
M.S. (University of California at Berkeley) 2002
A dissertation submitted in partial satisfaction of the
requirements for the degree of
Doctor of Philosophy
in
Engineering Civil and Environmental Engineering
in the
GRADUATE DIVISION
of the
UNIVERSITY OF CALIFORNIA, BERKELEY
Committee in charge:
Professor Nicholas Sitar, Chair
Professor Richard E. Goodman
Professor Peter L. Bartlett
Fall 2004
UMI Number: 3165428
Copyright 2004 by
Rodriguez, Rafael Jimenez
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Abstract
by
Doctor of Philosophy in Engineering Civil and Environmental Engineering
University of California, Berkeley
Professor Nicholas Sitar, Chair
This dissertation addresses the problem of uncertainty in the analysis of stability
of rock blocks in excavations in discontinuous rock masses. An integrated probabilistic
approach for key block identification is proposed, with an emphasis on analyzing the
effects of uncertainties on the predictions of formation of removable, unstable blocks
(keyblocks).
Statistical graphical models are developed to estimate the distribution of disconti
nuity trace lengths, based on observations of traces at rock outcrops. The key element
is the use of a flexible class of target distributions, taking computational advantage of
the relations of conditional independence between the random variables in the model
by means of the EM algorithm. The performance of the method is illustrated with
representative examples, which demonstrate its inference potential.
The predictions of removability of blocks based on block theory are then inte
grated with state-of-the-art reliability methods. Removable blocks are identified us
ing discontinuity network models and block theory, and the influence that different
parameters have on the predicted rate of formation of removable blocks is estimated
using statistical simulation and Poisson regression. The results show that volumetric
intensity and discontinuity size have the greatest impact on the formation of remov
able blocks. The probability of failure of removable blocks is then computed using
reliability methodsin which the system aspects of rock slope stability are consid
ered. As would be expected, the results indicate that the probability of failure heavily
depends on the shape and size of blocks, and water level conditions.
The predicted estimates of formation of removable blocks are finally updated to
consider their probabilities of failure, leading to estimates of the rate of formation of
keyblocks. Results demonstrate that the probability of failure of removable blocks
significantly changes the relative importance of occurrence of keyblocks of different
sizes.
Professor Nicholas Sitar
Dissertation Committee Chair
To my parents,
Rafael y Encarnacion
11
Contents
List of Figures v
List of Tables viii
1 Introduction 1
1.1 Motivation....................................................................................................... 3
1.2 Objectives....................................................................................................... 5
1.3 Dissertation overview.................................................................................... 8
2 Inference of trace length distribution parameters 10
2.1 Introduction.................................................................................................... 10
2.2 Models for discontinuity generation and s a m p l i n g ................................ 17
2.3 Existing biases .............................................................................................. 20
2.3.1 Description of types of bias ............................................................ 20
2.3.2 Correction for size b i a s ...................................................................... 23
2.4 Statistical graphical m o d e l .......................................................................... 26
2.5 ML estimation of trace length distribution parameters.......................... 32
2.5.1 Introduction......................................................................................... 32
2.5.2 The EM a l g o r i t h m ............................................................................ 34
2.5.3 Likelihood functions ......................................................................... 37
2.5.4 Convergence c r i t e r i a ......................................................................... 41
2.6 Complete probability models....................................................................... 42
2.6.1 Traces with no censoring.................................................................. 45
2.6.2 Traces censored on one side only .................................................. 48
2.6.3 Traces censored on both s i d e s ......................................................... 49
2.7 Averaging distributions................................................................................. 50
2.7.1 Model with single target d istr ib u tio n ............................................ 51
2.7.2 Model with mixture target distribution......................................... 53
2.8 M step optimization .................................................................................... 56
2.8.1 M step optimization of mixture proportions ............................... 59
Ill
2.9 Application examples..................................................................................... 61
2.9.1 Introduction......................................................................................... 61
2.9.2 Single distribution c a s e ...................................................................... 62
2.9.3 Mixture distribution case.................................................................. 82
2.10 Concluding remarks........................................................................................ 96
3 Identification of removable blocks 101
3.1 Introduction...................................................................................................... 101
3.2 Rock mass characterization and slope m o d e l ........................................... 102
3.3 Identification of removable wedges............................................................... 106
3.4 Statistical analysis of simulation d a t a ........................................................ 115
3.4.1 Poisson regression analysis............................................................... 116
3.5 Regression r e s u l t s ............................................................................................ 118
3.5.1 Formation of medium-sized removable blocks............................... 121
3.5.2 Formation of large-sized removable blocks .................................. 128
3.6 Concluding remarks......................................................................................... 134
4 Stability analysis of removable blocks 139
4.1 Introduction..................................................................................................... 139
4.2 Model formulation ........................................................................................ 141
4.2.1 Case 1: No interaction between b l o c k s ......................................... 143
4.2.2 Case 2: Interaction between b l o c k s ............................................... 146
4.3 Reliability analysis: General system formulation..................................... 147
4.3.1 Component reliability......................................................................... 152
4.3.2 System reliability............................................................................... 157
4.4 Application e x a m p l e ..................................................................................... 165
4.4.1 Example case geometry and material p r o p e r t i e s ........................ 165
4.4.2 Analysis r e s u l t s ................................................................................... 170
4.5 Concluding remarks........................................................................................ 177
5 Predictions of keyblock formation 180
5.1 Introduction...................................................................................................... 180
5.2 Example c a s e .................................................................................................. 181
5.2.1 Prediction of the rate of formation of removable wedges . . . . 182
5.2.2 Stability analysis of removable wedges ......................................... 186
5.2.3 Prediction of the rate of formation of unstable wedges............... 190
5.3 Concluding remarks......................................................................................... 191
6 Conclusions and suggestions for further research 194
6.1 Conclusions...................................................................................................... 194
6.1.1 Characterization of the rock mass structure................................... 195
6.1.2 Identification of removable b l o c k s .................................................. 196
IV
6.1.3 Stability analysis of removable blocks .......................................... 197
6.1.4 Predictions of keyblock formation................................................. 197
6.2 Suggestions for future research.................................................................... 198
Bibliography 200
A M step optimization for Gaussian mixtures 219
B Rotation of unit vectors and axes 223
C Identified removable blocks 227
List of Figures
1.1 Classification of types of blocks in an excavation, with examples. . . . 2
1.2 The process of decision under uncertainty................................................... 4
2.1 Overview of the problem of discontinuity size estimation based on the
observation of traces at rock outcrops....................................................... 13
2.2 Sampling domain and joint generation domain.......................................... 18
2.3 Typical examples of observed trace maps.................................................... 24
2.4 Representation of random variables considered for different types of
observed discontinuity traces......................................................................... 28
2.5 Proposed graphical models............................................................................. 30
2.6 Regions corresponding to possible censoring conditions for traces of
length L = I, depending on the location of their center........................... 46
2.7 Parameter estimates, fiEU, obtained when an exponential distribution
is used for generation, with parameter fig, and target............................. 64
2.8 Variability of the parameter estimates obtained in the exponential dis
tribution case.................................................................................................... 67
2.9 Comparison between the exponential distribution originally used for
generation of traces and the exponetial distribution inferred using the
EM algorithm......................................................................................... 68
2.10 Evolution, in the exponential distribution case, of the auxiliary func
tion for successive iterations of the EM algorithm, and its relation to
the log likelihood.............................................................................................. 70
2.11 Convergence performance with respect to the parameter estimates in
the exponential distribution case.................................................................. 72
2.12 Convergence performance with respect to the auxiliary function values
in the exponential distribution c a s e ........................................................... 73
2.13 Parameter estimates, 9em = {9 'EM,êm), obtained when a lognormal
distribution is used for generation, with parameters 9g = (fXg, ag), and
target.................................................................................................................. 75
VI
2.14 Variability of the parameter estimates obtained in the lognormal dis
tribution case.................................................................................................... 77
2.15 Comparison between the lognormal distribution originally used for gen
eration of traces and the lognormal distribution inferred using the
EM algorithm.................................................................................................... 79
2.16 Evolution of the auxiliary function for different iterations of the EM al
gorithm, and its relation with the log likelihood f u n c t i o n .................... 80
2.17 Convergence performance with respect to the parameter estimates of
the lognormal distribution.............................................................................. 83
2.18 Evolution, in the lognormal distribution case, of the auxiliary function
values with respect to the number of iterations of the EM algorithm . 84
2.19 PDF and CDF of the mixture distribution employed for generation of
trace lengths...................................................................................................... 8 6
2.20 Evolution of the KL divergence with respect to the number of iterations
of the EM algorithm. (K = 3)...................................................................... 8 8
2.21 Example of distribution obtained when over-fitting problems occur . . 91
2.22 Example of distribution obtained when all component variances are set
to be equal in the M step of the a l g o r it h m .............................................. 91
2.23 Influence of number of components and trace intensity value on the
expected values of KL divergence, as obtained after 20 applications of
the methodology............................................................................................ 92
2.24 Examples of distributions obtained, after bias correction, using target
distributions with different number of mixture components................... 94
2.25 Evolution of the maximum values of the auxiliary function with respect
to the iteration number of the EM algorithm, for different number of
target mixture components and intensity values....................................... 97
3.1 Lower Hemisphere Projection of the poles of mapped discontinuities. . 103
3.2 Slope model considered.................................................................................... 105
3.3 Examples of typical wedge moulds observed at the site............................ 108
3.4 Identification of points of intersection between discontinuity disk and
excavation face. (Modified from Chan [1987].)....................................... 110
3.5 Example of traces formed by the intersection of simulated discontinu
ities with the excavation surface, and graphical representation of the
unrolling operation....................................................................................... I l l
3.6 Identification of maximum removable blocks from the unrolled discon
tinuity trace map using the algorithm of Shi and Goodman [1989]. . . 112
3.7 Use of trace maps for the identification of removable blocks................... 114
3.8 Predicted rates of formation of medium-sized removable blocks as a
function of the mean discontinuity radius, for different values of P3 2 ,
Sr , and K............................................................................................................ 123
Vll
function of the intensity measure, for different values of 5^ and k. 125
3.10 Predicted rates of formation of large-sized removable blocks as a func
tion of the mean discontinuity radius, for different values of P3 2 , Sji,
and K................................................................................................................... 130
function of the intensity measure, for different values of ^^R/H, Sr and k. 132
4.1 Geometrical definitions for the slope stability model considered. . . . 142
4.2 Forces considered in the slope stability model.......................................... 143
4.3 Disjoint cut-sets system formulation of plane rock slide stability problem. 150
4.4 F orm approximation to the failure surface in a 2-dimensional standard
normal space..................................................................................................... 153
4.5 First order approximation to probability of failure of parallel systems. 158
4.6 Example of interval Jj, for failure conditions in directional simulation
analysis............................................................................................................... 164
4.7 Probality density functions of the random variables in the block sta
bility model....................................................................................................... 168
4.8 Computed probability of failure for each cut-set (failure mode), using
first order approximation and simulation methods................................... 171
4.9 Comparison of system probabilities obtained by different reliability
methods.............................................................................................................. 176
5.1 Geometrical description of the slope and wedges considered...................... 182
5.2 Identification of removable blocks................................................................ 183
5.3 Dependance of fitted rate of formation of removable blocks with respect
to the explanatory variables of the Poisson regression model................. 185
5.4 Expected rate of formation of removable wedges of different sizes {iir/ H
1.16, 5r = 0.30 and P3 2 = 1.15 [m^^])......................................................... 187
5.5 Results of reliability analysis of stability of removable blocks as a func
tion of block size.............................................................................................. 190
5.6 Predicted rates of formation for keyblocks of different sizes................... 192
B.l Definition of polar coordinates..................................................................... 224
Vlll
List of Tables
2.1 Different censoring conditions that may possibly occur for a disconti
nuity trace......................................................................................................... 29
2.2 Statistical distributions used for generation of discontinuity trace lengths
and intensity values used in the generation process.................................. 63
2.3 Parameter estimates, (iem, obtained when an exponential distribution
is used for generation, with parameter [j,g, and target.............................. 66
2.4 Parameter estimates, em = (fÊMiÊM), obtained when a lognormal
distribution is used for generation, with parameters 9g = (iJ,g,ag), and
target.................................................................................................................. 76
2.5 Mixture distribution used for generation of trace lengths, intensity val
ues, and expected number of observed traces............................................. 86
3.1 Orientations of discontinuity sets and orientation of slope face and top. 104
3.2 Size intervals considered for the analysis of identified removable wedges. 115
3.3 Factors and levels considered in the Poisson regression analysis. . . . 119
3.4 Maximum likelihood estimates of the coefficients of the medium-size
removable blocks regression model............................................................... 122
3.5 Maximum likelihood estimates of the coefficients of the large-size re
movable blocks regression model................................................................... 129
4.1 Physical interpretation of limit state functions defining component per
formance in the system modeling the stability of the rock slope. . . . 151
4.2 Statistical distributions of input parameters in the slope stability model. 167
4.3 Correlation structure between random variables considered in the anal
ysis...................................................................................................................... 169
4.4 First order reliability results for components of Failure Mode 1 {H =
20 m).................................................................................................................. 172
4.5 Simulation results for Failure Mode 1.......................................................... 175
5.1 Orientation of joint sets and of excavation surface................................... 182
IX
5.2 Size intervals considered................................................................................. 183
5.3 Factors and levels employed in the complete factorial design................ 184
5.4 Key for the interpretation of cases in Figure 5.3...................................... 186
5.5 Statistical distributions of input variables in the stability model. . . . 188
C.l Number of identified removable blocks with size within interval/i. . . 228
C.2 Number of identified removable blocks with size within interval I 2 . 229
C.3 Number of identified removable blocks with size within interval Iz- 230
C.4 Number of identified removable blocks with size within interval I 4 . . . 231
C.5 Number of identified removable blocks with size within interval I 5 . . . 232
Acknowledgments
I am very grateful to my advisor, Nicholas Sitar, for his guidance, encouragement
and support over these years. I have benefited greatly from his deep knowledge
and broad perspective, and he has been a most inspiring example, academically and
personally.
My deepest gratitude is extended to Richard Goodman, for his contagious en
thusiasm and for reviewing this dissertation, offering helpful comments and valuable
advice for the future. I am also indebted to Peter Bartlett for his help during the de
velopment of this dissertation, and for always being available to answer my questions.
I have greatly benefited from his involvement in my research.
Special thanks are due to the faculty, students, and staff in the Civil Engineering
Department. In particular, I would like to thank Raymond Seed and Juan Pestana
for their teachings and their support in helping me to pursue my graduate studies at
Berkeley; and Armen der Kiureghian, for his courses while I was at Berkeley. Thanks
are also due to my fellow graduate students, for their friendship and for many hours
of illuminating discussions about soils, rocks, and other topics; and to Mari Mordecai,
in representation of the entire staff.
I am thankful to the Jane Lewis Fellowship of the University of California, the US-
Israel Bi-national Science Foundation (grant No. 98-^399), and the National Science
Foundation (grant CMS-0355079) for providing financial support for this research.
Colder Associates, Redmond, WA, kindly provided an academic license for their pro
XI
gram F r a c m a n . The support of Junta de Andalucia and Grupo de Investigaciones
Medioambientales: Riesgos Geologicos e Ingenieria del Terreno (rnm 221, PAi) is
gratefully acknowledged as well.
I am also grateful to my faculty from the University of Granada. Rafael Gallego
and Jose Rodriguez Montero encouraged me to continue my studies in the United
States. I am most grateful to Jose Chacon, for guiding me in my research, supporting
me in many ways, and for his friendship over the years. Jose Santos generously offered
help that made it possible for me to do research in several construction sites in Spain,
and I am for that indebted.
Many good friends made my experience at Berkeley to be a unique one. I would
like to thank Chema, Ruben, Guillermo, Alex, and many other friends in the Iberia-
Berkeley association for the good moments together; and my friends and roommates
Victor, Jane, Laurent, Francesca, Jorge, Alessandro, Nicole, Lydia, and Dan. I am
also deeply grateful to Hanna, for her care and understanding.
Above all, I am immensely grateful to my parents for their unconditional love and
support, and to my sister, Encarnita, for her friendship. I finally want to express my
love to my grandparents, my uncle and aunt, and to my godson, Fernando. For their
love, I am truly fortunate.
Chapter 1
Introduction
In this dissertation we address the problem of stability of rock blocks formed in
excavations in discontinuous rock masses/ that is, rock masses which are intersected
by planes of weakness, so that they may be considered to be an assemblage of blocks
combined into a closely fitted three dimensional arrangement [Goodman and Shi,
1985]. In particular, we are mainly interested in blocks that are potentially critical
for the stability of the excavation; these blocks are usually termed as keyblocks, which
are defined to be finite, removable, and unstable blocks [Goodman and Shi, 1985].
Figure 1.1 presents a classification of the types of blocks that can be formed when a
new space is created after excavation in a rock mass.
^We use the general term discontinuity to refer to any mechanical break in the rock mass having
zero or low tensile strength [ISRM, 1978]. The term is therefore free from any connotation of
geological origin, and is collectively used to refer to a wide variety of geological features, including
weak bedding planes, tension cracks, joints, weakness zones and faults.
IV
(a) Examples of block types in an underground excavation.
IV
Tapered
Stable with
Stable even sufficient
Finite
Infinite
Removable
Non-Removable
Types of blocks
without friction
friction II
II I Potential
Keyblock
(b) Types of blocks. (After Goodman and Shi [1985]).
Unstable
without
support
I
Keyblock
Figure 1.1: Classification of types of blocks in an excavation, with examples.
1.1 Motivation
Excavations in rock masses are commonly encountered in applications in civil and
mining engineering, as well as in other fields. Examples of surface excavations for
civil engineering purposes include open cuts for highways, railroads, pipelines, and
other transportation routes, whereas common examples of underground excavations
include tunnels and shafts for roads, water supply, and sewer systems [Goodman,
1989; Goodman and Shi, 1985].
Block failures in engineered excavations have a significant social and economical
impact and, for instance, considerable efforts are under way in order to reduce the ris
ing costs resulting from landslide hazards [see e.g., Spiker and Gori, 2003]. Similarly,
Schuster [1996] discusses the significance of landslidesmany of which correspond to
rock failureswith respect to economic losses and human casualties in the United
States and elsewhere, whereas Hoek and Bray [1981] discuss economic and planning
considerations in the design of rock slopes, mainly in the context of mining appli
cations. The formation of unstable blocks in rock excavations is also a source of
potential hazards in the foundations and abutments of concrete dams [Goodman,
2001; Hatzor and Goodman, 1997], and in underground construction in jointed rock
masses [Barton, 2000; Hoek et ah, 1995].
A major difficulty associated with the analysis and design of excavations in dis
continuous rock is presented by the inherent stochastic nature of the geometry of the
rock mass and the intrinsic variability of its mechanical properties. An incomplete
( 3 a z a r ^ Cl^^r aseque nces^
Uncertainty
Risk Decision
= = ^
Management
----- ^
Making
Figure 1.2: The process of decision under uncertainty.
characterization of the rock mass introduces additional uncertainties in the design
process, as it commonly occurs in real rock engineering projects due to time and
budget constraints. In order to deal with existing uncertainties in a rational way, risk
assessment, risk management, and procedures for decision making under uncertainty
have become topics of increasing interest to researchers and practitioners working on
rock engineering projects [Einstein, 1996; Roberds, 2001; Roberds et ah, 1997], as
well as to the geotechnical profession in general [Duncan, 2000; Whitman, 1984].^
Figure 1.2 shows the steps involved in the process of decision making under un
certainty. Hazard assessment and the quantification of the probability of occurrence
of undesired eventsi.e., failure probabilityis a significant aspect of the problem
of decision making under uncertainty. Accordingly, the problem of development of
probabilistic predictions of occurrence of keyblocks in rock excavations is of particular
interest in this research.
^The importance of uncertainties in geotechnical design has been acknowledged since the early
days of the development of the field of geotechnical engineering, so that approaches such as the
observational method [Peck, 1969] were developed to deal with uncertainties in a rational way.
1.2 Objectives
The objective of the research presented in this dissertation is to improve our un
derstanding of the problem of formation of keyblocks in rock excavations, with an
emphasis on analyzing the effects that uncertainties have on the predictions of key
block formation. Existing uncertainties impose some nonstandard challenges when
computing estimates of formation of unstable blocks in rock excavations. In that
context, it will become apparent that considering the likelihood of occurrence of re
movable blocks and their probability of failure in an integrated way is an important
aspect of the problem of keyblock formation. This fact is recognized in this work,
in which we propose an integrated probabilistic approach for keyblock identification
[Jimenez-Rodriguez and Sitar, 2003].^ To that end, we consider uncertainties in
the characterization of the geometry of the discontinuity network (therefore having
influence in the formation of removable blocks), and methods that account for uncer
tainties in the stability performance of the blocks, providing the probability of failure
of identified removable blocks.
The specific objectives of the dissertation may be summarized in the following
items:
1. Characterization of the rock mass structure: The rock engineering profession has
faced an increasingly challenging range of projects in the last yearsranging
We completely agree with Hudson and Priest [1979], when they say that Some form of statistical
approach must be invoked when rock masses are analysed partly because of their inherent stochastic
nature and partly because complete information concerning their geometry can never be obtained.
6
from studies of groundwater flow of highly hazardous chemicals to stability
analysis of rock excavations. In all cases, the adequacy of a rock site for a
particular engineering application is heavily affected by the characteristics of
the rock mass involved, so that an accurate characterization of the rock mass
at the site is of paramount importance to achieve successful design solutions.
We focus our attention on the problem of inference of the distribution of sizes
of discontinuities existing in the rock mass, since this is one of the parameters
with a more significant influence in both the number and size of removable and
unstable blocks [Hoerger and Young, 1990; Jimenez-Rodriguez and Sitar, 2003;
Starzec and Andersson, 2002a]. In particular, the estimation of the distribu
tion of discontinuity trace lengths is required as a first step in the assessment
procedure, and we aim to develop a method for inference of the distribution of
discontinuity trace lengths, based on statistical analysis of observed discontinu
ity trace data.
2. Probabilistic prediction of occurrence of removable blocks. One objective of this
dissertation is to develop a methodology for estimation of the rate of formation
of removable blocks in rock excavations. Stochastic models should be used to
characterize the discontinuity network within the rock mass, as it is usually not
realistic in practice to expect having a complete deterministic information of all
discontinuities in the rock mass. In addition, we aim to study the influence that
different parameters of the discontinuity network model have on the formation
of removable blocks, and to study how those conclusions could be used to im
prove procedures for rock site characterization [Starzec and Andersson, 2002a].
Finally, the consequences of failures in different cases should be accounted for,
so that obtained predictions can be used in the context of methods for decision
making under uncertainty.
3. Reliability analysis of removable blocks. We are interested in developing esti
mates of the formation of unstable blocks; accordingly, we need to consider the
performancewith respect to stability considerationsof identified removable
blocks. We aim to do so in a probabilistic wayi.e., estimating probabilities of
failures rather than factors of safety. To that end, reliability methods should
be employed, since they provide a unified and systematic framework for quan
titative assessment of the influence that uncertainties in the input parameters
of the stability model have in the computed predictions of stability. In this
context, one goal of this work is to develop methods for reliability computation
that account for the system aspects of the slope stability problem, in which
failure can occur as a number of alternative failure modes.
4. Probabilistic predictions of keyblock formation. We aim to consider uncertainties
in the models for prediction of formation of removable blocks and for assessment
of their stability in an integrated way. To that end, the computed rates of
occurrence of removable blocks should be further updatedconsidering their
8
computed probabilities of failureto compute predicted rates of formation of
removable, unstable blocks (i.e., keyblocks).
1.3 Dissertation overview
This dissertation is divided into six chapters and three appendices.
In Chapter 2 we use a statistical graphical model framework to study the problem
of estimation of discontinuity trace lengths distributions, based on observations of
traces exposed at rock outcrops. The method is based on the study of the relations of
conditional dependence and independence between the random variables in the model.
The EM algorithm is introduced to solve the maximum likelihood estimation problem
in an efficient way, taking computational advantage of the conditional independence
relations.
In Chapter 3 we study the problem of formation of removable blocks in rock slopes,
using block theory analysis on unrolled trace maps. Discontinuities within the rock
mass are assumed to follow the Poisson disk model. Removable blocks of different
sizes are considered in the analysis, and we use statistical simulation and Poisson
regression as a tool to estimate the rate of formation of removable blocks of different
sizes, and to study the inffuence that different parameters of the rock discontinuity
network model have on the rates of formation of removable blocks.
In Chapter 4 we study the influence that uncertainties in the input parameters of
the model used for stability assessment of removable blocks have on their probability
9
of failure. To that end, we use state-of-the-art methods to solve the reliability problem
associated to the performance of the slope, in which the different modes of failure are
considered by means of a system formulation.
In Chapter 5 we integrate the previously obtained predictions, and we develop
a method to compute the rate of formation of unstable blocks in rock excavations.
The estimates of the rate of formation of removable blocks of different sizes computed
using the tools presented in Chapter 3 are updated considering their probabilities of
failure (as computed using methods presented in Chapter 4), obtaining the rate of
formation of keyblocks in the excavation.
Chapter 6 is a summary of the main ideas and findings presented in this disserta
tion, and topics that merit attention for future research are identified.
10
Chapter 2
Inference of trace length distribution
parameters
2.1 Introduction
Discontinuities may be considered to be the individual factor with the most sig
nificant impact on the deformability, strength and permeability of the rock mass
[Goodman, 1976; Hudson and Harrison, 1997] and, accordingly, various methods for
the engineering characterization of geometric and mechanic properties of rock discon
tinuities have been proposed in the literature [Goodman, 1976; Hudson and Harrison,
1997; ISRM, 1978; La Pointe, 1993; Priest, 1993a]. Unfortunately, the determin
istic characterization of individual discontinuities is usually an insurmountable site
characterization challenge and, in general, it is only feasible to characterize the ma
11
jor geological discontinuities in the rock mass. The characterization of other (i.e.,
not major) discontinuities can be, on the other hand, accomplished using stochastic
discontinuity network models. In these models, the rock mass is represented as an
assemblage of discontinuities intersecting a volume of intact rock, and the stochas
tic nature of the discontinuity networki.e., the location of discontinuities and the
variation of joint properties in spaceis represented in an aggregate form using sta
tistical distributions [Dershowitz and Einstein, 1988; Kulatilake et ah, 1993]. In some
cases, additional non-geometrical considerations are further included into the model
in order to imitate the geological processes that lead to the formation of three di
mensional discontinuity networks [La Pointe, 1993; Meyer and Einstein, 2002].^ In
order to be able to use stochastic fracture network models in engineering applications,
however, the problem of calibration of the joint network parameters remains, and we
need methods for the characterization of discontinuity networks based on the limited
information which is usually available at the design stage.
One of the main difficulties in trying to solve the problem of discontinuity size
estimation is the impossibility of direct observation of the complete extent of the
discontinuities in three dimensions due to the limits of the particular exposure, i.e.,
outcrop, tunnel face or wall, etc. As a result, the extent of the discontinuities has to be
inferred based on other sources of available information. Observations of discontinuity
^Non-geometrical aspects considered in the models include, for instance, mechanics of fracture
propagation, influence of stress fields, mechanical properties and geometry of the layers, hierarchical
relation between fractures, etc.
12
traces at rock exposures are commonly used for that task,^ so that the distribution
of total discontinuity dimensions (i.e., the areal extent of discontinuities in space) is
inferred using information of the underlying distribution of trace lengths, by means
of, for example, geometrical, stereological or fractal considerations [La Pointe, 2002;
Lyman, 2003b; Warburton, 1980a, b; Zhang et ah, 2002].
Figure 2.1 shows an overview of the discontinuity size distribution inference prob
lem. The proper characterization of the distribution of trace lengths appears as a
crucial step in the characterization of the distribution of discontinuity dimensions.
There are, however, two additional difficulties for the solution of the problem of trace
length distribution estimation: The first is due to available data (i.e., observations of
discontinuity traces intersecting the sampling domain) being subjected to orientation,
size, truncation and censoring biases [Kulatilake and Wu, 1984a; Song and Lee, 2001;
Terzaghi, 1965; Villaescusa and Brown, 1992; Zhang and Einstein, 1998]; the second
is due to the lack of knowledge with respect to the more adequate type of distribution
to be used in each particular case. Exponential and lognormal distributions are most
commonly employed in the literature (for a review of distribution forms used in the
literature, see Zhang and Einstein [2000]), but there are cases in which bi-modal types
of distributionswhich cannot be properly described by the distributions mentioned
aboveseem to be more adequate [Laslett, 1982a].
In order to deal with these problems, the measured (i.e., biased) trace length
^Discontinuity traces are formed by the intersection of discontinuities existing within the rock
mass and the surface of the rock mass.
13
Rock outcrop
Bias correction
Stereological relations
Observed traces
Discontinuity
size distribution
Distribution of
real trace
lengths
Figure 2.1: Overview of the problem of discontinuity size estimation based on the
observation of traces at rock outcrops
14
distribution is commonly estimated first; then, it is assumed that the real (i.e., not
biased) trace length distribution has the same distribution form, so that only the
parameters of the distributionusually the mean and varianceneed to be obtained
[Kulatilake et ah, 1993; Zhang and Einstein, 2000]. Several methods for the estimation
of the mean of the real distribution of trace lengths have been proposed [Kulatilake
and Wu, 1984a; Lyman, 2003a; Mauldon, 1998; Pahl, 1981; Zhang and Einstein,
1998], and they may be used for such task. The variance of the distribution can
be estimated by assuming that the values of the variances of both distributions are
equal [Kulatilake et ah, 1993], although, recently, Zhang and Einstein [2000] have
shown examples that suggest that the assumption of equality between the coefficients
of variation of observed and real trace length distributions provides better results.
Statistical approaches have also been used in the literature in order to estimate
the distribution of discontinuity trace lengths. For instance, Villaescusa and Brown
[1992] extended the work of Warburton [1980a] in the context of maximum likelihood
methods [Laslett, 1982a] for estimation of trace length distribution parameters using
scanline sampling on rock exposures, whereas Lee et al. [1990] presented a similar
idea using areal sampling [Einstein, 1993; Lee et al., 1990]. Similarly, Song and Lee
[2001] estimated the length distribution of traces for the Poisson disk model, using
window or circular sampling of discontinuity traces.
The goal of this work is to estimate the real (i.e., corrected for biases) distribu
tion of discontinuity trace lengths, so that this distribution might be used to tackle
15
the inherently three dimensional problem of estimation of the distribution of disconti
nuity sizes (i.e., areal extent), that we need to solve in order to develop discontinuity
network models that adequately characterize the rock mass of interest. Though, the
identification of the type or structure of the trace length probability distribution is
not our main interest; rather, we are interested in working with a flexible model that
allows us to obtain reasonable estimates of the probability density without having to
make strong assumptions about the distribution type. Accordingly, in the methodol
ogy presented herein, we avoid the assumption of equality of the distributional forms
of measured and real trace lengths distributions,^ and we propose to approach the
inference problem by considering a broad family of target statistical distributions
e.g., by means of the use of mixture distribution models. That is, we work with a
target distribution that is flexible enough to mimic the main features of the real
(and unknown) distribution of trace lengths, emphasizing the predictive aspect of
the modeling problem, and allowing the observed data to select the most adequate
distribution for each case.
The methodology is based on the use of a statistical graphical model framework
to represent the relationships of conditional dependence or independence between the
random variables involved. We consider total trace lengths as unobserved random
quantities, and we compute the likelihood of the model by marginalizing over them.
Hence, censoring bias is inherently considered in the derivations, and we need no
In fact, we perform our analysis without even considering the distribution of measured trace
lengths.
16
further correction for it. In addition, we propose corrections for size bias, and we use
the likelihood function of the model to obtain maximum likelihood (ML) estimates
of the parameters of the target distribution. For that, we examine the use of the
Expectation-Maximization (EM) algorithm [Dempster et al., 1977], since this algo
rithm provides a natural method for exploiting the conditional independence relations
between the variables of the model, greatly simplifying the likelihood maximization
problem. The proposed method is illustrated by means of the use of artificial popula
tions of discontinuity traces, that we generate using Monte Carlo simulation methods.
Once that the populations of traces have been generated, we identify those traces that
would be observed at the rock outcrop; then, we use available information on observed
traces to obtain estimates of the parameters of the target trace length distribution
that we aim to infer.
We believe that this type of models based on a statistical analysis of observed
discontinuity trace data will gain even more significance in the years to come, as
traditional methods for discontinuity surveying [Priest, 1993b] are being replaced
by automated techniques, which allow more efficient and extensive acquisition of
discontinuity data in rock engineering projects [Hadjigeorgiou et al., 2003; Lemy and
Hadjigeorgiou, 2003].
17
2.2 Models for discontinuity generation and sampling
We assume that the data about observed discontinuity traces which we use in the
methodology are obtained from observations over a region, which we will refer to as
the sampling domain.'^ We assume that the rock outcrop is a planar surface, and we
consider that the sampling domain is a rectangular region of dimensions Wo x Ho
located within the rock outcrop. It is further assumed that the sampling domain
is contained within the generation domain, where we generateusing Monte Carlo
simulation methodspopulations of discontinuity traces for illustration and testing
of the proposed methodology. Figure 2.2 shows an example of the types of sampling
and generation domains that we use in this work.
In addition, we follow some assumptions that are commonly found in the literature
regarding the model used to represent discontinuities in the rock mass [Baecher et
ah, 1977; Warburton, 1980a; Zhang and Einstein, 2000]. Discontinuity traces are
obtained as the intersections of discontinuities with the rock outcrop on which the
sampling domain is located, and, accordingly, these assumptions have an influence on
the characteristics of the discontinuity traces with which we work. The assumptions
about the three dimensional discontinuity network model are summarized as follows:
^The use of sampling domainsalso known as sampling windowsof circular shape has been
common in the literature [Mauldon, 1998; Zhang and Einstein, 1998, 2000], as it provides a solution
to the problem of orientation bias. We choose to use rectangular domains, however, as they better
represent the shape of rock outcrops that are commonly available in real applications (e.g., road
cuts, walls in underground excavations, etc.), therefore allowing the use of the maximum possible
number of observed traces that intersect the sampling domain. (In Section 2.9 we show that the
number of observed traces observed has a significant impact in the exactitude of the predictions).
For other methods to correct for orientation bias, see e.g., Laslett [1982b]; Mauldon and Mauldon
[1997]; Priest [1993b]; Terzaghi [1965]; and Wathugala et al. [1990].
18
Hn
Generation
Domain
Sampling
Domain
(0, 0)
Figure 2.2: Sampling domain and joint generation domain.
19
Discontinuities are assumed to be flat circular disks. Since the rock outcrop
with which they intersect is assumed to be a planar surface, the intersections
(i.e., the discontinuity traces) will be observed as straight lines on the sampling
domain.
Discontinuities have negligible thicknesses. Therefore, the corresponding ob
served traces have negligible thicknesses as well.
Discontinuities are parallel to each other. Accordingly, traces will also be paral
lel to each other. In addition, we consider that discontinuity traces are oriented
parallel to the vertical side of the rectangle used as sampling domain, which has
dimension Ho- (See Figures 2.2 and 2.3 for an example).
The location of centers of the circular disks representing the discontinuities in
space follows a Poisson process. Accordingly, the centers of discontinuity traces
are uniformly distributed within the generation domain.
In addition, we assume that the size of the generation domain is much bigger
than the size of the discontinuity traces, and we also assume that it is much bigger
than the size of the sampling domain, so that we can assume that the consequences of
biases, edge effects, or both (see Section 2.3) are negligible in the generation process.
In particular, we assume that the distribution of lengths of traces located within the
In this work we use a generation domain that is at least one order of magnitude bigger than the
sampling domain or the mean of the generation distribution, whichever larger. For a more detailed
analysis of the influence of generation parameters in the occurrence of edge effects, see Chan [1987].
2 0
generation domain follows the statistical distribution that was used for generation
in the Monte Carlo method. The proposed methodology is then expected to pro
vide trace length distribution estimates that are similar to the real trace length
distribution originally used for the generation of traces.
2.3 Existing biases
2.3.1 Description of types of bias
The finite size of the sampling domain from which observations of traces are
obtainedtogether with the orientation of the sampling domain with respect to the
orientations of discontinuities in the rock massintroduces a number of biases in the
samples of observed discontinuity traces with which we make our estimation analysis.
In consequence, we need methods to correct for these biases if we want to have
reasonable estimates the real distribution of discontinuity trace lengths. Zhang and
Einstein [1998, 2000] provide an in-depth description of the biases involved in the
context of this problem; they may be summarized as follows:
1. Orientation bias, which occurs because discontinuities whose pole is oriented
in a direction approximately parallel to the rock outcrop are more likely to
intersect the sampling domain than discontinuities whose pole is orthogonal to
that plane.
We also refer to the trace length distribution used for generation of traces as the real trace
length distribution in the remaining of this chapter.
21
2. Size bias, which is associated with the occurrence of two effects:
(a) Larger discontinuities are more likely to intersect the reference outcrop, in
which the sampling domain is located, than smaller ones.
(b) When traces formed by discontinuities intersecting the reference outcrop
are considered, longer discontinuity traces are more likely to intersect the
sampling domain than shorter ones.
3. Truncation bias, which occurs because traces that have sizes smaller than a
lower threshold might not be sampled during the data acquisition stage of the
site characterization process, due to technological or efficiency reasons.
4. Censoring bias, which occurs due to traces which are only partially observed.
That is, at least one of their extremes is not included within the sampling do
main and, therefore, there is no information about how much the trace extends
beyond what is observed. Accordingly, the length of censored traces remains
unknown and we only have information regarding length lower bounds.
Orientation bias was originally presented by Terzaghi [1965], who proposed cor
rections for the case of discontinuities of infinite size. More general solutions have
been have been developed since [Kulatilake and Wu, 1984b; Mauldon and Mauldon,
1997; Wathugala et al., 1990], and sampling techniques using circular windows have
been proposed in order to eliminate orientation bias [Mauldon et al., 2001; Zhang and
Einstein, 1998, 2000]. For simplicity, in this work we consider a single discontinuity
22
set with parallel orientations [Mauldon, 1998; Mauldon et al., 2001; Pahl, 1981; Song
and Lee, 2001] and, therefore, orientation bias will not affect the results presented
herein. (For an extension of the ML formulation to consider variable orientation
trace data obtained from convex windows, see Laslett [1982a, bj). Similarly, trunca
tion bias is not significant in this study, since the truncation threshold is usually set
(or may be easily decreased) to a value low enough so that it has negligible influence
on the formation of medium to large size blocks, which are the ones of main interest
in engineering design context.
The problem of censoring bias is, on the other hand, a more significant issue,
since it prevents tracesespecially those with larger size, which will be censored
with a higher probabilityfrom being completely observed. In particular, censoring
bias causes observed trace lengths to be shorter than the corresponding real trace
lengths, thus making the observed trace length distribution to be biased toward lower
values. This is considered to have negative safety consequences in the analysis, as
larger discontinuities are more likely to produce larger blocks, hence, in the event of
failure, greater consequences.
Finally, we have the problem of size bias. Since we are working with discontinuity
traces (instead of working with discontinuities in space, which we do not observe),
size bias of Type (2a) is not relevant in this case, and we do not discuss it further.^
On the other hand, size bias of Type (2b) is indeed relevant, and the sampling domain
^This problem is, however, relevant when estimating the discontinuity size distribution from
estimates of discontinuity trace length distributions.
2 3
will be preferably intersected by traces of larger length. One alternative would be to
ignore this issue, with the argument that this simplification is on the side of safety.
The explanation is that, since the population of discontinuity traces that intersect
the sampling domain is biased toward larger traces, stability analysis performed using
those estimates will suggest the need of more extensive stabilization measures than
would be necessary if the real (i.e., not length biased) distribution was used instead.
We believe, however, that it is better to have as exact methods of estimation as possi
ble, so that more efficient engineering solutions may be proposed for the increasingly
challenging type of design problems that the rock engineering community is facing.
Thus, a solution to the problem of size bias is discussed in Section 2.3.2.
2.3,2 Correction for size bias
Size bias occurs because longer traces are more likely to intersect the sampling
domain than shorter ones. Accordingly, the sample of observed (and censored) traces
used to infer the distribution of trace lengths does not correspond to the real pop
ulation of traces whose length distribution we aim to infer. Figure 2.3(a) shows an
example of one such biased sample of discontinuity traces.
We use / (I) t o refer to the probability density function ( p d f ) of the distribution
of total (i.e., not censored) lengths of observed (i.e., sampled) traces. In order to
correct size bias, we need a mathematical expression that would allow us to obtain
the PDF of the real trace length distribution, f{l), from estimates of f' {l). Facing
2 4
til
o
o
o
o
in
I
o
o
T
0 100 150 -150 -100 -50 50
W
(a) Biased sample obtained from traces that intersect the sampling
domain (observations not censored).
o
It
o
C>J
o
o
o
-80 -60 -40 -20 0 20 40 80 80
w
(b) Censored observations of traces intersecting the sampling do
main, for the same sample shown in previous figure.
Figure 2.3: Typical examples of observed trace maps.
2 5
a similar problemin the context of length estimation of textile fibersCox [1969]
proposed a correction for sampling bias due to size effects, in which he considered the
probability of sampling a certain fiber with a sampling line to be proportional to the
fiber length. Similarly, we consider that the probability of having a trace of length
L = I intersecting the sampling domain is proportional to I -\- Ho-, where Ho is the
vertical dimension of the sampling domain. Using the assumption that the locations
of trace centers are uniformly distributed within the sampling domain, we have:
f ' ( l ) < x K , { l + H o ) f { l ) . (2.1)
Then, imposing the condition that f (I) dl 1, we obtain that K i Ho)~^.
Accordingly,
/ ( i ) = m. (2.2)
where yw/ is the mean of the (unknown) real distribution of discontinuity trace
lengths, / ( / ) , which we aim to infer.
In other cases, however, we will find it more convenient to work with the distri
bution of total lengths of observed traces, f (I). In that case we cannot use Equa
tion (2.2) directly (we cannot compute because we do not know the distribution
/(/)), and we obtain the proportionality constant as a function of the distribution
Reproduceci with permission of the copyright owner. Further reproduction prohibited without permission.
2 6
f' {l). From Equation (2.1), we have:
/(!) oc (2.3)
and, again, imposing the condition that f {l )dl = 1, we obtain the proportionality
constant to be K2 = (/q di y^. Therefore, the PDF of the estimated real
distribution of discontinuity sizes is given by:
/ ( / ) = ------ ]--------------------------------------------------- (2.4)
2.4 Statistical graphical model
In order to overcome difficulties due to the uncertainty about the most adequate
type of distribution to be used in real applications, we propose the use of target
distributions represented by mixture distribution models. Mixture models establish a
grouping distinction between the available observations and reduce the consequences
that the election of a particular distribution type has in the obtained results, hence
providing increased flexibility for trace length inference, and thus broadening the class
of probability distributions that may be adequately reproduced by the model. For a
mixture of K components, we have:
K
p{x\Q) = '^'KiPi{x\di), (2.5)
2 7
where tt = (tti, . . . , ttk) is the set of mixture proportions, with > 0 and X/i=i
1, and 0 = ( 01, . . . , 0 k ) is the set of parameters of the distribution considered for
each mixture component. Pi(-\0i) is then the PDF of component i in the mixture,
and 0 = (7T,0) is used to indicate the complete set of parameters of the mixture
distribution.
We use No to denote the number of discontinuity traces observed at the sampling
domain, and we characterize each observed trace by means of a number of random
variables. For instance, we use Z, (a discrete random variable that can take values ^ G
{1, . . . , K}), to represent the mixture component to which each trace is assigned. In
addition, as shown in Figure 2.4, we use random variables L, Lg, and C. L represents
the total trace length of observed discontinuities; as discussed in Section 2.3i.e.,
due to censoring biasthis random variable is not observed in general. Alternatively,
we have two other random variables that are observed: Lo, which represents the
observed trace length (it is therefore a lower bound for random variable L), and
random variable C, which represents the corresponding censoring conditions. We
consider the censoring conditions described in Table 2.1, depending on the number and
the type of intersections (if any) between the discontinuity trace and the boundaries
of the sampling domain.
Based on the dehnitions presented above, we use the statistical graphical models
In this section we also present a model in which the target trace length distribution is modeled
using a single statistical distribution (see Figure 2.5(a)). We use that simplified model (that may
be considered as an special case of the mixture target distribution model) for illustration of some
aspects of the methodology and, in particular, of the EM algorithm.
2 8
C = 2
Sampling
domain C = - l
C = 0
L = L
C = 1
A
Hr,
y
Figure 2.4: Representation of random variables considered for different types of
observed discontinuity traces.
Reproducecl with permission o f the copyright owner. Further reproduction prohibited without permission.
2 9
Value: Description:
C = 1 The discontinuity trace is located outside of the
sampling domain (i.e., the discontinuity trace is not
observed).
(7 = 0 The discontinuity trace is located inside of the sam
pling domain, and it does not intersect its bound
aries.
( 7 = 1 The discontinuity trace intersects one of the bound
aries of the sampling domain. It is therefore cen
sored on one side, while the other side of the dis-
continuity trace is observed within the sampling do
main.
C = 2 The discontinuity trace intersects both boundaries
of the sampling domain. It is therefore censored on
both sides, and none of the extremes of the trace
are observed.
Table 2.1: Different censoring conditions that may possibly occur for a discontinuity
trace.
presented in Figure 2.5. Edges joining the different random variables in the model
are used to denote relations of conditional dependence between them. In addition,
we follow the convention that shaded nodes in graphical models represent observed
random variables, while non-shaded nodes represent unobserved variables. We have
observations of the observed length, Lo, and of the censoring conditions, (7, of ob
served discontinuity traces, while, in general, we do not have information about the
real length of discontinuities, L. Furthermore, in the mixture component case (see
Figure 2.5(b)), we do not have information about the mixture component to which
the observation is assigned either, and, therefore, we treat random variable Z as
unobserved as well. Figure 2.5 is a plate representation denoting statistical indepen
3 0
dence between observations in our sample; that is, our sample is composed of a set of
No observations corresponding to statistically independent and identically distributed
random variables.
(a) Graphical model for the problem (b) Generalization of previous model
of trace length estimation using a sin- to consider a target distribution given
gle target distribution function. by a mixture of probability distribu
tions.
Figure 2.5: Proposed graphical models.
In Figure 2.5(a) we present a simple graphical model in which the target real
trace length distribution is represented by a single probability density function.
We will use this simple model to derive the conditional relations between random
i.e., the distribution that we use to represent the real distribution of trace lengths, whose
parameters, 0 , we aim to infer.
31
variables L, C, and Lg, and we also use this model to present some of the more
significant properties of the EM algorithm, which we use to solve the maximum
likelihood estimation problem. Given the simplicity of the model, we include the
size bias correction (see Equation (2.2)) in the derivation of the probability model.
In that way, the resulting maximum likelihood distribution parameters should be
similar to those used for generationâs long as the same distribution types are
used for generation and target.
In Figure 2.5(b) we present a more elaborate and flexible model, in which we
use a mixture of probability distributions in order to represent the target distribu
tion of real trace lengths. In this case, however, the model is not as simple as in
Figure 2.5(a), and we cannot include the size bias correction in the derivation while
still maintaining the computational advantages of the EM algorithm. We therefore
proceed by first estimating the distribution f (I) of trace lengths for the (size biased)
sample of observed traces that we have, later correcting for size bias (using Equa
tion (2.4)), to obtain the distribution of inferred real discontinuity trace lengths,
^Here, the term similar is used in a loose sense. We use data generated using statistical sim
ulation methods and, accordingly, the obtained results are expected to differ between different ap
plications of the methodology. In order to study the overall performance of the method, we apply
the inference methodology several times for each set of input parameter values considered (see Sec
tion 2.9), and we use the obtained data to assess the overall adequacy of the obtained results.
^În the mixture component case, the EM algorithm allows the maximization of the likelihood
function of the model with respect to its parameters, 0 , in an uncoupled way. That is, instead of
obtaining the estimates of 0 in an uniqueand largeoptimization problem, we obtain the max
imum likelihood estimates of K smaller subproblems, which provide the parameters, Bi, of each
mixture component that provide a local maximum of the log likelihood. In order make use of the
computational advantages of the EM algorithm, however, we cannot use the size bias correction
presented in Equation (2.2), since the mean of the target distribution depends on 0 , and the op
timization problem would not be uncoupled anymore. (The EM algorithm is further described in
Section 2.5).
3 2
m -
2.5 Maximum likelihood estimation of trace length
distribution parameters
2.5.1 Introduction
In this section we first introduce the proposed inference methodology in a general
way and, later, we particularize for the problem of discontinuity trace length distri
bution estimations^ We use X to denote the set of observable variables (i.e., in our
problem X corresponds to the observed trace lengths, Lo, and censoring conditions,
C, of observed discontinuity traces), and we use Y to denote the set of unobserved
variables. The probability model is given by the distribution p{x,y\&), where 0
denotes the set of parameters of the model.
In case that random variables Y were observed, the log likelihood of the model
(which we refer to as the complete log likelihood) would be obtained as follows:
lc{Q; X, y) = logp{x, y|0). (2.6)
^^Here, we present only a brief summary of the EM algorithm based on the work by Jordan
[2003]. For a more in-depth discussion, the interested reader is referred to the statistical literature.
The seminal reference on the EM algorithm is Dempster et al. [1977], while Redner and Walker
[1984] discuss the problem of maximum likelihood estimation in the context of mixture densities.
Additional references of interest are Cowell et al. [1999] and Jordan [2003].
3 3
Random variables Y are, however, not observed by definition, and the likelihood
of the model for observed data X = x has to be computed by marginalizing over
the unobserved variables in Equation (2.6). The incomplete log likelihood of the
probability model is then given by:^^
/(0; x) = logp(a:|0) = log y\Q). (2.7)
y
Unlike in Equation (2.6), the logarithm in Equation (2.7) is separated from the
probability term by the marginalization (i.e., summation or integration) expression.
This has the undesirable consequence that we cannot directly exploit the conditional
independence structure of the probability model, i.e., we cannot use the factorizations
of p{x,y\Q) to simplify the maximization of the logarithmic term in Equation (2.7)
by maximizing each factor independently; that is, the model does not decouple.
The Expectation-Maximization (EM) algorithm provides a simple, general method
for the solution of the problem of maximum likelihood parameter estimation in graph
ical models with unobserved nodes. An alternative approach would be to use a nonlin
ear optimization algorithm, such as conjugate gradient or Newton-Raphson methods
[Jordan, 2003; Xu and Jordan, 1996]. The EM algorithm, however, is easily applica
ble to arbitrary graphical models with unobserved variables, with the advantage that
it allows us to use the graphical structure (i.e., the relationships of conditional de-
13i
^Here, we use the summation sign to indicate marginalization. The derivation would be
equivalentwith the use of integrationin the case of continuous random variables.
3 4
pendence or independence) of the probability model to its full extent. This provides
significant computational advantages, particularly in the case of mixture models with
several mixture components, which we propose to use as target distributions.
2.5.2 The EM algorithm
The EM algorithm uses an averaging distribution, q{y\x), in order to obtain the
expectation of the complete log likelihood with respect to the unobserved random
variables of the model. The expected complete log likelihood is defined as:
(/c(0; X, y ) ) g = ^ q{y\x, Q) l c { Q; X, y) (2.8)
y
= ' ^ q{ y \ x , Q) l ogp{ x , y \ e ) . (2.9)
y
In that way, the uncertainty introduced by the unknown values of Y is removed,
and, for a set of observations X = x, the expected complete log likelihood is a de
terministic quantity that only depends on 0 it can, therefore, be maximized using
standard optimization techniques. It also inherits the good computational properties
of the complete log likelihood, since the log expression in Equation (2.9) is directly
applied to the complete probability model, allowing us to exploit the existing factor
izations (i.e., conditional independence relations) in the statistical graphical model.
To arrive at the relationship between the expected log likelihood and the log
likelihood which we aim to maximize, we define, for an arbitrary distribution q{y\x),
3 5
an auxiliary function C{q, 0) which is a lower bound to the log likelihood [Jordan,
2003]:
^ Q, Q) = 5 1 ^ ^)- (2-10)
The EM algorithm provides a coordinate ascent algorithm on the function C{q, 0).
At the {t + l)-th iteration (i.e., for current parameter estimates 0^*^), we maximize
the auxiliary function (g, 0*^*^) with respect to the averaging distribution, q^^'> >
g(*+i)_ Then, we proceed to update the values of the parameters 0^*^ 0^*+^\ by
maximizing again the auxiliary function in Equation (2.10). Summarizing, we have:
E-step:
= argmax (g, 0(*)), (2-11)
M-step:
0h+b = argm|x(g(*+^),0). (2.12)
The M step may also be shown to be equivalent to maximizing the expected
complete log likelihood in Equation (2.9) with respect to 0 . For that, we express the
3 6
auxiliary function in terms of the expected complete log likelihood;
C{q,
= ' ^q{y\ x) \ ogp{x, y\ Q) - ^ q { y \ x ) logq{y\x) (2.14)
y V
= { l c { 0 ] X, y ) ) g - q{y\x) \ogq{y\x), (2.15)
y
where ' ^yq{y\x) log q{y\x) is independent of 0.
The maximization in the E step is achieved, at each step of the algorithm, by
the election of a specific averaging distribution of the form q^^~^^^y\x) = p{y\x, 0^*^).
It may be shown that this election of averaging distribution not only maximizes the
auxiliary function (g, 0), but also assures that the auxiliary function and the log
likelihood are equal at each iteration of the algorithm. That is,
(p(t/|a;,0(*^),0(')) (2-16)
y
= logp(a;|0^*^) (2.18)
= l{e^^^-,x). (2.19)
Since C is a lower bound for l{Q^^^;x), finding a local maximum of the
auxiliary function is equivalent to finding a local maximum of the log likelihood, and
3 7
the EM algorithm therefore provides a local optimum to the maximum likelihood
parameter estimation problem.
2.5.3 Likelihood functions
In this section we present the likelihood and auxiliary functions corresponding to
the statistical graphical models described in Section 2.4. We start with a simplified
model (see Figure 2.5(a)), in which the target distribution is defined by a single dis
tribution function and the size bias correction is directly included in the formulation.
We then generalize the formulation to account for cases in which the target distri
bution is given by a mixture of statistical distributions (see Figure 2.5(b)). In both
cases, we use T>c to denote the complete set of data that we would have in case that
we were able to observe the unobserved variables (i.e., the non-shaded nodes in the
graph) of the model, and we use T>o to refer to the observed data that we actually
have. Vo is given by the set of observed trace lengths and censoring conditions of the
No
population of No observed discontinuity traces. That is, [ J
71=1
Based on the observed data, we can compute the (incomplete) log likelihood of
3 8
the proposed statistical model, as follows:
.14
/ ( 0 ; P ) = l o g p ( P | 0 ) (2.20)
No
= l o g n ^ c , Z | 0 ) (2.21)
n=l
No
= ^l ogp(c, (| e). (2.22)
n=l
Model with single tairget distribution
In this case the target distribution is composed by a single statistical distribution.
Accordingly, the complete set of parameters of the model is limited to the parameters
of the distribution (i.e., Q = 9). In case that we had observations of all the random
No
variables in T>c = \^{l , c, l o}n, the complete log likelihood of the model would be
n=l
computed as:
h{9-,V,) =logp{V,\9) (2.23)
No
= log Y[ p{ l , c, l o\ 9) (2.24)
n=l
No
= ' ^ l o g p{ l , c, l o\ 9). (2.25)
n=l
the derivations below, when we use variables I, lo, c, and ^ we are in fact referring to the
value of the total trace length, observed trace length, censoring condition, and mixture component
that correspond to the n-th trace of the sample of N observed traces with which we work. In order
to lighten the notation, however, we avoid making explicit reference to n when using these variables.
3 9
Using the averaging distribution q{l\c, lo), we may additionally compute the expected
complete log likelihood, obtaining:
U0-, Vo)), = I q{l\c, lo)lc{0; Vc)dl (2.26)
No
= Y l ô) logp(i, c, l o \ 6 ) d l . (2.27)
The auxiliary function is related to the log likelihood functions. In order to obtain
the auxiliary function, we start from the incomplete log likelihood (Equation (2.22)),
which we then express in terms of the complete log likelihood:
No
l{6 -Vo) ^ ^ l o g p { c , l o \ e ) (2.28)
n=l
No o
= 5 ] log p { l , c , l o \ e ) d l (2.29)
n=l 0^
= fq(l\c, Q dl (2.30)
^ Ji q{i\c,io)
Model with mixture target distribution
In this case (see Figure 2.5(b)), for a mixture distribution with K components,
the set of parameters of the model that we aim to obtain is given by:
0 = (7ri,0i;... (2-32)
4 0
with the constraint that rci = I, with tTj > The second difference is that we
need to include random variable Z (the mixture component to which the observation
No
is assigned) in the set of complete data (i.e., {z, I, c, lo}n)- Then, the complete
n=l
log likelihood is given by:
/,(e;Pe)=logp(Dc|0) (2.33)
No
= log Y[p{z, I, c,lo\Q) (2.34)
n=l
No
= ' ^ l o g p ( z , I, cJo\0). (2.35)
n=l
We compute the expected complete log likelihood using q{z,l\c,lo) as the averaging
distribution,
(2.36)
No .
q{z, l\c, lo) logp{z, I, c, l o \ Q ) d l , (2.37)
n=l 2
and the auxiliary function results in:
^(4)0) = 5 ^ X I / g(^> lo) log - dl. (2.38)
re=l 2 dl
^^There may be additional constraints on the domain of the parameters 6i that form an acceptable
solution set for the distribution of each mixture component. For instance, if we use normal random
variables as mixture components, an additional constraint is that they should all have positive
variance. These constraints depend, however, on the types of statistical distributions that are used
as target in each mixture component and we do not discuss them in depth here.
41
2.5.4 Convergence criteria
The stopping criteria that we use to assess convergence of the EM algorithm
considers ML parameter estimates obtained at successive iterations of the algorithm,
so that convergence is assumed to be achieved when the following conditions are
fulfilled:
|A7rf+'^| < with i = (2.39)
and,
|/\a(*+l)| âbs I reZm(t+l)|
1< + 6 0 j I,
i
(2.40)
where Att^ is the change in the Lth mixture proportion estimate,
and is the change in the estimates of the j- t h distribution
f'lj ('ij îj ^
parameter of the i-th mixture component.
An alternative to this method would be to assess the convergence of the EM al
gorithm using a convergence criteria based on successive values of the auxiliary func
tion,^ as follows;
|A(*+^)| < + with i = 1, . . . , AT, (2.41)
where is the change in the value of the auxiliary function at each iteration of
the algorithm.
16
Equivalently, of the log likelihood function.
4 2
In both cases, the (t + 1) superscript refers to the updated (i.e., current) estimate
of the parameters, while the (t) superscript refers to the previous estimate, and
and indicate the tolerances to be fulfilledin relative and absolute termsfor
convergence of the algorithm.
2 . 6 Complete probability models
The complete probability models presented in this section are used to compute
the expected complete log likelihood of the statistical models for estimation of trace
lengths (see Equations (2.27) and (2.37)), given available observations of discontinuity
traces in the sampling domain. As presented in Section 2.5, the expected complete
log likelihood is the quantity that we maximize with respect to the target distribution
parameters at the M step of each iteration of the EM algorithm.
In the case of the simplified model with a single target distribution (see Fig
ure 2.5(a)), we need to compute a complete probability model of the form p{l, c, lo\0),
where 9 is the set of parameters of the target distribution considered. Having taken
into account the relations of conditional independence between the random variables
of the model that are implied by the graphical model, the distribution of p{l, c, lo\9)
4 3
may be factorized as follows:
p{l, c, lo\9) =p{l\0) p{c, lo\l, 6 ) (2.42)
=p{l\9) p{c\l, 6 ) p{lo\c, 1,9) (2.43)
=f {l\ 9)p{c\l ,9)p{l o\ c, l, 9), (2.44)
where f'{l\9) represents the PDF of the (size biased) distribution of trace lengths
for traces intersecting the sampling domain only. Using the correction for size bias
presented in Equation (2.2), we obtain the following complete probability model:
!>(*c, m = (J: nm pî. ) pVohi,), (2.45)
Pf{0) + Ho
where Pf(9) is the mean of the real (i.e., corrected for bias) distribution of discon
tinuity trace lengths, f {l ), for distribution parameter values 9.
Similarly, in the model using a mixture distribution as target (see Figure 2.5(b)),
the expected complete log likelihood in Equation (2.37) is computed as a function
of the distribution p{z, I, c, /o|)- This distribution may be factorized considering the
4 4
.17
relations of conditional independence in the model, as follows:
p{z, I, c, /o|0) =p{z, ^|0) p{c\l, 0 ) p{lo\c, 1,0) (2.46)
= j P(l'. ) P(o\c, 1,0 ) (2.47)
= ( n h / i ( ' l i ) l " ) p ( c \ l , e ) p ( l o \ c , l , e ) , (2.48)
where fi{l\Oi) is the PDF of the i-th mixture component of the target trace length
distribution, The set of parameters, 0 , of the target distribution is composed by
the mixture proportions, tt = {tti, . . . , ttk}, and the distribution parameters for each
mixture component, 9 = {9i , . . . , 9k}- That is, if we consider a target distribution
with K mixture components, then f (I) is given by:
K
= (2.49)
i=l
In this case, however, we do not include the correction for size bias in the deriva
tions of the probability model. That is, we start estimating the parameters of the
distribution of trace lengths for sampled traces only, f' {l). Once f (I) is obtained,
we perform the correction for size bias presented in Equation (2.4) and obtain the
^^Note that the parameters used to represent the distributions of every mixture component of
the target distribution are found in different factors in the probability model presented in Equa
tion (2.48), i.e., they are decoupled. The EM algorithm allows us to gain computational advantage
of this observation, since it allows us to maximize the expected complete log likelihood in Equa
tion (2.37) independently for each mixture component distribution, simplifying the maximum like
lihood estimation problem. For further discussion of the optimization performed in the M step of
the algorithm, see Section 2.8.
4 5
estimated real trace length distribution of discontinuity traces,
In order to complete the probabilistic description of the factorized models pre
sented above, we still need to obtain expressions for the conditional distributions
p{c\l) and p{lo\c,l) in Equations (2.45) and (2.48). To that end, in Figure 2.6 we
identify regions where the center of a trace of length L = I should be located to have
the censoring conditions presented in Table 2.1.^ We use the relative sizes of those
regionswith respect to the total size of the region for which traces oi L = I (with
any censoring condition) are sampledin order to derive the conditional distributions
of p{c\l) and p{lo\c, I). The distributions are derived independently for each censoring
condition; that is, we consider traces with no censoring {C = 0), traces censored on
one side (C = 1) and traces censored on both sides {C = 2).
2.6.1 Traces with no censoring
In this case we work with traces that are completely contained within the sam
pling domain. Therefore, given that we are dealing with vertical traces, these traces
Âs already mentioned, / (1) is biased toward longer lengths with respect to the real trace
length distribution. The problem with the introduction of the size bias correction in the derivation
is associated to the computation of p / ( 0 ) . If, as we did in Equation (2.45), we introduce size
bias correction at this stage, we would find that the complete probability model in Equation (2.48)
does not decouple, and therefore we cannot take computational advantage of the structure of the
decoupled model. Not obtaining estimates of the parameters of the distribution f { l ) is not considered
to be a problem, however, since we are mainly interested in the predictive capabilities of the mixture
distribution, rather than in the individual values of the distribution parameters.
^We observe that the regions are completely def ined (i.e., deterministic) once the real value
of the trace length { L = I) is specified. We also observe thatas expected, given the proposed
graphical modelsthe conditional distributions p{ c, I, 0 ) and p{ lo\ci U0 ) that appear in the expected
complete log likelihood expression are independent of the parameters of the target distribution, (i.e.,
p{ c\l, 0 ) = p{ c\l) and p{ lo\c, 1, 0 ) = p{ lo\c, I))- Accordingly, in order to lighten the notation, we avoid
further reference of these parameters in the derivations of p{ c\l) and p{ lo\c, I).
46
Sampling
domain
( 7 = 1
Censoring on
one side
No censoring
I_______________________________________ I
(a) Censoring conditions for traces of length I < Ho
(/2
^2
1/2
^2
Figure 2.6: Regions corresponding to possible censoring conditions for traces of
length L = I, depending on the location of their center.
4 7
Sampling
domain
C = 1
Censoring on
one side
Censoring on
both sides
L_ I
Censoring conditions for traces of length Z>
^ 2
It.
^ 2
^2
Figure 2.6 (cont.): Regions corresponding to possible censoring conditions for
traces of length L = I, depending on the location of their center.
4 8
necessarily have length I < Ho, and their centers are located within the No censoring
region in Figure 2.6(a). We also assume (see Section 2.2) that the location of trace
centers follows a uniform distribution within the generation domain. Accordingly, we
may compute the conditional probability p{c\l) considering the size of the No cen
soring region with respect to the total size of the region for which traces with any
censoring condition are sampled, obtaining:
p{c =o | 0 =
Ho+l
if 0 < I < Ho
(2.50)
0 otherwise.
Next, we compute the conditional probability p{ l o\ c, l ) . In this case we have no
censoring of the observation, and the observed trace length is assured to be equal to
the real length (i.e., I = lo). The distribution may then be expressed as:
p { l o \ C = 0 , l )
S { 1 - l o ) i f O < l < H o
0 otherwise.
(2,51)
where 5{l lo) is the (continuous) Dirac delta function.
2.6.2 Traces censored on one side only
The conditional distribution p(C = l\l) is also computed using the assumption
of uniform location of trace centers within the generation domain, and considering
the size of the regions labeled as Censoring on one side" in Figure 2.6(a) and Fig-
4 9
ure 2.6(b), with respect to the total size of the region for which traces are sampled.
We obtain the following distribution:
21
H o+ l
i i 0 < I < H o
p { C=l \ l ) = <
i f ] > H
H o+ l -f o
0 otherwise.
(2.52)
Since we assume that the distribution of trace center locations is uniform, the
conditional distribution of observed trace lengths p { l o \ C = 1 , 1 ) is uniform as well.
The resulting conditional distribution is then:
7 i l 0 < l o < I ] I < H o
p { l o \ C = 1 , 1 ) = ^ ^ i l O < l o < H o - , l > H o ( 2 . 5 3 )
-ô
0 otherwise.
2.6.3 Traces censored on both sides
In this case the trace length is longer than the sampling domain dimension (i.e.,
I > Ho). As in previous cases, we use the assumption of uniformly distributed trace
center locations, and we compute the conditional distribution p{C = 2 \l) considering
the ratio between the size of the Censoring on both sides" region and the total size
5 0
of the region in which traces are sampled. We obtain:
p { C = 2\l) =
l - H ,
^ if I > Ho
l+Ho
(2.54)
0 otherwise.
The observed trace length is equal to the sampling domain dimension (i.e., =
Ho) and, accordingly, the conditional distribution of observed trace lengths, p{ l o\ c, /),
may be expressed in terms of the Dirac delta function, as follows:
p { l o \ C = 2 , 1 ) = <
S { l o - H o ) i i l > H o
0 otherwise.
(2.55)
2.7 Averaging distributions
In this section we present the averaging distribution that maximizes the auxiliary
function at the E step of the EM algorithm. The averaging distribution is also used
to compute the expected complete log likelihood, that we maximize in the M step.
In Section 2.5.2 we showed that the election of the averaging function only needs to
be performed a single time; in particular, we show that the distribution q{y\x, 9) =
p{y\x,9) assures that the solution obtained with the EM algorithm is in fact a local
optimum of the log likelihood function.
Accordingly, in order to use the EM algorithm in the context of this pr obl e m, we
20
In Section 2.5.2 we used a general notation to introduce the EM algorithm, in which x represents
51
need to derive expressions for the conditional distributions of the unobserved nodes,
conditioned on given values of the observed nodes. In the presentation below, we
proceed in a similar fashion as before, and we start with the simplified model in which
we consider a single target distribution. This model is later extended to consider the
mixture model case. In both cases we derive the probability distributions for traces
with no censoring, traces with one side censored, and traces with both sides censored.
2.7.1 Model with single target distribution
In this case, we use the averaging distribution q{l\c,lo,&) = p(^|c, for the
computation of the expected complete log likelihood (see Equation (2.27)). Using the
definition of conditional probability we express p{l\c,lo,0 ) in terms of the complete
probability models presented in Section 2.6. Marginalizing with respect to I in the
denominator, we obtain:
/ 7| I p(^) 0, ô|^) /r) rf>\
*( 1
- (2.57)
/ p ( Z , c , l o \ 6 ) d l '
As we did in Section 2.6 for this simplified model, we include the size bias cor
rection in the formulation. The conditional distributions for traces with different
the set of observed variables, and y is the set of unobserved variables. In the context of the trace
length estimation problem, x is composed by the observed trace length and censoring conditions for
each observed trace (i.e., x = { c, = 1, . . . , No), and y is composed by the corresponding real
trace length and the mixture component to which the observation is assigned (i.e., y = { l , z } i , i =
I, . . . , No}).
5 2
censoring conditions are shown below.
Traces with no censoring
As in Section 2.6.1, in this case we do not have the problem of censoring bias
and we can express the conditional distribution of interest by means of Dirac delta
functions:
I
S( l - l o) i i O<l o <Ho
(2.58)
0 otherwise.
Traces censored on one side only
In this case we face the problem of censoring bias. Substituting the conditional
distributions presented in Equations (2.52) and (2.53) into the complete probability
model presented in Equation (2.45), we obtain the following distribution (defined for
0 < lo < Ho and I > 0, with p{l\C = 1, lo, 0) = 0 otherwise):
i - F { i o \ e y
where f{-\9) is the PDF of the real distribution of discontinuity trace lengths (i.e.,
corrected for bias), and F(-\6 ) is the corresponding cumulative distribution function
(cdf), given the distribution parameters, 9.
53
Trace censored on both sides
The averaging distribution is obtained in a similar fashion as before. That is, we
substitute the conditional distributions in Equations (2.54) and (2.55) into the prob
ability model given by Equation (2.45), obtaining the following distribution (defined
for l o = H o and I > H o , with p{l\C = 2, l o , 9 ) = 0 otherwise);
p { l \ C = 2 , k , 0 ) = V u ) -
i n f { l \ 9 ) { l - l o ) d l
2 . 7 . 2 Model with mixture target distribution
In this case the conditional distribution q{z, l\c, l o , 0 ) = p{z, l\c, l o , 0 ) is used for
the computation of the expected complete log likelihood in Equation (2.37). Having
taken into account the conditional independence of random variable Z with respect
to random variables C and Lo that is implied by the statistical graphical model, we
may express p{z, l\c, Ig, 0) as:
p{z, l\c, lo, 0) = p{z\l, 0) p{l\c, lo, 0). (2.62)
We start with the distribution p{z\l, 0). We use a multinomial distribution, with
K possible values, representing each of the mixture families considered. Using Bayes
5 4
theorem, we obtain:
, , , 3 )
(2.64)
K
where / ' ( / | 0 ) = ^ TTj fj{l\dj) is the PDF of the distribution of total trace lengths for
j=i
sampled (i.e., length biased) traces, and random variable Z has values Z = 1 if the
trace observation is assigned to the z-th mixture component, and Z = 0 otherwise
(i.e., 2 := 1). Also, we make use of the property of the multinomial distribution,
by which:
E[Z|Z,0] =p(Z = l | / , 0) . (2.65)
The conditional distribution p(/| c, / o, 0) is then obtained using the same idea as
in Section 2.7.1:
P{l,cJo\Q)
p{l\c,lo,Q) , j (2.66)
PyC, t o | 0 )
^ p(.t, c, QQ)
p { i , c , Q e ) d i '
where p{l, c, io|0) is given by:
(2.67)
p{l, c, ZOI0 ) = p(;|0) p{c\l) p{lo\c, I), (2.68)
5 5
and p{c\l) and p{lo\c, I) are obtained as in Section 2.6.^^ The conditional distributions
p{l\c, lo, 0) obtained for each censoring case are shown below.^^
Traces with no censoring
Since there is no censoring bias in this case, total trace lengths are identical to
observed lengths, and the conditional distribution may be expressed as we did in
Equation (2.58), obtaining:
p { i \ c ^ o , i o , e ) =
5{l - lo) i i O<l o <Ho
(2.69)
0 otherwise.
Traces censored on one side only
In this case we start from Equation (2.67), where we marginalize with respect to
the (unobserved) trace length. Substituting Equations (2.52) and (2.53) back into
Equation (2.68), we obtain the following distribution (defined for 0 < lo < Ho and
shown in Section 2.6, p{ c\l) and p{ lo\c, l) are independent of the parameters of the target
distribution, 0 .
^^The correction for size bias is not directly included in the derivation in this case; it is performed,
as we explained in Section 2.6, once that the total trace length distribution of observed traces,
/ (/|0) is obtained. Section 2.9 presents some results of (size bias corrected) real trace length
distributions obtained with this model.
5 6
I > 0, with p{l\C = 1, lo, 0) = 0 otherwise):
/ ' ( i | 9 ) p ( C = l | Q p ( i | C = l , 0 .
p(l\C , , 0 ) j~_f.(,|0)p(c> = i | i ) p ( y c ' = l,()<i( *
l+Ho
(2.71)
Trace censored on both sides
Here, we marginalize with respect to I in Equation (2.67), and we substitute
Equations (2.54) and (2.55) back into the probability model presented in Equa
tion (2.68), obtaining the following distribution (defined for = Ho and I > Ho,
with p{l\C = 2, lo, 0) = 0 otherwise):
MI C= 2 i 6) = f m ) p { c = m p ( o\c=2, i)
p(t\C j ~ ; . ( ( | e ) p ( c = 2| 0p(i o| C = 2,i)dl ' '
l - H n
(2.73)
2.8 M step optimization
As shown in Section 2.5, the maximization of the expected complete log likelihood
with respect to the parameters of the target distribution of discontinuity trace lengths
is performed in the M step of the algorithm, and it is equivalent to maximizing the
auxiliary function with respect to such parameters. Here we present the expressions
for maximization of the expected complete log likelihood for the case of a target
5 7
distribution given by a mixture of statistical distributions.
In Section 2.5.3, we obtained that the expected complete log likelihood for the
trace length estimation model employed is given by Equation (2.37). That is,
No o
q{ z, l\c, lo, 0) l ogp{ z , I, c, l o\ Q) dl . (2.74)
n=l 2
Substituting p { z , l , c , l o \ Q) , and q{ z , l \ c , l o, Q) , (see Equations (2.48) and (2.62), re
spectively), back into Equation (2.74), we obtain:
No o
{t(9 ; ) ) , = y \ T p{ z\ i , e ) p{ i \ c, k , e<>)
n=l 2 ^
K
^ ^ M o g + l ogp{ c\ l ) + l ogp{ l o\ c, I) J dl , (2.75)
Vi=l /
where 0^*^ represents the known set of estimates of the target distribution parameters
at the previous step, and 0(*+^) is the unknown set of parameters that maximize the
expected complete log likelihood at the current M step. In Equation (2.75), we observe
that the parameters of the distribution only appear in the first term of the expression
in parenthesis. Using that term, we obtain:
K
Y i /p(l|c,J,e'> ) ^ E [ Z |;,eWllog (7rf>/;(i|r))<ii (2.76)
n=l dl i=l
No ^ K
= Y / p( i k, i o , e < ) = i | ( , e ) i o g ( 7rf </ ; ( ( | 0<+>))<(i, (2.77)
n=l dl i=i
5 8
where we have used the property of the multinomial distribution by which E[Z*|/, 0^*^] =
p(Z* = l|/,0^*^) and, as we showed in Section 2.7, Bayes theorem can be used to
obtain the probability = 1|/, 0).
In addition, the parameters in Equation (2.77) with respect to which we want to
optimize are decoupled; that is, they appear as different terms within the summation
with respect to the mixture components. Accordingly, the parameters at (t + 1)
of mixture component i, with i e may be obtained independently of
the parameters of every other mixture component, j , with j G {1, . . . , AT} and i ^
j . This observation introduces a significant reduction in the dimensionality of the
optimization problem. For instance, if we have a target distribution with K mixtures,
each one of which has m parameters (e.g., in the case of Gaussian mixtures we have
that m = 2), we pass from having to solve an optimization problem of dimension M =
A'(m+1) 1, in case that we maximized the complete log likelihood of Equation (2.35)
d i r e c t l y , t o K optimization sub-problems of dimension m -|- 1. The reduction of
the dimensionality of the optimization problem is not, however, the only advantage
of the EM algorithm. As we show in Section 2.8.1, a closed-form solution of the
optimal mixture proportions for each M step of the algorithm, may be obtained
in general, i.e., independently of the type of distribution that is assumed for the
mixture components. This means that, in the worst case scenario, we only have to
^The M = K { m+ 1) 1 parameters are divided as follows: we have mK parameters corresponding
to the mixture distribution parameters 6, and K 1 extra parameters corresponding to the mixture
proportions, tt. (We only need to specify K I mixture proportions; the last one is given by the
constraint 'î = ^)-
5 9
actually numerically solve K optimization sub-problems, each one of dimension m.
Furthermore, closed-form solutions may be obtained for the M step optimization with
respect to the m parameters of each mixture when certain types of probability
distributions are used. This completely eliminates the need to perform numerical
optimization in the M step of the algorithm, increasing the computational efficiency
of the optimization process. As an example, in Appendix A we show the M step
optimization expressions for the case of Gaussian mixture components, which we use
as target distributions in this work.
2.8.1 M step optimization of mixture proportions
In this section we present the expressions to maximize the expected complete log
likelihood with respect to the mixture proportions with i = 1, . . . , K. They
are used as an update rule at the M step of each iteration of the EM algorithm.
In order to derive them, we work with the only term in the expected complete log
likelihood in which the mixture proportions appear. From Equation (2.77), we have;
No ^ K
y \ pii\c, i, ev})y-p(z = i|/,e'>)iog4+>
. i J i . i
dl, (2.78)
6 0
and, rearranging terms, we obtain:
I l E y p ( l \ c X , e -')p{Z> = log7r!+> (2.79)
i=l n=l
= E f l o g i r r , (2.81)
i=l
where we use the notation = Jp{l\c,lg,Q^^^)p{Z'^ = 1|Z, and
No ^
E^S-
n=l
Next, we maximize the expression in Equation (2.81), subject to the constraint
that = 1- For that, we use the method of Lagrange multipliers. We start
with the Lagrangian which we define as:^^
K / K
'^(7r;^') = E^*^S7Ti + A 1 - ^ T T j . (2.82)
i=l \ i=l
Taking derivatives with respect to each mixture proportion tTj, and making those
derivatives equal to zero, we get:
(2.83)
dlTi TTi
the following, we use tt to represent the set of mixture proportions (tt = {tti, . . . , ttk}), and
we use to represent the set of auxiliary values 'J' = {^î, . . . , ^'k }- In addition, in order to lighten
the notation, we omit the references to step number (f + 1) in the derivations below.
61
and therefore,
X = ^ , (2.84)
7Ti
where tti represents the value of the mixture proportion for mixture i that maximizes
the expected complete log likelihood. In order to obtain TTj, however, we still need
to eliminate A from Equation (2.84). To this end, we multiply in both sides of the
equation by tti and sum over i, obtaining;
K K
^ W i = J ] A t t i = A. (2.85)
i=l 1=1
Finally, substituting Equation (2.85) back into Equation (2.84), we see that the M step
update rule for the mixture proportions is given by:
, r (2-86)
^(t+1)
^ I
o/b+i)'
2.9 Application examples
2.9.1 Introduction
In this section we explore the proposed methodology, presenting the results ob
tained for a number of test cases. In all cases, we use discontinuity traces generated
using the model presented in Section 2.2. The sampling domain is rectangular, with
dimensions Wo = 150 m and Ho = 50 m. The generation domain, in which we gener
6 2
ate discontinuity traces by means of Monte Carlo simulation methods, has dimensions
ten times greater than the sampling domain, so that edge effects with respect to the
generation domain may be considered to be negligible.
Since we generate the discontinuity traces, we may assess the performance of the
proposed method in each case, and we present results that compare the computed
distributions with those originally used to generate traces, for several distribution
parameters and P22 trace intensity values.^ In particular, we present two sets of
examples of application of the methodology corresponding to the two models that
were presented in Section 2.4: one for the model with a single target distribution and
another for the model with a target distribution composed of a mixture of Gaussian
distributions. In addition, we present results concerning the convergence performance
of the EM algorithm, both with respect to the ML parameter estimates and with
respect to the auxiliary function values at each iteration.
2.9.2 Single distribution case
In this set of examples, we use two types of distributions that are commonly used
to represent discontinuity trace lengths in the literature [Zhang and Einstein, 2000]:
the exponential and lognormal distributions. Table 2.2 presents the parameters used
to generate traces with each distribution, together with the values of intensity used
^The intensity measure P2 2 is defined as the ratio between the cumulative length of
discontinuity traces that is found within a given region (in this case the generation domain), divided
by the region area [Dershowitz and Herda, 1992].
63
in the trace generation process.
Generation distribution
Exponential Lognormal
a
[m] [m] [m]
5.0 5.0 2.0
10.0 10.0 4.0
15.0 20.0 8.0
20.0
30.0
P22
0.5
1.0
2.0
5.0
(a) Distribution types and distribution pa- (b) Intensity values,
rameters used for generation of discontinu
ity traces.
Table 2.2: Statistical distributions used for generation of discontinuity trace lengths
and intensity values used in the generation process.
Exponential distribution results
Figure 2.7 shows the means of the exponential distributions obtained in each of
the 20 simulations that were performed for each combination of mean trace length
and intensity values used. We observe that the overall inference capability of the
algorithm is good in all cases, and we see that the mean, E of the computed
parameter estimates are basically identical to the means of the original distributions
used for trace generation, /j,g.
Table 2.3 presents the parameter estimates obtained for each value of intensity,
together with the resulting variability of the estimates. The variance of the parameter
estimates obtained in each case is also presented in Figure 2.8(a), while Figure 2.8(b)
shows the corresponding coefficients of variation. We observe that the variability of
6 4
I
o _
t
+
o _
" T
30 20 25 30 5 10 15 20 25 5 10 15
l i g [ m \
(a) P22 = 0.5 (b) P.22
Hg[m\
=
+
+
o _ o _
o _
T"
30 5 10 15 20 25 5 10 15 20 25 30
(c) P-. 22
H g [ m \
= 2.0
/ig [m]
(d) P22 = 5.0
Figure 2.7: Parameter estimates, fiEM, obtained when an exponential distribution
is used for generation, with parameter jig, and target.
6 5
the computed parameter estimates increases as the mean of the generation distribu
tion increases (i.e., as traces are larger with respect to the sampling domain size),
while it decreases as the generation intensity increases (i.e., as we increase the number
of observed traces).
Once that the parameters of the distribution are inferred, we compare the PDF
and the CDF of the generation distribution and the distribution inferred using the
EM algorithm. In Figure 2.9, we show two examples that summarize the type of
results obtained, in which we have considered intensity values of P22 = 1.0 and
P22 = 5.0 The results show that the approximations are good in generaland
even better for cases of higher intensity values and lower values of mean trace lengths
used for generation.
Next, we present some results showing the convergence of the EM algorithm,
and we illustrate the lower bound relationship between the log likelihood function
(that we want to maximize) and the auxiliary function (that we use to achieve that
maximization). We start with the log likelihood function, which we plot using a
continuous line in Figure 2.10. Similarly, we use dashed lines to plot the auxiliary
functions used at several iterations of the EM algorithm (they are updated in the
E step).^ As can be seen, the auxiliary function is a lower bound to the log likelihood
function, whose maximumobtained in the M stepmonotonically approaches that
of the log likelihood function, assuring that the solution of the EM algorithm is in fact
^The iteration number of the auxiliary function that is plotted last in each plot in Figure 2.10
corresponds to the iteration number for which convergence of the algorithm is achieved. (The
stopping criteria used for convergence assessment is as described in Section 2.5.4).
66
E ( Pe m ) Var { Pe m ) S{ Pe m )
[m\ [m\ [m?]
5.00 4.94 0.02 0.06
10.00 9.94 0.22 0.15
15.00 15.13 0.43 0.17
20.00 19.90 2.82 0.38
30.00 30.15 4.55 0.39
(a) P22 = 0. 5
Mg
E { Pe m ) Var { Pe m ) S{ Pe m )
[m] [m] [m?]
5.00 5.02 0.01 0.05
10.00 9.87 0.10 0.10
15.00 15.12 0.19 0.11
20.00 20.09 0.85 0.21
30.00 30.15 2.28 0.27
(b) P 22
= 1.0m^
Mg
E { Pe m ) Var { Pe m ) ^{ Pe m )
[m] [m] [m2]
5.00 5.02 0.02 0.06
10.00 9.99 0.07 0.08
15.00 14.81 0.17 0.11
20.00 20.06 0.67 0.18
30.00 29.70 1.36 0.21
(c) P 22
= 2.0m~^
Mg
E { Pe m ) Var { Pe m ) S{ Pe m )
[m] [m] [rrP]
5.00 4.99 0.00 0.02
10.00 9.94 0.04 0.06
15.00 14.99 0.09 0.08
20.00 19.99 0.17 0.09
30.00 30.05 0.44 0.12
(d) P 22 = 5.0m^ yKAj X22 'J-'-' "f-
Table 2.3: Parameter estimates, P-e m, obtained when an exponential distribution is
used for generation, with parameter fig, and target.
67
- e - P22 = 0.5
- A- P22 = 1.0
-+ - P22 = 2.0
- X - P22 = 5.0
CO
b cj
r-~
O
25 30 5 10 15 20
Hg[m]
(a) Variance of maximum likelihood parameter estimates.
d
CO
d
CM
3 .
o
d
P22 = 0.5
A- P22 = 1.0
+ - P22 = 2.0
P22 = 5.0
fig [m
(b) Coefficient of variation of maximum likelihood parameter estimates.
Figure 2.8: Variability of the parameter estimates obtained in the exponential dis
tribution case.
68
fe
Q
Oh
Generation
- EM
in
o
o
o
in
o
6
30.1
o
o
d
0 10 20 30 40 50 60
P
o
o
-5.0-
10. 0-
5.0
00
d
(O
d
d
C M
d
Generation
EM
o
d
30 0 10 20 40 50 60
L [ml
(a) P22 = 1.0 m'
5,0
Generation
- - EM
10.0'
q -20.0
30.0.
0 10 20 30 40 50 60
Q
O
L [ml
(b) P22 = 5.0m ^
L [ml
o
-5.0-
lO.O'
C O
d
;o.o
<n
d
o
CM
d
Generation
- - EM
o
d
0 10 30 20 40 50 60
L [ml
Figure 2.9: Comparison between the exponential distribution originally used for
generation of traces and the exponetial distribution inferred using the EM algorithm.
6 9
a local optimum of the log likelihood. Another observation that we can make from
Figure 2.10 is that the shape of the log likelihood becomes flatter as the relative
length of discontinuities increases with respect to the size of the sampling domain.
This effect is due to the problem of censoring bias [Einstein, 1993; Lee et ah, 1990].^^
We observe, however, that the EM algorithm behaves well in all cases, converging to
the asymptotic solution of the problem. The computed solutions are marked using
solid circles in Figure 2.10.
In Figure 2.11 we present the evolution of the computed parameter estimates,
P>EM, with respect to the iteration number of the EM algorithm. The convergence
criteria employed is based on the values of the distribution parameter at successive
iterations, with tolerances = 10^ and = 10^. The initial value of the target
distribution parameter is considered to be = 2 0 m in all cases, and a dashed
line is used to indicate the asymptotic solution to which the algorithm is expected
to converge. Figure 2.12 presents convergence results with respect to the auxiliary
function values obtained at each iteration of the algorithm,^ for the same analysis
cases that we presented in Figure 2.11(b). The algorithm is shown to converge quickly
in both cases; the convergence in log likelihood is particularly fast (see Figure 2.12),
and only a few iterations are needed in order to achieve values very close to the
asymptotic solution.
^^Remember that, for censored discontinuity traces, we observe lower bounds of the trace length,
instead of the real trace length value.
Given the equality between the auxiliary function and the log likelihood that we discussed in
Section 2.5, this is equivalent to the evolution of the log likelihood with respect to the iteration
number of the EM algorithm.
7 0
3
Loglik
- + - Laux-01
- + - Laux-02
--1- Laux-03
--1 Laux-05
- + - Laux-07
o
o
in
in
o
o
o
C O
I
o
o
in
C O
I
o
o
o
N
I
0 5 10 15 20 25 30
fx[m\
O
o
in
C O
o
o
in
I
Logllk
- + - Laux-01
- Laux-02
I Laux-03
f- Laux-05
- + - Laux-08
o
o
o
in
I
0 5 10 15 20 25 30
// [m\
(a) fj, g = 5.0 m (b) f ig = 10.0 m
Loglik
- + - Laux-01
-+ Laux-02
- + - Laux-03
- I - Laux-05
- + - Laux-08
0 5 10 15 20 25 30
ji [m\
(c) fig = 15.0 m
o
o
in
C M
I
o
o
o
C O
I
o
o
in
C O
I
o
o
o
I
Loglik
- + - Laux-01
- + - Laux-02
I Laux-03
- I - Laux-05
- + - Laux-07
o
o
in
I
0 5 10 15 20 25 30
fi[m\
(d) f ig = 20.0 m
Figure 2.10: Evolution, in the exponential distribution case, of the auxiliary function
for successive iterations of the EM algorithm, and its relation to the log likelihood.
(Plots corresponding to P22 = 1.0m ^).
71
3
Loglik
- + - Laux-01
- + - Laux-02
- + - Laux-03
- 4 - Laux-05
- + - Laux-11
I
40
H[m\
(e) jjLg = 30.0 m
Figure 2.10 (cont.): Evolution, in the exponential distribution case, of the auxiliary
function for successive iterations of the EM algorithm, and its relation to the log
likelihood. (Plots corresponding to P22 = 1.0m ^).
Lognormal distribution results
In this case we proceed in a similar fashion as we did in the exponential distribution
case, and we perform 20 simulations for each combination of generation distribution
parameters and intensity values presented in Table 2.2. Figure 2.13 shows the param
eter estimates obtained for each simulation. The parameters used for generation are
also plotted for reference (using solid lines) in Figure 2.13, while the mean values of
the parameter estimates are indicated using dashed lines. As before, the overall agree
ment between the generation parameters and the mean of the inferred parameters is
good. In addition, the variability of the computed estimates increases as the mean
length of traces increases and the problem of censoring bias becomes more significant.
7 2
-o
= 30.0 m fig = 30.0 m
c\j
fig = 20.0 m fig = 20.0 m
fig = 15.0 m
fig 15.0 m
fig = 10.0 m
fig = 10.0 m
fig 5.0 m fig = 5.0 m
"T
12 0 2 4 6 8 10
Iteration
(a) P22 = 0.5
Iteration
(b) P22 = 1. 0 m~^
fig = 30.0 m
*^5_
fig = 20.0 m
fig = 15.0 m
fig = 10.0 m
fig 5.0 m
4 6 8
Iteration
(c) P-. 22
2.0m'
10
O
C O
fig = 30.0 m
O
CM
fig = 20.0 m
fig = 15.0 m
/Tg = 10.0 m
10
O
4 6 8
Iteration
(d) P22 = 5.0 m
- 1
10
Figure 2.11: Convergence performance with respect to the parameter estimates in
the exponential distribution case.
73
Iteration
O
C O
C M
C D
o
o>
cvj
C D
I
O
o
CO
^ I
o
C D
C O
O
C M
C O
C O
o
C O
C O
C O
I
o
C D
C O
I
3 7 0 1 2 4 5 6
Iteration
(a) iXg = 5.0 m (b) jj.g = 10.0 m
0 1 2 3 4 5 6 7
Iteration
(c) jig 15.0 m
o
C O
C O
C O
C M
I
C O
00
CO
C O
00
ed
C O
I
CM
O
C O
C O
C M
I
0 2 3 4 5 6
Iteration
(d) jig = 20.0 m
Figure 2,12: Convergence performance with respect to the auxiliary function values
in the exponential distribution case. (Plots corresponding to P22 ~ 1.0m ^).
7 4
6 8 10 0 2 4
Iteration
(e) Hg = 30.0 m
Figure 2.12 (cont.): Convergence performance with respect to the auxiliary func
tion values in the exponential distribution case. (Plots corresponding to P22 =
and it decreases as we increase the intensity value, i.e., as we have more observations
of traces. The variances and coefficients of variation obtained for the estimates of
both the mean, [iemi and the standard deviation, aEM, of the lognormal distribution
have been summarized in Table 2.4. (These results are also shown in Figure 2.14.)
Given the computed parameter estimates, we can compare the original distri
bution that we used to generate discontinuity traces with the inferred distribution.
Figure 2.15 presents an example where we show the original PDF and CDF used for
generation (solid lines), together with the distributions inferred using the EM algo
rithm (dashed lines). As in the exponential distribution case, the overall agreement is
good, with a greater variability in the estimates being observed in the case of smaller
7 5
o
CO
+++.
to
tN
O
0 5 10 15 20 25
fj, [m
(a) P22 = 0.5 m
o
C O
to
C \ J
o
15 20 0 5 10 25
-1
II [m\
(b) P22 = 1.0 m
- 1
o
CO
to
cy
o
0 5 10 15 20 25
II [m\
(c) P22 = 2. 0 m~^
o
C O
to
o
0 5 10 15 20 25
H [m\
(d) P22 = 5.0
Figure 2.13: Parameter estimates, em = iiÊM,ÊM), obtained when a lognormal
distribution is used for generation, with parameters 6 g = (ng,ag), and target.
7 6
9g E (Aj5m ) Var (Ae m )
<^(As m )
(^9
E(<7s m ) Var (As m ) ^(As m )
[m] [m] [m^] [m] [m] [m2]
5.00 5.01 0.01 0.04 2.00 2.02 0.01 0.06
10.00 9.99 0.05 0.07 4.00 4.02 0.03 0.09
20.00 19.72 0.42 0.15 8.00 7.85 0.36 0.21
(a) 7-22 =
0.5m'
- 1
Hg E (AjBm ) Var {(jlem)
K^ em)
<^s
E {gem) Var (As m ) S{9em)
[m] [m] [w?] [m] [m\ [m2]
5.00 4.99 0.00 0.02 2.00 1.99 0.00 0.03
10.00 9.98 0.01 0.04 4.00 4.01 0.01 0.04
20.00 20.01 0.17 0.09 8.00 7.99 0.24 0.17
(b) P2 2 = 1.0m'
- 1
Ms
E {flEu) Var (As m )
^{9'Em) E {gem) Var (As m ) ^{fiEM)
[m] [m] [m?] [m] [m] [m2]
5.00 4.99 0.00 0.02 2.00 2.00 0.00 0.02
10.00 9.99 0.01 0.04 4.00 3.99 0.01 0.05
20.00 19.93 0.11 0.07 8.00 7.96 0.12 0.12
(c) P2 2 = 2.0 m'
- 1
Ms
E {flEu) Var (fiEM)
îij-Eu) E {gem) Var (As m )
S{P>em)
\m\ [m] [m?] [m] [m] [m2]
5.00 5.00 0.00 0.01 2.00 2.00 0.00 0.02
10.00 10.01 0.00 0.02 4.00 3.99 0.01 0.04
20.00 19.95 0.07 0.06 8.00 7.91 0.05 0.08
(d) P2 2 = 5.0m
- 1
Table 2.4: Parameter estimates, 9em = {jÊM, êm), obtained when a lognormal
distribution is used for generation, with parameters Og = and target.
7 7
d - e - P22 = 0.5
- A- P22 = 1.0
-+ - P22 = 2.0
-X- P22 = 5.0
C O
d
(N
d
o
o
d
5 10 15 20
(a) Variance of (iem
o
- e - P22 = 0.5
- A - P22 = 1.0
-+ P22 = 2.0
- X - P22 = 5.0
o
o
3
o
o
d
10 15 20 5
^^g[m]
(b) Coefficient of variation oi (Ie m
K|
3
- e - P22 = 0.5
- A - P22 = 1.0
-+ - P22 = 2.0
- X - P22 = 5.0
n
d
OJ
d
o
o
d
2 3 4 5 6 7 8
o
C M
d
P22 = 0.5
- A - P22 = 1.0
-+ - P22 = 2.0
- X - P22 = 5.0
o
o
o
o
d
o
o
d
2 3 4 5 6 7 8
(c) Variance of gem (d) Coefficient of variation of gem
Figure 2.14: Variability of the parameter estimates obtained in the lognormal dis
tribution case.
7 8
intensities and larger discontinuity sizes.
In Figure 2.16 we present the log likelihood and the auxiliary function surfaces, for
intensity P22 0.5 with 0 = 5.0 x 2.0 m and 9 = 10.0 x 4.0 m respectively. The
log likelihood function is represented using dots, with its boundaries plotted using
dashed lines, while the auxiliary functions at several iterations of the EM algorithm
are represented using a solid surface. The maximum values of the log likelihood
function and of the auxiliary function at each iteration are also represented in Fig
ure 2.16, using downward and upward-pointing triangles respectively. The auxiliary
function is observed to change at each iteration, and to be in fact a lower bound of
the log likelihood. At convergence, the maximum of the auxiliary function is equal to
the maximum of the log likelihood function, hence providing a local solution of the
maximum likelihood estimation problem.
Next, we present the convergence performance of the algorithm, both with respect
to the computed parameter estimates and with respect to the auxiliary function val
ues. In Figure 2.17 we show how the parameter estimates change for successive
iterations of the EM algorithm, considering Hg = 16.0 m and Gg = 6.0 m to be the
initial values of the parameters (i.e., corresponding to iteration 0), and using them as
a starting point of the algorithm. The point corresponding to the initial parameter
values is marked using a solid-line cross in Figure 2.17. The parameter estimates
obtained in each case are marked with a dashed-line cross and different symbols are
used to represent different generation distributions. Points corresponding to succes-
79
Q
5.0 X 2.0
Generation
- EM
d
o
o
o
lO
o
d
o
o
d
0 10 30 20 40 50 60
L [ml
pLl
Q
O
p
5.0 X 2.0,
CO
d
<o
d
d
d
Generation
- - EM
O
d
0 10 20 30 40 50 60
L [ml
(a) P22 = 0.5 m
- 1
Q
CM
d 5.0 X 2.0
Generation
- - EM
O
CM
d
o
o
o
o
o
d
0 10 20 30 40 50 60
Llm]
Ph
Q
O
o
5.0 X 2.0
00
d
CD
d
d
CM
d
Generation
- - EM
o
d
0 10 20 30 40 50 60
L [ml
(b) P22 = 2.0 m ^
Figure 2.15: Comparison between the lognormal distribution originally used for
generation of traces and the lognormal distribution inferred using the EM algorithm.
8 0
-1000
-1500
(a) Iterat ion = 1 (b) Iterat ion 2
-1500
(c) Iterat ion = 5 (d) Iteration = 9 (converged)
Figure 2.16: Evolution of the auxiliary function for different iterations of the
EM algorithm, and its relation with the log likelihood function. (P2 2 = 0.5
0 = 5.0 X 2.0m).
81
(e) Iterati on = 1 (f) Iterat ion = 2
(s) Iterat ion = 5 (h) Iterati on = 10 (converged)
Figure 2.16 (cont.): Evolution of the auxiliary function for different iterations of
the EM algorithm, and its relation with the log likelihood function. (P2 2 = 0.5
9 10.0 X 4.0m).
82
sive iterations of the algorithm (in particular the first, second, fifth and last) are also
shown and labeled with the corresponding iteration number. The convergence cri
teria considered are the same as in the exponential distribution case, with the same
tolerances. Convergence of the algorithm was achieved in less than twenty iterations
in all cases.
Finally, Figure 2.18 presents the maximum of the auxiliary functions obtained
at each iteration of the EM algorithm. As in the exponential distribution case, the
convergence with respect to the computed auxiliary function valuesequivalently,
convergence in log likelihoodis shown to be fast, and a value very similar to the
asymptotic solution (marked with dashed lines) is usually achieved in less than ten
iterations.
2.9.3 Mixture distribution case
In this section we explore the performance of the methodology when the mixture
model proposed in Figure 2.5(b) is used for inference of the distribution of discon
tinuity trace lengths. We use Gaussian mixture components, for two main reasons:
The first reason is that we want to avoid making strong a-priori assumptions about
the type of distributions that are expected to be found in the field, and we consider
a mixture of Gaussian distributions to be quite neutral in that sense. The second
reason is mathematical convenience and computational efficiency; as shown in Ap
pendix A, closed-form expressions may be obtained for the maximization performed
8 3
fl(0)
' ' E M
- - EM estimate
0 0 g = (5.0 X 2.0)
A 0 g = (10.0x4.0)
+ 9 g = (20.0x8.0)
;1A
1 1a2
1Q----6410--
b2
- -509.....
I
10
1+
I
15 20
yu[mj
(a) P2 2 = 0.5
0(0)
' e m
EM estimate
6g = (5.0 X 2.0)
eg = (10.0x4.0)
6g= (20.0x8.0)
I 0
;A2
-5 4 1 1 --
p2
509----
1+
10 15 20
(b) P22 = 1.0
25
fl(0)
'em
EM estimate
0g = (5.Ox2.O)
6lg = (10.0x4.0)
0g = (20.0x8.0)
1A
Ia2
1o _ . _ _ . 5^ 44. _
b2
- . 5 0 9 --------
10
S4r17-
+4
n- ;
15 20
/i[m\
(c) P22 = 2 . 0 m~^
25
o _
b
b2
0 5 10 15 20 25
H [m\
(d) P22 = 5.0
Figure 2.17: Convergence performance with respect to the parameter estimates of
the lognormal distribution.
8 4
Iteration
O
T
o
in
T
o
o
00
o
o>
T
4 6
Iteration
(a) 6 g = 5.0 X2.0 m (b) dg = 10.0 X4.0 m
O
C O
o
7
C O
o
CM
C O
o
C O
C O
o
C O
o
in
C O
0
1
8 12 14 0 2 4 6 10
Iteration
(c) dg = 25.0 X8.0 m
Figure 2.18: Evolution, in the lognormal distribution case, of the auxiliary func
tion values with respect to the number of iterations of the EM algorithm. (Plots
corresponding to P22 = 0.5 m^, with different values of the generation distribution
parameters.)
8 5
in the M step of the algorithm, thus avoiding the need for numerical optimization
and reducing the computational cost.
Figure 2.19 shows the PDF and CDF of the distribution used for trace genera
tion in this case. The distribution is composed of a mixture of four lognormally
distributed components, whose parameters are listed in Table 2.5(a). Similarly, Ta
ble 2.5(b) presents the generation intensities used for simulation of discontinuities
and the mean (after 100 simulations) of the number of observed traces, No, for each
intensity value. The sampling and generation domains employed are the same that
we used in Section 2.9.2, i.e., the sampling domain is a rectangular domain with di
mensions Wo = 150 m and Ho = 50 m, with the generation domain being ten times
larger than the sampling domain.
As shown in Figure 2.19, the generation distribution is multi-modal and it has a
significant amount of probability of producing traces longer than about half the size of
the sampling window. In Section 2.9.2 we showed that, in such cases, the influence of
censoring bias increases, with the effect of flattening out the log likelihood function.
Based on these considerationsi.e., use of a multimodal generation distribution, use
of different distribution types for generation and target, and use of a generation
distribution with long traceswe believe that the example case considered provides
a challenging test for the proposed methodology. In the analysis below, we consider
target distributions with K = 3, b, 8, and 12 Gaussian components and, as we did in
Section 2.9.2, we apply the methodology 20 times for each combination of number of
86
Component
i
Type Parameters
TTj fJii CTj
[m] [m]
1 Lognormal 0.25 9.0 4.0
2 Lognormal 0.15 20.0 4.0
3 Lognormal 0.30 31.0 3.0
4 Lognormal 0.30 40.0 4.0
P22
E(iV)
0.5 217
1.0 435
2.0 865
5.0 2160
(a) Types of distributions and parameter
values used as mixture components of the
generation distribution.
(b) Mean number of traces ob
served for each intensity value
considered (after 100 simulations).
Table 2.5: Mixture distribution used for generation of trace lengths, intensity values,
and expected number of observed traces.
O
d
C O
o
d
o
d
o
o
d
0 10 20 30 40 50 60
q
00
d
C O
d
P
o
d
CM
d
o
d
0 10 20 30 40 50 60
L [ml L \m]
Figure 2.19: pdf and CDF of the mixture distribution employed for generation of
trace lengths.
mixture components and generation intensity.
In order to check the similarity between the generation distribution, /^(/), and
the inferred one, we use the Kullback-Leibler (KL) divergence [Kullback and
^^This is, of course, after we have performed the correction for size bias discussed in Section 2.3.2.
8 7
Leibler, 1951] between both distributions. The KL divergence is given by:
r (/ ,mii / (0) = ^ / , ( i ) l o g ^ < i i . (2.87)
Figure 2.20 shows the evolution of the KL divergence with respect to the number
of iterations of the EM algorithm for two examples in which three and hve mix
ture components were considered. It is observed that, in general, the KL divergence
decreasesi.e., the similarity between distributions increasesas the number of it
erations increases. In Figure 2.20(e), however, we observe that the KL divergence
begins to increase after a few initial iterations in which the KL divergence decreases.
This is due to over-fitting, an effect that occurs when one or more of the target mix
ture components are assigned a small variance [Day, 1969; Redner and Walker, 1984].
In real applications, the occurrence of over-fitting problems may be identified when
one or several spikescorresponding to mixture components with low varianceare
observed in the inferred PDF. In this research we found that over-fitting problems are
likely to appear when the ratio between the number of observed discontinuities and the
number of mixture components is smaller than approximately 150 (i.e., ^/ k < 150).
In Figure 2.21 we show an examplefor a target distribution with K 8 compo
nents, using a trace generation intensity of P2 2 2 . 0 (i.e., ^/ k ~ 110)of the
type of distributions obtained when over-fitting occurs.
Several methods have been proposed in the literature in order to reduce the oc-
88
d
C O
d
s CM
d
o
o
d
0 20 40 60 80
Iteration
(a) P22 = 0.5 {ôJk ^ 70)
d
C O
d
N C M
d
o
o
d
0 20 40 60 80 100
Iteration
(b) P22 = 1.0 {ôJk 145)
6
C O
d
, ^ CM
d
o
o
d
0 10 20 30 40 50 60 70
Iteration
(c) P22 = 2.0 m~^ {ô/k ^ 290)
d
00
d
^ C M
d
o
o
d
0 20 40 60 80 100
Iteration
(d) P2 2 = 5.0 {No/ k ^ 720)
Figure 2.20: Evolution of the KL divergence with respect to the number of iterations
of the EM algorithm. ( K = 3).
8 9
6
C O
d
CNJ
d
o
o
d
0 20 80 40 60 100
Iteration
(e) P22 0.5 {ôjK 45)
d
C O
d
C M
d
o
q
d
5 10 15 20 0
Iteration
(f) P22 = 1.0 90)
d
C O
d
CM
d
o
o
d
0 5 10 15 20 25
Iteration
(g) P22 ^ 2.0 {ôJk ^ 175)
d
00
d
o
o
d
0 5 10 15 20 25 30
Iteration
(h) P22 5.0 430)
Figure 2.20 (cont.): Evolution of the KL divergence with respect to the number of
iterations of the EM algorithm. {K = 5).
9 0
currence of o v e r -f ittin g . T h e introduction of penalty terms in the log likelihood is
sometimes employed [Ridolfi and Idler, 1999], while other authors have proposed to
solve a constrained maximization problem in the M step of the algorithm [Davenport
et ah, 1988; Hathaway, 1985; Tong and Viele, 2000]. With this approach, restric
tions are imposed, for instance, on the ratio between the maximum and the minimum
standard deviations of the mixture components; minimum values for the mixture pro
portions may be specified as well. This method has been shown to be well posed, with
a strongly consistent, global solution [Davenport et al., 1988; Hathaway, 1985]. As an
example, in Figure 2.22 we show the inferred distributions when we use a simplified
version of the method of constrained optimization, in which we set the variances of
all components in the target distribution to be equal. It may be observed that the
spikes of the inferred distribution are reduced and that the shape of the probability
density is smoothened.
Figure 2.23 presents the mean values of KL divergence for the 20 applications
of the methodology performed for each combination of K and P22 values. The pre
dictive capabilities of the method are observed to improvei.e., the KL divergence
decreasesas the intensity value increasesi.e., as we have more observed traces.
In addition, the performance of the method improves as we increase the number of
mixture components employed, as long as there are enough observations of traces
to avoid the occurrence of over-fitting effects.
3Here, we only list some of them and show preliminary results of the improvement obtained when
a simplified version of the corrections is used. This topic will be, however, subject of further study
91
Generation
EMaprox
- - 1 \ Components
30 0 10 20 40 50 60
[xh
Q
O
O
C O
CO
C O
o
C O
CM
C O
Generation
EMaprox
C O
o
30 50 60 0 10 20 40
L[
ml L [ml
Figure 2.21: Example of distribution obtained when over-fitting problems occur.
{K = 8, P22 = 2. 0m~^, ô/k ^ 110).
Generation
/'ÊMaprox
- - -j iComponents
CUd
0 10 20 30 40 50 60
Ph
Q
O
o
C O
d
C O
d
d
CM
d
Generation
EMaprox
o
d
10 20 30 50 0 40 60
L [ml
L[
m
Figure 2.22: Example of distribution obtained when all component variances are
set to be equal in the M step of the algorithm. {K = 8, using the same data as in
Figure 2.21).
9 2
a
H
O
+ K = 8
X K = 1 2
CO
C)
oa
o
o
o
ci
3 4 5 0 1 2
, - n
P22 [m~
(a) Effects of intensity values, for different number of mixture components.
P22 = 0.5
P22 = 1.0
P22 = 2.0
P22 = 5.0
CO
ci
(M
d
o
o
<D
0 3 5 8 12
K
(b) Effects of number of mixtures considered, for different values of intensity.
Figure 2.23: Influence of number of components and trace intensity value on the
expected values of KL divergence, as obtained after 20 applications of the methodol
ogy.
9 3
In Figure 2.24 we show additional examples of the inference capabilities of the
method. In order to avoid over-fitting effects when high K values are used, we generate
traces using an intensity value of P22 = 5. 0m~^ (i.e., Ng ~ 2160; the mean number of
traces observed for each P2 2 value was presented in Table 2.5(b)). The overall inference
capability of the methodology is observed to be good. Only a maximum of three
modes may be reproduced, however, with a mixture distribution of three components
and, accordingly, we also see that the results are improved when more than three
mixture components are employed. In that sense, the results are particularly good
when eight mixture components are used (see Figure 2.24(c)). The results in the
K = 12 case are similar to the K 8 case, (see Figure 2.24(d)), but they suggest
that the number of mixture components employed might be rather high (in this case
we have ô/k ~ 180). Based on the observations above, we suggest to use target
distributions that have at least two mixture components for each mode of the real
trace length distribution, as long as there are at least 200, or better yet 250, observed
traces for each component included in the target distribution.
Figure 2.25 shows the auxiliary function values obtained at each iteration of the
EM algorithm. We use the convergence criteria presented in Section 2.9.1, with
tolerances = 10~^, = 10^, = 10^ and The convergence in
log likelihood is again observed to be fast,^^ and the results show that log likelihood
after completion of this work.
^^Note that we are working in changes of trace length smaller than a centimeter; variations of the
solution within that range are considered to be not significant.
^For an in-depth discussion of the convergence properties of the EM algorithm in the context of
Gaussian mixture distributions, see Xu and Jordan [1996].
9 4
Generation
EMaprox
A Components
lit'
CU d
0 10 20 30 40 50 60
b
Q
O
o
C O
d
C O
d
o
c\i
d
Generation
EMaprox
o
d
10 20 30 50 60 0 40
L [ml
cr
o
d
Generation
EMaprox
Components
C O
o
d
b
Q g
b d
o
d
o
o
d
0 10 30 20 40 50 60
b
P
O
L [ml
L [ml
(a) K = 3 {No/ k ^ 720)
o
C O
d
C O
d
d
C \ j
d
Generation
EMaprox
o
d
0 30 10 20 40 50 60
L [ml
(h) K = b {ô/ k Ri 432)
Figure 2.24: Examples of distributions obtained, after bias correction, using target
distributions with different number of mixture components. (P2 2 = 5.0 m^).
95
Generation
EMaprox
- - f t Components
Ph O
0 10 20 30 40 50 60
o
00
d
C O
d
b
Q
O
d
c\i
d
Generation
EMaprox
o
d
20 30 60 0 10 40 50
L [ml L [m]
(c) K = 8 {ô/k ^ 270)
O
6
- Generation
EMaprox
- Components
C O
o
6
o
o
o
o
<D
0 10 30 20 40 50 60
o
00
d
iO
d
Q
U
d
C M
d
Generation
EMaprox
o
d
0 10 20 30 40 50 60
L \m] L \m]
(d) K = 12 {No/ k 180)
Figure 2.24 (cont.): Examples of distributions obtained, after bias correction, using
target distributions with different number of mixture components. (P22 = 5.0 m^).
9 6
values very similar to the asymptotic value are usually obtained after fifteen or twenty
iterations.
2.10 Concluding remarks
In this chapter we introduced a method for the estimation of the distribntion
of discontinuity trace lengths based on observations of traces at rock outcrops. A
statistical graphical model approach is used to indicate the relations of conditional
independence between the variables in the model, and the EM algorithm is used to
solve the maximum likelihood parameter estimation problem.
We present the EM algorithm as an iterative optimization algorithm, in which a
lower bound to the log likelihood to be maximized is used as an auxiliary function of
reference in the optimization process. The E step of the algorithm needs to be solved
once in each particular problem, since the election of an averaging function of the
form q{y\x) = p{y\x, 0) maximizes the anxiliary function and, at the same time, it
assures that the solution is a local maximum of the log likelihood function. Similarly,
we have shown that the M step may be performed by maximizing the expected log
likelihood function at each iteration, and we have presented analytical solutions
for the case in which Gaussian distributions are used as components of the target
mixture distributionfor the M step maximization problem, thus avoiding the need
of numerical optimization.
Artificial trace data are used to explore the performance of the methodology
97
VO
20 30 40 50 60 70 0 10
Iteration
(a) K = 3, P22 = 2 .0 m-\ No/ K ^ 290)
o
10
CM
o>
I
80 100 40 60 0 20
Iteration
(b) K = 3, P22 = 5. 0m- \ ô/ K 720)
20 25
Iteration
O
o
O)
I
o
G O
s O
o
OJ
o
CO
!
5 10 15 20 25 0
(c) K = 5, P22 = 2 . 0 m-^{ô/K 175) (d) K
Iteration
5, P22 = 5.0m~^(^/ir 430)
Figure 2.25: Evolution of the maximum values of the auxiliary function with respect
to the iteration number of the EM algorithm, for different number of target mixture
components and intensity values.
9 8
o
<0
a
C O
I
o
N
_^ O)
7
o
C O
05
C O
I
o
05
05
C O
I
0 5 10 15 20 25 30
Iteration
(e) K = 8 ^ P22 = 2.0m~^{ô/K
o
C O
05
O
C O
05
I
I
05
I
o
C \ J
CM
C D
1
0 10 20 30 40
110)
Iteration
(f) K = 8 , P22 = 5. 0m- \ ô/ K ^ 270)
0 10 20 30 40 50 60
Iteration
) 0 ( X ) 0 0 0 0
o
C M
C M
05
I
o
C M
05
I
Cy
CM
C M
C D
I
0 10 20 30 40
Iteration
(g) K = 12, P22 = 2.0m-^{ô/K 75) (h) K = 12, P2 2 = 5.0m-i(ô/^ 180)
Figure 2.25 (cont.): Evolution of the maximum values of the auxiliary function
with respect to the iteration number of the EM algorithm, for different number of
target mixture components and intensity values.
99
in a number of test cases. In the single distribution case we test the methodology
using exponential and lognormal distributions for generation of traces and also for
inference of trace lengths. The results show that the methodology provides adequate
estimates of trace length distribution parameters; the inferred distributions have also
been shown to compare well with the original distributions. The convergence of the
algorithm is fast, particularly with respect to the log likelihood values obtained at
each iteration of the EM algorithm, in which case solutions with log likelihood very
similar to the asymptotic solution are usually achieved after less than ten iterations.
As expected, the performance of the methodology is shown to improve as the length of
traces decreases with respect to the size of the sampling domain, i.e., as the problem
of censoring is reduced, and the performance is also shown to improve as the number
of observed traces increases.
The proposed methodology may also be used as a framework in which to consider
a wider, more flexible class of mixture probability distributions, allowing us to obtain
reasonable estimates of the distribution of trace lengths without having to make strong
assumptions about the most adequate distribution type to be used in each particular
application. We present a test case in which a multimodal distribution composed of
lognormal mixtures is used for generation of traces, and a mixture of K = 3, 5, 8, and
12 Gaussian components is used for target. The overall inference performance of the
methodology is observed to be good. The results show that, in general, the similarity
between the distributions increases as the number of iterations of the EM algorithm
100
increases, and that the results also improve as we increase the number of components
of the target distribution mixture. In that sense, we suggest to use target distributions
that have in the order of two mixture components for each mode of the real trace
length distribution, as long as there are at least 200, or better yet 250, observed
traces for each component included in the mixture. The convergence of the algorithm
with respect to the values of log likelihood function is again observed to be fast, with
the results showing that log likelihood values very similar to the asymptotic value
are usually obtained after fifteen or twenty iterations. Since we are interested in the
predictive and simulation capabilities of the modelrather than in the actual values
of the distribution parameters which, on the other side, we do not use anyway, this
has consequences of interests in real applications; that is, we could select any set of
parameter estimates obtained after the first twenty iterationsor once that the log
likelihood are observed to stabilizehaving got a solution which is approximately
as likely as the maximum likelihood solution, without the need to wait for the final
convergence of the algorithm.
101
Chapter 3
Identification of removable blocks
3.1 Introduction
Stochastic fracture network models are commonly employed to deal with uncer
tainties in the mechanical and geometrical characterization of discontinuities in rock
masses. Thus, being able to asses the influence that different parameters of the
stochastic network model have on the engineering performance of the project of in
terest is a relevant aspect of rock engineering design, as it allows rock site characteriza
tion and design procedures to be optimized, or at least more efficiently accomplished
[Starzec and Andersson, 2002a].
In this chapter we study the problem of formation of removable blocks in rock
excavations. Monte Carlo simulation methods are used to generate successive real
izations of the discontinuity network in the rock mass, and block theory [Goodman,
102
1995; Goodman and Shi, 1985] is employed to identify removable blocksi.e., blocks
with kinematical admissibility for displacement toward the excavated free face. Pois-
son regression is then used to develop a predictive model of the rate of formation
of removable blocks of different sizes. In addition, we explore the engineering sig
nificance of parametersor interactions between parametersof the discontinuity
network model, identifying those that are not statistically relevant in the context of
formation of removable blocks, and studying the effects that variations in the val
ues of the rock mass discontinuity network parameters have in the predicted rate of
formation of removable blocks.
3.2 Rock mass characterization and slope model
For the purpose of illustration of the methodology presented in this chapter, we
use discontinuity data obtained from a road cut slope excavated in a serpentine rock
mass in southern Spain. Discontinuity orientations were recorded using the scanline
sampling method [Priest, 1993a; Priest and Hudson, 1981], and several scanlines were
employed in order to reduce the effects of sampling biases. The structural character
ization of the rock mass at the site is performed with the aid of program GEOPLOT
[Ahlgren, 2000], which is used to represent and analyze data of discontinuity orien
tations obtained by means of compass measurements at exposed rock faces [Priest,
1993a]. Figure 3.1 shows an equal-angle, lower-hemisphere projection of the normal
vectors of each discontinuity mapped, together with contour lines that represent the
103
estimated frequency of discontinuity normals for each direction in space. Five differ
ent joint sets were identified in the rock mass based on the data analysis presented in
Figure 3.1.^ The mean orientations (in the form of downward-pointing discontinuity
normals and dip vectors) of the five identified joint sets are listed in Table 3.1(a).^
++
+-r)
++
Figure 3.1: Lower Hemisphere Projection of the poles of mapped discontinuities.
In the analysis below, we considered a slope of height H 25 m and width W =
240 m, using the slope model shown in Figure 3.2(a). The orientations of the planar
surfaces that form the top and face of the slope are listed, in strike-dip notation, in
^The election of joint sets was performed in a rather subjective way, only based on visual
observation of the data in Figure 3.1. This method of visual identification of discontinuity joint sets
is common in the rock mechanics literature, and it has the advantage that it allows the analysts
expertise and familiarity with the site to play an active role in the identification of clusters [Priest,
1993a]. There is also, however, a wide body of literature with methods for automatic or objective
identification of joint sets [Dershowitz et ah, 1996; Hammah and Curran, 1998; Henry et ah, 2001;
Mahtab and Yegulalp, 1982; Shanley and Mahtab, 1976; Zhou and Maerz, 2002].
^Line orientations are indicated using trend and plunge values, defined as indicated by Priest
[1993a]. That is, the trend, a, of the line is defined as the angle, measured clockwise, between the
horizontal projection of the downward-pointing line and the North, whereas the plunge, (i, is defined
as the angle, positive downward, between the line and the horizontal plane of reference.
104
Pole Vector Dip Vector
JS Trend
[deg]
Plunge
[deg]
Trend
[deg]
Plunge
[deg]
1 231 33 051 57
2 103 10 283 80
3 186 11 006 79
4 016 16 196 74
5 285 10 105 80
(a) Mean orientations of joint sets con-
Strike Dip
[deg] [deg]
Face N216E 70NW
Top N216E 20NW
(b) Orientation of slope
sidered. face and top.
Table 3.1: Orientations of discontinuity sets and orientation of slope face and top.
Table 3.1(b). Joints existing within the rock mass are simulated using the Poisson disk
model [Baecher et ah, 1977; La Pointe, 1993]. Discontinuity centers are assumed to be
uniformly located within the generation domaina rectangular parallelepiped whose
sides are oriented parallel to the vectors of the generation reference system shown in
Figure 3.2(b). In order to reduce edge effects, the dimensions of the generation domain
employed in the discontinuity simulation process were Hg = 400 m, Wg = 1000 m,
and Lg 800 m.^
Discontinuities are further assumed to be circular, with their radius following a
lognormal distribution, with mean fiR and coefhcient of variation 5r . The volumetric
intensity P3 2 [m^/m^j of generated discontinuitiesdefined as the ratio between area of
discontinuities and rock volume [Dershowitz and Herda, 1992]is another parameter
that we use to characterize the joint network, with discontinuities being generated
^The critical generation volume is defined as .. .the minimum generation volume for which the
associated edge effect is less than a certain level. For a detailed study for the estimation of the
critical generation volume in the context of keyblocks in underground excavations, see Chan [1987]
and Chan and Goodman [1987].
105
L
(a) Slope geometry. (b) Reference coordinate system
used for generation of discontinu
ity centers.
Figure 3.2: Slope model considered.
until a threshold value of P3 2 is achieved. Finally, orientations of joints in the rock
mass are assumed to follow the Fisher distribution on the sphere [Fisher et ah, 1987],
with discontinuity orientations being generated around the mean pole orientation
for each joint set that we presented in Table 3.1(a), and with orientation variability
defined by the concentration parameter, In order to simulate samples of unit
vectors with orientations from the Fisher distribution, we use the method proposed
by Fisher et al. [1981] that is described in Fisher et al. [1987]. In particular, for
the Fisher distribution with concentration parameter k and mean pole direction
given by the orientation of the corresponding joint set pole, we simulate random
orientations as follows (i?i and R2 are pseudo-random numbers uniformly distributed
^The Fisher distribution is the basic unimodal distribution of rotationally symmetric directions,
and it is commonly usedsometimes rescaled [Henry et ah, 2001]in rock engineering applications
[Goodman, 1976; Priest, 1993a; Song and Lee, 2001; Starzec and Andersson, 2002a, b]. k is the
shape parameter of the Fisher distribution; the larger the value of k, the more the distribution is
concentrated toward its mean direction. For a historical account and further description of the
Fisher distribution, including discussion of its generalization to a family of distributions on the
p-sphere, see Fisher et al. [1987].
106
in the interval [0,1]):
1. Set A= exp (2k)
2. Compute colatitude 0 = 2 arcsin ^
3. Compute longitude $ = 27ri?2
4. The orientation given by polar coordinates (0, $) corresponds to a Fisher distri
bution with mean pole given by polar coordinates (0,0). In order to compute
the pseudo-random orientation of interest, (0 , $ ' ) i.e., with distribution cen
tered around the corresponding joint set polewe need to rotate the vector
pointing in direction ( 0 , $ ) . The method described in Appendix B may be
used for such task.
3.3 Identification of removable wedges
Discontinuities within the rock mass may be combined to form blocks of different
shapes, some of which, depending on the orientation of the excavation surface, will
have the capability to move into the excavationi.e., they are removable blocks.
Goodman and Shi [1985] computed the number of different types of removable blocks
that are theoretically formed by the combination of n joint sets, showing that it
increases rapidly with n.^ Field studies have shown, however, that most failed blocks
For a single planar free face and a rock mass with n joint sets, the number of joint combinations
of size k is given by (^) = k'.(n-k)'.' î^ê there are - removable blocks of different types for
107
actually belong to a subset of joint set combinations whose failure likelihood is higher
than the rest [Hatzor, 1992]. In addition, Hatzor [1993] proposed a method that allows
to estimate the relative block failure likelihood of blocks formed by different joint set
combinations, and Hatzor and Goodman [1993] presented an example of use of the
methodology in the context of support design for rock excavations.^ Accordingly,
these results allow designers to focus their characterization efforts only on joint sets
forming blocks with high likelihood of failure, hence reducing the number of joint
set combinations that have to be analyzed in practice. Visual observation of block
moulds at the site considered suggested that, in this particular case, joint sets 1 and 3
were the most significant ones, and they are used for the analysis presented herein.
Figure 3.3 shows examples of typical wedge moulds observed at the site.
In order to identify removable blocks in the excavation, we compute the intersec
tion (if any) of each joint simulated within the generation domain with the planes that
form the face and top of the slope (see Table 3.1(b)), using the formulation proposed
by Chan [1987]. In particular, we aim to obtain the intersection between disk i and
each joint combination of size k [Goodman and Shi, 1985], the total number of removable blocks of
different types which are formed in the free face considered is given by Nrb = "2 fc!(n-fctv [H^'tôr,
1993].
The block failure likelihood is obtained as a function of three main factors: the joint combination
probability P{ JC) , which accounts for the likelihood of occurrence of removable blocks formed by
that specific combination of joint sets, the shape parameter K , which accounts for the observation
that block moulds in the field tend to correspond to removable blocks of open shape, and the
block instability parameter, F, which considers the relationship between resultant forces acting on
the block and those needed to bring the block to conditions of limit equilibrium.
^For additional information on how to assess when it is necessary to consider keyblock effects
during the design of rock excavation support (in the context of linings and support for tunnels),
and how important keyblock instability problems are in the determination of loads, see Karzulovic
[1988].
108
(a) General view.
(b) Wedge mould detail.
Figure 3.3: Examples of typical wedge moulds observed at the site.
109
a planar surface defined by its normal vector, Uf, and the signed distance from the
plane to the origin, d/.* The disk of interest is assumed to be contained in a plane
with normal vector n*, and it is also assumed to have radius r*generated using the
lognormal distribution. Given the disk center, Ciwhich is uniformly located within
the generation domain, the points of intersection, and /j^2 , between disk i and
the excavation plane may be obtained using the system of equations given by the
following geometrical conditions (see Figure 3.4):
1. The intersection points are located on the plane in which disk i is contained:
Ii-Ui = di, (3.1)
where di is the signed distance from the origin to the plane in which disk i is
contained.
2. The intersection points are located on the excavation surface:
h ' df, (3-2)
3. The intersection points are located on the surface of a sphere of center Q and
radius rp
| | / * - Q | | = r , . (3.3)
A real solution of the system of Equations (3.1) to (3.3) indicates that the disconti-
The signed distance, from the origin to a plane tt of normal n,r is defined as the orthogonal
distance from the origin to the plane, with the following sign criteria: > 0 if the origin is in the
half-space pointed to by and < 0 if on the other half-space, with d,r = 0 if the plane passes
through the origin.
n o
nuity disk intersects the planar surface, therefore forming a trace with extremes
and an imaginary solution, on the other hand, indicates no intersection between
the disk and the plane. ^
Face
D isk P lane
Figure 3.4: Identification of points of intersection between discontinuity disk and
excavation face. (Modified from Chan [1987].)
Removable wedges in the excavation may be identified once that we have obtained
discontinuity traces formed by the intersection of discontinuities with the excavation
surface. To that end, we use block theory techniques [Shi and Goodman, 1989; Shi
et al., 1985] on trace maps obtained after unrolling the top slope surface toward
the slope face, as we illustrate in Figure 3.5. Figure 3.6 shows an example of the
steps required for identification of removable blocks using the algorithm proposed by
We used a modified version of Powells Hybrid method to solve the systems of Equations (3.1)
to (3.3)as implemented from the HYBRJ algorithm of MINPACK in the GNU Scientific Library
[Galassi et ah, 2003]. For additional information about the GNU Scientific Library, see http://www.
gnu.org/software/ g s l / .
I l l
Shi and Goodman [1989], where we considered a single planar excavation face, with
removable wedges being formed by the combination of three different discontinuity
sets.
Figure 3.5: Example of traces formed by the intersection of simulated discontinuities
with the excavation surface, and graphical representation of the unrolling operation.
In this work, however, we developed a modification of Shi and Goodmans algo
rithm that takes advantage of the peculiarities of the wedge identification problem of
interest. First, we consider that wedges are formed by discontinuities belonging to
different joint sets. This is because discontinuities from the same joint set will form
closed blocks, which are less likely to fail than open ones [Hatzor, 1993; Hoek and
Bray, 1981].^ In addition, since we are considering wedges formed by the combination
of two joint sets only, traces are required to intersect the hinge line used for unrolling
of traces in order to form a wedge and, accordingly, we only consider such traces
^^This effect is even more relevant in the case of blocks with parallel f aces; in that case it is
customary to assume, as Shi and Goodman [1989] do, that such blocks cannot move, unless a non-
dilatant shear behavior of the parallel faces is expectede.g., they are filled with smooth clay.
112
(a) Original trace map.
(b) Trace map after iterative elimination of trees.
(c) Trace map after discarding exterior portions of traces.
<]
<7 ^ - < 1
<J. <]
'C7
"'<7
V
<7
=<1 <J <1
V '
"C7 '<!'
(d) Identification of primary loops forming removable wedges.
Figure 3.6: Identification of maximum removable blocks from the unrolled disconti
nuity trace map using the algorithm of Shi and Goodman [1989]. A single planar free
face is considered in this case, and removable wedges are formed by the combination
of three discontinuity sets.
113
in our analysis for identification of removable wedges. Finally, we maintain the
assumption that discontinuities extend far enough into the excavation so that trace
loops obtained in the unrolled trace map represent actual blocks [Shi and Goodman,
1989]. Figure 3.7 shows an example of an unrolled trace map for the slope model
considered, with the removable wedges that were identified in that particular case.
The number of removable or unstable wedges is known not to be a good indicator
of the expected performance of a slope [Chan, 1987; McCullagh and Lang, 1984]. For
instance, no information about the size of blocks that may eventually fail is available
and, accordingly, it is neither possible to estimate the consequences in the event of
failure, nor to assess the loads imposed by the blocks on the excavation support system
[Karzulovic, 1988]. In addition, there are cases of excavations in which the number
of removable wedges decreases even though the overall performance is expected to be
worse; as described by McCullagh and Lang [1984], this occurs because blocks tend
to coalesce (see Figure 3.6 for an example), forming fewer but larger blocks. Having
taken this issue into account, we consider wedge sizes in our analysis and, to that end,
we record the number of removable wedges whose sizes are included within different
^^These two considerations allow us to reduce the number of times that we have to compute
the intersection between traces. In general, if we had to check the intersection of every trace with
every other trace, the number of intersection operations would take O(n^) time, where n is the
total number of traces. In our case, however, the intersection operations could be performed in less
than 0 ( / i ) i.e., we do not change the order of the computations required, but we reduce the
multiplicative constant. In case that a more efficient algorithm is required for the computation of
trace intersections in a particular application, ORourke [1998] presents some ideas for the computer
implementation of algorithms that solve this problem more efficiently, in 0{ { n + k) logn) time and
0 { n + k) space, where k is the number of intersection points between the segments. Other algorithms
of interest are those proposed by Chazelle and Edelsbrunner [1992], that solves the problem in an
optimal 0{ nl ogn + k) time, and Balaban [1995], with 0{ n) space requirements [ORourke, 1998].
114
W [m]
(a) Original unrolled trace map.
-100
W [m]
(b) Traces that may potentially form wedges.
o
o
o
T
-100 -50 0 50 100
W [m]
(c) Identified removable wedges.
Figure 3.7: Use of trace maps for the identification of removable blocks. (Plots
obtained for m/H = 2/ 3 , Sr = 0.7, P3 2 = 0.7 and k = 200).
115
size intervals. The five size intervals that we considered in this work are presented
in Table 3.2. Wedge sizes are defined as the vertical height of the wedgemeasured
from the slope base to the line of intersection of the face and top of the slope.
Intervals I\ I 2 h h h
Sizes [0 , ^ / 5] [-^/5,2^f/5] P^^/5, 3J^/5] P^^/5, 4^T/5]
Table 3.2: Size intervals considered for the analysis of identified removable wedges.
3.4 Statistical analysis of simulation data
Given the Poisson disk model used for generation of discontinuities, the formation
of blocks along the excavation is expected to follow a Poisson process as well (see Am-
bartzumian et al. [1996] for an analytical derivation of this result), and, accordingly,
Poisson regression appears as a logical methodology to analyze this problem. Poisson
regression may be studied in the context of generalized linear models-, a generalized
linear model may be defined by the following assumptions [McCullagh and Nelder,
1989; Venables and Ripley, 2002]
1. There is a response y observed independently at fixed values of a number of
explanatory variables Xi,. . . , Xp.
2. The explanatory variables may only influence the distribution of Y through a
observed, generalized linear models extend linear models to cases in which responses have
distributions in the exponential family (but not necessarily normal) and to cases in which the link
function between the random and systematic components of the model is any monotonic differen
tiable function [McCullagh and Nelder, 1989].
116
single linear function, r](-)also known as the linear predictor, which repre
sents the systematic component of the response,
V = PiXi -I-. . . -I- l3pXp. (3.4)
3. The distribution of Y is in the exponential family of distributions, with proba
bility density function that may be expressed as;
f r i y , 0, 0) = exp {{y6 - 6(6>)) /a(0) + c(y, (/>)}. (3.5)
4. The mean function, is a smooth invertible function of the linear predictor;
H = m{7]); rj = m~^{p) = i(n), (3.6)
where the inverse function {) is called the link function.
3.4.1 Poisson regression analysis
We first introduce the Poisson distribution as an example of statistical one-parameter
exponential families. Within that context, the probability function of the Poisson dis
tribution may be written as [Stone, 1996];^^
f {y; n, 6 ) = n), y e Y n (3.7)
the context of the general exponential family presented in Equation (3.5), the Poisson distri
bution may be described using (f) = I, h{ 6) = exp(0), and c{ y\(f )) = logy!. The mean function is
given by y, { 9) = exp (0), and the canonical link function is 6{ y) = log () [see McCullagh and Nelder,
1989, Table 2.1].
117
where = {0,1,2,...} and n can be viewed as units of exposure relative to
which the rate of the Poisson process is expressed [Dobson, 1990]for instance, in
the problem of removable block formation that we study herein, it corresponds to
the cumulative lateral extension of the slope considered. Additionally, we have that
the canonical parameter, 9, is related to the rate of the Poisson process. A, by the
expression 9 log A, and that C{9) = and r{y,n) = n^/y\. It may be further
observed that 9 ranges over (oo, +oo) as Aranges over (0, +oo).
In order to perform the regression analysis, following Stone [1996], we denote A(-)
as the rate function and 9{-) as the canonical function. Therefore, the dependence of
A on the explanatory variables x G A is given by A(x), and the dependence of 9 on
X G A is given by ^(x), with X being the design set considered for the explanatory
variables. It is generally preferred to perform the regression analysis over the canonical
function rather than over the rate function, and that is the approach that we use in
this c h a p t e r . T o that end, it is assumed that 9{-) belongs to an identifiable p-
dimensional linear space G, with functions { gi , . . . ,gp) forming a basis of G. Then,
^() G G may be expressed as a unique linear combination of the functions in the
basis, in the form 9(-) = /3igi + . . . + (3pgp, and the rate function may be obtained by
we performed regression on the rate function, it could happen, for instance, that a negative rate
is estimated for certain combinations of parameter estimates and values of the explanatory variables;
as explained above, this result is not physically f easible, since the rate function is constrained by
the condition that A G (0, oo). By performing regression on the canonical function, we assure that
the rate parameter stays within acceptable bounds. There are additional advantages in performing
regression over the canonical parameter. For instance, confidence intervals and statistical tests
based on the normal approximation in the context of Poisson models perform better when applied
to estimates of the canonical parameter than when applied to estimates of rates [Stone, 1996].
118
A(-) = exp {piQi + . . . + Ppgp).
The problem of performing the canonical linear regression consists of finding the
maximum likelihood estimators of the Pi coefficients, that will be referred to as /?,,
with i = 1 , . . . ,p. As their name suggest, these values provide the model estimate
that maximizes the likelihood of observing the available data under the assumption
that 0(-) G. Explicit expressions to compute the maximum likelihood estimates of
coefficients Pj are not usually available, and they need to be calculated iteratively.
The iterative (re)weighted least-squares algorithm is commonly used for such task,
involving the iterative solution of a series of linear systems, with the system coeffi
cients changing from iteration to iteration [McCullagh and Nelder, 1989; Stone, 1996;
Venables and Ripley, 2002].^^ Once that the maximum likelihood estimates of the co
efficients of the canonical function are obtained, we may use the relation between the
canonical function and the rate function in order to obtain estimates of the rate of for
mation of removable blocks within each size interval considered, Aj, with i = 1, . . . , 5.
That is, given that 9i = log Aj, we obtain Aj as V(-) = exp0i{-).
3.5 Regression results
We considered four explanatory variables (i.e., factors) in the regression analysis,
corresponding to rock discontinuity network parameters hr, 5r , P3 2 , and k. For each
^^The results presented in this chapter where obtained using the R language and environment for
statistical computing [R Development Core Team, 2004]. For further information on the R project,
see http://www.R-project.org.
119
factor, we considered the values (i.e., levels) presented in Table 3.3.^
Factor Levels
-3 -2 -1 1 2 3
ij-r/ h 1 / 3 2 / 3 1.0 1.5 2.0 4.0
Sr
0.10 0.30 0.70 1.0
P32
0.4 0.7 1.0 1.5 3.0 5.0
K 10.0 30.0 80.0 200.0
Table 3.3: Factors and levels considered in the Poisson regression analysis.
A complete factorial design was then employed, in which all combinations of factor
and levels are considered, with a total of d = 6^ 4^ = 576 design points. In addi
tion, a series of twenty Monte Carlo simulations were performed for each design point
considered. In each case, a three dimensional discontinuity network was simulated
using the model presented in Section 3.2. For each simulated network, traces pro
duced by the intersection of joints with the excavation surface were obtained; these
traces were later employedafter performing the unrolling operation presented in
Section 3.3to identify removable blocks of different sizes. Accordingly, the total
experiment consisted of 576 20 = 11, 520 repetitions of the problem of generation of
discontinuities and identification of removable wedges. The results have been sum
marized in Appendix C. As observed, the experimentwhich represents an extension
with respect to previous studies in the literature [e.g., Jimenez-Rodriguez and Sitar,
2003; Starzec and Andersson, 2002a]provides an extensive dataset to study the in
fluence of discontinuity network parameters in the formation of removable blocks in
pointed out by Staxzec and Andersson [2002a], the election of factors and levels in factorial
designs of this type is somewhat subjective and case specific, and it should therefore entail common
sense and adequate values for the problem of interest.
120
rock excavations.
The following transformation of variables is performed prior to the regression
analysis: Xi = log (/^s/i.srr), X2 = log(^/o.7), X3 = log (^32/ 1 .5 )^ and X4 = log('7'8o).
Accordingly, the vector of explanatory variables in the regression model is given by
X e A, where x represents the transformed parameter values of the discontinuity
network model (i.e., x = {xx, X2 -,X3 , X4 \), and X indicates the design set used in the
Monte Carlo simulations performed (see Table 3.3).
In the analysis presented in this chapter, we focus on the formation of medium and
large-sized removable blocks (i.e., within intervals I 3 = p-^/5, and I 3 = H]).
In both cases we consider an initial cubic model, in which the regression function ^(-) is
assumed to be included in a space, G, formed by the span of functions that are powers
of up to order three of the transformed explanatory variables (i.e., terms such as Xi,
xf, and xf), and their interactionsalso up to power three (i.e., terms such as XiXj,
xf xj , XiXjXk, etc.).^^ A linear intercept is also included in the analysis, which makes
the total dimension of the regression space initially considered to be p = 35.^ Once
that this initial model was established, higher order terms that were not statistically
significant (i.e., there was no statistical evidence to reject the null hypothesis that the
^Âctually, the model initially considered was of fourth order in both cases. After initial ex
ploratory analyses, it was concluded, however, that the fourth order terms in the regression function
were not statistically relevant, in the sense that the explanatory capabilities of the extended model
were not much better than those of the simpler model, and they did not justify the increased
complexity of the model.
^The p = 35 dimension of the space is divided as follows: one linear intercept, twelve main factor
termsfour terms of type Xi, four of type x ^, and four of type x f , six interaction terms of type
XiXj, twelve interaction terms of type Xi Xp and, finally, four interaction terms of type XiXjXj.
121
corresponding coefRcient Pi = 0) were iteratively eliminated. Terms were eliminated
from the model in a hierarchical manner; i.e., a term is removed only if there are no
other terms which depend on higher order powers of the variables included in the terms
to be eliminated (e.g., the term XiXj cannot be eliminated if Xix'j is still included in the
model). Decisions on whether to eliminate a term or not were performed considering
a P-value for the test equal to P = 0.05. The hnal htted models that were obtained
in both cases are discussed below.
3.5.1 Formation of medium-sized removable blocks
After performing the regression analysis described above, the following terms were
removedin the order listedfrom the initial model considered, as no statistical
evidence was found to support their relevance: XiX^x^, X4 XI, 2 :3 X4 , X3 X4 , X1 X3 X4 ,
Xix|, and Xsx|. Accordingly, the dimension of the hnal regression space employed is
p = 35 7 = 28; the htted maximum likelihood estimates of the coefhcients of the
model have been listed in Table 3.4.
Figures 3.8 and 3.9 present the predicted rates of formation of removable wedges
for medium-sized blocks that were computed with the model. In all cases, points
indicate experimental data, and lines indicate predictions of the model.
Based on these hgures, we observe that changing the values of the concentration
parameter of the Fisher distribution that we use to model the orientation of discon
tinuities has a relevant effect on the formation of medium-sized removable blocks. In
122
Term Estimate Std. Error P-value
(Intercept) -0.4356846 0.0025447 <2e-16
Xl 0.5584750 0.0032470 <2e-16
2
0.2708231 0.0030892 <2e-16
X3
1.9831220 0.0033840 <2e-16
X4 0.0566357 0.0014392 <2e-16
x! -0.4788736 0.0029703 <2e-16
X2
-0.2539097 0.0057563 <2e-16
xi 0.0032999 0.0028752 0.25109
xj -0.0547446 0.0015669 <2e-16
xf 0.0968685 0.0019760 <2e-16
^2 -0.1519567 0.0024689 <2e-16
xl 0.0077312 0.0026140 0.00310
X4 0.0206861 0.0008538 <2e-16
X1 X2 -1.0881560 0.0040419 <2e-16
XIX3 0.0010028 0.0021736 0.64456
X1 X4 -0.0944563 0.0013864 <2e-16
X2 X3 -0.0048953 0.0025603 0.05588
X2 X4 -0.0909339 0.0019126 <2e-16
X2 X\ 0.2379372 0.0019815 <2e-16
Xzx\ 0.0053741 0.0027229 0.04842
X4 X\ 0.0112822 0.0012313 <2e-16
xixl -0.3181284 0.0019425 <2e-16
X4 X2 -0.0239558 0.0010458 <2e-16
X2 xi 0.0090602 0.0021670 2.90e-05
xi x\ -0.0064471 0.0009707 3.09e-ll
X2 X4 -0.0055073 0.0007060 6.17e-15
X1 X2 X3 0.0082710 0.0026439 0.00176
X1 X2 X4 0.0287085 0.0012048 <2e-16
Table 3.4: Maximum likelihood estimates of the coefficients of the medium-size
removable blocks regression model.
123
P32[m/m''2]: 0.4
0.7 *
1.0 +
1.5 X
3.0 o
5.0 V
2 3
P32[m/m''21: 0.4
0.7 *
1.0 +
1.5 X
3.0 o
5.0 V
2 3 4
<-<10
K = 200
10
8
6
4
2
0
<^<10
8
6
4
2
0
K = 8 0 K - 200
= 1 0
K - 3 0
2 3 4
P'R/h
(a) = 0.1
2 3 4
i^r/ h
(b) = 0.3
P32[m/m''2]: 0.4 o
0.7 *
1.0 +
1.5 X
3.0 o
5.0 V
2 3
P32[m/m''2]: 0.4
0.7 *
1.0 +
1.5 X
3.0 o
5.0 V
2 3
mjH
(c) = 0.7
tJ-R/H
(d) = 1.0
10
^-0
200 K = 2 0 0
K = 3 0 = 1 0
0 -L*
1 2 3
A
1 2 3
A
Figure 3.8: Predicted rates of formation of medium-sized removable blocks as a
function of the mean discontinuity radius, for different values of P3 2 , and k.
124
P32[m/m''2]: 0.4
0.7 A
1.0 +
1.5 X
3.0 o
5.0 V
2 3
P32[m/tn''2]: 0.4 o
0.7 A
1.0 +
1.5 X
3.0 o
5.0 V
2 3
s=1.0 5 = 0 . 7 S = 0 . 7 6= 1. 0
L-0
S - 0. 3 S = 0.1 S = 0. 3 S = 0.1
0 -L-
2 3 4 1 2 3 4 1
m/H
(e) K = 10.0
mfH
(f) K = 30.0
P32[m/m''2]: 0.4
0.7 A
1.0 +
1.5 X
3.0
5.0 V
2 3
P32[m/mA2]: 0.4
0.7
1.0
1.5
3.0 o
5.0 V
2 3
mj u
(g) K = 80.0
t^R/H
(h) K = 200.0
10
8
6 = 0 . 7 S - 1.0 <5= 0 . 7 <5= 1. 0
' - -0
6= 0.1 6 = 0. 3 <5= 0. 1 6 = 0. 3
0
1 2 1 2 3
A
3
A
10
Figure 3.8 (cont.): Predicted rates of formation of medium-sized removable blocks
as a function of the mean discontinuity radius, for different values of P3 2 , Sr , and k.
125
Mu/H: 1/3
2/3
1.0 +
1.5 X
2.0 o
4.0 V
2 3
Mu/H: 1/3
2/3 *
1.0
1.5
4 5
2.0 o
4.0 V
2 3 4 5
K = 8 0 K = 200
K = 3 0 K= 10
0 -L-
1 2 3 4 5
10
8
6
4
2
0
-P32 [ m
(a) <5^ = 0.1
8
6
4
2
0
1 2 3 4 5
^32 [m^
10
8
6
4
2
0
(b) = 0.3
Mu/H: 1/3 o
2/3 A
1.0 +
1.5 X
2.0 o
4.0 V
1 2 3
Mu/H: 1/3
2/3
1.0 +
1.5 X
4 5
2.0 o
4.0 V
1 2 3 4 5
f t = 8 0
1 2 3 4 5
P 3 2 [ m
10
8
6
4
2
0
re=10
8
6
4
2
0
1 2 3 4 5
10
( C ) S r = 0.7
7^32 [m
(d) - 1.0
function of the intensity measure, for different values of i^r / h , S r and k .
126
Mu/H: 1/3
2/3 A
1.0 + 2.0 o
1.5 X 4.0 V
1 2 3 4 5
Mu/H: 1/3 o
2/3 *
1.0 + 2.0 o
1.5 X 4.0 V
1 2 3 4 5
S= 1.0 5 = 0 . 7
5 = 0 . 1 6 = 0 . 3
0-L-
1 2 3 4 5
P32 [m~^
s= 1 . 0 5 = 0 . 7
10
8
6
4
2
0
5 = 0 . 3 5 = 0 . 1
1 2 3 4 5
P32
10
(e) K = 10.0 (f) K = 30.0
Mu/H: 1/3 o
2/3 *
1.0 +
1.5 X
2.0 o
4.0 V
2 3 4 5
Mu/H: 1/3 o
2/3 *
1.0 +
1.5 X
2.0 o
4.0 V
1 2 3 4
S= 1 . 0 6 = 0 . 7 S= 1.0 5 = 0 . 7
6= 0. 1 6 = 0 . 3 6= 0. 1 6 = 0. 3
<^10
1 2 3 4 5
^*32 [m^
1 2 3 4 5
1^32 [m~^
(g) n = 80.0 (h) K = 200.0
Figure 3.9 (cont.): Predicted rates of formation of medium-sized removable blocks
as a function of the intensity measure, for different values of and k.
127
particular, changing valnes of n from k = 10 to k = 30 has the effect of increasing
As approximately by 40%. However, changes in values of k from / = 30 to values of
re = 80 and higher do not seem to have a significant influence on the predicted rate
of formation of medium size removable blocks.
The mean size of discontinuities also affects the model predictions. In particular,
As is more sensitive to changes in when ^^R/H is low, and the sensitivity to
changes in decreases as R'r/h increases (e.g., we observe in Figure 3.8 that the
prediction curves flatten out as t^R/n increases). As is also observed to be affected by
the value of S r ; in particular, the effect of Sr is observed to interact with i^r/hnote,
for instance, the high values of the fitted coefficients for terms xiX2 , X1 X2 , and x 1 x 2 in
Table 3.4. In physical terms this indicates that, for low values of ^^R/H, low values of
S r are expected to produce fewer medium-sized removable blocks than higher values
of Sr . This effect is reversed, however, for high values of f ^R/ n. In that case, low
values of Sr are expected to increase the rate of formation of removable blocks, A3 ,
whereas high values of Sr tend to reduce it.
The effects of changes in the value of intensity of discontinuities within the rock
mass may also be inferred from the data in Table 3.4 and from observation of Fig
ures 3.8 and 3.9. In particular, increases of the value of volumetric intensity, P3 2 ,
are observed to significantly increase the rate of formation of medium-sized blocks at
more than a linear rate (i.e., doubling P3 2 more than doubles A3 ). Unlike previously,
interactions of x^ with other variables are not observed to be significant in this case.
128
3.5.2 Formation of large-sized removable blocks
In this case, the following terms were identified not to be statistically relevant, and
they were thus removed from the original cubic model (in the order listed): X\XzX4^,
X4 xf, X3 X4 , X2 X3 , Xix, X3 X2 , X3 X2 , X4 XI, X4 X3 , and X2 X3 X4 . As observed, all the
terms that were obtained to be not relevant in the medium-sized blocks case are also
removed in this case, plus three additional terms: X4 xf, X2 x\, and X3 X2 . Accordingly,
the dimension of the final regression space is p = 35 10 = 25. The computed
maximum likelihood estimates of the coefficients of the model have been listed in
Table 3.5.
In Figures 3.10 and 3.11 we present the rates of formation of large-sized removable
blocks, as they were predicted by the fitted model. As we did before, points are used
to indicate experimental data, whereas lines indicate the predictions of the model.
The results show that the predicted rate of formation of large removable blocks
is significantly smaller (between 20% and 30%) than for medium sized wedges. We
further observe that the overall shape of the model prediction curves are very sim
ilar in both cases. Given this observation, together with the similarity between the
terms included in both models, it seems reasonable to expect that influence of the
explanatory variables will be similar in both cases, as the results indicate.
As in the medium-size case, the predicted rate of formation of removable wedges
increases as the value of the concentration parameter, k, increases. In this case the
transition is more gradual, (even though the total change is more significant in relative
129
Term Estimate Std. Error P-value
(Intercept) -1 . 0 2 2 1 1 2 0.003425 <2e-16
X l 1.212338 0.005182 <2e-16
X 2
0.777367 0.003884 <2e-16
X 3
1.982431 0.004434 <2e-16
X 4 0.154628 0.001932 <2e-16
Xl -0.763702 0.004697 <2e-16
-0.324752 0.007761 <2e-16
x \ -0.012298 0.003738 0 . 0 0 1 0 0
x l -0.072206 0.002143 <2e-16
/y3
0.068759 0.003419 <2e-16
x l -0.232509 0.003420 <2e-16
3
X3 0.014902 0.003614 3.73e-05
X 4 0.012439 0.001181 <2e-16
X \ X 2 -1.877237 0.006506 <2e-16
X 1 X 3 -0.001016 0.003457 0.76887
X \ X 4 -0.095362 0.002030 <2e-16
X 2 X 4 -0.098851 0.002768 <2e-16
X2 X1 0.577149 0.004993 <2e-16
X z x l 0.014100 0.004394 0.00133
X i x j -0.408644 0.003328 <2e-16
X 4 X 2 -0.020387 0.001522 <2e-16
X I X 4 -0.020250 0.001494 <2e-16
X 2 X 4 -0.015616 0.001041 <2e-16
X \ X 2 X z 0.012151 0.003047 6.68e-05
X I X 2 X 4 0.026194 0.001925 <2e-16
Table 3.5: Mgiximum likelihood estimates of the coefficients of the large-size remov
able blocks regression model.
P32[m/m''2]: 0.4
0.7 A
1.0 +
1.5 X
3.0 o
5.0 V
2 3 4
P32[m/m''2]: 0.4
0.7 A
1.0 +
1.5 X
(a) 5k = 0.1
i^r/ h
(b) 5k = 0.3
P32[m/m''2]: 0.4 o
0.7
1.0 +
1.5 X
3.0 <>
5.0 V
2 3 4
P32[m/m''2]: 0.4
0.7 A
1.0 +
1.5 X
(c) 5k = 0.7
IJ'R/h
(d) 5k = 1.0
130
3.0 o
5.0 V
2 3 4
- - 0
6 6
4 4
2 2
0 0
1 2 3
A
1 2 3
A
3.0 o
5.0 V
2 3 4
K= 80 200
- - 0
= 3 0 = 3 0 = 1 0
0 -L- 0
1 2 3
A
1 2 3
A
Figure 3.10: Predicted rates of formation of large-sized removable blocks as a func
tion of the mean discontinuity radius, for different values of P3 2 , 5k, and k.
131
P32[m/m''2]: 0.4
0.7 A
1.0 +
1.5 X
3.0 o
5.0 V
2 3 4
P32[m/m''2]: 0.4 o
0.7 A
1.0 +
1.5 X
3.0 o
5.0 V
2 3 4
S - 1.0 6= 0 . 7 <5= 1.0 S = 0 . 7
- 4
--0
L-o
S = 0 . 3 S = 0.1 S = 0. 1 5 = 0 . 3
6
4
2
0
3 4 1 2 3 4 1 2
mjH
(e) K = 10.0
tJ-Rjn
(f) K = 30.0
P32[m/m''2]: 0.4
0.7 *
1.0 +
1.5 X
3.0 o
5.0 V
2 3 4
P32[m/m''2]: 0.4
0.7
1.0 + 3.0 o
1.5 X 5.0 V
1 2 3
S = 0 . 7
S = 0. 1 .5= 0 . 3
4
0 -L-
1 2 3
(g) K. = 80.0 (h) K = 200.0
&= 1. 0
6 -6
4
2
0 0
^ = 0. 1 S = 0 . 3
2 1 3
Figure 3.10 (cont.): Predicted rates of formation of large-sized removable blocks
as a function of the mean discontinuity radius, for different values of P3 2 , ^r -, and re.
132
Mu/H: 1/3 1.0 + 2.0 o
2/3 A 1.5 X 4.0 V
1 2 3 4 5
Mu/H: 1/3 1.0 + 2.0 o
2/3 * 1.5 X 4.0 V
1 2 3 4 5
= 3 0
0
1 2 3 4 5
P32 [m~^]
(a) 6 r = 0 . 1
K = 200
6
4
2
0
0
2 3 4 5
^ 3 2 [m
(b) S r = 0.3
1
Mu/H: 1/3
2/3 *
1.0 +
1.5 X
2.0 <>
4.0 V
1 2 3 4 5
Mu/H: 1/3 1.0 + 2.0 o
2/3 * 1.5 X 4.0 V
1 2 3 4 5
K = 2 0 0
0 i f . f a .
1 2 3 4 5
P32 [m~^]
(c) = 0.7
2 3 4 5
P 3 2 [ m
(d) Sr = 1.0
1
function of the intensity measure, for different values of i^r/ h , S r and k .
133
Mu/H: 1/3 o 1.0 + 2.0 o
2/3 A 1.5 X 4.0 V
1 2 3 4 5
Mu/H: 1/3 o 1.0 + 2.0 o
2/3 A 1.5 X 4.0 V
1 2 3 4 5
S = 1. 0 <5= 0 . 7 S = 1. 0 <5= 0 . 7
-6
; = 0 . 3 S = 0 . 3 ;=o.i S = 0.1
0 -L-
2 3 4 5
P32 [ m
(f) K = 30.0
1 1 2 3 4 5
^32 [m-^]
(e) K = 10.0
- 4
- 2
Mu/H; 1/3 o 1.0 + 2. 0 o
2/3 A 1.5 X 4.0 V
1 2 3 4 5
Mu/H: 1/3 o 1.0 + 2. 0 o
2/3 A 1.5 X 4.0 V
1 2 3 4 5
S = 0 . 7 S = 1. 0 s = 0 . 7 s= 1 . 0
5 = 0 . 1 5 = 0 . 3 5 = 0 . 3
6
4
2
0
1 2 3 4 5
^^32 [m~^]
(g) K = 80.0
2 3 4 5
^*32 [m
(h) K = 200.0
1
Figure 3.11 (cont.) : Predicted rates of formation of medium-sized removable blocks
as a function of the intensity measure, for different values of Sr and k.
134
terms), as it is observed that changing from values of = 1 0 to ; = 80 and higher
has the effect of increasing A5 by a factor of approximately two.
The influence of the size of discontinuities in the rock mass is similar to that noted
earlier. The estimated rate of formation of large removable blocks is specially sensitive
to changes in for low values of ij-r/h, whereas the sensitivity of the results
decreases as the size of the discontinuities increases with respect to the height of the
slope. As before, there is significant interaction between the mean and coefficient of
variation of the distribution of radius of discontinuities (see the values of the estimates
for X1 X2 , X\x\, and x \ x 2 in Table 3.4), with similar effects to the case of medium-sized
blocks.
Finally, the estimates of formation of large-sized removable blocks are also sig
nificantly affected by the intensity value of discontinuities in the rock mass, and a
non-linear relationship between A5 and P3 2 is observed in this case as well. In par
ticular, increasing the value of volumetric intensity, P3 2 , produces again an increase
in the rate of formation of blocks at more than a linear rate (i.e., doubling P32 more
than doubles A 5 ) .
In this chapter we presented a methodology to study the problem of formation of
removable wedges in rock excavations. The formation of removable wedges is assumed
to follow a Poisson process, and we use Poisson regressionon an extensive dataset
135
of cases generated by Monte Carlo simulationin order to explore the influence that
different parameters of the Poisson disk model used for generation of discontinuities
i.e., jj , R, Sr , P3 2 , and k have on the estimated rate of formation of removable blocks.
The information obtained with this type of analysis may be employed in practical
apphcations; for example, to develop optimized procedmes for the characterization of
rock masses for engineering purposes, and also to optimize design procedures in rock
engineering.
In the context of the results presented in this work, we note that the rate of
formation of large-size removable blocks is significantly smaller than for medium-size
blocks, and we also show that the overall trends of the responses predicted in both
cases are similar. The effects that the different parameters of the joint network model
have on the rate of formation of medium and large-sized removable blocks may be
summarized as follows:
The volumetric intensity of discontinuities in the rock mass is shown to have a
significant impact on the estimates of removable block formation. The influence
of the intensity value on the predicted rate of formation of removable blocks is
observed to be non-linear, so that doubling the value of P3 2 more than doubles
the corresponding rate of formation of blocks, A. Interactions between this
parameter and other parameters of the discontinuity network model were not
found to be relevant.
The predictions of removable block formation are shown to be more sensitive to
136
changes in the mean discontinuity radius, when Hr is small with respect to
the height of the slope, H (i.e., approximately when i^r/ h < 2); also, predictions
of formation of removable blocks are not so sensitive to small changes in jiR when
larger discontinuities are considered.
There is an interaction effect between the mean of the discontinuity radius
distribution, ^ r , and its coefficient of variation, 5 r . Information on the effects of
interaction between variables of the model is not usually found in the literature
on this topic, and it is an advantage of the proposed methodology [Starzec and
Andersson, 2 0 0 2 a].
Finally, the variability of discontinuity orientations with respect to the mean
orientation of the joint set is also found to have an influence on the formation
of removable rock wedges. In particular, in cases in which the variability of
orientations is high (i.e., low values of the concentration parameter, with
K < 30), the predicted rates of formation of removable blocks are lower than in
cases of low joint orientation variability (i.e., high values of concentration
parameter, with k > 30).
We can use these observations to make decisions for site characterization and
engineering design, in the context of the problem of removable rock block formation.
Given the significant influence of the intensity of discontinuities, P3 2 on the
rate of formation of removable blocks, we suggest that the adequate estimation of P3 2
137
should be a priority at the site characterization stage of the project. The influence of
the size of discontinuities within the rock mass is observed to depend on the relative
size of discontinuities with respect to the dimensions of the excavation. In that sense,
if discontinuities in the rock mass are small with respect to the to the height of the
slope, then we should increase the resources allocated for estimation of discontinuity
sizes, trying to assure an accurate estimation of discontinuity sizes; in case of large
discontinuities with respect to the height of the slope, the results suggest, however,
that it would not be justified to spend more resources than those needed to have an
approximate estimate of discontinuity sizes, as the engineering consequences of this
source of uncertainty have been found to be not very relevant in this context. A final
consequence of the results obtained concerning the influence of orientation variability
on the predictions of block formation would be, for instance, that the assumption
of joint sets of constant orientation considered in block theory [Goodman, 1995] is
conservative in most cases.
Finally, we believe that the methodology presented in this chapter might be used
to make assessments about the expected performance of different slope designs. Re
movability is a necessary condition for a block to fail; accordingly, the methodology
presented herein might be further extended to compute the prediction of rates of
formation of unstable blocks. To that end, once that removable blocks are identified,
their stability may assessedusing, for instance, limit-equilibrium or vector methods
138
[Warburton, 1993]in order to identify removable, unstable blocks,hence providing
with updated estimates of the rates of formation of keyblocks in an integrated and
quantitative way [Jimenez-Rodriguez and Sitar, 2003].
Ûnstable removable blocks are also known as keyblocks in the block theory literature [Goodman,
1989, 1995; Goodman and Shi, 1985]. Keyblocks represent the most dangerously located blocks
within an excavation, so that the overall stability of the excavation is assured by assuring the
stability of identified keyblocks. For a classification of the types of blocks that may be formed
around an excavation, see Figure 1.1 in Page 2.
139
Chapter 4
Stability analysis of removable blocks
4.1 Introduction
Previously we considered the influence that parameters of the stochastic discon
tinuity network used for characterization of the rock mass have on the prediction of
formation of removable blocks. In this chapter we analyze the effects of uncertain
ties in the input parameters of the model used for stability assessment of removable
blocks, i.e., we study how they affect their probabilities of failure and the probability
of occurrence of keyblocks.
Methods of limit equilibrium analysis are usually employed to assess the stability
of rock slopes, and they have been widely discussed in the literature [Goodman, 1989;
Goodman and Shi, 1985; Hoek and Bray, 1981; Wittke, 1990]. However, in order to
estimate the influence that uncertainties related to inadequate description of the rock
140
mass and inherent geologic variability have on the probability of failure of removable
blocks, additional tools are needed beyond traditional analyses. Reliability-based
approach offers an attractive framework for this task, and has been used in rock
slope stability problems before. Simulation methods, point-estimate methods and the
first-order second moment (Fosm) method have been used [Christian and Baecher,
2002; Duzgun et ah, 2003; Tamimi et ah, 1989; Wang et ah, 2000], together with
the first-order reliability method (Form). For instance, Low presents a convenient
implementation of Form, based on the use of minimization tools readily available in
spreadsheet software [Low, 1997; Low et ah, 1998].
In this chapter we address the problem of system reliability analysis of rock slope
stability. System reliability techniques have been previously applied to the general
problem of slope stability [Chowdhury and Xu, 1995; Oka and Wu, 1990]. Our in
terest in methods to evaluate the reliability of general systems is motivated by the
rocfc engineering system" paradigm [Hudson, 1992], which proposes that the complex
performance of most rock engineering designs is governed by the joint interaction of
a number of different factors. Accordingly, we believe that in many cases rock slopes
should be modeled as systems, and appropriate toolssuch as those presented in
this chapterare needed in order to compute the reliability of such designs, and to
evaluate the consequences of uncertainty in a systematic and quantitative way.
141
4.2 Model formulation
For the purposes of illustration of the methodology presented in this chapter, we
consider a simple sliding mass composed of two blocks separated by a vertical tension
crack (see Figure 4.1), resting on an inclined plane. The position of the tension crack
is random and the water level in the crack is also random. To simulate the effect of
a buttress or rock reinforcement, a passive force T of uncertain magnitude is applied
at the toe of the slope. For simplicity, the passive force is assumed to be normal to
the plane of failure, as shown in Figure 4.2.
We need to establish a clear delimitation between success and failure events in
order to perform a reliability analysis of the slope [Christian et ah, 1994]. We will
assume that the slope is safe when the factor of safety of block A is greater than
unity { F S a > 1), using the model presented by Hoek and Bray [1981], with some
modifications in order to consider the interaction between blocks.
Two different cases may be distinguished in the analysis, depending on the inter
action between blocks A and B, as follows:
Case 1: In this case block B is stable by itself. It will be assumed that there is no
interaction between blocks, and the performance of block A (without interaction
from B) will determine the performance of the slope.
Case 2: In this case block B is unstable. Block B will tend to slide, imposing an
interaction force. Ip, on block A. Hence, in this case, the interaction force needs
142
X = H cot ipp
(a) Tension crack at slope top.
X H cot ipp
(b) Tension crack at slope face.
Figure 4.1; Geometrical definitions for the slope stability model considered.
143
V
U,
B
Figure 4.2: Forces considered in the slope stability model,
to be considered in the analysis.
4.2.1 Case 1: No interaction between blocks
In this case, we compute the stability of block B by means of the following equation
for the factor of safety:
FSb =
cbAb + {Wb cos t/jp Ub + V sin ipp) tan 4>b
Wb sin ijjp V cos ipp
(4.1)
where cs is the cohesion along the failure surface and block B, (pB is the friction
angle, 4 ^ is the area of contact with the failure surface, and Ub and V represent
water pressure resultant forces. Similarly, Wb represents the weight of block B. Ab ,
144
Ub and V are obtained as follows:
Ab = z CSCipp, (4-2)
Ub = CSCijp, (4.3)
(4.4)
The following expressions provide the weight of block B, depending on the location
of the tension crack:
For tension crack located at the top of the slope (see Figure 4.1a), Wb is equal
to:
kFe = i jrock cot ipp, (4.5)
whereas for tension crack located at the slope face (see Figure 4.1b), Wb is
given by:
Wb = cotVp( l (cot tan 1}) cot ipj . (4.6)
The transition between both cases will occur when the tension crack is located at
the crest of the slope, that is when [Hoek and Bray, 1981]:
2 ;
= (1 001-0/tan-0p). (4.7)
145
Similarly, assuming that block B is stable, the stabilityfactor of safetyof block
A is computed as follows [Hoek and Bray, 1981];
FSa =
caAa + {T + Wa cos 'ipp Ua V sin ipp) tan 4>a
Wa sin i>p + V cos
( 4 . 8 )
where ca, 4>Ai Ua aiid V have equivalent meanings as in Equation (4.1), and T is the
passive force applied at the toe of the slope. Aa and Ua are obtained by:
Aa = {H z ) CSC 'ipp,
= 2 {H - z) CSC -ipp,
(4.9)
(4.10)
and V is obtained by Equation (4.4).
Again, the expression for the weight of block A will be different depending on the
location of the tension crack [Hoek and Bray, 1981]:
For tension crack located at the top of the slope, Wa is equal to:
' Â 2 ^Fock H ( ^ ) j COtVp- cotV/
(4.11)
whereas for tension crack located at the slope face, Wa is given by:
WÂ 2 ^rock H
(^1 J cot-0p (cot V'ptan'0/1) (4.12)
146
4.2.2 Case 2: Interaction between blocks
This case occurs when block B is unstable by itself (i.e., F S b < 1 in Equa
tion (4.1)), and therefore tends to slide. One possible outcome is that block A is
stable under the extra load due to block B (hence making block B stable), in which
case the slope is considered to be stable. The other outcome is that block A is unsta
ble, in which case failure occurs. The expressions of the factors of safety corresponding
to blocks A and B will be similar to those presented in Equations (4.1) and (4.8),
with the only modification that terms representing the interaction force Ip between
both blocks need to be considered. Eriction along the tension crack (of value </>a b ) is
considered, and it is assumed that Ip has a direction inclined at an angle (f)AB with
respect to the surface of the tension crack (see Figure 4.2).
Maintaining the notation used in Section 4.2.1, the factors of safety of blocks A
and B may be obtained using the following expressions:
^ c b A b + \ W b cos - f/g - H / sin -F Ip sin (jjp - 0ab)] tan 0b ^
Wb sin ipp V cos ipp Ip cos (-0^ 0as)
^ caAa + [T + Wa cos i > p - U A - V sin 0p - Ip sin (0p - 0ab)] tan
ITa sin 0p-f E cos -I-If cos (0p - 0ab)
where A, U, V and W are given in Equations (4.2) to (4.12). Under the condition
that FS a FSb , the value of Ip may be obtained from Equations (4.13) and (4.14)
solving a second order polynomial equation in Ip. The value of the factor of safety
of the slope may be computed substituting Ip back into Equation (4.13) or (4.14).
147
Given that we have defined failure in the context of limit-equilibrium, we may
also assess the performance of the slope without the need to solve the second order
equation, as follows: The value of Ip that makes FSb = 1 in Equation (4.13) is
computed, and it is substituted back into Equation (4.14). If it is obtained that
FSa > 1 ; tfien the slope is considered to be stable. It has to be noted that the
computed value of FSa is not the exact value of the factor of safety for cases in
which FSa 7^ 1- However, this approach provides us with the same failure domain as
the exact solution, and hence provides the same reliability results.
4.3 Reliability analysis: General system formulation
We consider a system as an assembly of components, that may depend on each
other, such that the state of the system is uniquely defined in terms of the states
of its components [Der Kiureghian, 1999]. Without loss of generality, we addi
tionally assume that for a system with Ng distinct components, each component
i, (i = 1, . . . , Ng), has two possible statese.g., failure (Ej) or safe (Ej) state. If we
denote the performance of the system by means of Esystem, we can express it as a
function of the individual component states, in the following general way [Song and
Der Kiureghian, 2003]:
Esystem ~ -b(Ei, Ex, . . . , Ej\}^, Ej\jfi), (4.15)
148
where L{-) denotes a boolean logical function of the component events.
Several types of systems may be defined [Der Kiureghian, 1999; Ditlevsen and
Madsen, 1996; Song and Der Kiureghian, 2003], with the following being the more
common:
Series system: In this case the system fails if any component fails, so that the
performance of the system may be defined exclusively in terms of unions of
events related to the individual components, as shown in Equation (4.16):
No
E series l ^ E i (4-16)
i=l
Parallel system: In this case the system will fail if all the components fail. It may
be represented by means of the following intersection operations:
Ng
Eparallel ~ n Ei (4.17)
i=l
General system: Formed by a combination of series and parallel systems, that is,
of union and intersection operations. Two approaches may be used in this
case [Song and Der Kiureghian, 2003]. The first one (see Equation (4.18))
corresponds to a cut set formulation, in which the system is represented by a
series of Ncs parallel subsystems, or cut-sets. These cut-sets are referred to by
Ck, with k = 1 , . . . , Ncs- Alternatively (see Equation (4.19)), we may use a
149
link-set formulation, in which the performance of the system is represented by
a parallel arrangement of Nl s series subsystems, or link-sets. The link-sets are
denoted by Lk, with k = 1 , . . . , Nls-
Ncs
Egeneral ~ E{ (4-18)
k=l
Nls
Egeneral = H U
k=li&Lk
The computation of the probabilities of failure of general systems of the form
of (4.18) or (4.19) is often quite complicated. In this work we propose the use of
a disjoint cut-set formulation [Der Kiureghian, 1999]. Within this framework, the
different cut-sets are defined in a way such that we make them to be disjoint, that is
Ck{^Ci = 0, for A; 7 ^ / and A:, / = 1, . . . , Nqs- This allows a considerable simplification
of the computations, since the probability of failure of the complete system may be
obtained as the sum of the individual probabilities of failure of each cut-set (parallel
system), as follows:
/Ncs \ Ncs / \
p { E n i ) = ^ U
\fc=l iCk ) k=l \ieCk /
(4.20)
Figure 4.3 shows the disjoint cut-set formulation used for the slope stability model
that was presented in Figure 4.1. It may be observed that each component in the
system is defined by expressions of the form < 0, with i = 1, . . . , A^g. The gi
150
functions are usually referred to as limit state functions in the reliability literature.
The physical interpretation of each limit state function used in this case has been
presented in Table 4.1.
F a i l u r e M o d e :

9 i < 0
-92 < 0
92 <0
- 93 < 0
93 < 0
Figure 4.3: Disjoint cut-sets system formulation of plane rock slide stability problem.
In the example considered, the problem is simplified to the evaluation of the
probabilities of failure of Ncs = 4 parallel systems, with a total of = 7 components.
Each one of these parallel systems may be associated with a different mode of failure
of the rock slope (see Figure 4.3), as follows:
Failure Mode 1: Tension crack located at top of slope. No interaction between
blocks occurs.
Failure Mode 2: Tension crack located at top of slope. Interaction between blocks
does occur.
Failure Mode 3: Tension crack located at face of slope. No interaction between
blocks occurs.
CD
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o.
c
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CD
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D
CD
C/)
W
o'
o
o
o
o
D
cq'
o
o
CD
"n
c
CD
i
CD
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Limit State Function Physical interpretation Equations
Qi = z H { 1 cot Ipf tan tpp) < 0 Tension crack at top of slope. (4.7)
g2 = { F S B \ { g i < 0 ) } - l < 0 Block B is unstable (without interaction from A), given tension
crack located at top of slope.
(4.1), (4.5)
gs = { F S B \ { g i > 0 ) } - l < 0 Block B is unstable (without interaction from A), given tension
crack located at face of slope.
(4.1), (4.6)
g4 = { FSA\ { gi <0 ,g2 > 0 ) } - l < 0 Block A is unstable, given tension crack at top of slope and block
B stable (no interaction occurs).
(4.8), (4.11)
gn = { FSA\ { gi <0 ,g2 < 0 ) } ~ l < 0 Block A is unstable, given tension crack at top of slope and block
B not stable (interaction occurs).
(4.14), (4.11)
g6 = { F S A \ ( g i > 0 , g 3 > 0 ) } - l < 0
Block A is unstable, given tension crack at face of slope and block
B stable (no interaction occurs).
(4.8), (4.12)
g7 = { FSA\ { gi >0 ,g3 < 0 ) } - l < 0 Block A is unstable, given tension crack at face of slope and block
B not stable (interaction occurs).
(4.14), (4.12)
Table 4.1: Physical interpretation of limit state functions defining component performance in the system modeling
the stability of the rock slope.
Cn
152
Failure Mode 4: Tension crack located at face of slope. Interaction between blocks
does occur.
4.3.1 Component reliability
In order to compute the reliability of each one of the parallel systems used in
a disjoint cut-set formulation, we start with the computation of the reliability of
individual components. For each component, we define a limit state function g{-),
such that component i is considered to fail when gi{:x.) < 0, and it is considered to be
in a safe state for cases in which gi{x) > 0. The probability of failure of component
i, Pf^, may be then computed as:
Pfi = P{9i{^) < 0 ) = [ /(x)dx, (4.21)
dgi{^)<o
where / ( x ) is the joint probability density function (PDP) of the input variables x
that appear in limit state function gi{-). The generalized reliability index [Ditlevsen,
1979a], is commonly used as an alternative measure of safety. It is defined as:
f t = 4>-{l - P, ), (4.22)
where 4>(-) represents the cumulative density function (cdf) of the standard normal
distribution.
The direct computation of integrals of the form of Equation (4.21) is commonly
153
a complex and computationally intensive problem when standard methods of inte
gration are used, and a number of more efficient methods have been developed for
such task. Among them, analytical methods such as the first order (Form) reliabil
ity method have found great acceptance. Similarly, simulation methods, such as the
Monte Carlo simulation method or the directional simulation method, are commonly
employed as well.
In general. Form may be performed in the following steps [Bjerager, 1990] (see
Figure 4.4):
G'(u) = 0
G(u) > 0
Form
Figure 4.4: Form approximation to the failure surface in a 2-dimensional standard
normal space.
1. Transformation of the vector x of variables in the original space, into a vector
154
of standard and uncorrelated normal variables u (the so-called standard normal
space). This transformation also produces a transformed limit state function,
from the original 5 '(x) < 0 to the transformed G(u) < 0. Several types of
transformations have been developed, depending on the type of distributions
that the random variables have in the original space, and on the correlation
structure between them. Details of the diflFerent types of transformations are
presented elsewhere [Der Kiureghian and Liu, 1986; Hohenbichler and Rackwitz,
1981].
2. Determination of the most likely failure point in the standard normal space, u*.
This point is also called the design point, as it is the point over the failure domain
which has the greatest probability density among all points in the failure domain
(i.e., with G{u) < 0) in the standard normal space. The point corresponding
to the mapping of u* back into the original space is represented by x*. Even
though X* might not correspond to the most likely failure conditions in the
original space, it usually represents a close estimation of it, and hence it provides
useful information in the design process. In order to obtain the design point, the
following constraint minimization problem must be solved [Hasofer and Lind,
155
1974; Liu and Der Kiureghian, 1991]:^
u* = min{||u|| | G(u) = 0}. (4.23)
3. The limit state surface in the standard normal space is approximated at the
design point u* with the corresponding first order approximation (Form) in
the neighborhood of the design point:
G' ( u ) VGf , . - ( u - u * ) , (4.24)
where = [ ^ , . . . , is the gradient vector of G{u) at point u*.
4. The probability of failure, Pf, represented by Equation (4.21) is approximated
by Pi, that is, the probability content of the half-space (3 ot ^ u < 0, where
CK= is the outward unit vector normal to the limit state surface in u*
IIvG|u* II
[Bjerager and Krenk, 1989]. This leads to:
Py. Pi = $(-/?), (4.25)
where (3 represents the minimum distance to the limit state function and $()
Â number of algorithms have been proposed for the solution of Equation (4.23). After comparing
a number of them, Liu and Der Kiureghian [1991] concluded that the HL-RF method required the
least amount of storage and computation, even though they reported some situations in which it
would fail [Liu and Der Kiureghian, 1991]. In our work we use the improved Hasofer Lind-Rackwitz
Fiessler (iHL-RF) algorithm [Zhang and Der Kiureghian, 1995], which assures the convergence to
a solution of Equation (4.23).
156
is the CDF of the standard normal distribution.
Vector at represents the sensitivities of the computed reliability index with respect
to variations in the distributions of the random variables in the standard normal
space u [Der Kiureghian, 1999]. However, in case that the random variables x are not
independent, vector a is not informative in relation to the random variables x. In
that case, the following importance vector may be defined for the original variables
X [Der Kiureghian, 1999]:
where Ju*,x* is the Jacobian of the transformation, and D' is the standard deviation
matrix of equivalent normal variables x', defined as x = x* + Jx*,u*(u u*) [Der
Kiureghian, 1999]. Additionally, vector 7 provides information that allows to differ
entiate between load and resistance variables; if the z-th component of vector 7 is
positive, that indicates that the f-th random variable considered is a load variable
(i.e., a shift in the distribution toward higher values is associated to an increase in the
probability of failure, and vice-versa). Similarly, a negative value of the i-th compo
nent of vector 7 indicates that the f-th random variable considered is a resistance
variable [Der Kiureghian, 1999].
157
4.3.2 System reliability
The computation of the probability of failure of general systems is a complex
problem in general, specially for cases in which there is correlation between the status
of different components. A number of approximate and exact methods have been
developed to solve this problem. Some of the more common methods are discussed
next.
First order approximation to the probability of failure of parallel systems
The probability of failure of a parallel system Ck (i.e., cut-set Ck), may be esti
mated using a polyhedral first order approximation of the failure domain [Ditlevsen
and Madsen, 1996] (see Figure 4.5), leading to the following expressions [Der Ki
ureghian, 1999]:
Pf ( c ) = ( n ^ 0 ) = -p ( n ^ )
VieCfc / \ieCk /
^ p ( p \ f î - oi j u<0] = p ( Pi A<UjV
\ i e C k J \ i e C k /
(4.27)
The random variables Vi = a f u , with i E Ck, have standard normal, A'(0, 1),
marginal distributions. Additionally, their joint distribution is multinormal, with
correlation matrix R, whose elements are given by R[i,i] = Pvi vj =
(here cti represents the sensitivity vector of limit state function i). Therefore, from
158
Pf (approx)
OC2
a i
>FO
>FO
Figure 4.5: First order approximation to probability of failure of parallel systems.
159
Equation (4.27), and using the symmetry properties of the standard normal space,
we get the following [Der Kiureghian, 1999; Ditlevsen and Madsen, 1996]:
P, (Ct ) </> ( n i S - f t ) = 4(-/3c R), (4.28)
\i&Ck /
where (3ck represents a vector whose elements correspond to the values of the reli
ability indexes of each component i in cut-set Ck- Additionally, $(/3,R) represents
the CDF of a vector f3, having joint normal standard distribution with correlation
matrix R. Given its importance, the computation of $(, ) has traditionally been
an area of intense research within the reliability community. In this work, we use
an algorithm based on simulation using sequential conditional importance sampling
( s c i s ) [Ambartzumian et ah, 1998].^
System bounds to the probability of failure
An alternative approach when exact or approximate estimates of the probabil
ity of failure are difficult to obtain is the use of reliability bounds. Several types
of bounds have been proposed [Ditlevsen, 1979b; Ditlevsen and Madsen, 1996; Kou-
nias, 1968; Zhang, 1993], using information about probabilities of single components
or higher order joint probabilities (e.g. bi-component, tri-component, etc.). These
bounds are, however, either limited to series systems, or are too wide in many cases
Ân implementation of the algorithm is available at http://www.ce.berkeley.edu/ jhsong/
FERUM/FERUMsystems. ZIP.
160
to be of practical interest. Song and Der Kiureghian [2003] have recently proposed
new bounds for the reliability of general systems, based on linear programming (LP)
techniques. This approach is based on the solution of the optimization problem of
a linear objective function subjected to linear constraints.^ The strength of the LP
bounds is that they have been shown to provide the narrowest possible bounds for
any given information on component probabilities [Song and Der Kiureghian, 2003].
For a general system composed of Ng components Ei, (i 1, . . . , Ng) , the LP
bounds may be obtained dividing the sample space of component events into
mutually exclusive and collectively exhaustive (Mece) events, Cj, with i = 1, . . . , 2^^.
Then, the probability of any general system or combination of components may be
defined in terms of boolean operations of the probabilities of the previously defined
Mece events. Calling p = ( pi , . . . ,P2^g), where p i represents the probability of event
Cj defined before, the linear programming problem can be stated as [Song and Der
Kiureghian, 2003];
Optimize: (Minimize, maximize) the following objective function,
P { E s y s t e m ) = c'^P, (4.29)
where c represents the boolean vector of coefficients that define the probability
The idea is to obtain the maximum and minimum probability of failure of the system which
is compatible with available informationpossibly in the form of probability boundsof failure
probability of components of the system. If the computed bounds are obtained to be not too wide,
then they can be used for engineering design without the need to compute the exact probability of
failure of the system.
161
of the system in terms of the probabilities of the Mece events
Subject to constraints:
Basic axioms of probability:
i =l
P i > 0 ; i = (4 .31)
Complete or incomplete probability information of component and joint
probabilities. For instance, for complete information of uni and bi-component
probabilities, we would have:
P { E i ) = P i = p r (4.32)
r:Cr'ZEi
P { E j E k ) = Pj , k ^ Pr (4.33)
r- . CrQEj Ek
where i represents those indices of individual components for which we
have reliability information, and (j, k) represent those indices of component
"i.e., Those events that have an influence on the probability of failure of the system appear
with a coefficient c* = 1 in Equation (4.29), whereas those events that do not affect the probability
of the system have coefficient Cj = 0.
These equations may be generalized to n-component joint probabilities. In addition, the equal
sign in Equations (4.32) and (4.33) could be replaced by inequality constraints (<, <, >, >) in cases
of incomplete probability information.
162
pairs for which we have bi-order joint reliability information.
Simulation methods
Simnlation methods, such as the Monte Carlo and directional simulation methods
are quite popular for reliability analysis of engineering systems.
In the Monte Carlo simulation method, we may define a boolean function /(x)
that represents the failure (/(x) = 1) or safe (/(x) = 0) state of the system for a set
of values of the models input random variables x. That is, /(x) is defined as:
=
Ncs
1 if U n 9ii^) <0>
k = i i e C k ( 4.34)
0 otherwise.
Using a pseudo-random number generation algorithm [Ditlevsen and Madsen,
1996], a sequence of Ng input vectors x* is obtained, {i = 1, . . . ,Ns), according to
their joint density distribution /(x). The probability of failure of the system may
then be estimated by:
Ng
^ i=l
In the case of the directional simulation method [Bjerager, 1988], we may express
the vectors in the standard normal space as u = R(^, where C = Then, for a
system problem, we may express the probability of failure as the following conditional
163
probability integral:
- I
^Ncs
u n Gi(flc) <0
^fe=l i^Ck
c = a
/ ( a )
h{a.)
h{ai)da, (4.36)
where /(a ) represents the uniform distribution over the unit hyper-sphere, and h(a)
is a sampling density, which is designed to improve the efficiency of the simulation
making those directions that more strongly affect the probability of failure to be
sampled preferably [Bjerager, 1988].
The conditional probability appearing in Equation (4.36) may be expressed as:
/ Nc s \
\fc=i ieCk /
(4.37)
and, considering r* to be the distance from the origin to the root of limit state function
i in direction a, (i.e., Gj(rja) = 0; see Figure 4.6), we can express Equation (4.37) as:
/ Nc s \ / Ncs
^^(iâ) < 0 = P i ? e | J j f c ) , (4.38)
\fc=l i&Ck / \ fe=l
with Jfc being the intervals in the standard normal space for which failure conditions
occur for cut-set Ck in direction a. As a disjoint cut-set formulation is assumed.
Equation (4.38) may be expressed as:
Ncs
k=l
(4.39)
164
Figure 4.6 shows an example of how to obtain Jk for a parallel system composed
by three limit state functions in a bi-dimensional space.
U2
Figure 4.6: Example of interval Jk for failure conditions in directional simulation
analysis.
Once the intervals Jk corresponding to failure conditions for each cut-set in the
system have been obtained, the probabilities given by Equation (4.39) may be ob
tained, as it is known that = ||u|p has the Chi-Square distribution with n-degrees
of freedom, where n is the number of random variables [Bjerager, 1988]. The compu
tation of the roots of the limit state functions in each direction a is needed in order to
solve the probability of failure in Equations (4.38) or (4.39). However, the problem of
165
root finding is costly. For that reason, the program Calrel [Liu et ah, 1989]used
in this work to perform directional simulation analysisemploys an approximate sur
face defined to be tangent at the design point, so that analytical solutions of the roots
of Gj(ria) = 0 may be obtained more easily, simplifying the computations required.
In this work, a first order approximation of the limit state functions was used. Ac
cordingly, very similar solutions to those provided by the first order approximation
given by Equation (4.28) are obtained, as we show below.
4.4 Application example
4.4.1 Example case geometry and material properties
In the example case used for illustration of the methodology, we assumed that the
overall slope geometry is deterministic with the location of the tension crack being
the only random variable. Different slope heights, H, were assumed, with H ranging
from 10 to 40 m. The potential failure plane was inclined at 32 { ipp = 32), and the
angle of the slope cut was 60 { ' ipf = 60). In addition, the specific weights of rock
and water { ^rock = 25 kN/ mP and = 9.8 kN/ mP respectively) were also considered
deterministic.
The parameters describing the properties of the failure surface (cohesion and fric
tion angle) were assumed to be random, as well as the position of the tension crack
and the depth of water in the tension crack. Beta distribution was used to describe the
166
friction angles between the different blocks, since the beta distribution is very flexible
and versatile. Also, it is bounded, avoiding problems that may arise when using un
bounded distributions to model friction angles. Friction angles along blocks A, B and
the tension crack were considered to have mean values of = 36, = 32 and
= 30 respectively. In all cases they were considered to be bounded at values
equal to the mean plus or minus 10. Cohesion values were chosen to be lognormally
distributed, since the lognormal distribution has been commonly used to model co
hesion [Duzgun et ah, 2003]. A mean value of ^ ca 20 kPa was considered for the
cohesion along plane A, while jicg = 18 kPa was used for block B. In both cases the
standard deviation of their distribution was considered to be Uca = = 4 kPa.
Finally, the passive force T acting at the toe of the slope was modeled using the
normal distribution, with fj,x = 50 k N and ar 3 kN.
The location of the tension crack and the percentage of the tension crack filled with
water were modeled using dimensionless parameters ^Xb ^zw respectively. The
location of the tension crack was chosen to follow a non-symmetric beta distribution,
in order to represent the common observation that tension cracks are more commonly
presented at the top of the slope [Hoek and Bray, 1981]. It was also assumed that the
drainage system of the slope prevents water levels from exceeding 50% of the crack
height. Since no previous information on the distribution of is known, the uniform
The probability density function of the beta distribution in the interval [a, b], with parameters
q > 0 and r > 0, is given by f { x ) = >for a < x < 6, with f { x ) = 0 elsewhere; B{ q, r)
is the beta function B{ q, r) = - x)'^^dx [Ang and Tang, 1984].
167
distribution was used to model the distribution of water level within the tension crack.
Table 4.2 lists the statistical distributions used for each one of the individual random
variables considered, together with the corresponding distribution parameters, and
Figure 4.7 shows a graphical representation of their probability density functions.
Variable Type
Parameters
Pi P2 P3 P 4
Cxs
Beta'^ 3.0 4.0 0.0 1.0
Uniform'^ 0.0 0.50
4 >a [deg] Beta^ 5.0 5.0 26.0 46.0
(f>B [deg] Beta*^ 5.0 5.0 22.0 42.0
0AB [deg] Beta' 5.0 5.0 20.0 40.0
CA[KPa] LognormaF 20.0 4.0
Cb [kPa] LognormaF 18.0 4.0
T [kN] NormaF 50.0 3.0
pi = q, P2
= r,ps = a, Pi = b.
Vi =a, p2 = b.
^pi = p,,p2 = a.
Table 4.2: Statistical distributions of input parameters in the slope stability model.
Further, the random variables were assumed to be correlated, with the correlation
structure shown in Table 4.3. The location of the tension crack, the water level within
the tension crack and the passive force at the toe of the slope (i.e., ^
respectively) were considered to be independent of all the other variables, while shear
strength parameters (i.e., friction angles and cohesion values) along the different joints
were considered to be correlated. Values of friction angle were assumed to be posi
tively correlated, and a slight negative correlation was considered between cohesion
and friction, in order to model the common observation in laboratory shear strength
168
q
c\i
in
d
o
d
0.0 0.8 0.2 0.4 0.6 1.0
Cxi,
(a) Tension crack location.
Q
Oh
(b) Water level in tension crack.
(j) [deg]
(c) Friction angles.
O
4>a
o
o
Ph
Q
Cl,
o
o
d
20 25 30 35 40 45 50
C M
o
o
o
o
d
C M
o
d
o
o
d
5 10 15 20 25 30 35 40
c \kPa\
(d) Cohesion values.
Figure 4.7: Probality density functions of the random variables in the block stability
model.
169
o
o
o
00
o
d
Q
Cl,
<>
O
d
o
d
CM
o
d
o
o
d
60 55 40 45 50
T [kN]
(e) Passive force at bottom of the slope.
Figure 4.7 (cont.): Probality density functions of the random variables in the block
stability model.
tests that cohesion and friction are not independent, with the cohesion dropping as
the friction angle rises and vice-versa [Hoek, 2000].
Variables
Cxh ^Zw 0A (pB 4>a b Ca Cb
T
Cxi,
1.0
0.0 1.0 (Symmetric)
(f>A
0.0 0.0 1.0
4>b
0.0 0.0 0.3 1.0
4>a b
0.0 0.0 0.3 0.3 1.0
Ca
0.0 0.0 -0.1 0.0 0.0 1.0
Cb
0.0 0.0 0.0 -0.1 0.0 0.3 1.0
T 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.0
Table 4.3: Correlation structure between random variables considered in the anal
ysis.
170
4.4.2 Analysis results
The reliability analyses of the example slope were performed for a range of values
of the height of the slope, with H [10,40]. Calrel [Liu et ah, 1989] was used
for all reliability computations. FORM results for each individual limit state function
were used to compute the probability of failure for all failure modes. The computed
failure probabilities are presented in Figure 4.8, together with results corresponding
to first order directional simulation and with the exact solution obtained by means
of Monte Carlo simulation.
The ability to estimate the probability of failure that corresponds to each failure
mode is a valuable feature of this methodology, since the contribution that each failure
mode has in the overall failure probability of the slope system provides information
of interest in the design process. In this case, for example, graphs in Figure 4.8 show
that Failure Mode 1 (i.e., block A failing without interaction forces due to block B,
with the tension crack being located at the top of the slope), and Failure Mode 3
(i.e., block A failing without interaction forces due to block B, with the tension crack
being located at face of the slope) have the highest probability of failure, while failure
modes corresponding to cases in which there is interaction between blocks (Failure
Modes 2 and 4) are significantly less likely. Given this information, the stability of
block A should be the primary concern when designing the slope, making the stability
of block B of secondary importance.
Table 4.4 presents Form resultsfor the case of i f = 20 m for the limit state
171
Failure Mode 1 Failure Mode 2
-- Monte Carlo
-a- FO approx.
+ Dir. simul.
00
o -
<o
o -
d
o
10 15 20 25 30 35 40
o
CO
Monte Carlo
-a- FO approx.
+ Dir. simul.
o
o
p
d
o
o
o -
d
10 15 20 25 30 35 40
H [m]
Failure Mode 3
H [m]
Failure Mode 4
CM J
O -
d
-- Monte Carlo
-a- FO approx.
+ Dir. simul. ,
-a- Monte Carlo
-a- FO approx.
+ Dir. simul. CO
o -
d
o
o
a r o
o
CM
m
o
o
o -
o
o
p
d
10 15 20 25 30 35 35 40 10 15 20 25 30 40
H [ml H [ml
Figure 4.8: Computed probability of failure for each cut-set (failure mode), using
first order approximation and simulation methods.
172
functions that have an influence in Failure Mode 1. These results consist of the com
puted values of the random variables at the design points, together with information
on sensitivity of the solution (7 ) to the individual random variables (the larger the
absolute value of the i-th component of 7 , the higher the sensitivity with respect to
the Tth random variable). Table 4.4 also shows the number of iterations of the iHL-
RF algorithm before convergence, as well as values of the probability and reliability
index computed for each limit state function.
LSF fl'i(x) < 0 52 (x) < 0 5 4 (x) < 0
' f ilter
3 179 16
IJFO
-1.13 2.45 1.50
Pf o
8.71 ;
Ô-oi
7.11
10-03
6.71-
1 0 - 0 2
r.v. X*
7
X*
7
X*
7
^Xb
0.64 -1 . 0 0 0 . 6 6 0.49 0.65 0.78
0.25 0 . 0 0 0 . 2 2 -0.06 0.40 0.55
4>a
36.00 0 . 0 0 34.11 0 . 0 0 34.77 -0.27
4>b
32.00 0 . 0 0 26.50 -0.77 31.61 0 . 0 0
4>a b
30.00 0 . 0 0 28.11 0 . 0 0 29.61 0 . 0 0
Ca
19.61 0 . 0 0 18.45 0 . 0 0 18.95 -0.14
Cb
17.57 0 . 0 0 14.71 -0.40 17.32 0 . 0 0
T 50.00 0 . 0 0 50.00 0 . 0 0 49.97 -0 . 0 1
Table 4.4: First order reliability results for components of Failure Mode 1 (H
2 0 m).
In this case, for instance, the highest sensitivity values correspond to the location
of the tension crackrepresented by parameter ^Xb ) suggesting that knowledge of
the exact location of the tension crack is a key factor in the stability analysis, and
hence emphasizing the importance of a good geological survey of the discontinuities
173
existing in a rock slope of this type. Similarly, the sensitivity corresponding to the
water level parameter (i.e., the percentage of the tension crack that is filled with
water; see Figure 4.1) has a high positive value for limit state function 5 4 (x), which
models the stability of block A for the conditions corresponding to Failure Mode 1.
Therefore, corresponds to a load variable with respect to 194(x) (i.e., an increase
in the value of ^2 ^ increases the probability of failure of the component and vice-versa).
Similar results are obtained for the limit state function modeling the occurrence of no
interaction forces between both blocks (i.e., g2 {'x.) < 0 ), and accordingly, this shows
that lowering the water level within the tension crack will reduce the probability of
occurrence of Failure Mode 1. However, it has to be noted that this measure will
also affect the probabilities of occurrence of other failure modes, and failure modes
that were not as likely prior to the lowering of the water level might become more
significant. This illustrates the system nature of the problem; i.e., mitigation of one
potential mode of failure changes the relative importance of the other failure modes.
In this sense, it is the designers duty to decide which slope design is preferable, based
on probabilities, costs, consequences and the associated risks of the different modes
of failure.
The sensitivities of the reliability results with respect to shear strength parameters
depend very much on the selected limit state function. For instance. Table 4.4 shows
that, in Failure Mode 1, the stability of block A is quite sensitive to the values of
cohesion and friction angle along its failure surface. Both ca and 4>a are found to
174
be resistance variables, with the vector 7 showing that (j)A is approximately two
times more relevant than ca in the safety of the slope. Similarly, the stability of the
upper block (i.e., the occurrence of interaction between both blocks, as given by limit
state function 5 '2 (x) < 0 ), is about twice as sensitive to changes in values of the
friction angle along the contact of the upper block B with the failure plane 0^, than
it is to changes in the cohesion value cb, suggesting that a more significant amount
of resources should be allocated in order to reduce the uncertainties in friction angle
values. Finally, the influence of changes in the value of the passive force located at
the toe of the slope, T, or in the value of the angle of friction along the vertical crack
between both blocks ({>a b is not very significant, suggesting that treating these two
variables in a deterministic manner might have been appropriate in this case.
The results corresponding to simulation analyses of the probability of occurrence
of Failure Mode 1 for different values of H are presented in Table 4.5. The number
of iterations needed by simulation methods is significantly higher than the number
of iterations needed by the iHL-RF algorithm used in the Form solution, as were
presented in Table 4.4. This makes the method based on first order approximation
computationally very efficient when compared to traditional Monte Carlo-based so
lutions, which may be in fact actually unachievable in some cases, specially when
complex limit state functions are used, or when dealing with problems of very low
probability of failure.
Figure 4.8 also shows that the method of estimation of probabilities based on first
175
Monte Carlo Directional Simulation
H
'îter
Pf
P
cov(P/)
'îter
Pf
P
cov(Pf)
10 999000 2.10 10-^ 4.10 0.218 61500 1.65 10-^ 3.59 0.050
15 131000 3.08 10-^ 2.74 0.050 9700 4.76 10^ 2.59 0.050
20 28000
1.45 10-2
2.18 0.049 3800 1.98 10-2 2.06 0.050
25 14000 2.96 10-2 1.89 0.048 2300
3.77 10-2
1.78 0.050
30 8000 4.98 10-2 1.65 0.049 1700 5.50 10-2 1.60 0.049
35 6000 6.30 10-2
1.53 0.050 1400 6.97 102 1.48 0.049
40 6000
7.27 10-2
1.46 0.046 1300 8.02 10-02 1.40 0.048
Table 4.5: Simulation results for Failure Mode 1.
order approximationseven though more computationally efficientis not particu
larly accurate in some cases. However, when the contributions of each failure mode to
the probability of failure of the complete system are added, a fairly close agreement
with the exact results provided by the Monte Carlo simulation method is obtained
as presented in Figure 4.9since apparently over-predictions in the probabilities of
failure that were obtained for some failure modes balance out under-predictions ob
tained for other failure modes.
The probability bounds of the complete slope system are also presented in Fig
ure 4.9. These results were obtained separately considering only uni-component fail
ure probability information (i.e., P(g>j(x) < 0), with i = 1 , . . . , Ng), and both uni and
joint bi-component failure probability information (i.e., P(gi('x.) < Op)5 rj(x) < 0),
with i = 1, . . . , Ng 1 and j = i + 1 , Ng). The results show that the probability
bounds computed using information regarding probabilities of failure of individual
components only are too wide to be of any practical interest. On the other hand, the
176
C)
o Monte Carlo
- A- FO system approx.
uni comp. LP
- X - uni+bi comp. LP
CO
c5
CM
d
o
X
o
d
10 15 20 25 30 35 40
H [ml
Figure 4.9: Comparison of system probabilities obtained by different reliability
methods.
177
probability bounds computed using both uni and joint bi-component failure informa
tion are much narrower, hence providing an improved, and in many cases sufficient,
information on the reliability of the rock slope, that may serve as an alternative to
Monte-Carlo based methods. Finally, this method may be used in conjunction with
methods based on first order reliability solutions, so that we can use the information
provided by Form analysesi.e., sensitivity measures, design points, etc.at the
same time that we have an estimation of the error of the first order prediction, given
by the linear programming bounds.
A methodology for the reliability analysis of rock slope stability problems using
a general systems approach is presented. A disjoint cut-set formulation is used to
estimate the reliability of the system, such that each cut-set corresponds to a different
failure mode of the slope, and the probability of failure of the system is obtained as
the sum of the probabilities of failure of each cut-set.
An analysis of an example problem consisting of two blocks shows that the first
order approximation of system reliability provides a simple and computationally effi
cient method for the estimation of the probability of failure. Additional information
of interest in the design process of the slope is also obtained with this method, as
follows:
178
The probabilities of occurrence of each failure mode are computed and, in this
case, the results show that failure modes in which interaction between blocks
does not occur (Failure Modes 1 and 3) are significantly more likely than failure
modes in which interaction occurs (Failure Modes 2 and 4).
The analyses give values corresponding to the most likely failure conditions (i.e.,
design points) as well as the sensitivity of the solution to the individual input
parameters. This allows the identification of load and resistance variables
for each limit state function in the system. For instance, in the example prob
lem, the computed sensitivities indicate that the reliability results are primarily
dependent on the location of the tension crack, and the extent to which the
tension crack is filled with water (represented by is an important load
variable. Furthermore, the values of the friction angles along the failure plane
are identified as resistance variables, and are about twice as significant as the
corresponding values of cohesion along that plane. On the other hand, changes
in the value of the stabilization force considered at the toe of the slope, or in the
friction angle along the vertical plane separating both blocks are found to be
not significant, and might be in fact better modeled as deterministic parameters
in this particular case.
The results also show that the method based on first order approximation of
the probability of failure might not be sufficiently accurate in some cases, spe-
179
cially when individual failure modes are considered, even though a fairly close
agreement with the exact solution is obtained when the contributions of each
failure mode to the probability of failure of the complete system are added.
The use of simulation methods to solve the system reliability problem shows that
while the Monte Carlo method may be considered to be the exact solution, the
results are achieved at the expense of a significantly higher computational cost when
compared to FORM approximations. The method of first-order directional simula
tion presents some computational advantages with respect to Monte Carlo method,
providing results that are very similar to those given by the FORM approximation.
Finally, our results show that bounds of the probability of failure based on linear
programming techniques provide accurate estimations of the system failure probabil
ity when information on both uni-component and joint bi-component probabilities
is considered. This approach gives an interesting and flexible way of estimating the
range of possible failure probabilities for a given level of information, hence providing
an idea of the uncertainty associated with predictions.
180
Chapter 5
Predictions of keyblock formation
5.1 Introduction
In this chapter we consider the probability of occurrence of the two sets of con
straints that must be fulfilled for a rock block to be unstable, and we integrate them
into a methodology for the estimation of the rate of formation of keyblocks along rock
excavations.
The first set of constraints is related to the kinematical admissibility of block
displacements toward the excavation face, leading to the identification of removable
blocks. The removability of blocks is influenced by the geometry of the excavation and
by the structure of the rock mass and, in particular, we use the method discussed in
Chapter 3 to obtain estimates of the rate of formation of removable blocks of different
sizes along the proposed excavation.
181
Once the rate of formation of removable blocks has been estimated, we consider
the set of conditions that need to be fulfilled for a removable block to fail. Given the
uncertainties involved in this process, we propose to do so in a probabilistic way
i.e., estimating probabilities of failures rather than factors of safety. In addition, we
consider the system aspects of the problem, and we compute the probability of failure
of removable blocks using the system reliability approach to rock slope stability that
we presented in Chapter 4.
Thus, this chapter provides an integrated framework for considering uncertainties
in the models for prediction of formation of removable blocks and in the assessment
of their stability.
5.2 Example case
For the purpose of illustration of the methodology, we consider a rock slope with
geometry as shown in Figure 5.1. The slope height is i f = 30 m and the width is
W = 300 m. Blocks are considered to be formed by the combination of discontinuities
belonging to two joint sets with constant orientation. Those orientations, together
with the orientation of the face and top of the slope, are summarized in Table 5.1.
The Poisson disk model presented in Chapter 3 is used to characterize the rock
mass structure; that is, simulated joints are considered to be circular, with their
centers uniformly located within the generation domain, their radius following a log
normal distribution, and with the volumetric intensity being used to represent the
182
Figure 5.1: Geometrical description of the slope and wedges considered.
Joints Excavation
JSi J S 2 Face Top
[deg] [deg] [deg] [deg]
Dip 50 60 60 1 0
Dip direction 230 335 275 275
Table 5.1: Orientation of joint sets and of excavation surface.
intensity of fracturing in the rock mass.
As before, we use unrolled trace maps and block theory techniques in order to
identify removable wedges. Figure 5.2 shows an example of such an unrolled trace
map, with the removable wedges identified.
5.2.1 Prediction of the rate of formation of removable wedges
We divide the size of removable wedges identified along the excavation into six
equal sized intervals listed in Table 5.2. The intervals considered are defined in terms
of the relative size of the wedge with respect to the total height of the slope, H, so
183
100 150 200
(a) Original trace map.
300
0
200 250 300 50 150 0 100
(b) Identified removable blocks.
Figure 5.2: Identification of removable blocks.
that we make our analysis using dimensions that are normalized by the value of H.
Intervals
h
Table 5.2: Size intervals considered.
The rate of formation of removable blocks for each interval considered is obtained
by means of Poisson regression, using data obtained after performing a series of Monte
Carlo simulations with the fracture generation model discussed above. A complete
factorial design analysis was performed, using three explanatory variablesone for
each input parameter of the model, /xr, 5r , and P3 2 . The levels employed for each
factor considered in the analysis are presented in Table 5.3.
184
Factors Levels
-3 -2 -1 1 2 3
Mfl/n 1 / 3 1 / 2 1 2 5 10
Sr
0.15 0.35
P32
1.00 1.50
Table 5.3: Factors and levels employed in the complete factorial design.
Regression results
Before performing the regression analysis, the following transformations are used:
Xi = log(/^fl/n), X2 = log ('^r/o.25), and x^ = log (^32/ 1 .2 5 ), so that the regression is
performed over the X\ , X2 , and variables. The initial model for all cases was formed
by the main factor variables (and their powers) and also by interactions between two
factors.^ Figure 5.3 shows the predictions of the fitted regression model for each size
interval, together with the original data points corresponding to the factorial design.
Four lines are used in each case, presenting the predictions of the model as a function
of ^^R/H for each combination in the levels of the other two factors, 5r and P3 2 . The
key for the interpretation of the different cases in Figure 5.3 is presented in Table 5.4.
The results show that the general trends of response are similar to those obtained in
Chapter 3. In particular, the discussion presented in Section 3.5 about the influence
that input parameters of the joint network model have on the predictions of formation
of removable blocks is also of relevance here.
Înteractions between combinations of three explanatory variables were found to be not significant
in this case.
185
Case-1 O Case-2 A Case-3 - t - Case-4 X
0.8
0.6
0.4
0.2
0
2 8 10 0 4 6
IJ-r/ h
Case-1 O Case-2 A Case-3 i- Case-4 X
0.8
0.6
m
0.4
0.2
0
0 2 4 6 8 10
IJ-r/ h
Case-1 O Case-2 A Case-3 Case-4 X
1
0.8
0.6
0.4
0.2
0
4 6
ij-r / h
8 10
Case-1 O Case-2 A Case-3 -f- Case-4 X
0.8 -
0.2 -
4 6 8 10 0 2
I^r/ h
Case-1 O Case-2 A Case-3 -j- Case-4 X
0.8 -
0.4 -
10 0 2 4 6 8
Case-1 O Case-2 A Case-3 -|- Case-4 X
0.4 -
0 2 4 6 8 10
t^R/n
Figure 5.3; Dependance of fitted rate of formation of removable blocks with respect
to the explanatory variables of the Poisson regression model.
186
Levels Values
P 3 2 S r P 3 2
Case-1 - 1 - 1 0.15 1.00
Case-2 - 1 1 0.15 1.50
Case-3 1 - 1 0.35 1.00
Case-4 1 1 0.35 1.50
Table 5.4: Key for the interpretation of cases in Figure 5.3.
Expected rate of formation of removable blocks
The regression models are used to develop predictions of the rate of formation
of removable wedges of different sizes. In this example, we assume a rock mass
whose structure is characterized by input parameters = 1.16, Sn = 0.30, and
P3 2 = 1.15 m~^. The expected rates of formation of removable wedges within each
size interval considered are presented in Figure 5.4. The results show that the rel
ative frequency of occurrence of removable blocks increases as the size of the block
decreasesi.e., small size removable wedges are more frequent than large ones.
5.2.2 Stability analysis of removable wedges
Once removable blocks are identified and their rate of occurrence is predicted, we
are interested in making assessments about their stability. This analysis is, however,
inherently uncertain, as we have incomplete information about the variables affecting
the stability of the blocke.g., uncertainties in load and resistance forces, and also
uncertainties in water level conditions.
We use closed-form solutions proposed by Low [1997] to asses the stabilityin
187
CO
O
lO
O
o
CO
O
CM
o
o
o
/ I
T
h h h h h h
Wedge size interval
Figure 5,4: Expected rate of formation of removable wedges of different sizes
{l i n/ H = 1.16, 5r = 0.30 and P 3 2 = 1.15 [m~^]).
the context of limit equilibriumof identified removable wedges. Figure 5.1 shows an
illustration of the type of tetrahedral wedges considered by the model, together with
the parameters that describe their geometry.
Based on Figure 5.1, and on the orientations of the joint sets and excavation
surfaces listed in Table 5.1, the geometry of the typical wedge considered in this
example may be described by the following deterministic parameters: o; = 60 deg,
= 10 deg, = 50 deg. Pi = 45 deg, S2 60 deg, and P2 = 60 deg. The
specific weights of the rock forming the wedge and of water filling the discontinuities
are also considered to be deterministic, with values 'jrock = 26 kN/rrP and 7 ^ =
9.8 kN/rrP. In addition, the following input parameters of the stability model are
188
considered to be random: ci and C2 , which represent the cohesion over planes 1 and 2
forming the wedge; (pi and cp2 , which represent the corresponding friction angles; and,
finally, which is a pore-pressure parameter. Their statistical distributions are
presented in Table 5.5. These random variables are considered to be independent in
this case. However, as we showed in Chapter 4, non-independent random variables
can be considered as well.
Variable Type
Parameters
a a b
Cl [kPa] Lognormal 24 5
0 1 [deg] Beta 28 4 20 40
C2 [kPa] Lognormal 35 8
0 2 [deg] Beta 32 5 20 45
Normal 0.5 0 . 1 2
Table 5.5: Statistical distributions of input variables in the stability model.
Four different failure modes may be defined for a removable wedge of the type
presented herein [Goodman, 1989; Low, 1997]: Sliding along the line of intersection
of both planes forming the block (failure mode 1 ), sliding along plane 1 only (failure
mode 2), sliding along plane 2 only (failure mode 3) and a floating type of failure
(failure mode 4), in which the reaction force acting on the wedge becomes nil due to,
for example, water pressure resultant forces or seismic loads.
The performance of the slope can be assessed in terms of the value of the factor
of safety ( FS) of the wedge with respect to the different failure modes. In particular,
for instance, the factor of safety for a wedge against failure under failure mode 1
189
conditions is given by Low [1997] as:
FSi = âi - t a n 0 1 + â2 - t a n 0 2 + (5-1)
where ai, 0 2 , h, 6 2 are a function of parameters describing the geometry of the slope,
such as (^1 , 0 1 , ^2 ) 0 2 j ct, and e0
The corresponding limit state surface used in the reliability analysis is formulated
in a way such that failure is represented by values less than zero. Hence, the limit
state surface corresponding to FSi < 1 conditions is:
9l{ci, 01, C2 , 02, Gw) = FS\{Ci, 01, C2 , 02, G^) 1, (5.2)
where FSi is computed from Equation (5.1).
A series of reliability analyses were performed using the statistical distributions
and deterministic parameters described above, in which sample wedges with size cor
responding to one of the six intervals used for identihcation of removable wedges
were considered (see Table 5.2). Figure 5.5 shows the total probability of failure
calculated by means of Monte Carlo simulationof the slope system, together with
the partial influence that each individual failure mode has on the total failure prob
ability of the wedge considered.^ As expected, the probability of failure of the slope
^For a description of these parameters, see Figure 5.1; for details of the derivation of the FS
expressions, see Low [1997].
^The computations were performed, in both cases, using the program C a l r e l [Liu et ah, 1989].
190
increases as the dimension of the wedges increases. In addition, the results indicate
that failure mode 1 is the most significant mode of failure, so that it is responsible for
most of the total probability of failure. Failure mode 4 is also responsible for some
probability of failure, although in a smaller proportion than failure mode 1, whereas
failure mode 2 and failure mode 3 were found to have a negligible influence in this
case, and they are not shown in Figure 5.5.
00
O
<o
d
d
CM
d
p
d
Failure Mode 1
Failure Mode 4
h h h h h
Wedge size interval
Figure 5.5: Results of reliability analysis of stability of removable blocks as a func
tion of block size.
5.2.3 Prediction of the rate of formation of unstable wedges
The results obtained from the reliability analysis of identified removable blocks
may be used, together with the predicted rates of formation of removable blocks, in
191
order to compute estimates of the rate of formation of unstable blocks (keyblocks).
For that, we employ a Poisson model with random selection, so that the expected
rate of formation of unstable blocks is obtained as the product of the expected rate
of formation of removable blocks times the probability of failure of such blocks. That
is, the predicted rate of formation of unstable wedges corresponding to size interval
i, A^(-), with i = 1, . . . , 6, is obtained by:
Ki -) = A,{-) Pf.i, (5.3)
where Aj(-) is the predicted rate of formation of removable blocks with size within
interval /j, and Pfî is the corresponding probability of failure.
The results obtained in this example are shown in Figure 5.6. As can be seen, the
relatives probabilities of occurrences of blocks of different sizes change significantly
when the probability of failure of blocks is considered in the analysis. In particular,
the expected rate of formation of keyblocks is computed to be greater in this case for
wedges of medium to high size (i.e., intervals I 4 and I 5 ), with keyblocks of other
sizes being found to be less likely.
In this chapter we demonstrate a methodology for the estimation of the rate
of formation of keyblocks along rock excavations integrating the rate of formation of
192
A(-): P f
Predicted rate of formation
X
Probability of failure of re
of removable blocks.
movable blocks.
(Figure 5.4)
(Figure 5.5)
C O
o
o J
(M
o J
o
o
/ /
/ /
1 1 1
h h h
n r
h h h
Wedge size interval
Figure 5.6: Predicted rates of formation for keyblocks of different sizes.
removable blocks and their probability of failure.^ An example case in which we study
the formation of wedges along a rock slope is used to illustrate the methodology. The
number of removable wedges within different size intervals is assumed to follow a
Poisson process, whose rate is estimated by means of Monte Carlo simulation and
Poisson regression. Then, once that the structure of the rock mass at the site is
characterized, the fitted regression models may be used to make predictions of the
rates of formation of removable wedges, with the results indicating that small size
removable wedges are more likely to be formed in this case.
The stability of identified removable wedges is assessed by means of limit equilib-
^The identification of removable blocks is discussed in Chapter 3, whereas methods for the esti
mation of the probability of failure of removable blocks are presented in Chapter 4.
193
rium methods, and the probability of failure is computed using reliability methods.
Different failure modes may be considered and, in this case, results indicate that
failure mode 1 (i.e., wedge sliding along the line of intersection between both planes
forming the wedge) is the most significant one, while other failure modes were found
to have negligible significance. As expected, the stability of the blocks is significantly
affected by the size of block, with larger wedges having larger probabilities of failure.
Finally, the predicted rate of occurrence of removable blocks is updatedwith the
aid of the computed probabilities of failurein order to obtain estimates of the rate
of occurrence of removable, unstable blocks (i.e., keyblocks). Results indicate that
the original predictions of rates of formation of removable wedges change significantly
when the probabilities of failure of blocks are considered in the analysis. In particular,
the expected rate of formation of keyblocks is computed to be greater in this case
for wedges of medium to high size (i.e., intervals 1^ and Is), whereas keyblocks of
other sizes are found to be less likely, either because there is a small probability of
removable wedges of that size being formedas is the case of large size wedges (i.e.,
interval I &)or because the probability of failure of removable blocks of that size is
lowas is the case with blocks of size in intervals Ii to Iz-
194
Chapter 6
Conclusions and suggestions for
fnrther research
6.1 Conclusions
In this dissertation we developed an integrated methodology for the prediction
of occurrence of removable, unstable blocks (keyblocks) in rock excavations. The
integration of predictions of removability of blocks based on block theory with state-
of-the-art reliability methods for computation of their probability of failure is a novel
contribution of this dissertation, in which we demonstrate that both aspects have a
significant influence in the predictions of the rate of formation of unstable blocks in
rock excavations. We anticipate that this result will provide a new perspective on the
study and design of excavations in jointed rock masses.
195
Other findings of the research conducted, corresponding to each step of the analysis
proposed, are summarized in the sections below.
6.1.1 Characterization of the rock mass structure.
Stochastic discontinuity network models are used to account for uncertainties and
variabilities in the structure of the rock mass. These models, however, need to be
calibrated before they can be used in engineering applications. In Chapter 2, we
develop a methodologybased on maximum likelihood estimation in the context of
a statistical graphical model frameworkfor inference of the statistical distribution
of discontinuity trace lengths. The fact that there is no clear evidence with respect to
which type of statistical distribution is more adequate to be used lead us to consider
target distributions within a flexible class of mixture distributions, and an efficient
algorithm that takes computational advantage of the conditional independence struc
ture between the variables in the model is proposed to solve the inference problem.
The results show that, as expected, the quality of the predictions improves as the
number of observed traces increases, and as the number of components of the mix
ture increasesas long as there are enough observed traces to support that number of
components. Finally, the EM algorithm is shown to converge fast with respect to the
log likelihood values at each iteration. This observation has important consequences
of interest in real applications, since it allows us to obtain solutions which are al
most as likely as the asymptotic maximum likelihood solution after a low number of
196
iterations.
6.1.2 Identification of removable blocks
The calibrated stochastic discontinuity network model can be used, in conjunction
with block theory, for the identification of removable blocks in the proposed excava
tion. In Chapter 3 we study the influence that different parameters of the Poisson
disk model have on the predictions of formation of removable blocks of different sizes,
using statistical simulation and Poisson regression. The results show that the volu
metric intensity of discontinuities has a significant impact on the rates of formation
of removable blocks; therefore, its proper estimation should be a priority during site
characterization. The accurate estimate of discontinuity sizes should also be a pri
ority, specially when the mean discontinuity radius is smaller than about twice the
height of the slope. For larger discontinuities, however, the predictions become rather
insensitive to changes in discontinuity size so that an approximate estimation of dis
continuity sizes may be sufficient for engineering purposes. Further, it is shown that
there is an interaction effect between the mean and the coefficient of variation of the
distribution of discontinuity radius. The variability of orientations of discontinuities
with respect to the mean orientation of each joint set is also shown t o affect the
predictions of removable block formation, with the results suggesting that the as
sumption of constant orientation of joint sets usually considered in block theory is
conservative.
197
6.1.3 Stability analysis of removable blocks
We developed methods for the estimation of the probability of failure of removable
blocks given uncertain input parameters. The specific contributions of the formulation
presented in Chapter 4 are: (1) the system aspects of the rock slope stability problem,
in which different failure modes of the slope are considered; and (2) different state-
of-the-art methods were investigated to solve the associated reliability problem.
Information of interest for design, such as the relative probability of failure of the
failure modes considered, can be obtained with the proposed method. We also study
the relative significance of the variables in the model in the reliability results, with
the results showing that the probability of failure heavily depends on the shape and
size of rock blockshence emphasizing the importance of a good geological survey of
discontinuities delimiting the blocks involved. Variabilities in water level conditions
are also shown to influence the probability of failure of the slope, as do changes in
values of cohesion and friction angle. For instance, we show that, in the example
considered, changes in the friction angle of discontinuities are approximately twice as
relevant than changes in cohesion.
6.1.4 Predictions of keyblock formation
Finally, the predicted estimates of formation of removable blocks are updated to
consider their probability of failure, leading to estimates of the rate of formation of
removable, unstable blocks (keyblocks). Results show that considering the probabil
198
ities of failure of removable blocks significantly changes the relative importance of
occurrence of keyblocks of different sizes. In particular, we show an example case in
which considering the probabilities of failure of blocks of different sizes has the effect
of changing the original removability predictions, from having the higher probability
of small to medium removable wedges being formed, to having the higher proba
bility of medium to high size unstable wedges being formed. That is, even though
large wedges were found to have the highest probability of failure, they were found
to be less common than medium to high size wedges because the probability of
large removable wedges being formed was smaller than for smaller wedges.
6.2 Suggestions for future research
Several other issues that we address in this dissertation deserve further investiga
tion:
1. Further validation against case histories. The methods proposed in this disser
tation are based on a number of assumptions. These assumptions are believed
to be reasonable and they have been commonly used in rock engineering appli
cations before. They should be, however, further validated against case histories
and, in particular, their adequacy should be re-examined before the method is
employed in real applications.
2. Generalization of inference methodologies. The model presented in Chapter 2
199
can be generalized to account for non-constant orientation of traces [Laslett,
1982b]; another issue of interest is its extension to work the formulation to work
with the distribution of discontinuity sizes directly, using recent stereological
results [Priest, 2004; Zhang et al., 2002].
3. Integration of rock mass characterization procedures with methods for automatic
acquisition of rock discontinuity data. In this dissertation, we showed that the
obtained predictions of trace lengths improve as the population of observed
traces increases. Thus, a logical extension to this work is to integrate the pro
posed inference methodology with modern automated methods for acquisition
of rock discontinuity data [Fasching et ah, 2001; Hadjigeorgiou et al., 2003;
Lemy and Hadjigeorgiou, 2003] from image data acquired at rock outcrops.
4. Consideration of block displacements in the definition of failure. Forces acting
on the key blocks change as they displace [Yow, 1985; Yow and Goodman,
1987], so that performance could be defined in terms of maximum allowable
deformation of the excavationthis idea is common in tunnel support design;
see, e.g., Hoek [2001]. The use of discontinuous deformation analysis [Shi, 1993]
appears as an interesting approach to model the deformation and kinematics of
rock excavations [MacLaughlin et ah, 2001].
200
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Appendix A
M step optimization for Gaussian
mixtures
In this Appendix we derive the equations for maximizing the expected complete log
likelihood with respect to the parameters of the mixture distributions for the special
case in which Gaussian mixtures are used. As we did in Section 2.8.1, we identify the
terms in the expected complete log likelihood that depend on the parameters with
respect to which we want to optimize, with i = , K. The referred term is
(from Equation (2.77)):
No ^ K
/ p ( ( | c , i , e W ) ^ p ( z = i|i,e<<>)iog(/:((if+>))di. (a .i )
n=l 1=1
The optimization with respect to in Equation (A.I) may be performed for
2 2 0
each mixture component independently. For instance, assuming that we want to
maximize with respect to mixture number z, with i G and introducing
the expression of the Gaussian distribution used for we have that Equa
tion (A.I) becomesd
= l | / , 0 ( ))log exp
The log term in Equation (A.2) may be additionally expressed as:
1 I 1 log27T log (7?
From Equations (A.2) and (A.3), we take the only term that depends on the mean
of the distribution /r^, for each mixture component, i 1, . . . , K\
jp(i\c, i e W ) p ( z = I|i, e >) di, (A.4)
n=l *
which, when derived with respect to /Zj, (and making the result equal to zero), yields:
V /'p(/|c,Z,0)p(Z* = 1|Z,0W) = 0, (A.5)
7^1 JI
^Here, where the mean and is the variance of the
Gaussian distributions considered. As before, in the derivations below we omit reference to the
EM algorithm step number (f - I - 1) when referring to the parameters with respect to which we
optimize (i.e., Hi and af ).
221
where fii is the value of distribution parameter jii in the solution that maximizes the
expected complete log likelihood. Accordingly, rearranging terms, we see that the
maximum is obtained for:
No
^ /ip(/|c,/,eW)p(z* = iiz,eW)d/
, (A.6)
2 yp(Z|c,Zo,0(*>)p(Z* = l|/,0W)dl
n=l
where, from the maximization update rules for the mixture proportions derived in
Section 2.8.1, we have that = Jp{l\c, Ig, = l|Z,0^*^)dZ, and =
No'
Accordingly, in order to reduce the computational cost of the procedure, we
n=l
may store the values of 'ipn,i and that were needed for the computation of
reusing them back again in Equation (A.6) for the computation of
Similarly, considering the terms that include af in Equations (A.2) and (A.3), we
have:
^ j p( l \ c, l eW)p(2 = l|i, e ) ( i ^ + ^ ^ ^ ) di. (A.7)
Next, taking derivatives with respect to cr? and making the result equal to zero, we
obtain:
^ Jp{ l \ c, Ig, 0)p(z* = 1|Z, 0 ) ^ - 1 + dl = 0, (A.8)
where fii is obtained as shown in Equation (A.6). The value of the variance for which
2 2 2
the optimum is obtained, df, is then given by:
E / ( i - A r ' * ) ' p( ( | c, / . eW) j >( z< = i | ( , e > ) d i
<7f"" = "* . (A.9)
n=l
where, again, the integrals in the denominator of Equation (A.9) are given in terms
of the and values that were used in the computation of
2 2 3
Appendix B
Rotation of unit vectors and axes
In Chapter 3 we presented a method to generate random samples of orientations
following the Fisher distribution on the unit sphere. The method, provides the polar
coordinates of unit vectors, ( 0 , $ ) , relative to a pole with orientations (0,0). (For
an example of a polar coordinate system, see Figure B.l.) In order to compute the
orientation of the pole of the discontinuity relative to the direction given by the mean
pole of the joint set of interest, (ôj M , it is necessary, however, to perform rotation
as presented herein.
The Cartesian coordinates of a unit vector v = (x, y, z)'^ can be obtained from its
2 2 4
X
y
Figure B . l : Definition of polar coordinates. (The distance from P to the origin is
assumed to be ||OPl| = 1. The coordinate 9 is referred to as the colatitude and 4>is
referred to as the longitude.)
polar coordinates, (,$), as:
X = s in0cos $,
y = s in 0 s i n $ ,
z = cos 0.
(B.l)
(B.2)
(B.3)
The matrix to rotate vectors from the original reference system to the rotated one,
2 2 5
is given by [Fisher et al., 1987];
A(0o, 00) Vo)
/
cos ^0 COS00 COS00 sin 0o sin 0o cos 6q sin 0o cos 0o + cos 0o sin 0o sin 6q cos 0o
- cos $0 cos 00 sin 0o sin 0o cos 0o cos 0o sin 0o sin 0o + cos 0o cos 0o sin 0o sin 0o
sin 00 cos 00 sin 0o sin 0o cos 0o
\
/
(B.4)
The angle ijjo represents a rotation about the new z axis given by (ôiô)) and
it is not significant in this case. Therefore, if we set it to zero, we get the following
simplified version of the rotation matrix:
/ . \
cos 0 0 cos 0 0 COS^ 0 sin 0q sin 9o
A(0o, 0o, O) =
sin 0 0 cos 0 0 0
sin 0Qcos 00 sin 9qsin 0q cos 9q
(B.5)
/
From Equation (B.5), we obtain the Cartesian coordinates unit vector of interest
in the rotated reference system as.
/ = A(6>o, 0o, O) V , (B.6)
where v' = {x, y' , z ) ' ^ is the vector expressed by its Cartesian coordinates in the
rotated reference system. Finally, we can compute the polar coordinates ( 0 , $' )
of the unit vector of interest in the rotated reference system using its Cartesian
coordinates in that system, as follows:
0 ' = arccos ( z ) ; 0 < 0^ < tt,
= arctan (v / x ' ) ; 0 < 0 ' < 27t,
where the following criteria are used:
0 < $ ' < 7t/2 if X > 0 and
y
> 0 ,
^2 < $' < Tf if x' < 0 and
V
> 0 ,
7F< $' < 37t/2 if X < 0 and
/
V
< 0 ,
3^2 < $' < 27T if X > 0 and
/
y
< 0 .
2 2 6
(B.7)
(B.8)
2 2 7
Appendix C
Identified removable blocks
In this Appendix we list the total number of removable blocks that were identified
within each size intervals considered in the analysis presented in Chapter 3. The data
were obtained after performing 20 simulations for each combination of factors and
levels presented in Table 3.3.
2 2 8
o o to Oi 00 b- 05 O X Tp X X X X 0 5 CT5 r H X o o 05 X X b o X o X X o X X TP CM Tp o
b- TP tHrH i> TP r H X X rH rH X 05 Tp X CM 05 tP X X Tp (05 X o X 05 CM X Tp X X X
<N00 05 r H 0 5 CO CO o to 05 X X o r H O o b- X o O 05 X X CM o o Tp Tp rH CM X X X X X
r H to CD r H CM Tp X X tH CM X o X r H CM tP X CM r H CM Tp X 0 5 r H CM r H X
Tp r H X CM X r H X r H Tp iH X
o r H O to 0 5 to l > X to X o 0 5 0 5 X 0 5 r H b- CM X X X X O r H CM o Tp X TP b 05 05 X X X X
b CO Tj* 05 b- TP b- r H CO Tp X b- r H X CJ5 (05 X X Tp r H r H X CM 0 5 X b X O X r H X CM X b X r H
(Nb- to to CO CO O o to X O CM o r H (05 X r H Tp CM r H X CM X f H CM o X b X 05 05 Tp b r H
r H CO Tp r H r H CM tP b- r H CM Tp X Tp r H CM X O X tH CM X O b r H Tp b 0 5
o
r H r H X r H X CM X CM X r H Tp
o
O CO O i 0 5 r H CO CD CO (M(35 to CO (05 O X X X O CM X O X <05 o Tp b CM b X Tp X b X b X
CO ic (NTP 00 00 00 r H 0 5 X CM X b- X X r H CM I V X X X X X X X X X X X X o X b Tp X o CM
(NCO CO 0 5 TP r H CO X 0 5 o CO o X 0 5 r H X tH TP Tp X b <05 o X o CM r H X X X r H X CM b CM
r H (N<NCO tP CD X CM TP X o r H CM Tp 05 X r H CM X o X CM X r H <35
CO r H tP r H X r H X CM X CM X
o 00 b- 00 TP 0 5 CD 00 05 CO b- to I V X X X X tH (05 X 05 o 05 o o X b X X Tp X b CM X r H CM
o CO CO <N00 05 O 05 CM to (35 0 5 r H r H tv 05 r H X o 05 Tp b X o X ^H X CM CM X 05 o 05 X b X
X (M CO (N00 CO to CO X X o X O X o O X Iv Tp 05 CM 05 X CM X rH CM r H tH X X CM X Tp r H <35
r H ( N ( N tH tP to Tp r H CM Tp Iv o CM 05 Tp r H CM X o X tH CM X r H O
CO r H tP r H X X CM X CM X
o O i b- CO CD CD X CM CM o X X X X b- b- X r H rH TP X 05 r H rH b Tp o X b b X X X X
O o (M CD CO (D to Tp CD to (05 X b- o Tp b- 05 o Tp (05 O X <35 X X X X X o o 05 b X Tp b O
CO o 00 05 (N0 5 CO O CM X O X X r H CM Tp CM (05 X r H X r H X X X o o X 0 5 b r H X Tp CM b X
r H r H CO b- CD tH CM Tp o Tp r H CM X O o r H CM X O b tH CM T p X X r H X CM b
r H tP CM X CM X CM X r H X r H X
o ZO to CO 00 00 r H X 05 05 r H X 05 X X X X o tP b Tp <05 X CM X 0 5 r H CM b b X X Tp 05 b
CO 00 O r H to b- TP CM to b- b- tP X r H CM o o CM o X X CM <05 X b X X O (05 X o CJ5 tP X 05 X
(M b- l> b- 00 CO O o CD 05 X Tp tH X CM X (05 Tp CM tP O O o X rH Tp X X X X o X tH Tp X
r H co to 05 r H (M Tp X O r H CM X r H r H CM X r H o rH CM X CM 0 5 r H CM X 0 5 TP
q r H CO r H X CM X CM X CM X ^H X
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Probabilistic Identification o F Keyblocks in Rock Excavations PDF

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