Stochastic Wave Loads On Tubular Offshore Structures - O - Ditlevsen - 2003

Stochastic Wave Loads on Tubular Offshore
Structures
Models for dynamics and reliability analysis
Lecture notes for offshore structures course (second edition)
Ove Ditlevsen
Section of Maritime Engineering
Department of Mechanical Engineering
Technical University of Denmark
25th April 2003

2
Preface to first edition
This text is for some part a renewal and extension of the wave load part and the dynamics part
of the Offshore Structure course, as it has been given at ABK and BKM every second year the
last 10 to 15 years. At some places the text treats different topics in greater detail than can be
covered during the 12 lectures reserved for this part of the course. The text is by purpose written
such that it can be useful reading also in a graduate course on stochastic mechanics.
In particular, the extension is on the important aspect of reliability analysis with respect to
pushover failure. A complete model for the joint probability distribution of significant wave
height, mean zero crossing period, maximal wave height during a sea state, and the wind veloc-
ity pressure has been worked out. This model is based on published sea state data measured in
the Northern North Sea, and the wind velocity pressure information given in the Danish wind
load code.
Also the treatment of the Gaussian stochastic wave process theory is extended somewhat in
this text and a new partly simulation based result concerning the joint distribution of the zero
crossing period and the corresponding global maximum of the process within the zero crossing
period is presented. The result is surprisingly simple, and it raises questions about the validity
of approximate distributions given in the literature and applied in practice.
The need for more than a rudimentary knowledge of probability calculus to get a handle on
reliability analysis has made it necessary to require that the students have passed a probability
or statistics course on the DTU level. To refresh and somewhat extend the probability tool, an
appendix on basic probability concepts is added to the text. This includes basic random vector
theory up to the level of the so-called First Order Reliability Method (FORM), which to day is
a standard tool in structural reliability engineering.
Some modest new techniques are also presented concerning classical damping approxima-
tions in finite element formulations of wave load excited tubular offshore structures and con-
cerning approximations needed to make spectral transfer from the random velocity field to the
node forces of the finite element model. The nonlinear drag force component of Morisons
formula makes such approximations necessary.
With respect to the basic sea wave mechanics and the random process modeling of the sea
waves as well as the modeling of tubular offshore structures for dynamic analysis, the lecture
notes by Steen Krenk: Last pa Offshore Konstruktioner, ABK, Serie F, No 112, 1988, and
Grundlag for Offshore Konstruktioners Dynamik, ABK, September 1986, have in major parts
of this new text been excellent guides for the author. A large number of references to important
source literature have been taken over to this text.
The exercises make up a collection suited for student work of sufficient extend to be a re-
placement for a final examination test. The exercises make use of MATLAB. Programs that are
useful for solving the exercises within reasonable time limits are available on the web address:
http://www.mek.dtu.dk/staff/od/papers.htm
Ph.D. student Boyan Lazarov at BYG.DTU is acknowledged for working through the exercises
in the text, and for writing several MATLAB programs for these exercises.
Birkerd, April 2001
Ove Ditlevsen
ii
Preface to second edition

The Offshore Structure course is presently not given at DTU. However, these lecture notes may
be of interest for supplementary graduate studies, and it is therefore placed on the web for free
download. The text is revised and extended at some few places. The MATLAB programs made
available on the web as aids for the exercises may not all fit completely to the text after it has
been revised. In particular this is the case for the programs concerning the push over reliability
analysis.
Kgs Lyngby, August 2002
Ove Ditlevsen
Contents
1 Sea wave theories and wave forces 1

1.1 Equations of motion for plane ocean waves . . . . . . . . . . . . . . . . . . . 1
1.2 Airy wave theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Stokes 5th order wave theory . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.4 Wave forces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.5 The Morison force . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.6 Wave force loaded vertical pole . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2 Stochastic wave and load description 17

2.1 Sea state characterization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.2 Wind pressure distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.2.1 Definition of marked and thinned Poisson process . . . . . . . . . . . . 21
2.3 Wind pressure and significant wave height distribution . . . . . . . . . . . . . 23
2.4 Extreme wave heights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.5 Pushover reliability analysis of offshore platform . . . . . . . . . . . . . . . . 29
3 Sea wave random load processes 35

3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3.2 Gaussian trigonometric polynomial . . . . . . . . . . . . . . . . . . . . . . . . 36
3.3 Ergodicity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
3.4 Spectral representation and the Wiener-Khintchine formulas . . . . . . . . . . 44
3.5 Level crossing and local maxima theory . . . . . . . . . . . . . . . . . . . . . 47
3.6 Joint distribution of period and wave height . . . . . . . . . . . . . . . . . . . 54
3.7 Wave spectra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
4 Random wave force process and structure response 65

4.1 Morison load random process acting on immovable tube . . . . . . . . . . . . 65
4.2 Morison load random process acting on vibrating tube . . . . . . . . . . . . . . 70
4.2.1 Finite element formulation . . . . . . . . . . . . . . . . . . . . . . . . 71
4.3 Linear systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
4.3.1 Diracs delta function and its Fourier transform . . . . . . . . . . . . . 76
4.3.2 Impulse and frequency response functions . . . . . . . . . . . . . . . . 79
4.3.3 One degree of freedom linear oscillator . . . . . . . . . . . . . . . . . 80
4.3.4 Two or more degrees of freedom linear oscillator . . . . . . . . . . . . 83
4.4 Response of linear systems to forces of general random process type . . . . . . 89
iii
iv CONTENTS
4.4.1 Application to tubular structure subject to stationary random wave load

process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
5 Appendix on Basic Probability Theory Concepts 99

5.1 Probability space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
5.2 Random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
5.3 Several random variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
5.4 Conditional probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
5.5 Conditional random variables . . . . . . . . . . . . . . . . . . . . . . . . . . 103
5.6 Expectation, covariance, and higher moments . . . . . . . . . . . . . . . . . . 104
5.7 Moments of normal and lognormal distribution . . . . . . . . . . . . . . . . . 106
5.8 Conditional expectation and linear regression . . . . . . . . . . . . . . . . . . 107
5.9 The multi-dimensional normal distribution . . . . . . . . . . . . . . . . . . . 109
5.10 Small probabilities. First order reliability method . . . . . . . . . . . . . . . . 112
5.11 FORM for the non-Gaussian case . . . . . . . . . . . . . . . . . . . . . . . . 114
Chapter 1
Sea wave theories and wave forces
1.1 Equations of motion for plane ocean waves

In this presentation of the elementary ocean wave theory solely plane waves will be treated.
Therefore only two Cartesian spatial coordinates x1 and x2 are needed. It turns out to be con-
venient to place the first coordinate axis in the undisturbed water surface ortogonal to the wave
fronts, and the second axis vertical with the bottom at x2 = d, Fig. 1.1. Time is denoted by
t. Ocean waves of a size to have relevance for the safety of offshore structures are only little
x2
x1
Figure 1.1: Coordinate system
influenced by viscous forces except for the wind shear that raises the waves during an increasing
wind storm. The dominating force that drives the waves after they have been generated is the
gravity force. The small viscous forces are not producing any essential rotation velocity field
implying that the flow with sufficient accuracy can be modeled as a gradient flow. Thus it is
assumed that there is a velocity potential function U (x1 , x2 , t) that determines the velocity field
by its gradient
vi = U,i (1.1)
Moreover the water is modeled to be incompressible implying that the mass density of the
water is constant. Then the equation of continuity takes the form vi,i v1,1 + v2,2 = 0, which
by use of (1.1) becomes
U,ii U,11 + U,22 = 0 (1.2)
1
2 CHAPTER 1. SEA WAVE THEORIES AND WAVE FORCES
which is the so-called Laplace equation that must be satisfied by the velocity potential U . There
are boundary conditions at the bottom and at the surface. At the bottom the condition is purely
kinematic (i.e. geometric):
v2 (x1 , d, t) = U,2 (x1 , d, t) = 0 (1.3)
At the surface the condition is partly kinematic and partly dynamic. The vertical wave elevation
is some unknown function w(x1 , t) of the horizontal position x1 and the time t. A water particle
in the surface has at any time t the coordinates [ x1 (t), x2 (t)] which substituted into the wave
elevation function makes this to the identity
w[ x1 (t), t] x2 (t) 0 (1.4)
Differentiation with respect to time gives the identity
w d x1 w d x2
+ 0 for x2 = w( x1 , t) (1.5)
x1 dt t dt
that since d xi /dt = vi by use of (1.1) becomes the kinematic boundary condition
w w
+ U,1 U,2 = 0 for x2 = w( x1 , t) (1.6)
t x1
Since both the potential U and the wave elevation w are unknown functions one more boundary
condition is needed. This is the dynamic condition obtained from the generalized Bernoulli
equation [see e.g. (Engelund 1968)] :
1 U
p + v2 + g x2 + =0 (1.7)
2 t
where p is the pressure, v2 = v12 + v22 is the velocity square, and g is the gravity acceleration
constant. The atmospheric pressure along the surface is constant and can be set to p = 0. By
use of (1.1) the dynamic boundary condition then becomes
U 1 2 2
+ g w + (U,1 + U,2 )=0 for x2 = w( x1 , t) (1.8)
t 2
It is observed that the two surface boundary conditions (1.6) and (1.8) are non-linear. Therefore
a simple analytical solution is not available, and approximation techniques must be applied.
The simplest possibility is to replace the non-linear boundary conditions by linear boundary
conditions obtained asymptotically for small wave elevations. This asymptotic wave descrip-
tion is called Airy wave theory formulated by G.B. Airy in 1842 . Even though the theory is
only asymptotically valid, it is useful for describing the wave loads on offshore structures, in
particular when long time fatigue effects of a large number of stress cycles generated by waves
of ordinary size are evaluated. In fact, the possibility of considering the effect of the random
nature of the sea surface is critically dependent on the sufficiency of a linear wave theory when
applied outside the strong storm situations.
1.2. AIRY WAVE THEORY 3
1.2 Airy wave theory

When the non-linear terms in (1.6) and (1.8) are neglected the two conditions become
w
U,2 = 0 (1.9)
t
U
+gw = 0 (1.10)
t
from which w can be partly eliminated by differentiation of the second equation, solving with
respect to w/t, and substituting into the first equation. This gives the condition
2U (x1 , w, t)
+ g U,2 (x1 , w, t) = 0 (1.11)
t 2
which is still dependent on the surface elevation w, and therefore is non-linear. However, Taylor
expansion shows that U (x1 , w, t) and U,2 (x1 , w, t) differ from U (x1 , 0, t) and U,2 (x1 , 0, t) by
the non-linear terms U,2 (x1 , 0, t)w + o(w) and U,22 (x1 , 0, t)w + o(w). Neglecting these terms
the linearized surface boundary condition becomes
2U (x1 , 0, t)
+ g U,2 (x1 , 0, t) = 0 (1.12)
t 2
Concentrating first on the Laplace equation (1.2), it is indeed seen by substitution of a function
of the form U (x1 , x2 , t) = H (x1 ct)V (x2 ) into (1.2) that there are solutions of the form as
waves that travel with constant velocity c in the x1 direction. After division of
H (x1 ct)V (x2 ) + H (x1 ct)V (x2 ) = 0 (1.13)
by H (x1 ct)V (x2 ), the independent variables become separated in a term each in the equation
H (x1 ct) V (x2 )

+ =0 (1.14)
H (x1 ct) V (x2 )
which implies that the terms must be two constants that sum to zero. Thus
H + k 2 H = 0 (1.15)
2
V k V =0 (1.16)
The sign of the first term in (1.14) is chosen to be negative because only bounded solutions for
H are of interest. The complete solution of the special product form then is
U (x1 , x2 , t) = [C1 cos k(x1 ct) + C2 sin k(x1 ct)][C3 ekx2 + C4 ekx2 ] (1.17)
where C1 , . . . C4 are arbitrary constants. The bottom boundary condition (1.3) is satisfied if
C3 = ekd and C4 = ekd . This implies that C3 ekx2 + C4 ekx2 = cosh k(x2 + d).
Finally (1.17) substituted into the surface boundary condition (1.12) gives the equation
[C1 cos k(ct) + C2 sin k(ct)][(ck)2 cosh kd + gk sinh kd] = 0 (1.18)

which is satisfied for the nontrivial solutions if and only if the last factor is zero. Thus the
surface boundary condition imposes a relation between the constants k and c:
g
c2 = tanh kd (1.19)
k
This relation is called the dispersion relation of a reason that becomes clear below. For C1 = 0
and C2 = C, the solution (1.17) becomes
U (x1 , x2 , t) = C sin k(x1 ct) cosh k(x2 + d) (1.20)
This is a pure sine wave that translates in the x1 -direction with the constant velocity c. The
distance between two consecutive wave tops is called the wave length , while the time T
between two consecutive wave top passages at the same point is called the wave period . The
number k is called the wave number . The argument = k(x1 ct) is called the phase angle ,
and the number = 2/T is called the angular velocity or angular frequency . The following
relations are valid:
T = 2 (1.21)
k = 2 (1.22)
= kx1 t (1.23)

c= (1.24)
T

c= (1.25)
k
implying that the dispersion relation (1.19) can be written in the following equivalent versions
g 2d
c2 = tanh (1.26)
2
2 = gk tanh kd (1.27)
g 2d
2 = 2 tanh (1.28)

Exercise 1.1: Check that the relations (1.21) to (1.28) are correct, and show that

c gd as kd 0 (shallow sea waves) (1.29)

g
c as kd (deep sea waves) (1.30)
k

Show that the error of using the deep sea asymptotic wave velocity c g/k is an overestimation of
the velocity by less than 0.2% of the exact value if d/ > 0.5 and less than 5% if d/ > 0.25. Compute
the wave length and the wave velocity c for the depth d = 30 m and the wave period T = 15 s.
The name dispersion relation comes from its implication that any wave elevation made up
as a linear superposition of pure sinusoidal waves with different wave lengths propagate under
change of its shape because the single sinusoidal waves in the superposition propagate with
different velocities. Thus the only surface elevation that can propagate as a translation with
constant velocity is the pure sinusoidal wave.
1.2. AIRY WAVE THEORY 5
The wave elevation corresponding to the velocity potential (1.20) is obtained from the surface
boundary condition (1.10) as
1 U (x1 , t) kc h
w(x1 , t) = = C cosh kd cos(kx1 t) cos(kx1 t) (1.31)
g t g 2
that gives the arbitrary constant C = gh/(2kc cosh kd) in terms of the wave height h. Substi-
tuting C into (1.20) gives the velocity potential on the form
h g cosh k(x2 + d) h cosh k(x2 + d)
U (x1 , x2 , t) = sin(kx1 t) = sin(kx1 t)
2 kc cosh kd 2k sinh kd
(1.32)
where the last expression is obtained by use of the dispersion relation. The particle velocity is
obtained as the gradient of the potential by differentiation:
h cosh k(x2 + d)
v1 (x1 , x2 , t) = cos(kx1 t) (1.33)
2 sinh (kd)
h sinh k(x2 + d)
v2 (x1 , x2 , t) = sin(kx1 t) (1.34)
2 sinh (kd)
These two differential equations should be interpreted in the asymptotic sense of h 0 im-
plying that x1 and x2 varies by time over the particle path by such a small amount that the
differential equations are asymptotically equivalent to the differential equations obtained by
replacing x1 and x2 by the averages x1 and x2 over the particle path:
d x1 d x2
= a(x2 ) cos(k x1 t), = b(x2 ) sin(k x1 t) (1.35)
dt dt
h cosh k(x2 + d) h sinh k(x2 + d)
a(x2 ) = , b(x2 ) = (1.36)
2 sinh (kd) 2 sinh (kd)
The equations (1.35) are directly integrated to
x1 (t) = x1 a(x2 ) sin(k x1 t) = x1 + a(x2 ) sin (t) (1.37)
x2 (t) = x2 + b(x2 ) cos(k x1 t) = x2 + b(x2 ) cos (t) (1.38)
where (t) = k x1 + t. Thus the particle paths are approaching ellipses asymptotically
as h 0. The ratio between the vertical and the horizontal ellipse axes is b(x2 )/a(x2 ) =
tanh k(x2 + d) which approaches 1 as d and 0 as x2 d. Figure 1.2 shows the
asymptotic particle velocities and paths for different water depths.
The asymptotic accelerations are obtained by differentiation of d x1 (t)/dt and d x2 (t)/dt in
(1.35):
a1 (x1 , x2 , t) = a(x2 )2 sin(k x1 t), a2 (x1 , x2 , t) = b(x2 )2 cos(k x1 t)
(1.39)
It is noted that convective contributions to the accelerations are neglected as being small relative
to the first order terms in the asymptotic expressions.
For d/ > 0.5, or equivalently, d/(gT 2 ) > 0.08, the error is small if cosh k(x2 + d) and
sinh k(x2 + d) are replaced by ek(x2 +d) , and thus tanh k(x2 + d) by 1, see Exercise 1.1. This is
the deep sea regime where the particle paths asymptotically are circles corresponding to
h
a(x2 ) = b(x2 ) = ek x2 (1.40)
2
0
0 0
-5 -5 -5
-10 -10 -10

-5 0 5 -5 0 5 0 0.5 1
vertical position (m)
0 0 0
-10 -10 -10
-20 -20 -20
-30 -30 -30

-2 0 2 -10 0 10 0 0.5 1
0 0 0
-20 -20 -20
-40 -40 -40
-60 -60 -60

-2 0 2 -20 0 20 0 0.5 1
horizontal position (m) maximal velocities (m/s)
Figure 1.2: Particle paths for the depths d = 10, 30, 60 m, wave number k = 0.05, and wave
height h = 3 m. The diagrams to the right show the maximal horizontal (solid line) and maximal
vertical (dashed line) particle velocities.
1.3 Stokes 5th order wave theory

The limitations of the linear Airy wave theory come both from the neglect of the non-linear
terms in the surface boundary condition and from assigning the boundary condition to the
undisturbed surface at x2 = 0, and not to the correct surface x2 = w(x1 , t). The theory is
valid asymptotically for max |w(x1 , t)| 0 which does not exclude its results to be valid as
reasonable approximations even for rather large values of max |w(x1 , t)|. However, several dif-
ferent orders of improvements are given in the literature. They are based on a series expansion
technique developed by G.G. Stokes in 1847: The terms in the expansion are ordered by in-
creasing integer powers of a suitably chosen small quantity and are obtained sequentially by
first solely including first order terms, next solely including terms up to second order, etc. The
5th order Stokes method is carried through in (Skjelbreia & Hendrikson 1960), and is reported
with the necessary formulas in the following.
The parameter is defined as
h kh
= = , 1 (1.41)
2
which is a measure for the steepness of the wave. This parameter is assumed to be small
which is less restrictive than assuming the wave height h to be small. The Airy wave theory
solutions (1.31) and (1.32), with h = 2/k and c = /k substituted, define the first term in the
1.3. STOKES 5TH ORDER WAVE THEORY 7
5th order expansions
1 5
w(x1 , t) = Bn cos n(kx1 t) (1.42)
k n=1
c 5
U (x1 , x2 , t) = An cosh nk(x2 + d) sin n(kx1 t) (1.43)
k n=1
The potential is a superposition of terms of the form as (1.20) that satisfy the Laplace equation
(1.2) and the bottom boundary condition (1.3). The coefficients An and Bn are given as the
following polynomials in :
A1 = A11 + A13 3 + A15 5

A2 = A22 2 + A24 4
A3 = A33 3 + A35 5
A4 = A44 4
A5 = A55 5 (1.44)
and
B1 =
B2 = B22 2 + B24 4
B3 = B33 3 + B35 5
B4 = B44 4
B5 = B55 5 (1.45)
The coefficients An j and Bn j are functions of kd, and they are listed in the table below. The
simple relation (1.41) between the parameter and the wave height h is only valid for a wave
defined solely by the first term in (1.42). Defining the height h of the wave given by (1.42) as
1 5
1 5
1 5
h= Bn cos n(0) Bn cos n() = [1 (1)n ]Bn =
k n=1 k n=1 k n=1
2 2
(B1 + B3 + B5 ) = [ + B33 3 + (B35 + B55 ) 5 ] (1.46)
k k
we get
kh
= + B33 3 + (B35 + B55 ) 5 (1.47)
2
that replaces (1.41). For given values of the wave height h, the wave length and the water
depth d, this equation is solved numerically with respect to .
To obtain the wave velocity c = /k the angular frequency is calculated from the gener-
alized dispersion relation
2 = (1 + C1 2 + C2 4 ) gk tanh kd (1.48)
15
Stokes 5th order
10
surface elevation (m) 5
-5
-10
Airy
-15
-200 -100 0 100 200
x (m)
Figure 1.3: Wave profiles for Stokes and Airy wave.
where C1 and C2 are given in the table below as functions of kd.

Exercise 1.2: Use MATLAB to make a plot of Stokes 5th order wave profile w(x1 , t) as a function
of x1 to a fixed time point t for the wave height h = 25 m, wave length = 250 m, and water depth
d = 50 m.
Plot the corresponding Airy wave in the same diagram. A similar plot is shown in Fig. 1.3. Note that
the wave top is considerably higher up and, consequently, that the wave bottom is also higher up and
more flat for the Stokes wave than for the Airy wave. The wave top position has decisive importance for
the design of the free space between the sea surface and the top side of an offshore structure.
Compute the period T for both waves, and note that it is a general property that the Stokes wave has a
shorter period than the corresponding Airy wave. Use the diagram in Fig. 1.5 to check whether the given
data define a wave within the applicability domain of the Stokes 5th order theory.
In Exercise 1.2 the wave length was given. However, in practice it will often be the wave
period T that is given. Then the explicit calculation in Exercise 1.2 must be replace by an
iterative calculation.
Following (Krenk 1988), the equations (1.47) and (1.48) are rewritten as
h
= kd B33 3 (B35 + B55 ) 5 (1.49)
2d
2 d 1
kd = (1.50)
g tanh kd (1 + C1 2 + C2 4 )
2 d
Starting with the values 0 = 0, (kd)0 = , Bi j = Ci = 0 for , kd, Bi j , and Ci , respec-
g
tively, the computations run as follows. First iterations run according to
1
(kd)n+1 = [(kd)equation (1.50) + (kd)n ] (1.51)
2
until there is a negligible change of kd. Corresponding to the obtained value of kd the values of
Bi j and Ci are next obtained from the function table below, followed by iterations according to
1
n+1 = [equation (1.49) + n ] (1.52)
2
1.3. STOKES 5TH ORDER WAVE THEORY 9
Figure 1.4: Application domains for different wave theories (Dawson 1983),(Krenk 1988).
until there is a negligible change of upon which it is controlled by use of (1.50) whether kd
needs improvement. If so, the iteration calculation proceeds with (1.51), etc.
Exercise 1.3: Solve the same problem as in Exercise 1.2, but now with the period given to T = 10 s,
and the wave length unknown.
It is difficult to specify the domains for the applicability of the different wave theories. The
wave height relative to the wave length is an essential parameter, but for shallow waters this
parameter is not sufficient because also the water depth gets essential importance. Figure 1.4
shows a diagram for the application domains of Airys wave theory and for Stokes 5th order
theory (Dawson 1983). For d/ < 0.1 the wave form is not well represented by (1.42) and
(1.43) because the wave height becomes limited by the wave breaking phenomenon. The so-
called cnoidal wave theory is applicable in this domain (Sarpkaya & Isaacson 1981). Figure 1.5
shows another diagram with the domains of application of the different wave theories (DS449
1983). In this diagram the wave length is replaced by the parameter gT 2 uniquely related to the
wave length through the dispersion relation.
Table of coefficients in Stokes wave of 5th order according to (Skjelbreia & Hendrikson 1960):
MATLAB m-files can be downloaded from

http://www.mek.dtu.dk/staff/od/books.htm
s = sinh(kd), c = cosh(kd)
1
A11 =
s
c2 (5c2 + 1)
A13 =
8s 5
1184c10 + 1440c8 + 1992c6 2641c4 + 249c2 18
A15 =
1536s 11
3
A22 = 4
8s
192c8 424c6 312c4 + 480c2 17
A24 =
768s 10
13 4c 2
A33 =
67s 7
512c12 + 4224c10 6800c8 12808c6 + 16704c4 3154c2 + 107
A35 =
4096s 13 (6c2 1)
80c6 816c4 + 1338c2 197
A44 =
1536s 10 (6c2 1)
2880c10 + 72480c8 324000c6 + 432000c4 163470c2 + 16245
A55 =
61440s 11 (6c2 1)(8c4 11c2 + 3)
c(2c + 1)
2
B22 =
4s 3
c(272c8 504c6 192c4 + 322c2 + 21)
B24 =
384s 9
24c6 + 3
B33 =
64s 6
88128c14 208224c12 + 70848c10 + 54000c8 21816c6 + 6264c4 54c2 81
B35 =
12288s 12 (6c2 1)
c(768c 448c 48c + 48c4 + 106c2 21)
10 8 6
B44 =
384s 9 (6c2 1)
192000c16 262720c14 + 83680c12 + 20160c10 7280c8
B55 = +
12288s 10 (6c2 1)(8c4 11c2 + 3)
7160c6 1800c4 1050c2 + 225
12288s 10 (6c2 1)(8c4 11c2 + 3)
8c4 8c2 + 9
C1 =
8s 4
3840c12 4096c10 2592c8 1008c6 + 5944c4 1830c2 + 147
C2 =
512s 10 (6c2 1)
1.4. WAVE FORCES 11
Figure 1.5: Application domains for different wave theories (DS449 1983). The letters h and
H symbolize water depth and wave height, respectively (i.e. d and h in the text).
1.4 Wave forces

Waves cause distributed forces on structures placed in the wave field. These forces are of three
main categories:
1. Drag forces caused by pressure differences between front side and rear side of the exposed
structural component. The pressure difference is caused by friction between the water end
the structure that may trigger separation of the boundary layer into a turbulent wake.
2. Inertial mass forces occurring in accelerating flows, partly as the force that would have ac-
celerated the replaced water volume in an undisturbed flow, and partly the force required
to make the change of the flow pattern to fit with the presence of the structure.
3. Diffraction forces on the surface of structures that in the horizontal directions are not
small as compared to the wave length.
This text focuses on forces on structural components with small cross-sectional dimensions
compared to the wave length . With the typical cross-section dimensions less than about 0.2,
the wave forces can with sufficient accuracy be determined by the so-called Morison formula
that combines the drag forces and the inertial forces.
1.5 The Morison force

The wave force on a cylindric structural component with its largest cross-sectional dimension
less than about 0.2 is in general determined by Morisons formula (Morison, OBrian, John-
son & Schaaf 1950) . For a circular cylinder of diameter D and cross-section area A = D 2 /4
placed in a flow of water with mass density and with particle velocity v and particle acceler-
ation a, the force per length unit of the cylinder is given by
1
q= C D D vc |vc | + C M A ac (1.53)
2
where vc = v(vc) c and ac = a(ac) c are the vectorial components of v and a, respectively,
ortogonal to the cylinder axis defined by the unit vector c in direction of the cylinder axis. The
mass density of sea water is typically about 1020 kg/m3 . The values of the coefficients C D
and and C M are partly empirical. They reflect the size of the drag force and the inertial force,
respectively. The drag force coefficient C D and the mass force coefficient C M depend on the
frictional properties (surface roughness) of the cylinder and on the character of the flow around
the cylinder e.g. with respect to the frequency of the oscillating particle flow caused by the
waves. Also the wave theory applied to calculate v and a influences the values of these empirical
constants, of course. A detailed discussion is given in (Sarpkaya & Isaacson 1981). In reliability
analysis the coefficients may be introduced as random variables or random fields along the
tube to account for the uncertainty introduced by using the somewhat simplistic concept of the
Morison formula.
It should be noted that even though the Morison formula is formulated for circular cylinders
it is in practice also used for cross-sections that deviate to some degree from the circular form.
Then D may be defined as the largest cross-section dimension, or it may be defined as an
average dimension like D = 4A/. Clearly such applications increase the uncertainty of the
values of C D and C M . For cross-sections that deviate much from the circular form, a tensor
formulation of C D and C M and a corresponding generalization of Morisons formula is a more
accurate model for the flow forces on the cylinder. Such a formulation has the form
1
q = DC D v v v + A C M a (1.54)
2
where indices , , . . . each take the values 1 and 2, and where repeated index in a product
means summation over the set of index values (the summation convention). The vectors q,
vc and ac have the components q , v and a , respectively, in a two-dimensional cartesian
coordinate system situated in the plane orthogonal to the cylinder axis vector c.
For the scalar drag force and mass force coefficient case the mass force coefficient C M is
typically about 2.0, while the drag force coefficient varies between about 0.7 to about 1.2. The
Danish standard (DS449 1983) gives the following values for circular tubes in connection with
Stokes 5th order wave theory:

1.2 for R 2 105
C M = 2.0, C D = (1.55)
0.7 for R 4 105
D|vc |
where R = is Reynolds number . The kinematic viscosity is about 1.11 106 m2 /s

for sea water giving R 0.9 106 D|vc | with D in m and vc in m/s. Between the values in
(1.55) the value of C D is determined by linear interpolation.
1.6. WAVE FORCE LOADED VERTICAL POLE 13
If the considered point of the structural component S moves with velocity v S and acceler-
ation a S , it is obviously the relative flow velocity vc v Sc in the plane orthogonal to S that
determines the drag force. The inertial forces are more difficult except in the limit a Sc = 0,
where the inertial force term is C M A ac , and in the limit a Sc = ac , where the inertial force
term is A a Sc . The part of the excess above 1 of the inertial force coefficient C M takes the
acceleration of the water around the cylinder into account and can be interpreted as representing
an added equivalent hydrodynamic mass (C M 1)A . However, if a Sc = ac , there are no extra
inertial forces than those acting on the water volume replaced by the cylinder. Simple linear
interpolation between the two limit cases gives an approximation, which on a sufficient level of
accuracy is taken to be the structure movement corrected Morison formula:
1
q= C D D (vc v Sc )|vc v Sc | + C M A (ac a Sc ) + A a Sc (1.56)
2
The tensorial generalization of (1.56) is
1
q = DC D (v v S ) (v v S )(v v S ) + A C M (a a S ) + A a S
2
(1.57)
1.6 Wave force loaded vertical pole

As a very simple example of application of Morisons formula together with Airys wave theory
consider a vertical circular cylindric pole of diameter D at the position x1 = 0, and assume that
the pole is sufficiently rigid to keep the displacement movements negligible as compared to the
water particle movements. From (1.33) and (1.39) it follows that
q = q D,max cos t| cos t| q M,max sin t (1.58)

1 h cosh k(x + d) 2 h 2 cosh2 k(x2 + d)
2
q D,max = C D D = CD D k g (1.59)
2 2 sinh kd 8 sinh kd cosh kd
h cosh k(x2 + d)
2 h cosh k(x2 + d)
q M,max = C M A = CM A k g (1.60)
2 sinh kd 2 cosh kd
where the dispersion relation (1.27) has been used to eliminate 2 . The ratio between the force
amplitudes q D,max and q M,max determines the balance between the drag force and the inertial
force at the considered level x2 . The ratio is
q D,max C D h cosh k(x2 + d) CD 1
= = 2 K K, (C M 2C D ) (1.61)
q M,max C M D sinh kd CM 20
where K is the so-called Keulegan-Carpenter number defined by
T vmax
K= (1.62)
D
The Keulegan-Carpenter number K is seen to be a measure of the particle path size T vmax
relative to the pole diameter D, and it is often used as a parameter in experimental investigation
of wave forces. It is seen from (1.61) that if K is less than about 10, then the inertial force
dominates, and if K is larger than about 15, then the drag force is dominating.
3 3
=0 =1
2 2
1 1
M,max
M,max
q/q 0 0
q/q
-1 -1
-2 -2
-3 -3
0 0.5 1 0 0.5 1
t/T t/T
3 3
=3 =5
2 2
1 1
M,max
M,max
0 0
q/q
q/q
-1 -1
-2 -2
-3 -3
0 0.5 1 0 0.5 1
t/T t/T
Figure 1.6: Time variation of Morison wave force on vertical pole.
The ratio (1.61) also determines the the character of the time variation of the Morison force.
The derivative of (1.58) with respect to t is

q q D,max (2 cos t sin t) q M,max cos t for cos t < 0
= (1.63)
t q D,max ( 2 cos t sin t) q M,max cos t for cos t > 0
which is zero for

q M,max 1
cos t = 0 or sin t = sign(cos t) = sign(cos t) (1.64)
2q D,max
2q D,max
where = . For 1, the extreme wave force occurs for cos t = 0, that is, for
q M,max
t = 2 p, p = 0, 1, 2, . . . , and the extreme values will be q M,max independent of the drag
force. For > 1 the extremes occur for sin t = 1/ while the points t = 2 p, p =
0, 1, 2, . . . become points of inflection. The maximal force is

1 for 1
qmax = q M,max 1 1 (1.65)
+ for >1
2
The time variation of q/q M,max is shown in Fig. 1.6.

Exercise 1.4: Determine the parameter corresponding to the surface x2 = 0 as a function of h/D
for the wave considered in Exercise 1.1. Observe that the importance of the drag force relative to the
mass force increases with the wave height and decreases with the pole diameter.
The time variation of the shear force Q(x2 , t) and the bending moment M(x2 , t) in the pole
is directly obtained from (1.58) by replacing q D,max and q M,max by Q D,max (x2 ) and Q M,max (x2 )
1.6. WAVE FORCE LOADED VERTICAL POLE 15
to get the shear force, and M D,max (x2 ) and M M,max (x2 ) to get the bending moment, where
0 0
Q D,max (x2 ) = q D,max (x) d x, Q M,max (x2 ) = q M,max (x) d x (1.66)
x2 x2
0 0
M D,max (x2 ) = Q D,max (x) d x, M M,max (x2 ) = Q M,max (x) d x (1.67)
x2 x2
Exercise 1.5: Show that

h2 sinh 2kd sinh 2k(x2 + d) 2kx2
Q D,max (x2 ) = CD D g (1.68)
32 sinh kd cosh kd
h sinh kd sinh k(x2 + d)
Q M,max (x2 ) = C M A g (1.69)
2 cosh kd
and plot curves for the wave load intensity, the shear force, and the bending moment at the time of
extreme load intensity for the wave considered in Exercise 1.1 for a pole of diameter D = 2 m, and the
ratios h/D = 0.5, 1.0, 2.0, 4.0. Plot curves for the time variation of the position of the force resultant
for the four cases. Comment on the importance of the drag force relative to the inertial force.
It is noted that the Airy wave theory defines the force intensity to act on the pole in the interval [d, 0],
that is, from the bottom up to the undisturbed water surface. This idealization has as consequence that
the maximal wave force on the pole is systematically evaluated to the unconservative side. A simple
correction is obtained by extending the integration to the actual surface x2 = w(0, t). Compute the
correction for the maximal internal forces and the position of the force resultant for the four cases.
For wave heights of a size where the Airy wave theory is not sufficiently accurate and there-
fore should be replaced by the 5th order Stokes wave theory, the convective contributions to the
particle acceleration should be taken into account, that is,
dvi vi vi d x j vi vi
ai = = + = + vj (1.70)
dt t x j dt t x j
Chapter 2
Stochastic wave and load description
2.1 Sea state characterization

Loads on offshore structures are dominated by natural forces that are only describable by their
statistical properties. Due to random changes of the wind velocity and its direction the typical
wave heights and periods changes randomly by time. However, these changes are sufciently
slow that the concept of sea state makes sense. A sea state is characterized as a wave situation
that is approximately constant during some time interval of duration 1/2 to 1 hour, say, in the
sense that a moving time window average of the wave height and the wave period as dened
below are approximately constant during the time interval. The time window for averaging
could be 5 min, say.
A sea state is traditionally characterized by the so-called signicant wave height Hs and
the characteristic zero-crossing period Tz . The denition of Hs is based on a calibration to
the visual classication of the waves by experienced ship captains. This characterization has
turned out to t reasonably well with the denition of the signicant wave height Hs to be the
average height of the upper third of the size ordered sample of all wave heights within the time
interval of the considered sea state. The concept of characteristic zero-crossing period Tz is a
generalization of the period of a pure sinusoidal wave. The real sea surface may be modeled
as made up of a superposition of a large number of sinusoidal waves with random heights and
periods. At any given position the resulting surface necessarily moves up above and down
below the level of the undisturbed surface (denoted as the zero level). This movement is not
periodic for example in the sense that there is a constant time interval between an upcrossing
and the next upcrossing of the zero level. The time intervals vary randomly around an average
value denoted Tz and measured during the considered time chosen for a sea state duration. For
technical evaluations the subdivision into sea states is convenient even though the real situation
is a gradual and continuous change of the character of the sea surface geometry.
Table 2.1 shows one year of observations of (Hs , Tz ) allocated to the center of 0.3 m length
intervals and 0.5 s time intervals. The observations are made at a position in the Northern North
Sea. These data will be used in the following as an example data base for formulating probabil-
ity distribution models aimed at reliability evaluations of offshore structures. The data are for
a given location, and data from other locations will in general differ from these data. However,
the probability models may be more generally applicable in the sense that applications at other
locations may only require a calibration of the distribution parameters, and not a formulation of
an entirely different distribution model.
17
18 CHAPTER 2. STOCHASTIC WAVE AND LOAD DESCRIPTION
There are two quite different wave loading situations of importance for the safety of an
offshore structure. For the ultimate failure situation the severe weather situation with large wind
pressures and large waves are of primary interest. Another important situation is the slowly
increasing metal fatigue and the appearance of growing cracks due to the constant exposure to
wave forces of every day size. This deteoriation process may nally lead to an ultimate failure
if the process is not kept under control by inspection, maintenance and repair. The probabilistic
tools to deal with the two situations are quite different. The reliability analysis relevant in the
ultimate loading situation is by and large based on the theory of vectors of random variables
and their joint probability distributions, while the long term wave force exposure requires a
random process description of the wave load. In the following, the theory for treating the
ultimate failure situation will be described rst. The necessary concepts and formulas from the
probability theory are summed up in Chapter 5.
Tz (s) 4.25 5.25 6.25 7.25 8.25 9.25 10.25 11.25 12.25 13.25
0.45 0 0 0 3 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
0.75 1 8 4 3 5 5 3 0 0 0 0 0 0 0 0 0 0 0 0 0
1.05 1 12 10 20 12 12 9 2 0 0 0 0 0 0 0 0 0 0 0 0
1.35 0 1 12 15 33 18 10 5 0 0 0 0 0 0 0 0 0 0 0 0
1.65 0 0 5 13 32 19 14 3 5 1 0 0 0 0 0 0 0 0 0 0
1.95 0 0 4 14 18 15 7 14 3 2 0 0 0 0 0 0 0 0 0 0
2.25 0 0 0 6 20 18 16 9 7 0 1 0 0 0 0 0 0 0 0 0
2.55 0 0 0 1 15 25 10 6 5 2 0 0 0 0 0 0 0 0 0 0
2.85 0 0 0 1 11 25 10 7 5 4 0 0 0 0 0 0 0 0 0 0
3.15 0 0 1 3 8 19 15 9 9 4 0 0 0 0 0 0 0 0 0 0
3.45 0 0 0 3 2 4 15 18 7 1 1 0 0 0 0 0 0 0 0 0
3.75 0 0 0 0 1 14 16 21 10 10 5 0 0 0 0 0 0 0 0 0
4.05 0 0 0 0 0 2 8 10 12 14 0 0 0 0 0 0 0 0 0 0
4.35 0 0 0 0 1 3 0 6 7 10 0 3 1 0 0 0 0 0 0 0
4.65 0 0 0 0 0 0 3 5 6 5 6 0 0 1 1 0 0 0 0 0
4.95 0 0 0 0 0 2 1 5 6 1 4 3 1 0 0 0 0 0 0 0
5.25 0 0 0 0 1 2 4 2 3 1 5 1 0 0 0 0 0 0 0 0
5.55 0 0 0 0 0 0 2 3 0 0 0 0 2 0 0 0 0 0 0 0
5.85 0 0 0 0 0 0 2 1 0 2 3 2 0 1 0 0 0 0 0 0
6.15 0 0 0 0 0 0 0 1 2 0 4 0 3 0 0 0 2 0 0 2
6.45 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
6.75 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 0
7.05 0 0 0 0 0 0 0 1 0 2 0 4 2 0 0 0 0 0 0 0
7.35 0 0 0 0 0 0 0 0 1 0 0 2 0 0 0 0 0 0 0 0
7.65 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
7.95 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 0 0 0 0
8.25 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
8.55 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0
8.85 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 2 0 0
Hs (m)
Table 2.1: One year of 975 observations of (Hs , Tz ) at a position in the Northern North Sea
(McClelland & Reifel 1986).
By summing the numbers in the rows of Table 2.1, the sample of Hs is obtained. Figure 2.1
(top left) shows the cumulative distribution of the Hs -data together with the tted distribution
function model
x
FHs (x) = 2 1, x > (2.1)

= 0.7 m, = 2.5 m (2.2)
x
that is, a truncation of the normal distribution function with truncation point at its

mean = .
2.1. SEA STATE CHARACTERIZATION 19
1 1
0.9 0.9
0.8 0.8
0.7 0.7
0.6 0.6
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
0 2 4 6 8 10 4 6 8 10 12 14
significant wave height H in m mean zero-crossing period T in s
s z
0.2 0.2
relative frequency
0.15 density 0.15
0.1 0.1
0.05 0.05
0 0
14 14
12 12
10 8 10 8
6 6
8 4 8 4
6 2 6 2
T 4 0 T 4 0
z H z H
s s
0.2 0.2
relative frequency
0.15 0.15
density
0.1 0.1
0.05 0.05
14 14
12 12
0 0
0 10 0 10
2 8 2 8
4 4
6 6 6 6
8 4 T 8 4 T
z z
H H
s s
Figure 2.1: Fitted truncated normal distribution functions (2.1) and (2.3) of signicant wave
height Hs and characteristic zero-crossing period Tz compared to the corresponding empirical
distribution functions of one year of data from the Northern North Sea, (McClelland & Reifel
1986). The data pairs of (Hs , Tz ) are given in Table 2.1 and are shown in the form of a 3D
histogram in the two 3D gures to the left, and the corresponding tted two-dimensional density
(Nataf density type) (2.9) is shown in the two 3D gures to the right.
By summing the numbers in the columns of Table 2.1, the sample of Tz is obtained. Fig-
ure 2.1 (top right) shows the cumulative distribution of the Tz -data together with the tted
distribution function model

log t
FTz (t) = (2.3)

= log(6.8 s), = 0.17 (2.4)
that is, a lognormal distribution function with mean and standard deviation of log Tz . It is
seen that both the marginal distribution models of (Hs , Tz ) t surprisingly well to the empirical
distributions of the data. Next step is to formulate a model for the joint distribution of the two
random variables Hs and Tz . The straight forward way to obtain such a model is to set up the
marginal transformations by which each of the marginal distributions of the data transform into
normal distributions, and then apply these marginal transformations to the data. The pairs of
transformed data with marginal normal distributions are next assumed to have a bivariate normal
distribution with correlation coefcient estimated from the transformed data. Finally back-
transformation of the obtained bivariate normal density function gives a bivariate density model
for the original data pairs. This is the so-called Nataf model for formulating joint density of
vector data on the basis of given marginal distributions of the single components of the random
vector (Ditlevsen & Madsen 1996). Clearly, this is only one of innitely many possibilities
of formulating a joint distribution with given marginal distributions. However, the experience
shows that the Nataf model besides being easy to implement is often giving a reasonably well
tting joint distribution model. In the present case the transformations are
max{ + 0.01, H }
X = 1 2
s
1 (2.5)

log Tz
Y = (2.6)

where a small correction from Hs to max{ + 0.01, Hs } is introduced to secure that the obser-
vations from the rst row in Table 2.1 are taken into account without causing the transformation
from Hs to X to be undened. Each of the random variables X and Y are standard normal. The
correlation coefcient = Cov[X, Y ] is estimated as n1 i=0 20
29
j=0 n i j x i y j 0.70, with
n = i=0 j=0 n i j = 975, where (xi , y j ) are the transformed data points, and n i j is the number
20 29
of observations of (xi , y j ). Then the conditional distribution

of Y given X = x is normal with
mean E[Y | X = x] = x and standard deviation 1 (about conditional expectation and
2
normal distribution see Sections 5.8 and 5.9). Thus
yx
FY (y | X = x) = (2.7)
1 2
or
log t h
1 2 1

FTz (t|Hs = h) = (2.8)
1 2
so that the joint density of (Hs , Tz ) becomes
f Hs ,Tz (h, t) = f Tz (t|Hs = h) f Hs (h) =
log t h
21 1
2 h
, h> (2.9)
t 1 2 1 2
2.2. WIND PRESSURE DISTRIBUTION 21
This density function is shown in Fig. 2.1 together with histogram like plots of the data.
Exercise 2.1: Use MATLAB and numerical integration to obtain plots of the conditional distribution
functions FTz (t | Hs > h) for h = 0 m, 3 m, and 4 m in one diagram. Plot the corresponding conditional
cumulative distributions for the data in Table 2.1 in the same diagram. The data are listed in a matrix in
the MATLAB le HsTz data.m placed on the web address:
http://www.bkm.dtu.dk/od/offshore2001.phtml
2.2 Wind pressure distribution

It is consistent with the indications in the Danish Code: Loads for the Design of Struc-
tures (DS410 1982) to adopt a marked Poisson process model for the occurrence and size of
extreme wind velocity pressures in open sea. In fact, it is assumed that the occurrence of storm
events can be modeled as events in a homogeneous Poisson process of intensity = 0.02 y1 .
A wind storm event is dened as the occurrence of a 10 min wind speed average of more than
27 m/s in the height 10 m above the ground in open landscape of so-called class 0.05 (farm
country). By calibration to the conditions at open sea, the storm event may be dened as the
occurrence of a 1 min velocity pressure average of more than
q0 (z) = [ 5 log(100z)]2 N/m2 , z in m (2.10)
at height z above the sea level. The velocity pressure q0 (10 m) corresponds to a 1 min ve-
locity average of 43.2 m/s, or a 10 min velocity average of about 43.2/1.11 = 38.9 m/s, see
characteristic wind velocities in (DS449 1983).
The important concept of a marked Poisson process and its thinning is recapitulated in the
following subsection.
2.2.1 Denition of marked and thinned Poisson process

It follows from an elementary combinatorial argument that

n i n!
pi = p (1 p)ni = pi (1 p)ni (2.11)
i i!(n i)!
is the probability of getting i outcomes of a given type of event during n independent trials,
where the probability of getting the event in a single trial is p. The set of probabilities in (2.11)
denes the well-known binomial distribution. Denote the number of outcomes of the given type
of event by N . Then P(N = i) = pi , and the expectation is

n
E[N ] = i pi = np (2.12)
i=0
This result can be derived directly from (2.11). A simpler way is to write

n
E[N ] = X i = n E[X 1 ] = np (2.13)
i=0
where X i = 1 if the event occurs at the ith trial, and X i = 0 otherwise. It is directly seen that
E[X i ] = 1 p + 0 (1 p) = p.
Hereafter consider a time interval of length T and subdivide this interval into n equally long
sub-intervals. Assume that the probability is p that a given type of event occurs (for example
a wind with 10 min velocity average above a given level) within each of these sub-intervals
independently from interval to interval. The probability pi that the number N of intervals with
occurrence of the event is equal to i is then given by the binomial probability (2.11). Now let
the number of sub-intervals increase and the probability p decrease in such a way that the mean
number E[N ] = np is kept at a constant value T . The implication is that

n T i T ni
pi = 1 =
i n n
( T )i T n (n i + 1)(n i + 2) . . . n T i
1 1 =
i! n ni n
( T )i T i 1 i 2 T i
exp n log 1 1 1 ... 1 1
i! n n n n
( T )i
exp( T ) as n (2.14)
i!
By the limit passage n the sub-intervals that have occurrence of the event shrink to N
points, where N obviously can be dened as a random variable with the probability distribution
( T )i
P(N = i) = exp( T ), i {0, 1, 2, . . . } (2.15)
i!
and the expectation
E[N ] = T (2.16)
It is seen that is the mean number of points per time unit. To emphasize that N corresponds
to a time interval of length T , the notation N (T ) is introduced for N . Obviously N (t) is a never
decreasing random function of the time t, where the increments take place as jumps of size 1
every time t passes a point of event occurrence. This random function is called a homogeneous
Poisson process of intensity . It follows from (2.15) that

( t)i exp( t) = 1 t + o( t) for i = 0
P[N ( t) = i ] = exp( t) =
i! t exp( t) = t + o( t) for i = 1
(2.17)
and
P[N ( t) > 1] = o( t) (2.18)
where o( t)/ t 0 as t 0. Thus the mean value E[N ( t)] = t can be interpreted as
the probability of occurrence of an event in a time interval of length t, except for the quantity
o( t).
Since P[N (t) = 0] = exp(t), it is seen that the waiting time to the rst occurrence
of the event is exponentially distributed with parameter . Then it follows from the way of
construction of the Poisson process that the time distance between two consecutive events is
exponentially distributed with parameter .
2.3. WIND PRESSURE AND SIGNIFICANT WAVE HEIGHT DISTRIBUTION 23
If the Poisson process events either have or do not have a given property A, and if this prop-
erty is assigned to any of the events independently from event to event with a given probability
P(A), then an event with the property A obviously occurs within the time interval from t to
t + t with the probability P(A) t + o( t). Those points of the Poisson process that are
marked with the property A thus make up an outcome of a homogeneous Poisson process with
intensity P(A). This is expressed by saying that the Poisson process of marked points is
obtained by thinning of the original Poisson process with the thinning probability P(A) .
The marks on the points in a Poisson process may be independent outcomes of a random
variable or random vector. If the points are wind storm events, then the marks may be the
largest wind pressure at a given location during the wind storm, or it may be the largest wave
height at the location, etc.
Exercise 2.2: An important design problem is to determine the distance between the still water surface
and the topside of an offshore platform such that there is a given probability 1 p N that all wave tops
pass under the topside within an N year time period.
Show by use of the Poisson point process property of the storm sequence that the probability p that a
wave hits the topside in a single storm is related to p N by
1 pN
p= log(1 p N ) (2.19)
N N
where the last approximation is valid for p N 1. Make plots of log10 p as function of n = log10 p N
for = 0.02 y1 , and N = 25, 50, and 100 y. Mark the points where p = p N .
2.3 Wind pressure and signicant wave height distribution

Severe sea states with large waves are generally accompanied by heavy wind. The waves are
caused by the wind over some sea area that may be remote from the location of an offshore
platform. Therefore there may be severe waves without much wind at the location or there may
be heavy winds before the sea has raised to severe waves. Nevertheless, there is correlation
between the signicant wave height and the wind pressure at the same location. For the reli-
ability analysis of the structure it is important to have a model for the joint distribution of the
random mean wind pressure Q at a standard reference height of z = 10 m, and the sea state
random variables (Hs , Tz ) during a wind storm taken to be of duration as the sea state. Detailed
information on this issue has not been available to the author at the time of writing this text (and
is possibly not available in general). Therefore an anticipatory modeling is used to illustrate
the technique of model formulation in this type of problem under consideration of available
information. Besides the distribution of (Hs , Tz ) formulated in Section 2.1, it is consistent with
the information given in the wind load code part of (DS410 1982) to assume that the condi-
tional distribution of the velocity pressure Q given that Q q0 is exponential asymptotically
as q0 :
P(Q q | Q q0 ) = 1 e(qq0 ) , q q0 (2.20)
with = 0.0075 m2 /N that together with (2.10) give q0 = 9.0 for z = 10 m. Using the
probability P(Q q | Q q0 ) as thinning probability on the wind storm Poisson process of
intensity , it is directly seen that the maximal wind velocity pressure during a time period of
N years has the distribution function
P( max Q q | Q q0 ) = exp( N e(qq0 ) ), q q0 (2.21)
N years
This double exponential distribution function is of a type called the Gumbel distribution type and
is the distribution for yearly extreme wind pressures given in the wind load code (DS410 1982).
Remark 2.1: The information about the wind pressure distribution is given in an indirect way in
the wind load code (DS410 1982). All that is stated is that characteristic wind velocities with another
intensity n of being exceeded than = 0.02 times per year are obtained by multiplying the charac-
teristic exceedance velocities corresponding to times per year by k = 0.57 0.11 log n. Thus the
corresponding characteristic velocity pressures are obtained by multiplication by k 2 .
Let 0 be the excess intensity of the wind pressure q0 , and assume that P(Q > q | Q > q0 ) =
exp[(q q0 )], q q0 . Then application of the principle of Poisson process thinning gives
= 0 e(q q0 ) , n = 0 e(qn q0 ) (2.22)
from which

= eq (k 1)
2
(2.23)
n
or
log log n log 0.02 log n
k2 = +1= + 1 0.57 0.11 log n (2.24)
q 9
which is the formula in (DS410 1982). Thus the probability distribution given by (2.20) and (2.21) are
fully consistent with (DS410 1982).
The directional properties of the wind velocities are not treated on the modeling level chosen
in this text. For offshore structures the wind and the waves may be assumed to have a coinciding
direction that is most severe for the structure. If more detailed information is available for
the actual site of the structure, the modeling may be rened with respect to the directional
information by extending the set of random variables, but otherwise just following straight
forward generalizations of the probabilistic methods explained herein.
The Nataf distribution modeling technique applied to obtain the probability density (2.9) of
(Hs , Tz ) can be applied to obtain a probability density model for the triple (Hs , Tz , Q) such
that the distribution of (Hs , Tz ) is preserved, and such that the marginal distribution of Q is
consistent with the conditional distribution (2.20). Since the distribution of (Hs , Tz , Q) is not
conditional on the event Q > q0 , it is necessary to know the unconditional distribution of Q
to apply the Nataf technique. It is obviously consistent with (2.20) to adopt the unconditional
exponential distribution P(Q > q) = eq , q > 0. This distribution is not necessarily a good
t to data for the low wind pressures, but for the structural reliability assessments it is essentially
the upper tail that matters under the assumption that the larger waves come together with the
larger wind pressures. The transformation formulas (2.5) and (2.6) hereafter extend to the three
marginal transformations
H
X = 1 2
s
1 , Hs > (2.25)

log Tz
Y = , Tz > 0 (2.26)

Z = 1 (1 eQ ), Q > 0 (2.27)
where the correction from Hs to max{ + 0.01, Hs } in the transformation (2.5) has been re-
moved as irrelevant because no measurement data for Hs will be used here as input to the
transformation. The estimated marginal distribution parameter values are = 0.7 m, = 2.5
2.3. WIND PRESSURE AND SIGNIFICANT WAVE HEIGHT DISTRIBUTION 25
m, = log(6.8 s), = 0.17, and = 0.0075 m2 /N. Moreover the correlation coefcient be-
tween the image variables X and Y is estimated to X Y = 0.70. According to the Nataf model
the joint distribution of the three image variables X, Y, Z is taken to be normal. For complete
determination of this normal distribution the correlation coefcients X Z and Y Z need to be
obtained. No data information is presently available to the author. Therefore the correlation
coefcient = X Z will in the following be kept as a free parameter with respect to which
there can be made sensitivity analysis of the reliability analysis results. While there are obvious
reasons to have dependency between Q and Hs , it is less obvious whether there is dependency
between Q and Tz . For example, it is not physically obvious whether Tz should have a tendency
to increase or to decrease as Q increases. It might be conjectured that the random variation of
Tz is caused by directional effects of the wind combined with the distant geographic topography
of the land as seen from the actual site. Possibly also the actual character of the wind ow with
respect to vorticity and turbulence has an inuence on the wave period. Since all the possible
causes are mixed together at the present modeling level, it is hardly unreasonable to assume that
Y Z = 0.
The conditional distribution function of Hs given Tz = t and Q = q then is
FHs (h | Tz = t, Q = q) = FX (x | Y = y, Z = z) =

x E[X | Y = y, Z = z] x X Y y X Z z

= =
Var X E[X | Y = y, Z = z] 1 2 2
XY XZ
h log t
1 2 1 X Y X Z 1 (1 eq )

, h > , q > 0, t > 0
1 X2 Y X2 Z
(2.28)
from which the conditional density f Hs (h | Tz = t, Q = q) is obtained by differentiation:

2 h

f Hs (h | Tz = t, Q = q) = h
1 2 1 1 X2 Y X2 Z

h log t
1 2 1 X Y X Z 1 (1 eq )

, h > , q > 0, t > 0
1 X Y X Z
2 2
(2.29)
Exercise 2.3: The conditional distribution function FX (x | Z > z 0 ) is directly obtained as

1 x z
FX (x | Z > z 0 ) = (z) dz (2.30)
(z 0 ) z0 1 2
where = X Z . Show by use of (2.36) that the conditional density f X (x | Z > z 0 ) is
1 x z
0
f X (x | Z > z 0 ) = (x) (2.31)
(z 0 ) 1 2

It follows from (2.31) that
1 {2[(h)/]1} x z
q0 0
FHs (h | Q > q0 ) = e (x) d x (2.32)
1 2
and consequently by differentiation
f Hs (h | Q > q0 ) =
h
1 2 1 1 (1 eq0 )
2 h
eq0 (2.33)
1 2
By a similar procedure as applied to obtain (2.31) it can be shown that
f X (x | Y = y, Z > z 0 ) =
x y
1 X Z (x X Y y) (1 X2 Y )z 0 1 XY
(2.34)
(z 0 ) (1 X2 Y )(1 X2 Y X2 Z ) 1 X2 Y 1 X2 Y
and consequently that

2 h

f Hs (h | Tz = t, Q > q0 ) = h
1
2 1 1 X Y 2

h log t
X Z 1 2 1 X Y (1 X2 Y )1 (1 eq0 )

eq0
(1 X2 Y )(1 X2 Y X2 Z )
h log t
1 2 1 X Y

, h > , t > 0 (2.35)
1 X Y
2
Some contour curves for the conditional joint density f Hs ,Tz (h, t | Q > q0 ) = f Hs (h | Tz =
t, Q > q0 ) f Tz (t) are shown in Fig. 2.2 for X Z = 0.0, 0.4, 0.6, 0.7.
Remark 2.2: For calculations with the normal density the following formula is often useful.
The proof is left to the reader:
x x x ( 2 + 2 )/( 2 + 2 )
1 2 1 2 1 2 2
= 1 1 2
(2.36)
1 2 2 + 2 / 2 + 2
1 2 1 2 1 2
2.4 Extreme wave heights

During a sea state characterized by its duration S, and by a given signicant wave height Hs =
h and characteristic zero-crossing period Tz = t, the conditional distribution function of the
2.4. EXTREME WAVE HEIGHTS 27
12 12
=0.2 XZ=0.4
11 XZ 11
10 10
9 9
8 8
7 7
6 6
t
t
5 5
4 4
3 3
2 2
1 1
2 4 6 8 10 12 2 4 6 8 10 12
h h
12 12
XZ=0.6 XZ=0.7
11 11
10 10
9 9
8 8
7 7
6 6
t
5 5
4 4
3 3
2 2
1 1
2 4 6 8 10 12 2 4 6 8 10 12
h h
Figure 2.2: Contour curves for the conditional joint density of Hs and Tz given a storm dened
by the wind pressure condition Q > q0 for different correlation coefcients X Z between the
Gaussian random variables X = 1 [FHs (Hs )] and Z = 1 [FQ (Q)].
maximal wave height Hmax can be modeled as

S x 2
FHmax (x | Hs = h, Tz = t) = exp exp 2 (2.37)
t h
This model is justied by theoretical considerations in Section 3.5. Given a wind storm dened
by the event Q > q0 , the complementary distribution function of Hmax then becomes
1 FH (x | Q > q0 ) =
max
S x 2
1 exp exp 2 f Hs (h | Tz = t, Q > q0 ) f Tz (t) dt dh (2.38)
0 t h
A MATLAB function P Hmaxlargerthanx giv storm.m that calculates the integral (2.38) is
available on
http://www.bkm.dtu.dk/od/offshore2001.phtml.
Figure 2.3 shows the upper tail of the complementary distribution function (2.38) for the sea
state duration S = 2 hours, and the correlation coefcients X Z = 0.0, 0.2, 0.4, 0.6, 0.7.
By the thinned Poisson process argument the probability that the maximal wave height during
N years is larger than x is then
1 exp{ N [1 FHmax (x | Q > q0 )]} N [1 FHmax (x | Q > q0 )] (2.39)

log10[P(Hmax>x)]
0
S=2 hours
-0.5

XZ
-1
0.7
-1.5
-2 0.6
-2.5
0.4
-3
-3.5
0.2
-4
-4.5
0.0
-5
12 14 16 18 20 22 24 26 28 30 32
x
Figure 2.3: Upper tail of complementary distribution function of maximal wave height Hmax
during a storm of duration S = 2 hours.
where the approximation is valid if N [1 FHmax (x | Q > q0 )] 1.

Exercise 2.4: Determine example values of the minimal free height over still water of the topside of
an offshore platform on the location of the data in Table 2.1 such that the probability of the event that the
topside is hit by one or more a waves in a period of 20 year is 102 , 103 , 104 . Make the calculations
for the following correlation coefcient values: X Z = 0.0, 0.2, 0.4, 0.6, 0.7 and for a sea state duration
of S = 2 hours. For the case X Z = 0.4, investigate the effect of changing the sea state duration to S = 3
hours and S = 1 hour
Make a comparison investigation of the effect of using the 5th order Stokes wave theory or the Airy
wave theory under the assumption that the water depth is d = 50 m. For the wave period in each case
use E[Tz | Hs = h design ] as an approximation. The height h desigh is the design wave height obtained by
the calculation.
Remark 2.3: Besides the essential contribution from the wave elevation of the water surface also
the elevation due to tides and storm surges must be taken into account. Obviously this adds a couple of
extra random variables to the problem. It is on the safe side to add this contribution independently to the
free height, but in a more detailed model it could be taken into account that high tides do not necessarily
occur during violent sea states while storm surges may have tendency to occur together with violent sea
states.
Another contribution to add to the free height is the possible future random settlement of the sea
bottom occurring because of the decrease of the oil pressure in the oil carrying geological structures
beneath the platform.
2.5 Pushover reliability analysis of offshore platform

Besides the information embedded in the still not formulated conditional density f L (l | Hmax =
x, Hs = h, Tz = t) of the random period L, the information embedded in the above formulated
distribution functions FHmax (x | Hs = h, Tz = t), FHs (h | Tz = t, Q = q), FTz (t), FQ (q | Q >
q0 ), is the least information needed on the load side for making an approximate reliability
analysis with respect to pushover failure of an offshore platform subjected to wind and waves.
For example, consider a horizontal cut at the sea bottom with a coordinate system of origin
vertically below the point of gravity of the self weight masses of the structure and the one axis
parallel to the waves. Then the moment M about this axis of all the forces transmitted through
2.5. PUSHOVER RELIABILITY ANALYSIS OF OFFSHORE PLATFORM 29
the cut is a function M = (R, Hmax , L) of the three random variables R = Q/q0 , Hmax , and
L (neglecting moments caused by live loads on the platform). For the design of the foundation
or a reliability analysis of a give foundation design, the upper tail of the probability distribution
of the random moment M (or a similar response quantity) is of obvious interest. Given a wind
storm dened by the event Q > q0 , the probability that M > m for any given m is
P[ (R, Hmax , L) > m | R > 1 ] =

f L (l | x, h, t) f Hmax (x | h, t) f Hs (h | t, q) f Tz (t) f R (r | R > 1) dh dt d x dr
(r,x,l)>m h= t=0
(2.40)
The conditional density function f L (l | x, h, t) is not easy to obtain by theoretical considera-
tions. However, extensive simulation studies can provide data from which a Nataf type model
may be inferred. Under the assumption that the sole inuence of the condition (Hs , Tz ) = (h, t)
on L for given Hmax is that E[L] = t, preliminary simulation studies shown in Fig. 3.4 suggest
the conditional distribution function
FL (l | Hmax = x, Hs = h, Tz = t) =
2
V 1 l 1 c 1 1 exp 2 x
L
t h (2.41)
1 c2
with VL = 0.33 (coefcient of variation of L) and c = 0.62 (correlation coefcient).
Calculation of the integral (2.40) by direct numerical integration requires large computer ef-
forts. An approximate evaluation of the integral can be obtained by the so-called First Order
Reliability Method (FORM) . If needed a FORM calculation may be supplemented by a Second
Order Reliability Analysis (SORM) or by suitably designed simulation calculations (Ditlevsen
& Madsen 1996). A detailed description of FORM is given in the appendix on basic proba-
bility concepts (Sections 5.10 and 5.11). A Rosenblatt transformation (5.83) is dened by the
equations
(y1 ) = FR (r | r > 1)
(y2 ) = FTz (t)
(y3 ) = FHs (h | Tz = t, Q = q)
(y4 ) = FHmax (x | Hs = h, Tz = t)
(y5 ) = FL (l | Hmax = x, Hs = h, Tz = t) (2.42)
while the limit state is dened by the equation
g(r, t, h, x, l) = m (r, x, l) = 0 (2.43)
Following the procedure derived in Section 5.11 and summarized below, a geometric reliability
index G (m) is calculated and the FORM approximation to the probability P[ (R, Hmax , L) >
m | R > 1 ] becomes [G (m)].
In a general formulation the computation runs as follows: Construct a sequence of points
x1 , . . . , xk , . . . by the iteration formula
xk+1 = E[X | M(X, xk )] (2.44)
Standard Gaussian formulation space

y2
x2 Physical formulation space
safe domain
pushover
Hs y1
G
safe domain
x1 pushover
Tz
(X1 , X2 , . . . , Xn) (Y1 , Y2 , . . . , Yn)
Figure 2.4: First Order Reliability Method: Geometric reliability index G dened as illus-
trated after applying a one to one mapping of the physical formulation space to a standard
Gaussian space.
where
M(x, xk ) = g(xk ) + (grad g)T (x xk ) (2.45)

T
(grad g) = [g,1 (xk ) . . . g,n (xk )] (2.46)
and where x1 is a suitably chosen rst point. If this sequence is convergent, then the limit
point x satises the limit state equation g(x) = 0 and has the property that the Rosenblatt
transformation maps x into a stationarity point y for the distance from the origin in the standard
normal space to the points on the image of the limit state surface dened by G(y) = 0. The
corresponding FORM approximation to the probability on the set of points for which g(x) < 0
is then (), where = y y = limn n . The experienced convergence properties of
T
the sequence 1 , . . . , n , . . . may be used to dene a stop criterion for the iterations.
The linear regression in (2.44) is (with xk written as x0 )
E[X | M(X, x0 ) = 0] =
Cov[X, XT ] grad g
x0 A(x0 ) y0 [g(x0 ) (grad g)T A(x0 ) y0 ] (2.47)
(grad g) Cov[X, X ] grad g
T T
with
A(x0 ) = {Fi, j (x0 )}1

(n,n)
(y01 ) . . . (y0n ) (2.48)
determined by the Rosenblatt transformation
(yi ) = Fi (x), i = 1, . . . , n (2.49)
and where Cov[X, XT ] = A(x0 )A(x0 )T . The points x0 and y0 correspond to each other through
the Rosenblatt transformation.
The distance 0 from the origin to the approximate limit state hyperplane in the yspace
obtained by the approximating linear mapping is
E[M(X, x0 )] g(x0 ) (grad g)T A(x0 ) y0

0 = = (2.50)
D[M(X, x0 )] (grad g)T Cov[X, XT ] grad g
Exercise 2.5: This exercise illustrates a part of a rational reliability analysis of an offshore structure
with respect to pushover failure caused by wind and waves.
MATLAB programs are available for this exercise on
http://www.bkm.dtu.dk/od/offshore2001.phtml
for writing the complete MATLAB program to perform the FORM calculations in accordance with
(2.44).
At the site of the data in Table 2.1 consider an idealized offshore structure with a circular topside
of radius R = 20 m carried by three vertical circular cylindric legs of diameter D = 2.0 m and wall
thickness = 25 mm, placed in the corners of an equilateral triangle of side length L = 0.8 3 R. The
water depth is d = 50 m. Each leg is supported individually on a pile foundation in such a way that both
compression forces and tensile forces up to some plastic carrying capacity of the piles can be transferred
to the ground. In the static calculations it can be assumed that the bending moments in the legs are zero
at the foundations. The center of the circular topside projects vertically at the center of the equilateral
triangle of the legs. The wind catching height of the topside is a = 10 m. The total wind pressure force
on the topside is assumed to be 2a R Q, where the height z for calculating the wind pressure is taken as
the level of the top of the topside above the still water level. The average mass density of the topside is
200 kg/m3 where the total mass has center of gravity at the geometric center of the topside cylinder. The
mass density of steel is 7850 kg/m3 .
The 5th order Stokes wave theory is used to determine the wave load contribution to the normal forces
in the legs assuming that the passing wave front is parallel to the connection line between two of the legs.
A specially designed MATLAB program placed in the folder
http://www.bkm.dtu.dk/ od/offshore2001/FORM.m/
can be used to integrate the wave load intensity to the wave surface. The wind force acts on the topside
in the same direction as the waves.
Question 2.5.1: Conside the three platform heights obtained in Exercise 2.4 corresponding to X Z =
0.0, 0.4, 0.7 and the wave hitting probability 102 during 20 years. Make FORM calculations to deter-
mine some few points of the upper tail of the distribution function FN (x) of the maximal compression
normal force N at the bottom of a leg during 20 years. Determine at least 4 points such that the curve for
log10 [1 FN (x)] can be xed approximately in the range from -1.8 to -5.
For all three platforms determine the FORM approximation to the probability that the normal force
in a leg becomes negative (that is, that the foundation becomes subject to a lifting force) during 20 years.
Question 2.5.2: Assume that the vertical compression carrying capacity Z of the pile foundation
has a lognormal distribution with a coefcient of variation of 20%. Use FORM to determine the mean
resistance such that the probability of passing the plastic capacity during 20 years at any of the three pile
foundations is approximately 104 . The wave and wind direction is as in the previous question.
Hint: Calculate a triple of crude estimates of the mean by identifying the 5%, 15%, and the 25%
fractile of the lognormal distribution with the compression force obtained in Question 2.5.1, and use
FORM to calculate the geometric reliability indices for the three cases. Make a quadratic interpolation
(or extrapolation) to the wanted geometric reliability index. Control the result by a new FORM analysis,
and, if needed, improve the result by new interpolation calculations until sufcient engineering accuracy
is obtained.
The FORM calculation can be made by use of the following formulas. They are obtained as a special
case of (5.97), and are for the case of joining a single extra of X independent random variable Z to
the problem with the sole effect that the new variable appears in the limit state equation as an isolated
additive term. The linear regressions are then
E[X | M(X, x0 , Z , z 0 ) = 0] = x0 A(x0 ) y0

Cov[X, XT ] grad g2
1
z 0 a(z 0 ) [F (z
Z 0 )] + g (x
2 0 ) (grad g2 ) T
A(x0 ) y 0
a(z 0 )2 + (grad g2 )T Cov[X, XT ] grad g2
(2.51)
E[Z | M(X, x0 , Z , z 0 ) = 0] = z 0 a(z 0 ) 1 [FZ (z 0 )]

a(z 0 )2
1
z 0 a(z 0 ) [F (z
Z 0 )] + g (x
2 0 ) (grad g2 ) T
A(x0 ) y 0
(2.52)
{1 [FZ (z)]}

a(z) = (2.53)
f Z (z)
where g1 (z) = z replaces m in (2.43) and g2 (r, t, h, x, l) = (r, x, l). Moreover
z 0 a(z 0 ) 1 [FZ (z 0 )] + g2 (x0 ) (grad g2 )T A(x0 ) y0
0 = (2.54)
Comment to Exercise 2.5: It should be noted that the reliability analysis described here, and carried
out for the example of Exercise 2.5, is not for sure the failure situation with largest probability of occur-
rence. Since the wave forces also depend on the period in a way that increases the forces for decreasing
period, there might be other interesting points on the limit state surface to investigate. However, such
points are much more difcult to nd and evaluate with respect to probability, and they are hardly deci-
sively more critical than the point corresponding to the situation of largest wave height combined with
the most critical period conditional on the largest wave height during a sea state.
In the nal analysis and design process the self-weight of the topside must be more accurately deter-
mined. A more accurate modeling of the wind catching area including the shape factor should be made
possibly by use of wind tunnel testing. Also it should be considered whether the structure can be subject
to signicant forces due to stream ows of different origin (e.g. tides, storm surges, globally generated
sea streams, etc.). Such stream ow currents are usually assumed to be uniform from bottom to surface.
Local wind and wave statistics should possibly be used to obtain information about the wave size distri-
butions. Also the assumption about the foundation carrying capacity distribution may be too simplied,
among other things because the foundations are subject to horizontal forces whose effect on the carrying
capacity is neglected.
The pushover analysis of Exercise 2.5 is purely static. I may be necessary to make a pushover analysis
where the inertial forces are taken into account. This requires that the structure becomes modeled as a
dynamic system that will experience random vibrations caused by the random wave eld. The random
uctuations of the forces in the legs may in some cases have importance for the pushover stability of
the structure. However, dynamic analysis may also be needed of reasons like comfort for people on the
platform and for assessing the fatigue damage accumulation in the welded tubular joints of the structure.
The dynamic modeling is treated in Chapter 4.
The effect of marine growth on the tubes is neglected in the above static analysis. Such marine growth
increases the tube diameters nonuniformly by depth below the still water surface and it also increases the
roughness of the tube surfaces. This has some effect on the Morison forces. More so for the dynamical
analysis, however, where the extra mass from the marine growth can be substantial. Information on
marine growth contributions to mass and thickness of the growth is given in codes of practice such as the
Danish offshore structures code (DS449 1983).
Hint: Calculate a triple of crude estimates of the mean by identifying the 5%, 15%, and the 25%
fractile of the lognormal distribution with the compression force obtained in Question 2.5.1, and use
FORM to calculate the geometric reliability indices for the three cases. Make a quadratic interpolation
(or extrapolation) to the wanted geometric reliability index. Control the result by a new FORM analysis,
and, if needed, improve the result by new interpolation calculations until sufficient engineering accuracy
is obtained.
The FORM calculation can be made by use of the following formulas. They are obtained as a special
case of (5.97), and are for the case of joining a single extra of X independent random variable Z to
the problem with the sole effect that the new variable appears in the limit state equation as an isolated
additive term. The linear regressions are then
E[X | M(X, x0 , Z , z 0 ) = 0] = x0 A(x0 ) y0

Cov[X, XT ] grad g2
1
z 0 a(z 0 ) [F (z
Z 0 )] + g (x
2 0 ) (grad g2 ) T
A(x0 ) y 0
(2.52)
E[Z | M(X, x0 , Z , z 0 ) = 0] = z 0 a(z 0 ) 1 [FZ (z 0 )]

a(z 0 )2
1
z 0 a(z 0 ) [F Z (z 0 )] + g2 (x0 ) (grad g2 ) T
A(x0 ) y 0
(2.53)
{1 [FZ (z)]}
a(z) = (2.54)
f Z (z)
where g1 (z) = z replaces m in (2.44) and g2 (r, t, h, x, l) = (r, x, l). Moreover
z 0 a(z 0 ) 1 [FZ (z 0 )] + g2 (x0 ) (grad g2 )T A(x0 ) y0

0 = (2.55)
Comment to Exercise 2.5: It should be noted that the reliability analysis described here, and carried
out for the example of Exercise 2.5, is not for sure the failure situation with largest probability of occur-
rence. Since the wave forces also depend on the period in a way that increases the forces for decreasing
period, there might be other interesting points on the limit state surface to investigate. However, such
points are much more difficult to find and evaluate with respect to probability, and they are hardly deci-
sively more critical than the point corresponding to the situation of largest wave height combined with
the most critical period conditional on the largest wave height during a sea state.
In the final analysis and design process the self-weight of the topside must be more accurately deter-
mined. A more accurate modeling of the wind catching area including the shape factor should be made
possibly by use of wind tunnel testing. Also it should be considered whether the structure can be subject
to significant forces due to stream flows of different origin (e.g. tides, storm surges, globally generated
sea streams, etc.). Such stream flow currents are usually assumed to be uniform from bottom to surface.
Local wind and wave statistics should possibly be used to obtain information about the wave size distri-
butions. Also the assumption about the foundation carrying capacity distribution may be too simplified,
among other things because the foundations are subject to horizontal forces whose effect on the carrying
capacity is neglected.
The pushover analysis of Exercise 2.5 is purely static. I may be necessary to make a pushover analysis
where the inertial forces are taken into account. This requires that the structure becomes modeled as a
dynamic system that will experience random vibrations caused by the random wave field. The random
fluctuations of the forces in the legs may in some cases have importance for the pushover stability of
the structure. However, dynamic analysis may also be needed of reasons like comfort for people on the
platform and for assessing the fatigue damage accumulation in the welded tubular joints of the structure.
The dynamic modeling is treated in Chapter 4.
The effect of marine growth on the tubes is neglected in the above static analysis. Such marine growth
increases the tube diameters nonuniformly by depth below the still water surface and it also increases the
roughness of the tube surfaces. This has some effect on the Morison forces. More so for the dynamical
analysis, however, where the extra mass from the marine growth can be substantial. Information on
marine growth contributions to mass and thickness of the growth is given in codes of practice such as the
Danish offshore structures code (DS449 1983).
Chapter 3
Sea wave random load processes
3.1 Introduction
In the previous section focus was on the extreme waves that might cause pushover failure of
an offshore platform. However, under ordinary sea state conditions, the large number of waves
that cause the structural parts of the platform to experience cyclic stresses may at points of high
stress concentration develop accumulating fatigue and possibly crack growth that in the long
run could endanger the safety of the structure.
This type of wave excitation can within the validity range of the Airy wave theory be modeled
as a superposition of a large number of sinusoidal waves of different wave lengths, phases and
amplitudes. Such a superposition makes the water surface appear as a random surface. At any
given position the surface elevation varies by time as a random function in the sense that if the
water level is observed at a large number of equidistant time points, then the obtained sample
becomes distributed over the real axis as a sample from a random variable. In the probability
theory such a function is characterized as a so-called random process. The experience shows
that a Gaussian distribution model is suitable for fitting the distribution of the observed data if
the time points of observation are placed well within a single sea state and this sea state is not in
the range of large waves. In the violent but more rarely occurring sea states there is asymmetry
between wave crest and the wave through with respect to the still water level as derived for the
5th order Stokes wave. This asymmetry makes the random elevation distribution skewed to a
degree where the Gaussian model no longer gives an accurate description.
For the fatigue accumulation analysis it is usually sufficient to model the water surface ele-
vation as a Gaussian process within each sea state, thus neglecting that the Gaussianity assump-
tion is less good in the violent but more rarely occurring sea states. The effect of the violent sea
states can be taken explicitly into account in the pushover analysis by including the possibility
of larger crack growths. On the current level of fatigue and crack accumulation in the struc-
ture these crack growths may become unstable and cause that a pushover failure is triggered.
If the structure survives the violent sea state, the fatigue and crack accumulation account for
the structure may have got a jump increment. In other words, for the engineering analysis it
is reasonable to adopt a two component model. The one component is a Gaussian sea surface
model that implies that the fatigue accumulation account grows continuously due to the con-
stantly acting waves. The current rate of increase depends on the current sea state. The other
component of the model is the addition of random jumps on top of the continuous fatigue and
crack accumulation process. These random jumps are stochastically dependent on the random
35
36 CHAPTER 3. SEA WAVE RANDOM LOAD PROCESSES
variables of the violent sea states that occur as events in a Poisson process as defined in the
previous section. The engineering modeling of the jumps may be based on fracture mechanics
methods as typically used in so-called low cycle fatigue analysis. Thus this modeling may be
considered as a nonlinearity correction due to the occurrence of large cyclic stresses during the
violent sea states and also due to the deviation from Gaussianity of the random water surface
elevation process.
In the following the focus is on the Gaussian process description of the water surface eleva-
tion. Besides the experience of its good fit in the Airy wave domain, a decisive reason for the
importance of this special type of process is its almost unique mathematical simplicity.
3.2 Gaussian trigonometric polynomial

A convenient way to introduce the theory of Gaussian processes is to start out by considering
the Gaussian trigonometric polynomial
X (t) = X 1 cos 1 t + Y1 sin 1 t (3.1)
where X 1 and Y1 are independent standard normal random variables, and 1 is a given angu-
lar frequency. This is an example of a random process in the sense that X (t) for any t is a
random variable. A so-called Gaussian random process is defined by the requirement that for
any t1 , . . . , tn the random vector [X (t1 ), . . . , X (tn )] is a Gaussian vector. The random pro-
cess (3.1) is Gaussian because the vector [X (t1 ), . . . , X (tn )] is a linear combination of the two
Gaussian vectors (X 1 cos 1 t1 , . . . , X 1 cos 1 tn ) and (Y1 sin 1 t1 , . . . , Y1 sin 1 tn ), and there-
fore is Gaussian itself (singular for n > 2, of course). The expectation of X (t) is obviously zero
and for any t1 , t2 the covariance between X (t1 ) and X (t2 ) is
Cov[X (t1 ), X (t2 )] = cos 1 t1 cos 1 t2 + sin 1 t1 sin 1 t2 = cos 1 (3.2)
where = t2 t1 . Such a process X (t) where the covariance between X (t1 ) and X (t2 ) de-
pends solely on the time difference = t2 t1 is called a covariance stationary process . In
general, a process for which the distribution of [X (t1 ), . . . , X (tn )] for any t1 , . . . , tn has the
same distribution as [X (t1 + ), . . . , X (tn + )] for any is said to be strictly stationary. Since
the distribution of a Gaussian vector is completely defined by the expectation and the covari-
ance matrix of the vector, it follows that the process X (t) defined by the random trigonometric
polynomial (3.1) is a strictly stationary Gaussian process.
By writing (3.1) in the form

X1 Y1
X (t) = X 1 + Y1
2 2 cos 1 t + sin 1 t =
X 12 + Y12 X 12 + Y12
R (cos A cos 1 t + sin A sin 1 t) = R cos(1 t A) (3.3)

the process becomes defined by two other random variables, the radius vector R = X 12 + Y12
to the random point (X 1 , Y1 ), and the corresponding polar angle A = arctan(Y1 / X 1 ). Due
to the rotation symmetry about the origin the two random variables R and A are obviously
mutually independent, and A has a uniform distribution on the interval [0, [, i.e. it has the
1
density function f A () = 2 , [0, [.
3.2. GAUSSIAN TRIGONOMETRIC POLYNOMIAL 37
1 2
Exercise 3.1: Use polar coordinates to show that P(R > r ) = e 2 r for r 0, and thus that R has
the density function
1 2
f R (r ) = r e 2 r , r >0 (3.4)
which is the so-called standard Rayleigh density.
The next obvious step to obtain more general Gaussian processes is to consider a trigono-
metric random polynomial defined as a linear combination of n different random polynomials
of the form as (3.1):
n
X (t) = k (X k cos k t + Yk sin k t) (3.5)
k=1
Here X 1 , . . . , X n and Y1 , . . . , Yn are 2n mutually independent standard normal variables, and
1 . . . , n are positive constants. By use of (3.2) the covariance between X (t1 ) and X (t2 ) is
directly obtained as
n
Cov[X (t), X (t + )] = k2 cos k (3.6)
k=1
showing that X (t) is a stationary Gaussian process. The derivative of X (t)
n
X (t) = k k (X k sin k t + Yk cos k t) (3.7)
k=1
is obviously also a stationary Gaussian process, because it is of the same form as X (t), noting
that when X k is a standard Gaussian variable then also X k is a standard Gaussian variable.
The covariance formula (3.6) directly gives

n
Cov[ X (t), X (t + )] = k2 k2 cos k (3.8)
k=1
Moreover

n
Cov[ X (t), X (t + )] = Cov[X (t), X (t + )] = k2 k sin k (3.9)
k=1
An graph interpretation of the covariances Cov[X (t), X (t + )] and Cov[ X (t), X (t + )] is

obtained by considering the conditional expectations, see Section 5.8,
Cov[X (t), X (t + )] n 2 cos k
E[X (t + ) | X (t) = x] = x = k=1 nk x (3.10)
Var[X (t)] k=1 k2
k=1
n
k2 k2 cos k
E[ X (t + ) | X (t) = x] = x (3.11)
k=1
n
k2 k2
and observing that the corresponding residual variances
Cov[X (t), X (t + )]2 n 2 (k=1
n
k2 cos k )2
Var[X (t + ) | X (t)] = Var[X (t)] = k=1 k
Var[X (t)] k=1
n
k2
(3.12)
n (k=1
n
k2 k2 cos k )2
Var[ X (t + ) | X (t)] = k=1 k2 k2 (3.13)
k=1
n
k2 k2
are zero for = 0, of course, and also that their partial derivatives Var[X (t + ) | X (t)]/
and Var[ X (t + ) | X (t)]/ are zero for = 0.
Thus the covariances considered as functions of represent the mean of the almost deter-
ministic variation of X (t + ) and X (t + ) in the vicinity of the given values X (t) = x and
X (t) = x. It is seen that in the derivative process X (t), the fast varying sinusoidal contribu-
tions to X (t) become amplified relative to the slowly varying contributions. Thus the derivative
process will have more intensely fluctuating sample functions than the process itself.
It is also interesting to observe that
k=1
n
k2 k sin k
E[ X (t + ) | X (t) = x] = x (3.14)
k=1
n
k2
If x > 0, then E[ X (t + ) | X (t) = x] is positive in a neighborhood to the left of = 0 and

negative in a neighborhood to the right of = 0, and E[ X (t) | X (t) = x] = 0. Conversely if
x < 0.
Exercise 3.2: Prove (3.9) and (3.14).
Exercise 3.3: Note that

Cov[ X (t1 ), X (t2 )] = Cov[X (t1 ), X (t2 )] (3.15)
t1

Cov[X (t1 ), X (t2 )] = Cov[X (t1 ), X (t2 )] (3.16)
t2
2
Cov[ X (t1 ), X (t2 )] = Cov[X (t1 ), X (t2 )] (3.17)
t1 t2
Show by looking at the corresponding difference quotients that these formulas may be expected to
be generally valid for a random process for which the partial derivatives of the covariance function
Cov[X (t1 ), X (t2 )] exists.
Observe that
Cov[ X (t), X (t)] = 0 (3.18)
Obviously any stationary process X (t) has the property that E[X (t)2 ] is constant. Use this to show that
(3.18) may be expected to be true for any differentiable stationary process (a stationary process is said to
be differentiable
if all its sample functions
are differentiable).
Since X (t)/ 0 and X (t)/ 2 with

n
n
0 = Var[X (t)] = k2 , 2 = Var[ X (t)] = k2 k2 (3.19)
k=1 k=1
for any given t are standard Gaussian random variables that according to (3.18) are uncorrelated
and therefore independent, it follows from Exercise 3.1 that the random variable

1 1
X (t)2 + X (t)2 (3.20)
0 2
has standard Rayleigh distribution. Thus the stationary random process

0
Re (t) = X (t)2 + X (t)2 (3.21)
2
3.2. GAUSSIAN TRIGONOMETRIC POLYNOMIAL 39
has the Rayleigh distribution function

2
r
2
FRe (t) (r ) = 1 e 0 , r 0 (3.22)
for any given t. This random process has the property that Re (t) = |X (t)| at all points t at
which X (t) = 0, that is, at all points of local extremes of X (t). Thus the process Re (t) is an
upper/lower envelope process to X (t). At points t where X (t) = 0, the random values of Re (t)
are Re (t) = | X (t)| 0 /2 . It is important to note that the Rayleigh distribution (3.22) is not
the probability distribution of Re (t) at these particular points of the one or the other mentioned
type. The distribution of X (t) at the points of extremes of X (t) will be derived later.
Due to applications in the theory of random vibration in elasto-mechanics, the envelope
process Re (t) is called the total energy envelope, noting that X (t)2 is proportional to the elastic
energy and X (t)2 is proportional to the kinetic energy.
Exercise 3.4: Show that Re (t) for n = 1 is coincident with R in (3.3).

The representation of the vector process [X (t), X (t) 0 /2 ] in the polar (r, )-coordinate
system is called the phase plane representation of the random process X (t).
The different fluctuation character of the two components in the energy envelope is some-
times inconvenient. However, an alternative envelope process without this inconvenience can
be defined by use of the so-called Hilbert transform. The reason for the different behavior of the
two components is the presence of the factors k in the formula (3.7) for the derivative process.
By removing these factors a new process X (t) is obtained as

n
X (t) = k (X k sin k t + Yk cos k t) (3.23)
k=1
and this process obviously has the same covariance function as the process X (t):

n
Cov[X (t), X (t + )] = Cov[ X (t), X (t + )] = k2 cos k (3.24)
k=1
and the cross covariance function for the process pair [X (t), X (t)] is

n
Cov[X (t), X (t + )] = k2 sin k (3.25)
k=1
for which Cov[ X (t), X (t + )] = Cov[X (t), X (t + )] as for X (t) in (3.9). The process X (t)
is obtained from X (t) by a /2 phase shift of all terms in the sum:

cos k t cos k t + = sin k t, sin k t sin k t + = cos k t (3.26)
2 2
This is the Hilbert transform, which obviously is a one-to-one operator. An alternative to the
energy envelope process is then the Hilbert envelope process (also known as the Cramer-
Leadbetter envelope process):

1 1
R H (t) = X (t)2 + X (t)2 = 0 X (t)2 + X (t)2 (3.27)
0 0
Pierson & Moskowitz spectrum, Hs=4m, Tz=7s simulated sample curve x(t)
0.2 4
0.15 2
0.1 0
0.05 -2
t
0 -4
0 1 2 3 4 0 20 40 60
"normalized" derivative of sample curve Hilbert transform of sample curve
4 4
2 2
0 0
-2 -2
t t
-4 -4
0 20 40 60 0 20 40 60
energy envelope Hilbert transform envelope
4 4
2 2
0 0
-2 -2
t t
-4 -4
0 20 40 60 0 20 40 60
Figure 3.1: Sample curves of the process X (t) defined by (3.5), and the related processes X (t),
X (t), Re (t), R H (t). The angular frequency vector is {k } = {0.20, 0.21, . . . , 3.99, 4.00} s1
and the corresponding coefficient vector {k } varies according to the top left diagram normalized
such that Var[X (t)] = k=1 k = 1.
381 2
which for any given t has the same Rayleigh distribution function (3.22) as Re (t). Obviously
X (t) R H (t) for all t and X (t) = R H (t) for those points t for which X (t) = 0. These points
are in general not the points of local extremes of X (t), of course.
It is instructive to study the simulated sample curves of X (t), X (t), X (t), Re (t), and R H (t)
shown in Fig 3.1.
Exercise 3.5: The simulation of sample curves as in Fig. 3.1 can be made on the basis of (3.5) sim-
ulating independent outcomes of a standard normal random variable, or the simulation can be based
on a representation of the terms in the form (3.3) simulating independent outcomes of the uniformly
distributed random variable A and of the standard Rayleigh distributed random variable R. Usually sim-
ulation of outcomes of a random variable is based on simulation of outcomes of a random variable U
which is uniformly distributed on the open interval ]0, 1[, followed by a suitable mathematical transfor-
mation. Most elementary: If X has a continuous distribution function F(x), then the random variable
F 1 (U ) has the distribution function F(x). Prove this statement.
Derive the transformation formula that can be used to simulate outcomes of a standard Rayleigh dis-
tributed random variable from a uniformly distributed random variable. Use the result in Exercise 3.1
to formulate a simulation procedure that from a standard Rayleigh distributed random random variable
and an independent uniformly distributed random variable simultaneously gives two independent out-
comes of a standard Gaussian random variable. Since there is no closed form expression for the inverse
x = 1 (y) to the standard normal distribution function y = (x), the above transformation formula
3.3. ERGODICITY 41
requires a more time consuming calculation of 1 (U ) than the mentioned procedure of simulating pairs
of independent outcomes of a standard normal random variable.
It should be noted that MATLAB (as most other macro programming languages) contains m-file
functions to simulate outcomes from the uniform distribution as well as from the normal distribution.
Simulate sample curves and produce plots as in Fig. 3.1 for k constant over the interval 0 k
max for max = 1, 5, 10 such that = k+1 k = 0.05 and allk k2 = 1.
As max increases this process asymptotically approaches a process called Gaussian white noise.
Make similar simulations for a variation of k proportional to k up to max and also for a variation
of k proportional to max k . Moreover, make simulations for 4.9 k 5.1, = 0.01, and k
constant.
Within a given sea state of Airy wave type the water surface elevation can be modeled as a
stationary Gaussian process that can be represented in the form of (3.5) with a relatively narrow
range of the angular frequencies k over which the coefficients k give approximately the full
contribution to the variance 0 in (3.19). Such a process is said to be a narrow band process.
The amplitude of the process varies slowly for such processes an are reasonably well approx-
imated from above by the one or the other of the above introduces envelope processes. Thus
the amplitude distribution is approximately modeled by the Rayleigh distribution (3.22). This
model makes it possible to relate the standard deviation of the wave heights to the significant
wave height Hs defined as the mean of one third of the wave heights counted from the top of
the ordered wave height sample.
Exercise 3.6: show that the expectation of a positive random variable X is

E[X ] = [1 FX (x)] d x (3.28)
0

Consequently the formula E[X |X > x0 ] = x0 + x0 [1 FX (x)] d x/[1 FX (x0 )] is valid. Use this
formula to show that the significant wave height definition implies that

Hs 4 0 = 4D[X (t)] (3.29)
This result makes it convenient to redefine the significant wave height Hs for a Gaussian sea to Hs =

4 0 .
3.3 Ergodicity
The ordered (with respect to size of the first element) finite sequence of pairs {(k , k2 )}k{1,... ,n}
is called the spectrum of the random process X (t). With whatever preselected small error the
frequency ratios k /1 can for all k be replaced by rational numbers n k /N where N is an
integer and {n k }k{1,... ,n} , n 1 = 1, is a finite increasing sequence of integers. Then X (t) gets the
form

n 1 t 1 t
X (t) = k X k cos n k + Yk sin n k (3.30)
k=1
N N
showing that all sample functions of X (t) are periodic with period 2L = 2 N /1 . By use of the
additions formulas cos(u + v) = cos u cos v sin u sin v, sin(u + v) = cos u sin v + sin u cos v,
(3.30) gives

n 1 1 1 t
X (t + ) = k X k cos n k + Yk sin n k cos n k +
k=1
N N N
1 1 1 t
Yk cos n k X k sin n k sin n k (3.31)
N N N
The sums (3.30) and (3.31) are special cases of Fourier series. Application of the inner product
rule known as the Parseval theorem of the Fourier series theory gives
2L
1
X (t)X (t + ) dt =
2L 0
1 n 1 1 1 1
k2 X k X k cos n k + Yk sin n k +Yk Yk cos n k X k sin n k =
2 k=1 N N N N
1 n
1
k2 (X k2 + Yk2 ) cos n k (3.32)
2 k=1 N
whose expectation is
1 2L n
1
E X (t)X (t + ) dt = k2 cos n k (3.33)
2L 0 k=1
N
that is, the covariance function (3.6) of the process X (t). The mean square is
1 2L 2
E X (t)X (t + ) dt =
2L 0
1 n n
1 2 1
i2 cos n i j cos n j E[(X i2 + Yi2 )(X 2j + Y j2 )] =
4 i=1 j=1 N N
n n
1 2 1 n
1 n
1 2
(1 + i j )i2 cos n i j cos n j = i4 cos2 n i + k2 cos n k
i=1 j=1
N N i=1
N k=1
N
(3.34)
using that E[(X i2 + Yi2 )(X 2j + Y j2 )] = E[(X i2 + Yi2 )2 ]i j + E[X i2 + Yi2 ]2 (1 i j ) = (3 + 2 1

1 + 3)i j + (1 + 1)2 (1 i j ) = 4(1 + i j ), where i j is Kroneckers delta. The last term is the
square of the expectation (3.33). Consequently the first term is the variance:
1 2L n
1
Var X (t)X (t + ) dt = i4 cos2 n i (3.35)
2L 0 i=1
N
If for any stationary process X (t) the integral averages

1 T
X (t) dt E[X (t)] (3.36)
T 0

1 T
X (t) X (t + ) dt E[X (t)X (t + )] (3.37)
T 0
3.3. ERGODICITY 43
converges in mean square as T , such as indicated, the process is said to be ergodic in

mean square up to second moment level, or if the process is Gaussian, just ergodic. The process
is ergodic in mean square up to second moment level if and only if the variances of the integral
averages approach zero as T . For a Gaussian process certain conditions on sufficiently
fast decrease towards zero of the covariance function as T ensures that the process is
ergodic. Ergodicity up to first moment level implies that the mean can be estimated from a
single sample function of sufficiently long duration. If the process is ergodic up to the second
moment level also the covariance function of the process can be estimated from a sufficiently
long sample function, and thus, if the process is Gaussian, the entire process is estimated from
a single long sample function.
It can easily be shown that the trigonometric polynomial process (3.5) is ergodic up to the
first moment level. In fact
1 T 1
T T
Var X (t) dt = 2 Cov[X (t1 ), X (t2 )] dt1 dt2 =
T 0 T 0 0
T T
2 1 n
2
(T )Cov[X (0), X ( )] d = 2 (T ) cos k d =
T2 0 T k=1 k 0

n
1 cos k T
2 k2 0 (3.38)
k=1
(k T )2
as T . The Gaussian trigonometric polynomial process is not ergodic up to the second

moment level. This follows directly by observing that the variance of the integral average
(3.37) is equal to the right side of (3.35) for T {2L , 4L , 6L , . . . }. However, for an increasing
number n of elements in the spectrum {(k , k2 )}k{1,... ,n}
with k2 defined by k2 = S(k ) k ,
where S() is a given function of with finite integral 0 S() d, and k is the increment
in such that k = k+1 k n 1 , n+1 = n , the finite variance
n max
2
Var[X (t)] = k S() d S() d as
k=1 min 0
n , 1 min , n max (3.39)

is obtained, and for = 0 the covariance (3.35) becomes
1 2L n
2
Var X (t) dt = [S(k ) ]2
2L 0 k=1
n max
2
max{k } S(k ) max{k } S()2 d (3.40)
k=1 min
asymptotically as max{k } 0. Thus it can be stated that the Gaussian trigonometric poly-
nomial (3.5) is asymptotically ergodic as n under the specified construction of the spec-
trum in terms of a nonnegative function S() with finite integral as given in (3.39) and finite
integral of its square S()2 . The function S() is called the spectrum of the stationary Gaussian
process X (t) obtained from the sequence of trigonometric polynomials in the limit n .
If a sea state is imagined to be extended to infinite time, the surface elevation process devel-
oping within this sea state may reasonably be modeled as an ergodic Gaussian process. How-
ever, if the process X (t) is defined in two steps by first selecting the sea state at random from the
distribution of (Hs , Tz ) and then keeping this sea state for infinite time, then the process X (t)
is obviously not ergodic because a single sample function of this process gives no information
about the distribution of (Hs , Tz ). On the other hand, in the real situation of sea state durations
of the order of 1 hour, one long duration sample function of the sea elevation at a given position
may be sufficient to estimate both the process properties within each sea state, and the distribu-
tion properties of (Hs , Tz ). For this it is required that the sea state durations are long enough
to have a sufficiently large T to make the integral averages (3.36) and (3.37) sufficiently stable
taking for granted that an ergodic process model is applicable within each identified single sea
state.
For the sea elevation process there is the special situation that for any sea state the mean
E[X (t)] is exactly zero of physical reasons, given that the still water level is corrected for high
or low water due to storm surge and/or tides. If such a correction cannot be made and the sea
state duration is shorter or comparable to the time scale of the storm surge or the tidal water,
then the proper process model of the surface must be nonergodic, at least with respect to the
mean.
3.4 Spectral representation and the Wiener-Khintchine for-

mulas
The trigonometric polynomial process (3.30) gets with the choice k2 = S(k ) k the form

n
X (t) = S(k ) k (X k cos k t + Yk sin k t) (3.41)
k=1
with k = n k 1 /N and k = k+1 k n 1 , n+1 = n . As n together with

N such that n k 1 /N , 1 0, n , the sum (3.41) turns into the formal integral

X (t) = [cos t dU () + sin t d V ()] (3.42)
0

where formally dU () = S() X () and d V () = S() Y (), as 0, can
be interpreted as independent zero mean Gaussian increments along the -axis of two indepen-
dent Gaussian processes U () and V (), respectively. The common variance of the increments
is
E[dU ()2 ] = E[d V ()2 ] = S() d (3.43)
or more generally: E[dU (1 )dU (2 )] = E[d V (1 )d V (2 )] = (1 2 )S(2 ) d1 d2 ,

where () is Diracs delta function, see 4.3.1.
The covariance function is similarly obtained from (3.6):

Cov[X (0), X ( )] = S() cos d (3.44)
0
Which according to the Fourier integral theory has the inverse

2
S() = Cov[X (0), X ( )] cos d (3.45)
0
3.4. SPECTRAL REPRESENTATION AND THE WIENER-KHINTCHINE FORMULAS 45
Remark 3.1: Define the complex random increment
d Z () = dU () + id V () (3.46)
Then

eit d Z () =(cos t i sin t)[ dU () + id V ()] =
0
0

[cos t dU () + sin t d V ()] + i [ sin t dU () + cos t d V ()] =
0 0
X (t) + i X (t) (3.47)
where X (t) is the Hilbert transform of X (t). The complex covariance function of the zero mean complex
process X (t) + i X (t) is defined as

E[{X (0) + i X (0)}{X ( ) i X ( )}] = ei1 E[d Z ()d Z (1 )] =
0 0

i1
e (1 )2S(1 ) d1 d = 2 ei S() d (3.48)
0 0 0
where means complex conjugate. The real and imaginary part part of (3.48) are respectively
Cov[X (0), X ( )] + Cov[ X (0), X ( )] = 2 Cov[X (0), X ( )] (3.49)

Cov[X (0), X ( )] + Cov[ X (0), X ( )] = 2 Cov[X (0), X ( )] (3.50)
Noting that
E[d Z (1 )d Z (2 )d Z (3 )d Z (4 )] = [(1 2 )(3 4 ) +

(1 4 )(3 2 )]22 S(1 ) S(3 ) d1 d2 d3 d4 (3.51)
the expectation of the product R H (0)2 R H ( )2 of the square of the Hilbert envelope process values R H (0)
and R H ( ) becomes
E[R H (0)2 R H ( )2 ] = E[{X (0)2 + X (0)2 }{X ( )2 + X ( )2 }] =

E[{X (0) + i X (0)}{X (0) i X (0)}{X ( ) + i X ( )}{X ( ) i X ( )}] =

4 ei(4 3 ) [(1 2 )(3 4 ) +
0 0 0 0
(1 4 )(3 2 )]S(1 ) S(3 ) d1 d2 d3 d4 =

i3
4 S(2 )d2 S(4 )d4 + S(3 )e d3 S(4 )ei4 d4 =

0
2
0 0
0

4 S()d + S()ei d S()ei d (3.52)
0 0 0
where the first term is the product E[R H (0)2 ]E[R H ( )2 ] as it directly follows from (3.48). Thus the
correlation coefficient function of the square of the Hilbert envelope process R H (t) is
i

Cov[R H (0)2 , R H ( )2 ] 0 S()e d 0 S()ei d
Corr[R H (0) , R H ( ) ] =
2 2
= 2 (3.53)
Var[R H (0)2 ]
0 S()d
As an example consider a spectrum S() which is constant in an interval [0 12 , 0 + 12 ] and zero

outside this interval. Then
Corr[R H (0)2 , R H ( )2 ] =
1 1 1 1 1 1 1 2(1 cos )
(ei(0 + 2 ) ei(0 2 ) ) (ei(0 + 2 ) ei(0 2 ) ) = (3.54)
i
2 i ( )2
It is seen that the more narrow-banded the process X (t) is, that is, the smaller , the longer is the
correlation time or scale of fluctuation

1 2(1 cos x)
Corr[R H (0) , R H ( ) ] d =
2 2
dx (3.55)
0 0 x2
of the squared Hilbert envelope process. Also it is seen that the correlation coefficient function is not
dependent on the central angular frequency 0 except that 0 .
The correlation coefficient function for the Hilbert envelope process itself is more difficult to obtain.
However, the general behavior of the variation rate is the same as for the squared process.
Exercise 3.7: Use the generalization of (3.51) to
E[d Z (1 )d Z (3 )d Z (5 )d Z (7 )d Z (2 )d Z (4 )d Z (6 )d Z (8 )] =
[(1 2 )(3 4 )(5 6 )(7 8 ) + . . . ]
24 S(1 ) S(3 ) S(5 ) S(7 ) d1 d2 d3 d4 d5 d6 d7 d8 (3.56)
to derive an expression for the expectation E[R H (0)2 R H (1 )2 R H (2 )2 R H (3 )2 ], and use the result to ob-
tain the covariance function Cov[R H (0)4 , R H ( )4 ] and the correlation function Corr[R H (0)4 , R H ( )4 ].
In fatigue analysis with respect to narrow band stress oscillations, a standard procedure is to accumu-
late the stress range raised to some power m of size from about 2 to about 4, and use a failure criterion
of first passage of this accumulated sum through a critical threshold. In the case of a stationary Gaussian
narrow band stress process, a mathematically equivalent to the standard procedure is the raise the Hilbert
envelope process to the power m and then letting the integral
T
R H (t)m dt (3.57)
0
represent the fatigue damage to time T .

Assume that the Gaussian stress process has zero mean, unit variance, and a constant spectrum over
the interval [0 12 , 0 + 12 ] and zero outside this interval, as considered at the end of Remark 3.4.1.
Calculate the expectation, the standard deviation, and the coefficient of variation of the damage integral
(3.57) as function of T for m = 2 and m = 4. Plot the functions for some few illustrative values of ,
and make some conclusions.
Introducing the notation C X X ( ) = Cov[X (0), X ( )] for the covariance function of X (t)
and using the Euler relation ei = cos i sin , the two formulas (3.44) and (3.45) may
be written as

1
C X X ( ) = i
S X X () e d, S X X () = C X X ( ) ei d (3.58)
2
by defining S X X () = S()/2 for > 0, and S X X () = S X X () for < 0. The formulas
c
are then valid if the integral is interpreted as the Cauchy primary value limc c be-
cause sin is an odd function of as well as of , and the two functions S X X () and C X X ( )
are both even functions. The function R S X X () is called the double-sided spectrum
3.5. LEVEL CROSSING AND LOCAL MAXIMA THEORY 47
while the function R+ S() is called the one-sided spectrum, in the following marked
by a single index X as S X (). The formulas (3.44) and (3.45) as well as the formulas (3.58)
are called the Wiener-Khintchine formulas. A theorem of Bochner ensures that any function
C X X ( ) that can be represented by the integral (3.44) with S() 0 for all , is a so-called
positive definite function, that is, a function for which
b b
g(t1 )g(t2 )C X X (t2 t1 ) dt1 dt2 0 (3.59)
a a
for any a < b and

any function g(t) for which the double integral exists. Obviously (3.59) is
b
the variance Var a g(t)X (t) dt which cannot be negative, of course, so the necessity of the
Bochner condition is trivial. However, the Bochner condition is also sufficient, which is less
easy to prove.
The spectral moments

n = n S() d, n = 0, 1, 2, . . . (3.60)
0
are for n even and except for the sign equal to the nth derivative of the covariance function at
= 0. In fact, it follows directly by differentiation of (3.44) that
d 2n
2n
C XX ( ) = (1)n 2n , n = 0, 1, 2, . . . (3.61)
d =0
Exercise 3.8: Use the formulas in Exercise 3.3 and their generalizations to higher derivatives to show
that the one-sided spectrum of the nth derivative random process X (n) (t) d n X (t)/dt n is
S X (n) () = 2n S X () (3.62)
and consequently that
Var[X (n) (t)] = 2n (3.63)

The spectral moments may only be finite up to some order dependent on the behavior of the
upper tail of the spectrum S X (). If the spectral moment 2n = , then the process X (t) is not
n times differentiable.
3.5 Level crossing and local maxima theory

1
To relate the characteristic zero-crossing period Tz of a Gaussian sea surface elevation pro-
cess X (t) to the covariance characteristics or, equivalently, the spectral characteristics of the
process, but also of other reasons that will become clear shortly, the mean upcrossing rate of the
Gaussian process X (t) through the level u will be derived in the following.
A crossing through the level u within the interval [t, t + h] occurs if X (t) < u, and h X (t) >
1 x
u X (t). Since X (t) and X (t) are independent with density functions , and
0 0
1 Parts of the material in this and the following sections of this chapter are published in (Ditlevsen 2002)
1 x
, respectively, the probability of the mentioned event is, with X = X (t) and
2 2
X = X (t),
u
u X u x
P X < u, X > = P X > X = x f X (x) d x =
h h
u x u 1 x
dx (3.64)
h 2 0 0
Differentiation of the right side with respect to h gives
u
1 x u x u x
dx =
h 0 h 2 h 2 0
1 u u x u x u /( + h 2 )
0 0 2
dx
h 0 0 + 2 h 2 h 2 h 0 2 /(0 + 2 h 2 )

2 u u x u x u x u 2 u
d = = (u)
0 0 h 2 h 2 h 2 2 0 0
(3.65)
as h 0. The formula (2.36) has been used from first to second line, and d(x)/d x = x(x)
has been used in the last line. The result (u) is obviously the probability of the considered u-
upcrossing event per time unit, i.e. the probability (3.64) is (u)h asymptotically as h 0. If
the time interval [0, 1], say, is subdivided into 1/ h small intervals each of length h, and marking
random variables Z 1 , . . . , Z 1/ h are defined such that Z i = 1 if the considered event occurs in
the ith subinterval, and Z i = 0 otherwise, then E[Z i ] = (u)h asymptotically as h 0.
The limit random variable N = limh0 (Z 1 + . . . + Z 1/ h ) is obviously the random number of
u-upcrossings in the time interval [0, 1], and it has the mean

2 u
E[N ] = lim [h(u) + . . . + h(u)] = (u) = (3.66)
h0 2 0 0
This is the celebrated Rice formula (Rice 1944-1945) for the mean number of u-upcrossings per
time unit by a stationary Gaussian process. It is seen that if 2 = , that is, if the process is
not differentiable, then the mean number of u-upcrossings is infinite. Due to the stationarity of
the process the mean number of u-downcrossings per time unit is equal to the mean number of
u-upcrossings per time unit, denoted as the u-upcrossingrate.
1 2
In particular the zero-upcrossing rate is (0) = . The characteristic zero-crossing
2 0
period Tz is then defined as

1 0
Tz = = 2 (3.67)
(0) 2
and from the relation 0 Tz = 2, the characteristic angular frequency is defined as 0 =
2 /0 . It should be noted, however, that the mean distance between to consecutive zero-
upcrossings is not exactly equal to Tz . In fact, E[1/N ] = 1/E[N ]. If the point process of
2.5
1.5
0.5
X(t)
0
-0.5
-1
-1.5
-2
-2.5
0 10 20 30 40 50
t
Figure 3.2: Illustration of regularity factor interpretation N0 /Nmin . The shown sample has
Nmin = 20 and N0 = 9 within the considered time window.
u-upcrossings should happen to be a Poisson process, in which case the consecutive distances
have independent exponential distributions, then E[1/N ] = 1/E[N ]. This property is generally
not valid for a stationary Gaussian process except asymptotically as u .
It is worth noting that the amplitude ax of the pure harmonic vibration x(t) = ax cos 0 t, and
the amplitude ax of the corresponding velocity x(t) = ax 0 sin 0 t are related as ax = 0 ax .
It is then natural to define the characteristic angular frequency 0of a general stationary random
process X (t) by the relation D[ X (t)] = 0 D[ X (t)], or 0 = 2 /0 , which coincides with
the definition given above for a stationary Gaussian process.
The conditional density of the derivative X (t) given an upcrossing at time t is obtained from
f X (x | X < u, h X > u X ) f X (x)P( X < u, h X > u X | X = x) =
1 x u u h x
f X (x)P(u h x < X < u | X = x) = =
2 2 0 0
1 x u h x x x 2
+ o(h) exp , x > 0 (3.68)
2 2 0 0 2 22
as h 0. Thus the upcrossing velocity X (t) given the event Cu,t of a u-upcrossing
at time t
has a Rayleigh distribution of mean E[ X (t) | Cu,t ] = 2 /2, that is, X (t)/ 2 given Cu,t is
distributed with standard Rayleigh density. Note that the conditioning event Cu,t has zero prob-
x
ability. Note also that X (t) given that X (t) > 0 has the truncated normal density 2 ,
2
x > 0. Thus the conditioning on a u-upcrossing at t changes the distribution drastically by
introducing the factor x on the truncated normal density.
Formula (3.62) shows that the spectrum S X () of X (t) is obtained from the spectrum S X ()
of X (t) by multiplication by 2 . Thus the upper tail of the spectrum is amplified by differenti-
ation of the process and the high frequency components become more dominant in the appear-
ance of the sample functions of X (t) than in the appearance of the sample functions of X (t).
This may be expressed by saying that X (t) has a less degree of regularity than X (t). Figure 3.2
shows a piece of a sample function of a Gaussian process of zero mean. The points of local
minima are the 0-upcrossings
derivative process X (t). The mean number of these two
of the
1 2 1 4
types of points are and , respectively, and the last is at least as large as the
2 0 2 2
first . For a highly regular process the two numbers are close to each other, while for a highly
irregular process the last number is much larger than the first. This leads to the definition of the
regularity factor as the ratio of the two numbers:
2
= , 01 (3.69)
0 4
+ + the
Let Nmin denote the total number of minima, Nmin the number of minima above zero, Nmax
number of maxima above zero, and N0 the number of 0-upcrossings, all within any given long
time T , then
+ N+
Nmax +
Nmin 2Nmin +
Nmin
N0 min
= =12 (3.70)
Nmin Nmin Nmin Nmin
+
Thus the relative number of minima Nmin /Nmin placed above zero approaches (1 )/2 with
probability 1 as T (according to law of large numbers).
The following elegant derivation of the probability distribution of the local maxima of a
stationary Gaussian process is based on an idea by the Swedish mathematician Jack de Mare,
(Lindgren 1983). Listing that E[X (t)] = 0, Cov[X (t), X (0)] = 0 (t), Cov[X (t), X (0)] =
0 (t), Cov[X (t), X (0)] = 0 (t), Var[ X (0)] = 2 , Var[ X (0)] = 4 , Cov[ X (0), X (0)] = 0,
the stationary Gaussian process X (t) can be written as the sum of the linear regression of
E[X (t) | X (0), X (0)], which as a linear combination of the Gaussian random variables X (0)
and X (0) is a Gaussian random variable, and the corresponding non-stationary Gaussian resid-
ual process (t), which is stochastically independent of E[X (t) | X (0), X (0)]. Thus
1
2 0 X (0)
X (t) = E[X (t) | X (0), X (0)] + (t) = 0 [(t) (t)] + (t) =
0 4 X (0)
0 0
(t) X (0) + (t) X (0) + (t) (3.71)
2 4
with the residual variance
1
0 (t) 0 0
Var[(t)] = 0 20 [(t) (t)] 2 = 0 1 (t)2 (t)2
0 4 (t) 2 4
(3.72)
In particular, (0) = 0 and (0) = 2 /0 , and therefore
0 2
X (0) = (0) X (0) + (0) = X (0) + Var[(0)] U (3.73)
4 4
where U is a standard Gaussian random variable independent of the Gaussian random variable
X (0), and Var[(0)] = 0 22 /4 . This expression is valid independent of what might bethe
random value of X (0). However, as it has been shown above, the distribution of X (0)/ 4
changes from the Gaussian distribution to the standard Rayleigh distribution, if it is given that
X (0) = 0 (an event of probability zero) and X (0) > 0 corresponding to a 0-downcrossing of
the first derivative process X (t). Then X (0) is a local maximum of X (t). Consequently
X (0) 2
Y = = Z + 1 2 U, = (3.74)
0 0 4
0.7
0.6
0.5
Rice densities
0.4
0.3
0.2
0.1
=0 0.5 0.8 1
0
-4 -3 -2 -1 0 1 2 3 4
x
Figure 3.3: Rice density functions for local maxima in stationary Gaussian process of zero
mean, unit variance, and regularity factor .
Where Z is standard Rayleigh, U is standard normal, and Z and U are mutually independent.
This surprisingly
simple expression for the random local maxima of the normalized process
X (t)/ 0 hereafter leads to the distribution of Y by the simple convolution integration
y z
2
f Y (y) = f Y (y | Z = z) f Z (z) dz = z (z) dz =
0 1 2 0 1 2
z y
2
z (y) dz =
1 2 0 1 2

z y + y z y
2 (y) dz =
0 1 2 1 2
y y
2(y) + y 1 =
1

2 1
y 2
y
+ y ey /2
2
1 2 (3.75)
1 2 1 2
Here the formula (2.36) has been used twice, and the formula d(x)/d x = x(x) has been
used to calculate the integral in the third line. This density (3.75) is the Rice density function
for the local extremes in a differentiable stationary Gaussian process of zero mean and unit
variance (Rice 1944-1945). Consistent with the expression (3.74) the standard Rayleigh density
is obtained for the regularity factor 1, while the standard normal distribution is obtained
for 0. Plots of the density function for a set of values of are shown in Fig. 3.3. Figure 3.4
shows comparisons with simulation results.
Remark 3.3: The decomposition of the random local maxima into a sum of two independent random
variables, a Gaussian variable and a Rayleigh variable, was earlier discovered by Krenk using the known
fact that the local maxima have Rice distribution (Krenk 1978). Krenk defines an upper and a lower en-
velope to X (t) as X 0 A(t) where X 0 (t) = X (t) + X (t)/2 (interpreted as an instantaneous equilibrium
position) and A(t) = [ X (t)/ ]2 + [ X (t)/2 ]2 (interpreted as an instantaneous amplitude of a locally
harmonic oscillation), with the frequency defined as the value that minimizes the variance of the pro-

cess X 0 (t), a choice that gives the value = 4 /2 (= 2 times the mean number of local maxima of
X (t) per time unit). Elementary calculations reveal that X 0 (t) and A(t) are mutually independent with
Gaussian and Rayleigh distribution, respectively. Thus Krenks upper envelope has the same marginal
1 1
0.9 0.9
0.8 0.8
0.7 0.7
0.6 0.6
probability
probability
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
-2 -1 0 1 2 3 4 -2 -1 0 1 2 3 4
local maximum local maximum
Figure 3.4: Comparison between two independently simulated empirical distribution functions
and the Rice distribution function. The process is the same as in Fig. 3.1. The spectrum is the
ISSC-spectrum (3.91) with Hs = 4 m, Tz = 7 s and truncation point at the angular frequency
= 4 s1 . The truncation causes the regularity factor to be 0.67 in stead of = 0 for the
untruncated spectrum. The truncated spectrum is normalized to have 0 = 1 corresponding to
a process of variance 1.
distribution as the local maxima. From Krenks derivation it then follows that the local maxima can be
represented by (3.74).
The distribution function (2.37) in Section 2.4:
x 2
FHmax (x | Hs = h, Tz = t) = exp exp 2 (3.76)
t h
can now be justified as a version of an approximate distribution of the extreme of the stationary
Gaussian process X (t) over the time derived from the Rice distribution under the assumption
of the occurrence of a large number of local maxima during the time .
It is seen that the upper tail of the Rice distribution (3.75) is of the form y ey /2 asymp-
2
totically as y . Thus the complementary distribution function of Y is asymptotically

1 FY (y) = ey /2 . The distribution function of Y represents the cumulative distribution
2
of
the sample of local maxima of a single sample function from the Gaussian process X (t)/ 0
assuming that the process is ergodic. Those sample values that are placed in the upper tail
above a high level y are spread along the sample function as rare points that reasonably can be
assumed to occur as points in a homogeneous Poisson process. In fact, it can be shown that the
y-upcrossings occur asymptotically as the points in a homogeneous Poisson process, and that
each such upcrossing is followed by a single local maximum, (Cramer & Leadbetter 1967, Lead-
better, Lindgren & Rootzen 1983). The intensity of the Poisson process is obviously that frac-
1 4
tion 1 FY (y) of the mean rate of local maxima occurrences that are local maxima
2 2
above level y. Thus the intensity is

1 4 1 4 y 2 /2 1 2 y 2 /2
[1 FY (y)] = e = e (3.77)
2 2 2 2 2 0

asymptotically as y , that is, the Poisson intensity of local extremes of X (t)/ 0 above
level y is asymptotically the 0-upcrossing rate (0) of X (t) thinned by the probability ey /2
2
1 1
0.9 0.9
0.8 0.8
0.7 0.7
0.6 0.6
probability
probability
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
0 5 10 15 0 5 10 15
zero crossing "period" (s) zero crossing "period" (s)
1 1
0.9 0.9
0.8 0.8
0.7 0.7
0.6 0.6
probability
probability
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
Rayleigh of mean2=0.932/2 Rayleigh of mean2=0.982/2
0.1 0.1
0 0
0 0.5 1 1.5 2 2.5 3 3.5 4 0 0.5 1 1.5 2 2.5 3 3.5
maximum per "period" maximum per "period"
Figure 3.5: Top: Empirical distribution functions of the random zero upcrossing period L fitted
by the normal distribution. Bottom: Empirical distribution functions of the largest local max-
imum M of the process between the two upcrossing points fitted by the Rayleigh distribution.
4 4
3 3
2 2
1 1
0 0
v
-1 -1
-2 -2
-3 -3
-4 -4
-3 -2 -1 0 1 2 3 -3 -2 -1 0 1 2 3
u u
Figure 3.6: Scatter plots of marginally transformed pairs of the 279 (left) and 283 (right) out-
comes of the pair (L , M) into (U, V ) so that the marginal distributions of U and V become
standard normal. The correlation coefficients between U and V are estimated from the data to
0.57 (left) and 0.68 (right).
corresponding to the standard Rayleigh distribution. The regularity factor is without influence
on this asymptotic result. The result is consistent with the simulation results in Figs. 3.5 and
3.6 that strongly support the hypothesis that the maximum per period has a standard Rayleigh
distribution and that the maxima occur in time almost independently of each other with the
occurrence intensity (0).
The distribution function (3.76) hereafter follows from the usual argument that the time to the
occurrence of the first event in the Poisson process has exponential distribution with parameter
equal to the intensity of the Poisson process.
The random maximal wave height during time is Hmax = 2Y 0 and 0 = Hs /4
according to Exercise 3.6. Moreover, Tz = 2 0 /2 . Thus

1 2 y 2 /2
FHmax (x | Hs = h, Tz = t) = exp e (3.78)
2 0

1 2 1 2x
from which the right side of (3.76) are obtained after substitution of = , and y = .
2 0 t h
It should be noted that the distribution (3.76) has been used in Chapter 2 also outside the
range of applicability of the Gaussian process theory. However, this may not be critical because
the wave height is not necessarily affected seriously by the transition from the Airy wave theory
to the Stokes 5th order theory. At least the distribution shape is correct asymptotically as the
wave height decreases. Possibly some parameter values may be corrected in the presence of
data for the wave height distribution during sea states with large significant wave heights.
3.6 Joint distribution of period and wave height

It is also of considerable interest to know the joint distribution of the random time distance
between consecutive zero upcrossings, here called the random zero upcrossing period, and the
absolute maximum of the process within the period. An exact mathematical expression for this
distribution is not known, so recourse has to be taken to simulation.
The Gaussian wave elevation process considered in this paper is defined from an upper trun-
cation of the so-called Pierson-Moskowitz spectrum. The Pierson-Moskowitz spectrum is based
partly on physical considerations and partly on empirical observations of wave processes as ex-
plained in Section 3.7. The basic dimensionless form of the spectrum is
2 2 5 1 2 4
S() = exp (3.79)
2

which defines a stationary Gaussian process of standard deviation 1 (i.e. 0 = 0 S() d =

1) and mean number of zero level upcrossings per time unit equal to 1 [i.e. 2 = 0 2 S() d =
(2 )2 ]. This basic process is mapped into the process of the sea state defined by
(Hs , Tz ) simply
by letting the dimensionless time be t/Tz and the dimensionless process be X/ 0 = 4X/Hs .
Thus it is sufficient to make simulation studies with the basic Gaussian process with the spec-
trum (3.79). It is noted that 4 = . Therefore truncation at an upper frequency u makes
the fourth spectral moment much dependent on the truncation frequency, implying that the
regularity factor is strongly dependent on the truncation frequency.
However, the effect of
truncating at a high frequency where the residual contribution u S() d 1, is just that
some additive small variance but fast fluctuating residual process is neglected as being without
3.6. JOINT DISTRIBUTION OF PERIOD AND WAVE HEIGHT 55
essential
engineering importance. In the simulations referred to herein u = 10 is used giving
u S() d 0.005. The resulting regularity factor is about 0.65. Obviously the regularity
factor should not play an essential role in any engineering application.
The sample functions used for analysis in the following are approximated by the trigonomet-
ric polynomial

n
X (t) = S(k ) (X k cos k t + Yk sin k t) (3.80)
k=1
where X k and Yk for k = 1, . . . n are mutually independent standard normal variables, and
k+1 = k + , = /100, n = u = 10, and n = 994 giving 1 0.2. (In Figs. 3.4,
3.5, 3.6, and 3.7 the values Hs = 4 m and Tz = 7 s are used, while Figs. 3.8, 3.9, 3.10, and 3.11
correspond to the dimensionless description).
Figure 3.5 (top) shows the empirical marginal distribution of the random zero upcrossing
period L and it is seen that the normal distribution provides a good fit. Figure 3.5 (bottom)
shows the corresponding empirical distribution of the largest local maximum M of the process
between the two upcrossing points and it is seen that a Rayleigh distribution provides a good
7.14 s and 7.04 s (seen to be close to Tz = 7 s) D[L] 2.32 s (both
fit. The estimates E[L]
samples), and E[M] 2/ 0.93 and 0.98 are obtained. The previously used recepy of the
Nataf model for the distribution of (L , M) is to map all the sample
pairs of (L , M) into (U, V )
1 1
by U = (L E[L])/D[L] and V = (1 exp[ 2 (M /2/E[M]) ]), and thereafter 2
to estimate the correlation coefficient between U and V . The scatter plots of 279 and 283
simulated outcomes of (U, V ) are shown in Fig. 3.6 (top). The correlation coefficients are
estimated to 0.57 and 0.68. Finally the distribution of (L , M)
is modeled
by assuming that
(U, V ) has the normal density 2 (u, v; ) = (v)[(u v)/ 1 ]/ 1 2 . Figure 3.7
2
shows contour curves for the density of (L , M) and the conditional expectation E[L | M =
x] = E[L] + D[L] 1 {1 exp[ 4 (x/E[M])2 } as function of x.
Remark 3.4: Using an extended regression technique of type as in (3.73) an approximate joint dis-
tribution of the time distance T between a local maximum and the following local minimum and the
vertical height H from the minimum to the maximum is derived in (Rychlik 1987) and referred in de-
tail in (Lindgren 2000). In a collection of examples the calculated joint distributions have a bimodal
appearance with respect to T . This appearance obviously reflects that the regularity factors of the con-
sidered processes are less than one. There is no simple relation between the complicated distribution of
(T , H ) and the joint distribution of the zero crossing period and the maximum per period investigated
by simulation herein and shown in Fig. 3.4 and Fig. 3.7.
A similar distribution of period and amplitude has been derived in (Longuet-Higgins 1975, Longuet-
Higgins 1983) under an assumption of slowly varying amplitude process R(t) and phase shift process
(t). The obtained joint density does not as the density of Rychlik and Lindgren depend on the regularity
factor (and thus on 4 ) but is derived from the representation X = R cos[t + ] where = 1 /2 =
point of gravity of the spectrum. The details of the derivation is given in (Madsen, Krenk & Lind 1986)
p. 312. The Longuet-Higgins density of (R, T ) and the corresponding marginal densities of R and T are
r 2
4 2 2 r 2 1 1
f R,T (r, t) = r e 1 , r 0, t 0 (3.81)
(1 + ) 1 2 1 2 t t2
4 2
r 2
f R (r ) = re r , r 0 (3.82)
1+ 1 2
f T (t) = (1 ) t[(1 2 ) t 2 + 2 (1 t)2 ]3/2 , t 0 (3.83)
4 4
3.5 3.5
3 3
maximum per "period"
maximum per "period"

2.5 2.5
2 2
1.5 1.5
1 1
0.5 0.5
0 0
0 5 10 15 20 2 4 6 8 10 12 14 16 18 20
zero crossing period (s) zero crossing period (s)
1 1
0.9 0.9
0.8 0.8
0.7 0.7
0.6 0.6
probability
probability
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
0 5 10 15 20 0 0.5 1 1.5 2 2.5 3 3.5 4
period = T 2 0/1 (s) maximum = R sqrt (20)
Figure 3.7: Top left: Contour curves for the empirically determined density of (L , M), together
with the graph of the conditional expectation E[L | M]. Topright: Contour curves for the cor-
responding Longuet-Higgins density (3.81) of (T 2/, R 20 ). Bottom left: The marginal
Longuet-Higgins distribution function of T 2/ (solid curve) compared to the normal distri-
bution function of the random zero upcrossing period L fitted to the simulated data as shown
in Fig. 3.4 topright (dashed curve). Bottom right: The marginal Longuet-Higgins distribution
function of R 20 ) (solid curve) compared to the Rayleigh distribution function of the random
maximum M per period fitted to the simulated data as shown in Fig. 3.4 bottom left (dashed
curve).

where the spectral width parameter = 1 / 0 2 is 0.92 for the Pierson-Moskowitz spectrum, and
also for the generalization to the ISSC spectrum (3.91). Contour curves for the density (3.81) is shown
in Fig. 3.7 (top right) with the simulated observations from Fig. 3.6 (top left) plotted in. The same
observations are plotted in the left diagram in which the contour curves are for the Nataf density. On
this basis alone it is difficult to judge whether the one or the other density is fitting best. However, the
Longuet-Higgins distribution of T given by (3.83) deviates drastically from the empirical distribution as
shown in Fig. 3.7 (bottom left), in particular in the upper tail. As mentioned the Longuet-Higgins density
is based on an assumption of slowly varying amplitude and phase. This assumption is likely to give less
good predictions of the tails of the distribution of the period T .
The angular shape with vertex at the origin of the cloud of observations in Fig. 3.7 suggest
that a simpler two-dimensional distribution may be obtained for the pair (S, L) = (H/L , L),
where S = H/L can be interpreted as the steepness (in the time domain) of the local wave. In-
deed, the scatter plot of (S, L) turns out as in Fig. 3.8 (L is here and in the following figures on
3.6. JOINT DISTRIBUTION OF PERIOD AND WAVE HEIGHT 57
2 1
1.8 0.9
1.6 0.8
1.4 0.7
1.2 0.6
1 0.5
0.8 0.4
0.6 0.3
0.4 0.2
0.2 0.1
0 0
0 1 2 3 4 5 6 0 1 2 3 4 5 6
(H/L,L) H/L
Figure 3.8: Left: Scatter plot of 310 simulated outcomes of (H/L , L). Right: Normal distri-
bution fit to the empirical distribution of H/L. The mean is estimated to 2.25 and the standard
deviation to 0.89.
3 1
0.9
2
0.8
0.7
1
0.6
0 0.5
0.4
-1
0.3
0.2
-2
0.1
-3 0
-3 -2 -1 0 1 2 3 4 -4 -3 -2 -1 0 1 2 3 4
(w,u) qu+sqrt(1-q 2)w
1
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
0 0.5 1 1.5 2 2.5 3 3.5 4
sqrt(u 2+w2)
Figure 3.9: Top left: Scatter plot of the normalized data shown in Fig. 3.8. Top right: Empirical
distributions of linear combinations of the coordinates of the points in the scatter plot compared
to the standard normal distribution function. Bottom: Empirical distribution function of the
distance from the origin in the scatter plot to the observation points compared to the standard
Rayleigh distribution.
on the dimensionless form, that is, the time unit is Tz ). The two random variables S and L
are practically uncorrelated, and the distribution of S is as the distribution L very close to be
normal (of course, both clipped at zero). On basis of this observation it is particularly conve-
nient if the bivariate distribution can be modeled with reasonable accuracy as a bivariate normal
distribution. Graphical tests for bivariate normality are shown in Fig. 3.9. In the top right

diagram the empirical distributions of qU 1 q 2 W , q = 0, 0.2, 0.4, . . . , 1, are shown,
where U = (L E[L])/D[L] and W = (S E[S])/D[S]. All empirical distribution func-
tions seem to fit reasonably
with the standard normal distribution. In the bottom diagram the
empirical distribution of U 2 + W 2 is compared to the standard Rayleigh distribution. These
graphical tests are indicators of bivariate normality and independence of S and L. However,
the actual bivariate sample of size 310 is not sufficiently large to state that for all applications
the distribution is sufficiently well modeled by a bivariate normal distribution. The tendency
of clustering of the observation points in the lower left corner and the upper left corner may
indicate non-normality and statistical dependence between S and L. This may not exclude the
application of the bivariate normal distribution in the range of large values of S. In fact, the
drag force term in Morisons formula is proportional to the squared water particle velocity, and
within the linear wave theory the particle velocities are directly proportional to S. Therefore
it is the large values of S that are relevant in pushover reliability analysis of tubular offshore
platforms. On the other hand, the mass force term in Morisons formula is proportional to the
water particle accelerations that, in turn are proportional to S/L and therefore small values of
L combined with large values of S are relevant, that is, values in the lower right corner of the
scatter plot shown in Fig. 3.10. These heuristic arguments support that the possible deviations
from normality are not critical for the reliability analysis. Thus, by the same argument as used
2
1.8
1.6
1.4
1.2
0.8
0.6
0.4
0.2
0
0 1 2 3 4 5 6 7 8
(S/L,L)
Figure 3.10: Scatter plot of 310 simulated observations of (H/L 2 , L).
for the derivation of the distribution of Hmax , the conditional distribution of the maximal value
of S during a given sea state becomes
4t
1
FSmax (x | Hs = h, Tz = t) = exp VS 1 x (3.84)
t h S
Moreover
l
FL (l | Hs = h, Tz = t) = VL1 1 (3.85)
t
The distributions (3.84) and (3.85) are suggested to be used in the pushover reliability analysis
even though such an application may be outside the range of applicability of the Gaussian
process theory. However, as discussed at the end of Section 2.4, this may not be critical. At
least the distribution shape is correct asymptotically as the wave height decreases. Possibly
some parameter values may be corrected in the presence of data for the wave height distribution
during sea states with large significant wave heights. In any case, the reliability analysis, to be
3.7. WAVE SPECTRA 59
elevation from zero level upcrossing to zero level upcrossing, but by replacing this variation by
the deterministic shape of the 5th order Stokes wave, say.
correlation function of U
8
1
7
0.8
6
5 0.6
4
0.4
3
0.2
2
1 0
0
0 50 100 150 200 250 300 -0.2
0 5 10 15
correlation function of V
1
0.8
0.6
0.4
0.2
-0.2
0 5 10 15
Figure 3.11: Top left: Sequence of zero crossing periods L (bottom curve) and the correspond-
ing sequence of wave heights H per period (top curve) as they are observed consecutively along
the time axis. Top right and bottom: Estimated correlation coefficient functions for the two se-
quences after transformation to Gaussian sequences. The correlation functions show that the
sequences are close to pure white noise.
Figure 3.11 shows the correlation function of the random sequence of zero crossing periods
L and the corresponding random sequence of wave heights H per period as they are observed
consecutively along the time axis. The appearance of the sequences as almost white noise
supports the Poisson process assumption on which the distributions (2.37) and (3.84) are based.
3.7 Wave spectra

To apply a Gaussian stationary process model for the water level process W (t) at a given po-
sition for each considered sea state with the purpose of making a quantitative vibration and
fatigue analysis, it is necessary to know the relevant covariance function of the process, or,
equivalently, the one-sided spectrum, for each sea state.
Physical modeling has been applied to formulate such spectral models, but with limited
success. Essentially the choice of spectrum must still be based on measurements. An asymptotic
expression for the upper tail of the spectrum is derived in (Phillips 1958) for a fully developed
sea state by use of dimensional analysis and a requirement of limited steepness of the waves.
10
Tz 7
4
1 2 3 4 5 6
Hs
Figure 3.12: Relation gTz2 /Hs = 124 (solid line) and 116 (dashed line) (DS449) compared
to contour lines of joint density of Hs and Tz based on the data from the Northern North Sea,
Table 2.1.
The expression is
SW () g 2 5 (3.86)
where g is the acceleration of gravity, and is a constant. According to the argumentation by

Phillips this constant is claimed to be universal. Using this expression together with observed
wave spectra, it is suggested in (Pierson & Moskowitz 1964) to use a spectrum defined by
4
SW () = g 2 5 exp (3.87)
r
where = 0.0081, = 0.74, and r = g/v(19.5m) is a reference angular frequency defined
on the basis of the wind velocity measured 19.5 m above the still water level. Since

g
Hs = 4 0 = 4 SW () d = 2 (3.88)
0 r2

2 0 0 SW () d 4 2 1
2
Tz = (2) = 4 2
2
= (3.89)
2 0 SW () d
r2
it follows that

gTz2 2
= 124 (3.90)
Hs
Thus the Pierson-Moskowitz spectrum gives a deterministic relation between the significant
wave height Hs and the characteristic zero-crossing period Tz . This determinism is in conflict
with the observed data from the Northern North Sea given in Table 2.1. However, the relation
(3.89) might be a sufficiently accurate simplification for engineering applications ifthe condi-
tional expectation E[Tz | Hs ] could be obtained approximately as the solution Tz = 124 Hs /g
to (3.89). Figure 3.12 shows contour lines of the joint density f Hs ,Tz (h, t) obtained from (2.9)
together with the function obtained from (3.90). The discrepancy is obvious, and therefore the
Pierson-Moskowitz spectrum should be adequately modified. The simplest modification is to
H 2 2 4
relax the assignment of specific values of and . From (3.90) it is seen that g 2 = s ,
4 Tz
1 2 4
and from (3.89) that r4 = , which by substitution into (3.87) gives the spectrum
Tz
Hs2 2 4 5 1 2 4
SW () = exp 4 (3.91)
4 Tz Tz
in which Hs and Tz consistently with (3.88) and (3.89) can be assigned free values. This gener-
alized Pierson-Moskowitz spectrum is suggested in (ISSC 1964). The peak angular frequency
p is easily determined as
4 1/4 2
p = (3.92)
5 Tz
in terms of which the spectrum (3.91) can be written
5 Hs2 5 5 4
SW () = exp (3.93)
16 p p 4 p
denoted as the ISSC spectrum.
Remark 3.5: Since a normalized spectrum S()/0 has properties exactly as a probability density
function for a positive random variable, any density function family of such random variables can be
used to fit empirical spectral distributions provided they are flexible enough to possess properties that are
imposed of physical reasons. The standard gamma density f (x) x k1 ex , x > 0, k > 0, has such
properties. Setting x = b q , where b and q are positive constants, the spectrum family
S() p exp(b q ), p = q(k 1) (3.94)
is defined. The ISSC spectrum is seen to be a special case of (3.94). Applying the substitution x = bq
in the gamma function gives

k1 x
(k) = x e dx = (b q )k1 exp(b q ) d(b q ) =
0 0
qk1 q
qb k
exp(b ) d (3.95)
0
Thus the nth spectral moment of S() becomes

p n 1
a
n = a ( pn1)1 exp(b q ) = ( pn1)/q
(3.96)
0 qb q
showing that the proportionality constant a is
p 1 1
a = 0 qb( p1)/q (3.97)
q
and thus that
p n 1 p 1 1
n = 0 bn/q , n < p1 (3.98)
q q
SJONSWAP(/p)/SISSC(/p) dimensionless ISSC (--) and JONSWAP spectra

1.4 2.5
1.3
1.2 2
1.1
1 1.5
0.9
0.8 1
0.7
0.6 0.5
0.5
0.4 0
0 0.5 1 1.5 2 2.5 3 0 0.5 1 1.5 2 2.5 3
dimensionless frequency / dimensionless frequency /p
p
Figure 3.13: Left: Modification factor (/ p ) applied to the dimensionless ISSC spectrum
to obtain the corresponding JONSWAP spectrum. Right: The two dimensionless spectra.
The spectrum S() = a p exp(b q ) is called the gamma spectrum, and is used as a generalization

of the ISSC spectrum. It is easily expressed in terms of the significant wave height Hs = 4 0 and the

characteristic zero crossing period Tz = 2 0 /2 .
This ISSC spectrum has been further modified to the so-called JONSWAP spectrum (Joint
North Sea Wave Project) which is more narrow banded than the ISSC spectrum (Hasselmann
& et al 1973), and its is motivated by considerations concerning wind catch lengths limited by
nearby shores. The dimensionless spectral increment
16 5
5 4
S W ()d = S I SSC ( ) d = 5 exp d, = (3.99)
Hs2 4 p
is modified by a factor
1
( ) = k exp log 2 1 (3.100)
a I ( 1) + bI ( > 1)
where I (statement) = 1 if the statement is true, and zero otherwise, and () is the standard
normal density function. The constants k, , a, b are determined by fitting to data under the
restriction that the increment
S J O N SW A P ( ) d = ( ) S I SSC ( ) d (3.101)
integrates to 1. The constants are in this way obtained as k = 1.4, = 3.3, a = 0.1, b =
0.5. The corresponding modification factor function ( ) and the two dimensionless spectra
S I SSC ( ) and S J O N SW A P ( ) are shown in Fig. 3.13. Taking the dimensionless JONSWAP
spectrum as given, the peak angular frequency formula (3.92) must be corrected in order to get
consistency with (3.89). A dimensional consideration shows that the peak angular frequency
must have the form
gT 2
p = G z
Tz1 (3.102)
Hs
where G() is some unknown positive function. Then

2 2 gT 2 2
= 2p 2 S J O N SW A P ( ) d = G z
Tz2 2 (3.103)
Tz 0 Hs
gT 2
z
where 2 = 1.636 is the value of the integral obtained by numerical integration. Thus G =
Hs
2
, and

2 2
p = (3.104)
Tz 1.28 Tz

g
In the Danish code of practice (DS449 1983) the angular peak frequency p = 2
190 Hs
gT 2 2 gTz2
z
is specified. Together with (3.102) this implies that DS449 sets G = =
Hs 190 Hs
2 gTz2
, that is, 116, which is not much different from (3.90). In conclusion it can
1.64 Hs
be stated that DS449 is not consistent with the data from the Northern North Sea and that the
specification leaves no room for random variation besides that coming from the full functional
dependency between Hs and Tz together with the randomness of Hs . Both inconsistencies are
eliminated if (3.104) is used.
Finally it should be noted that the wave spectra are often given as functions of the frequency
f = /2. To have the same variance it is required that SW, f ( f ) d f = SW, () d, giving
SW, f ( f ) = 2 SW, (2 f ).
Chapter 4
Random wave force process and structure

response
4.1 Morison load random process acting on immovable tube

For the random force process Q(t) orthogonal to the axis of an immovable cylindric tube and
at a given position on the tube, Morisons scalar formula (1.54) gives
Q(t) = k D X (t) | X (t)| + k M X (t) (4.1)

1
k D = C D D, k M = C M A (4.2)
2
when the tube is exposed to a random water stream process with velocity component X (t) and
acceleration component X (t) acting in the same direction and both orthogonal to the tube and
at the given position on the tube. The force process Q(t) is then in the common direction of the
velocity acceleration processes of the water particles.
Assume in the following that the wave elevation W t) is a stationary Gaussian process and
that the Airy wave theory is valid. Then X (t) is also a stationary Gaussian process because X (t)
is obtained by applying a linear operator to W (t). For Q(t) stationary the variance of Q(t) then
becomes
Var[Q(t)] = k 2D Var[ X (t) | X (t)| ] + k 2M Var[ X (t)] (4.3)
noting that the mutual independence of X (t) and X (t) implies that Cov[ X (t) | X (t)|, X (t)] = 0.
Moreover E[ X (t) | X (t) |] = 0. Thus
Var[ X (t)2 ] = E[ X (t)4 ] = 3 E[ X (t)2 ] = 3 20 , 0 = Var[ X (t)] (4.4)
which substituted into (4.3) gives

Var[Q(t)] = 3k 2D 20 + k 2M 2 = (k D 0 3 + 4/ 2 )2 (4.5)
where

k D 0 4 C D 0
=2 = (4.6)
k M 2 C M D 0
65
66 CHAPTER 4. RANDOM WAVE FORCE PROCESS AND STRUCTURE RESPONSE

with 0 = 2 /0 . The number has a similar interpretation as the Keulegan-Carpenter
number K defined in (1.62). The non-linear term in (4.1) implies that Q(t) is not a Gaussian
process. The deviation from the normal distribution can be characterized by the ratio between
the drag force and the inertial force as expressed by the dimensionless parameter .
For a narrow band
frequency spectrum of the random wave field with characteristic angular
frequency 0 = 2 /0 , the velocity X (t) of a water particle at a given position has the
character as a randomly modulated cosine function
H (t) cosh[K (t)(x2 + d)]
X (t) = A(t) cos[(t)t] (t) cos[(t)t] (4.7)
2 sinh[K (t)d]
where the random amplitude A(t), the random angular frequency (t), and the random wave
number K (t) all vary slowly with time. The standard deviation of the surface elevation process
W (t) = H (t) cos[(t)t]/2 is approximately 14 Hs , where Hs is the significant wave height.
Thus the standard deviation of X (t) is
1 cosh k0 (x2 + d)
D[ X (t)] = 0 0 Hs (4.8)
4 sinh k0 d
where k0 is thewave number related to 0 through the dispersion relation. Substitution of this
expression for 0 into (4.6) then gives
C D Hs cosh k0 (x2 + d)
(4.9)
C M D sinh k0 d
It is seen that this formula is similar to (1.61) for the deterministic ratio q D,max /q M,max . The
change is simply that the wave height h in (1.61) is replaced by the significant wave height Hs
in (4.9).
The distribution functionof the wave load Q(t) is completely determined by the standard
deviation D[Q(t)] = k D 0 3 + 4/ 2 and the dimensionless constant , where D[Q(t)] deter-
mines the size of the force and determines the deviation from the normal distribution (Pierson
& Holmes 1965, Madsen et al. 1986). The nonlinear drag force dependence of the Gaussian
velocity implies that that large wave forces occur more frequently than implied by the normal
distribution. This effect can be seen in measurements of stresses in offshore jacket structures,
see e.g. (Tickell 1977, Tickell & Holmes 1978, Langen, Spidse, Bruce & Heavnor 1984). Fig-
ure 4.1 shows the empirical distribution function of measured strains in a tube of a platform in
the North Sea, (Tickell & Holmes 1978). The authors has estimated a well fitting theoretical
distribution function by calibrating the standard deviation and the parameter (not shown in
the figure). In this case is a representative value for the wave force multiplied by the relevant
influence function and integrated over the entire structure. Therefore is not directly obtained
from (4.9). In stead a relation between and the kurtosis 4 = E[Q 4 ]/E[Q 2 ] can be used with
the kurtosis estimated from the data. The normal distribution distribution has kurtosis 4 = 3,
see (5.43).
Exercise 4.1: Use (5.43) to derive the formulas
78
4 = 3 + (4.10)
(3 + 4/ 2 )2

78 12
=2 3 (4.11)
4 3
4.1. MORISON LOAD RANDOM PROCESS ACTING ON IMMOVABLE TUBE 67
3 0.999
0.99
(probability less than)

2
0.95
1 0.9
0 0.5
-1 0.1
0.05
-1 -2 0.01
-3 0.001
-4
-5
-5 0 5
strain (normalized)
Figure 4.1: Distribution of measured strains plotted on normal distribution paper. Data from
(Tickell & Holmes 1978).

From strain gauge measurements on two North Sea jacket platforms, Ekofisk 2/4H and Val-
hall QP, during extreme sea states the following values were estimated, (Langen et al. 1984):
Ekofisk 2/4H: Hs = 11.3 m, 4 = 4.87, = 1.08
Valhall QP: Hs = 7.3 m, 4 = 9.3, = 27.8
On Ekofisk 2/4H the strain gauge was mounted on a leg closely above the mud line, while the
measurements on Valhall refer to a stiffening tube half way between the water surface and the
mud line. For the pushover moment it was estimated that 0.10 Hs . From (4.10) it then
follows that 4 3 + 78/(3 + 368/HS2 )2 . This function is shown in Fig. 4.2 together with
measured values. Even though these kurtosis estimates are quite scattered, the general trend
seems to be captured by the formula. The deviation from the normal distribution imply that large
6
5.5
4.5
4
3.5
2.5
2
0 2 4 6 8 10 12
Hs (m)
Figure 4.2: Theoretical kurtosis 4 = 3 + 78/(3 + 368/HS2 )2 for pushover moment as function
of the significant wave height HS compared to data points from (Langen et al. 1984).
stress cycles occur more often than for the normal distribution, and consequently accumulation
of larger fatigue damage. This effect has been investigated for a single stationary sea state
in (Brouwers & Verbeek 1983). It turns out that the deviation from normality is negligible for
< 1. Thus the non-normality effect is without influence at the measuring point on Ekofisk
2/4H, while there may be a considerable effect for the stiffening tube on Valhall QP.
For the narrow band spectrum situation the Morison force is approximately
Q(t) = k D A(t)2 cos[(t) t] | cos[(t) t]| (t)k M A(t) sin[(t) t]

d(t) d A(t)
k M A(t) sin[(t) t] t + k M cos[(t) t] (4.12)
dt dt
Assume that the variation of A(t) and (t) over a period is slow enough to allow the ap-
proximation
(t) by
of neglecting the second line in (4.12), and to replace A(t) byA(0) and
0 = 2 /0 in the first line. Then the wave force after division by k M 0 0 = k M 2 and
substitution of from (4.6) simplifies to
Q(t)
S(t) = = R 2 cos t | cos t| R sin t (4.13)
k M 0 0 2

where R = A/ 0 . According to (4.5) the inertial force term R sin t has variance 1 while
3
the drag force term has variance 3 2 /4 so that Var[S(t)] = 2 + 1. The expression (4.13) is
4
completely similar to the deterministic expression (1.58). The parameter
2/2 R 2
= = R (4.14)
R

determines the maximal force Smax = Q max /(k M 0 0 ) by (1.65) after replacing q M,max by
R. Thus

R for R 1/
Smax = 1 2 1 (4.15)
R + for R > 1/
2
The amplitude process A(t) has forany t the Rayleigh distribution (3.22), and therefore the
normalized amplitude R(t) = A(t)/ 0 has the standard Rayleigh distribution. From that it is
straight forward to determine the probability density of the random variable Smax by use of the
probability preservation rule f Smax (s) ds = f R (r ) dr : With

dr 1 for r 1/ s 2 for r 1/
= 1 and r = 1
2
1 (4.16)
ds for r > 1/ 2s for r > 1/
r
the result becomes

dr ses 2 /2 for s 1/
f Smax (s) = f R (r ) = 1 r 2 /2 1 1 1 (4.17)
ds e = exp s for s > 1/
2
This density function is derived in (Borgman 1965), and it is shown in Fig. 4.3 for different val-
ues of . The reciprocal 1 is a characteristic dimensionless amplitude that marks the matching
point between the Rayleigh density lover tail and the exponential density upper tail. According
to (4.9) the matching point 1 depends on the significant wave height Hs . For small values
of Hs the amplitude is approximately Rayleigh distributed, while for large Hs the distribution
is approximately exponential. This phenomenon is seen in strain gauge measurements on the
4.1. MORISON LOAD RANDOM PROCESS ACTING ON IMMOVABLE TUBE 69
0.7
=1
0.6
=0
0.5
=2
0.4
density
=3
0.3
0.2
0.1
0
0 0.5 1 1.5 2 2.5 3 3.5 4
s
Figure 4.3: Borgman density functions (4.17) for the amplitude Smax of the normalized wave
force process S(t) of variance 3 2 /4 + 1 and with narrow band spectrum.
Exponential upper tail for Hs=8.7 m

-0.5
log10(exceedance probability)
-1
-1.5
-2
-2.5
Rayleigh for Hs=1.6 m

-3
0 1 2 3 4 5 6 7
normalized strain amplitude
Figure 4.4: Amplitude distribution for measured strains at a point on the North Sea platform
Forties Bravo. The data points are from (Kenley 1982).
platform Forties Bravo in the North Sea, (Kenley 1982). Figure 4.4 shows the empirical distri-
butions for two different sea states. In calm sea with Hs = 1.6 m, the empirical amplitude dis-
tribution is well fitted by the Rayleigh distribution P(X > x) = exp[(1.2x)2 /2], while for a
violent sea state with Hs = 8.7 m, the empirical amplitude distribution is fitted by a distribution
with the exponential upper tail P(X > x) = 0.6 exp(0.92x), x > 0.6. The normalization
factor 1.2 brings the Rayleigh distribution in place. If the same normalization factor is used
for the exponential distribution, the implication is that = 1.2/0.92 1.30. To be consistent
with the Borgman distribution (4.17) the factor 0.60 must be replaced by exp[1/(2 2 )] 1.344
translating the straight line in Fig. 4.4 to the dashed line so that it becomes tangent to the
parabola. It is seen that the number of small amplitude observations is a much larger than pre-
dicted by the Borgman distribution. A likely reason for this can be that the wave field has had
a superposed broad band wave field in the range of the small amplitudes. Such a field acts as
a noise that in a less degree distorts the larger waves than the smaller waves. Thus the condi-
tional distribution given that the amplitudes are larger than some threshold should be expected
to be exponential such as confirmed by the data in Fig. 4.4. Another reason can be that the
assumption of a Gaussian wave field process becomes less accurate for the sea states with large
significant wave heights.
Exercise 4.2: A platform is placed on water depth d = 50 m. The stiffening tubes in the upper part
of the structure are subject to essential local wave loads. In this exercise the maximal load distribution
is investigated under three different populations of sea states defined by the significant wave heights
Hs = 2 m, Hs = 6 m, and Hs = 8 m, respectively, and the corresponding conditional distributions of the
characteristic zero crossing period Tz given by the lognormal distribution function (2.8). For simplicity,
the Airy wave theory is applied, and the ratio C D /C M = 0.5 is used.
Question 4.2.1: Determine the values of in the three cases for x2 = 5 m and the angular frequency
0 determined by the wave period Tz equal to the conditional expectation E[Tz | Hs ]. Make plots of the
corresponding distribution functions of Smax , and comment on the results.
Question 4.2.2: For each given Hs consider the full random variability of Tz . Simulate sufficiently
large samples of realizations of Smax to obtain reasonably stable empirical distribution functions. Plot
each of these distribution functions together with the corresponding distribution functions from Ques-
tion 4.2.1, and comment on the results, and in particular on the effect on the probability density. .
4.2 Morison load random process acting on vibrating tube

The random wave loading problem becomes considerably more complicated when the tubular
structure is so flexible that the vibrations of the structure has an effect on the loading as in (1.56).
As a first step to study this problem consider an infinitesimal part of a circular cylindrical tube
subject to the force
Q = k D (X U ) |X U | + k M (X U ) + AU (4.18)
where U is the vectorial displacement component of the tube element in the plane orthogonal
to the tube element axis, and X, X are the water particle velocity vector and acceleration
vector components, respectively, in the same plane. Assume that the structure surrounding
the infinitesimal element reacts with a restoring force F (U ) on the element, where F is a
vector functional of the entire displacement field U of the structure. Moreover, assume that
the element is subject to a linear damping force c U . Then the equation of motion of the
infinitesimal element becomes
m U = k D (X U ) |X U | + k M (X U ) + AU cU F (U ) (4.19)
where m is the mass per unit length of the tube element. This differential equation for U is
nonlinear, and difficult to solve even if the restoring force functional F (U ) is a linear with
respect to U . Therefore a linearization of the equation is of considerable interest. First step
2
is to neglect U assuming that |U | |X|, that is, to adopt the approximation (X U )2 =
2 2 2
X 2X U + U X 2 X U . Then, to maintain the vectorial form of the drag force,
the further approximation
(X U ) |X U | X |X| 2 U |X| (4.20)

4.2. MORISON LOAD RANDOM PROCESS ACTING ON VIBRATING TUBE 71
2
is adopted. The length of the vector on the right side is less than X 2X U by a factor
2
1 O(U ) = cosine to the angle between X and X 2 U , and the direction of the vector
2
on the left side is by the approximation changed by an angle of order O(U ). Substitution of
(4.20) into (4.19) then gives the differential equation
[m + (C M 1)A]U + (c + 2k D |X|)U + F (U ) = k D X |X| + k M X (4.21)
This differential equation is still quite complicated because of the addition of the hydrodynamic
damping term 2k D |X| to the structural damping coefficient c. This is a so-called random para-
metric excitation acting on top of the external excitation on the right side of the equation. In
case the standard deviation of 2k D |X| is small compared to c, the term may with sufficient
accuracy be replaced by by its expectation. For X Gaussian and stationary with fixed direction,
the expectation of |X| is

1 x 20
E[|X|] = |x| dx = (4.22)
0 0

where 0 is the standard deviation of the component of X in the direction of X(0). For
/2
a harmonic particle velocity the average 1 /2 cos t dt = 2/ may after multiplication by
the relevant amplitude replace the time varying absolute value of the particle velocity in the
hydrodynamic damping coefficient.
Each component of the right side can be approximated by a random trigonometric polyno-
mial, for example if simulation is applied to obtain the solution.
An equation like (4.21) is valid for each infinitesimal tube element, and these infinitely many
equations are coupled through the common unknown displacement field U . The force F (U ) is
the resultant of the inner forces acting on the two cuts of the infinitesimal unit tube element in
the plane orthogonal to the axis of the element. With established constitutive rules that relate the
internal forces in a cut to the corresponding strains suitably defined in terms of partial derivatives
of the displacement field U with respect to a coordinate along the tube axis, the equation (4.21)
becomes a partial differential equation for the displacement field as a function of time.
4.2.1 Finite element formulation

An approximate numerical solution is most conveniently obtained in a finite element formula-
tion. It is assumed in the rest of this section that the reader is familiar with the finite element
method. Only a short summary of the equation formulation corresponding to (4.21) will be
given.
An equation similar to (4.21) is valid for each nodal point. These equations are collected on
matrix form as
M U + C U + K U = Q (4.23)
where U is the vector of nodal displacements, M, C, and K are the generalized mass matrix,
damping matrix, and stiffness matrix, respectively, and Q is the vector of nodal loads coming
from the wave forces. The matrices M, C, and the nodal load vector Q are derived as follows.
T
Multiplication of (4.23) by U gives the equation
d 1 T 1
T T
U M U + U T K U = U Q U C U (4.24)
dt 2 2
T
where the left side is the rate of increase of the sum of the kinetic energy U M U /2 and the
T
elastic energy U T K U /2, and the right side is the work rate U Q of the forces in Q minus the
T
energy dissipation U C U caused by the viscous damping forces. This energy balance equation
is fundamental for the so-called consistent formulation of the matrices M, C, and K, and the
force vector Q.
Coupling is generated between the equations in (4.24) not just through the restoring forces
coming from the displacement field U but also from the lumping of the distributed masses, the
distributed damping, and the distributed wave loading. To obtain the simplification from a par-
tial differential equation to the matrix equation of nodal displacements, the displacement field U
is approximated as a linear vector function of the nodal displacement vector. The displacement
field between any two nodal points is simply approximated by a linear combinations of shape
functions that suitably may be chosen as a complete basis of static displacement functions for
the given beam connection between the two nodal points (at most 6 shape functions for a beam
element in a plane structure loaded in the plane, and at most 12 shape functions for a beam
element of a spatial structure). Let points on the beams of the structure be defined by an arch
length coordinate s. Then the displacement at s is defined by function
T
u(s, t) = S(s) U (t) (4.25)
where S(s) is a matrix of shape functions. For example, if a straight cylindrical beam element
of length L connecting two nodal points of a plane structure is considered, then

T 1 0 0 0 0
S(s) = (4.26)
0 1 3 + 2 L( 1) 0 (3 2 ) L(1 ) 2
2 3 2 2
where = s/L with s = 0 in the one nodal point and s = L in the other nodal point and
referred to a coordinate system with first axis along the beam in the direction of increasing s,
and defined as shown in Fig. 4.5. The first three shape functions in each row correspond to
T T
u 1 v1 1 and the last three shape functions to u 2 v2 2 .
v1 v2
u1 u2
1 2
u1 = 1 u2 =1
v 1 =1 v2 =1
1 =1 2=1
Figure 4.5: Sign rules for beam element.
By consistent modeling in the sense explained above the elements of the matrix M = {m i j }
of the nodal masses, the elements of the matrix C = {ci j } of the nodal damping coefficients,
4.2. MORISON LOAD RANDOM PROCESS ACTING ON VIBRATING TUBE 73
and the elements of the matrix K = {ki j } of nodal stiffnesses are directly identified from
l l
T T T T
U (t) M U (t) = (s) u(s, t) u(s, t) ds = U (t) (s) S(s) S(s) ds U (t) (4.27)
0 0
l
T T T
U (t) C U (t) = u(s, t) 1 (s) u(s, t) + [ Du(s, t)] 2 (s) [ Du(s, t)] ds =
0
T
l T T

U (t) S(s) 1 (s) S(s) + [ DS(s)] 2 (s) [ DS(s)] ds U (t) (4.28)
0
l
T T
U (t) K U (t) = [ Du(s, t)] E(s) [ Du(s, t)] ds =
0
l
T T
U (t) [ DS(s)] E(s) [ DS(s)] ds U (t) (4.29)
0
where l is the total length of the beams of the structure, D is the differential operator matrix that
maps the shape function matrix S(s) into the matrix of relevant beam strains, (s) is the mass
density per length unit, 1 (s) and 2 (s) are non-negative definite matrices of damping coeffi-
cients, and E(s) is a diagonal matrix of the relevant beam elasticity constants, all at position s.
It is seen that if there exists non-negative constants 1 and 2 such that
1 (s) = 1 (s)I, 2 (s) = 2 E(s), I = unit matrix (4.30)
for all s [0, l], then
C = 1 M + 2 K (4.31)
This special type of damping is called Rayleigh damping, and it plays a particular role by
considerably simplifying the vibration analysis.
The nodal masses, nodal damping coefficients, and nodal stiffnesses can be composed by
addition of contributions with the propper signs from all the beam elements that join at a nodal
point. In particular the energy formulas (4.27), (4.28), and (4.29) are applicable for each element
separately. For example, for the element with the shape functions (4.26) the nodal mass matrix
is

140 0 0 70 0 0
0 156 22 L 0 54 13 L

0 22 L 4 L 2 0 13 L 3 L 2
L

M= (4.32)
420 70 0 0 140 0 0

0 54 13 L 0 156 22 L
0 13 L 3 L 2 0 22 L 4 L 2
where is the constant mass density per length unit, while the nodal stiffness matrix is
2
AL 0 0 AL 2 0 0
0 12 I 6I L 0 12 I 6 I L

0 6 I L 4 I L 2 0 6 I L 2 I L 2
E

K = 3 (4.33)
L
AL
2 0 0 AL 2 0 0
0 12 I 6 I L 0 12 I 6 I L
0 6 I L 2 I L2 0 6 I L 4 I L 2
where E is the coefficient of elasticity, A is the cross-section area, and I is the relevant mo-
ment of inertia of the cross-section. The matrix K maps the vector of nodal displacements
T T
u 1 v1 1 u 2 v2 2 into the vector of nodal restoring forces ru1 rv1 r1 ru2 rv2 r2
in accordance to the sign rules defined in Fig. 4.5.
The force Q on the right side of (4.23) is directly identified from the equation
l
T T
U (t) Q(t) = u(s, t) k D (s)X(s, t) |X(s, t)| 2 k D (s)u(s, t) |X(s, t)| ds +
0
l l
T T
k M (s)u(s, t) X(s, t) ds + [ A(s) k M (s)]u(s, t) u(s, t) ds =
0 0
l l
T
T
U (t) k D (s)S(s)X(s, t) |X(s, t)| ds 2 k D (s)S(s)S(s) |X(s, t)| ds U (t)
0 0
l l
T
k M (s)S(s)X(s, t) ds [k M (s) A(s)]S(s)S(s) ds U (t) (4.34)
0 0
where the approximation (4.20) is used. The finite element version of the equation (4.21) then
is
l
T
M + [k M (s) A(s)] S(s)S(s) ds U +
0
l
T
C+2 k M (s)S(s)S(s) |X(s, t)| ds U + K U =
0
l l
k D (s)S(s)X(s, t) |X(s, t)| ds + k M (s)S(s)X(s, t) ds (4.35)
0 0
l T
The hydrodynamic damping matrix 2 0 k M (s)S(s)S(s) |X(s, t)| ds may in case its largest ele-
ments are reasonably small relative to the largest elements of the structural damping matrix
C be
replaced by its expectation. According to (4.22) the expectation is E[|X(s, t)|] = 20 (s)/
for X(s, t) Gaussian and stationary with fixed direction. The standard deviation 0 (s) can
for a narrow band particle velocity process be assumed to vary with x2 (s) as in (4.8).
Exercise 4.3: This exercise is about formulation of the equation of motions in terms of finite elements
for the structure considered in Exercise 2.5. Assume that the legs are simply supported at the sea bottom
and are fully clamped in at the topside. The topside is modeled as being a completely rigid body. The
tubular legs are filled with water from bottom to the still water surface. The load is a Gaussian narrow
band water particle velocity process as represented by (4.13). The waves are oriented parallel to the
joining line of two legs, and the wave forces are taken to be the same on all three legs. Thus the problem
is kept as a problem of a plane structure. Assume that the structural damping (i.e. the damping as if
the platform was built on dry land) is Rayleigh damping. Vertical displacements as well as rotational
movements of the topside are neglected. The matrices S, M, K in (4.26), (4.32) and (4.33) are given in
the MATLAB-file SMK.m on http://www.mek.dtu.dk/staff/od/books.htm.
First adopt a model where the legs of the platform make a single beam element with a nodal mass at
the top of the legs. The finite element model then becomes a single degree of freedom linear oscillator.
With evident notation such an oscillator has an equation of motion of the form
m u(t) + c u(t) + k u(t) = p(t) (4.36)

4.3. LINEAR SYSTEMS 75
As standard this equation is often is written on the form
p(t)
u(t) + 2 f u u(t) + 2f u u(t) = (4.37)
m
where
c c
= = (4.38)
2m f u 2 km
is called the damping ratio, and f u is the angular frequency of the free undamped vibrations (usually
written as 0 ), that is, the vibrations described by the solutions to the differential equation
m u(t) + k u(t) = 0 (4.39)
Question 4.3.1: Derive the equation of motion for the platform in the form of (4.37) keeping the
damping ratio of the structural damping s , the significant wave height Hs , and the characteristic wave
frequency 0 as free parameters.
Question 4.3.2: Plot the total damping ratio as function of s in the range s 0.1 for 1 /2 =
0.5, 1.0, 2.0, after replacing |X(s, t)| by a suitable time invariant function of x2 .
Question 4.3.3: Keep the damping coefficient time invariant as in the previous question. Assume that
the wave amplitude process A(t) and the angular frequency process (t) in (4.12) both have sufficiently
slow variation by time that they can be considered as constants over a large number of periods, and set
(t) = 0 .
Derive a formula for the amplitude of the vibrations of the topside (the response to the wave load)
as function of the central angular frequency 0 of the narrow band spectrum when the right hand side
of the equation of motion is represented as a Fourier series. The Fourier series for the function x
cos x | cos x | is
8
(1)n
cos x | cos x | = cos(2n 1)x (4.40)
n=1 (2n 3)(2n 1)(2n + 1)
For s = 0.05, 1 /2 = 0.5, 1.0, 2.0, = 0, 2, 4, and for R equal to its expected value E[R], plot
the suitably normalized dimensionless amplitude of the response as function of 0 within an interesting
range.
Finally, in each case set 0 equal to the smallest value that gives an amplitude peak. Obtain an
empirical distribution of the dimensionless amplitude of the response by setting R to simulated outcomes
of R.
Make some conclusions concerning the results in this question.
Hint: For obtaining the solution extend the cosine function to the complex exponential function
e = cos x + i sin x.
ix
4.3 Linear systems

The systems treated in this text are linear systems or systems that after replacement of the
non-linear parts by suitable approximations are made linear. Per definition a linear system is a
system for which the rules of superposition are valid, that is, if the excitation (i.e. the load)
is multiplied by a factor, then the response of the system to the excitation becomes multiplied
by the same factor, and if two excitations are added then the response is the sum of the two
responses caused by the excitations applied to the system separately.
If a scalar response to a scalar excitation p( ) d of short duration d is applied to time ,

then under the assumption that the system is causal (response cannot occur before the cause),
the response must be zero up to time , develop through some increase from zero to a value at
the end of the small time interval, and from there develop in time t according to some given
function of the time difference t ( +d ) except for a proportionality factor. In fact, at the time
+ d the state of the system is known, and this state then defines the initial conditions for the
system whose response thereafter develops as the unique solution to the excitation free system
consistent with the initial conditions. As d 0 the response must get the form h(t ) p( ) d ,
where h(t) is a unique function with h(t) = 0 for t 0 and h(0+) > 0. The function h(t) is
called the impulse response function of the linear system.
Assume next that the function p( ) defines the excitation for all . Then the addition rule of
superposition implies that the response is
t
u(t) = h(t ) p( ) d = h( ) p(t ) d (4.41)
0
This representation of the response is called Duhamels integral. It should be mentioned that
if time t is replaced by a spatial coordinate s, then the causality is no longer an issue. Then
the effect of a concentrated load at position may spread all over the space. In that case the
function h(t) becomes replaced by a function g(s, ) called a Green function or an influence
function, and the Duhamel integral is replaced by

u(s) = g(s, ) p( ) d (4.42)

It is convenient to introduce a formal tool to handle short duration impulses or concentrated

spatially distributed quantities. This tool is the Dirac delta function that will be introduced next.
4.3.1 Diracs delta function and its Fourier transform

1 x y
Consider any sequence {n R+ }nN 0, and the corresponding sequence
n n nN
of Gaussian density functions with parameters y and n . Let f (x) be any everywhere on R
defined piece by piece continuous function. If y is a continuity point of f (x) then, obviously,

1 x y
f (x) d x f (y) (4.43)
n n
as n . If y is a point of jump of f (x), the limit is 12 [ f (y) + f (y+)], where f (y) =

limh0 f (y h), and f (y+) = limh0 f (y + h). This passing to the limit operation is symbol-
ized by the Dirac delta function (x y) with the key property

(x y) f (x) d x = f (y) (4.44)

Rather than being a function, (x) is a functional that maps any piece by piece continuous
function into its value at zero defined as the average between the left and the right value at
zero. However, the particular way of writing the operation as an integral is very convenient
because the usual rules of symbol manipulation become valid. The Dirac delta function acts as
0
-4 -3 -2 -1 0 1 2 3 4
0.5
0
-4 -3 -2 -1 0 1 2 3 4
1 x
Figure 4.6: Top: Sequence of Gaussian density functions that formally defines
n n nN
the Dirac delta function (x). Bottom: The corresponding sequence of Fourier transforms
{(n x)}nN that formally defines the Fourier transform 1 of the Dirac delta function.
a substitution operator that replaces x by y in a similar way as the Kroneckers delta i j (i j = 1

for i = j, and 0 otherwise) acts by replacing i by j in summations over index sets under the
adoption of the summation convention of tensor calculus. Straight forward physical examples
of modeling by use of Diracs delta function are the representation of concentrated forces on
structures thought of as models of large load intensities distributed over small areas, or load
impulses of high intensity and short duration. Looking at (4.27) and (4.28), the mass intensity
(s) may contain delta function terms that represent concentrated masses, and D(s) may contain
such terms that represent dampers acting at specified points of the structure. In probability the
Dirac delta function can be used to represent discrete probability masses alowing a calculation
as if the were probability densities. Of course, care should be exercised if attempts are made
to do integrations by part using differentiation of the delta function. If that might be needed
recourse should be made to the sequence of operations that defined the delta function.
The derivative the Fourier transform () of the standard normal density function () is

d() d it
= (t) e dt = i t(t) eit dt =
d d

d(t) it
it
i e dt = i(t) e 2
+i (t) eit dt = () (4.45)
dt
The complete solution to this linear first order differential equation for () is directly seen to
standard normal density (). Since (0) = 0 it
consist of all functions proportional to the
follows that the proportionality factor is 2 . From this result it the follows that

1
(t) = it
2 () e d, 2 () = (t) eit dt (4.46)
2
where the first formula follows trivially from the second by change of variables. Thus

1 t 1 it/ 1
= 2 () e d(/ ) = 2 ( ) eit d (4.47)
2 2
and it is seen that as 0 the following formal relations are obtained

1
(t) = it
e d, 1 = (t) eit dt (4.48)
2
where the last is consistent with (4.44). The pair of Fourier transforms in (4.46) are illustrated
for a decreasing sequence of values in Fig. 4.6.
The Duhamel integral (4.41) is a convolution integral of the form a(t )b( ) d . It
turns out that such an integral can be expressed as the inverse Fourier transform of the product
of the Fourier transforms A() of a(t) and B() of b(t). To see this in a simple way the
standard normal density sequence that defines the Dirac delta function is a useful tool. In stead

of the convolution integral consider the integral a(t )b( ) 2( ) d that in the
limit 0 becomes the convolution integral. Then

a(t )b( ) 2 ( ) d =
1 1
i1 (t ) i2
A(1 ) e d1 B(2 ) e d2 2 ( ) d =
2 2
1
1 i1 t i(1 2 )
A(1 )B(2 )e 2 ( ) e d d1 d2 =
2 2

1 1 1 2
A(1 )B(2 )ei1 t d1 d2
2

1 i1 t 1
A(1 )B(2 )e (1 2 ) d1 d2 = A()B()eit d
2 2
(4.49)
as 0. Thus it follows that

1
a(t )b( ) d = A()B()eit d (4.50)
2
Applied to the Duhamel integral (4.41) it follows that the Fourier transform of the response is
the product of the Fourier transform H () of the impulse response function h(t) and the Fourier
transform P() of the excitation function p(t).
Remark 4.1: In some applications of the Dirac delta function as an idealization of a concentrated
distribution of some unit quantity, great care must be taken if the function in f (x) in the integral

f (x) (x) d x has a jump for x = 0. This is simply because the narrowly distributed unit quantity
1 x
n
may of physical or geometric reasons be better idealized by a sequence of the form ,
n n nN
where n 0 together with n 0 such that n /n . Then

1 x n 1 0 x n 1 x n
f (x) d x = f (x) d x + f (x) d x
n n n n n 0+ n

n n
f (0) + f (0+) (4.51)
n n
asymptotically as n . Thus

f (x) (x) d x = f (0)() + f (0+)() (4.52)

that is, any convex combination of f (0) and f (0+) can be obtained.
4.3.2 Impulse and frequency response functions

The impulse response function h(t) can be determined as the response to a Dirac delta function
impulse p(t) = (t) applied to time zero because Duhamels integral (4.41) in accordance with
(4.44) gives
t
u(t) = h(t ) ( ) d = h(t) (4.53)

For a mechanical system Newtons second law implies that the force impulse (t) momenta-
neously increases the momentum of the system by one work unit, that is, the effect on a simple
system of discrete mass particles is a jump to the velocity equal to one work unit divided by
the mass of the particle to which the force impulse is applied. The impulse response function
for a displacement component of a given particle in the system is then the solution for that
particle to the excitation free system with initial conditions corresponding to the rest position
and the velocity field where all particles are at rest except the one to which the force is applied.
This principle can be suitably generalized to systems of rigid or flexible mass bodies. Vectors
of impulse response functions, or impulse response functions that besides being causal func-
tions of time are functions of space coordinates, become relevant when several displacement
components are considered simultaneously.
It is of considerable interest, of course, to study the response to wave forces and therefore
fundamentally to excitations of sinusoidal type. It is mathematically convenient to do this by use
of the complex valued excitation p(t) = eit = cos t + i sin t. Substitution into Duhamels
integral (4.41) gives

i(t )
u(t) = h( ) e d = e it
h( ) ei d = H () eit (4.54)
0
where

H () = h(t) eit dt (4.55)

is the Fourier transform of the impulse response function h(t). Thus H () can be interpreted
as the generally complex valued amplitude of the harmonic response u(t) = H ()eit to the
harmonic excitation p(t) = eit of the same angular frequency and the amplitude 1. There-
fore H () is called the frequency response function. The complex response u(t) can be written
in terms of module and argument as
u(t) = |H ()| ei(t+ ) (4.56)

|H ()| = H ()H () (4.57)
[H ()]
= arctan (4.58)
[H ()]
where means complex conjugate. Thus the presence of an imaginary part in the frequency
response function H () causes a phase shift of the harmonic movement relative to the phase
of the harmonic excitation, while the real amplitude becomes the module |H ()|, which is
called the frequency amplification factor of the system.
It is noted that the linear system considered here is assumed to be time invariant. If the
system parameters change by time, the impulse response function becomes a function of both
the present time t and the time of application < t of the unit impulse, not just solely a function
of the time difference t . Similarly its Fourier transform, the frequency response function,
becomes a function of both the present time t and the frequency such that the response to the
excitation p(t) = eit gets the form H (t, ) eit . Thus the frequency of the response is not
affected by the time variability of the linear system. The effect is solely on the amplitude and
the phase.
The impulse response function or, alternatively, the frequency response function may in
some cases of application be determined experimentally. If the system solely has a scalar input
and a scalar response the measured impulse response function or frequency response function
determines the system completely, of course. For a linear system where the input more generally
is defined by a vector of input functions or a spatial field of input functions and/or the output is
a vector or spatial field of response functions, the situation is more complicated. The topic of
making statements about the system properties from measurements and possibly other available
information is called system identification and is important for the mathematical modeling of
the system. If lack of experience makes it necessary, such technique can be applied to existing
offshore platforms or to laboratory models of platforms under design. The topic is rich of theory
but is outside the scope of this text. However, it is important to note here that the interpretation
of the measurements should obey the causality principle. This requirement is straight forward
to satisfy for the impulse response function h(t) just requiring that h(t) = 0 for t 0. The
requirement is more complicated for the frequency response function H (). The class of fitting
functions must from a causality point of view solely contain functions of that by the inverse
Fourier transformation

1
h(t) = H () eit d (4.59)
2
become functions of t that are zero identically for t < 0. A way to identify such functions is to
define the system in terms of a linear differential equation for which the input impulse defines a
unique set of initial conditions. The identification problem is then to determine the coefficients
of the differential equation from the measured frequency response function. However, this
procedure can be too restrictive for convenient modeling, see Remark??.
The next subsection is about the impulse and frequency response functions for damped os-
cillating one degree of freedom linear mechanical systems. The systems are modeled by two
different types of second order linear differential equation with constant coefficients. The two
types correspond to two different types of damping, viscous damping and hysteretic damping.
Understanding the properties of these most elementary vibrating systems is mandatory for the
analysis of vibrations of offshore platforms under wave and wind action, as it appears from
Exercise 4.3 earlier in the text.
4.3.3 One degree of freedom linear oscillator

Return to the equation (4.37) for the viscously damped one degree of freedom linear oscillator:
u(t) + 2 0 u(t) + 02 u(t) = p(t) (4.60)
where the notation f u has been replaced by the standard notation 0 for the free undamped
angular frequency, and p(t)/m has been replaced by p(t) denoting here the excitation per mass
unit. The two linearly independent solutions to the homogeneous equation (i.e. for p(t) 0)
are easily determined by substituting u(t) = Aeit , A = |A|ei , into the left side of (4.60) and
set to zero. This gives the characteristic equation
2 + 2i 0 + 0 = 0 (4.61)

with the two solutions = d + i 0 where d = 1 2 0 . For > 1 both solutions
become imaginary: = i( 2 1)0 so that the solutions become exponentially decaying
without oscillations. Damping with = 1 is called critical damping . For offshore structures
and most other structures the damping ratio is much less than 1, and typically < 0.1. Thus
the free damped movements are oscillations of the form
u(t) = a e 0 t ei(d t+ ) (4.62)

0 t
[u(t)] = a e cos(d t + ) (4.63)
where a = |A| is an arbitrary real amplitude, and is an arbitrary phase. Note that =
gives ei(d t+ ) =
eid t . The ratio of the damped eigenfrequency d to the undamped
eigenfrequency 0 is 1 2 > 0.99 for < 0.1.
imaginary axis
P real axis
U 2
U i 20 U
02 U
Figure 4.7: Dynamic equilibrium vector diagram in complex plane.
The impulse response function is directly obtained from (4.63) (writing [u(t)] as u(t)) with
the initial conditions u(0) = 0, giving = /2, and u(0) = 1, giving a = 1/d . Thus

0 for t 0
h(t) = 1 0 t (4.64)
e sin d t for t > 0
d
The frequency response function H () can now be obtained by taking the Fourier transform
of h(t). An easier way is to apply the external harmonic force p(t) = Peit with P = |P|
and look for a particular solution of the form u(t) = U eit with U = |U |ei . This gives the
equation
2U + i2 0 U + 02U = P (4.65)
Since U = H ()P, a relation that causes H () to have the alternative name transfer function,
the frequency response function becomes
1 02 2 i2 0
H () = 2 = 2 (4.66)
0 2 + i2 0 (0 2 )2 + 4( 0 )2
The dynamic equilibrium equation (4.65) is illustrated in the complex plane in Fig. 4.7, and it
is seen that the damping causes a phase shift determined by

2
2 0 0
tan = 2 = 2
(4.67)
0 2 1
0
If the frequency amplification factor (4.57) is normalized by dividing by |H (0)| it becomes the
dynamic amplification factor , which in this example is

H () 2 2 2 1

= 1 + 4 2 (4.68)
H (0) 0 0
and it takes its maximal value |H (0 )/H (0)| = 1/2 for = 0 . This case of strongest
dynamic amplification is called resonance. As the amplification factor grows beyond
any limit.
The damping force on the mass of the viscously damped linear oscillator (4.60) subject to an
imposed harmonic displacement u(t) = a sin t is pd (t) = 2 0 u(t) = 2 0 a cos t =
2 0 a 2 u(t)2 . Thus the point (u, pd ) moves through an elliptic
loop during a displace-
ment period as illustrated in Fig. 4.10 (left). The energy loss Wd = pd du is the enclosed area
within the loop.
Remark 4.2: Energy losses of type as those caused by material hysteresis do not correspond to
viscous damping. This is illustrated in Fig. 4.10 (right). The energy loss is almost independent of
the imposed frequency . Damping different from viscous damping may be modeled in the frequency
domain by letting the damping ratio in the frequency response function (4.66) be a suitable function
() of .
For hysteretic damping a reasonable model might be () = sign() by which the damping force
becomes independent of for > 0 and for < 0. However, the model obtained in this way turns out
to be in conflict with the causality principle. Nevertheless, for small values of , as relevant in practice,
the uncausal positive values h(t) of the impulse response function for t < 0 are sufficiently small to be
harmless. The causality problem can be overcome by introduction of a concept called fractional damping
based on an old generalisation of the differential calculus to include a definition of a fractional derivative
d u(t)/dt , 0 < < 1 of a function u(t). This fractional derivative is nonlocal (it depends on u( ) not
only at point = t but on u( ) in the entire past t), and it replaces the first order derivative in the
equation of motion, (Krenk 2001).
0.8
0.6 3
0.4
2
/ 0
0.2
1
0
-0.2 0
12
-0.4 10
-0.6 8
6 10
-0.8 4 5
2 0
-1
-5 0 5 10 15 20 25 30 35 40 [H()2] 0 -5
t
0
[H()2]
0 0
Figure 4.8: Left: Impulse response functions for linear viscously damped one degree of free-
dom oscillator of undamped eigenfrequency 0 corresponding to the damping ratios =
0.01, 0.1, 0.2. The natural logarithm
to the ratio between two consecutive amplitudes is called
the logarithmic decrement = 2 / 1 2 2 , see (4.64). Right: Corresponding com-
plex frequency response functions shown as 3-dimensional curves along the /0 axis. The
damping ratios are = 0.05, 0.1, 0.2 (thick curves from wide to narrow loop). Note that the
loop is in the resonance domain of the frequency as it is also seen in the right diagram of
Fig. 4.9. The thin curve corresponds to critical damping = 1.
6 stiffness dominating mass dominating

1
damping dominating
0.9
5
0.8
4 0.7
|H()/H(0)|
0.6
3
/
0.5
0.4
2
0.3
1 0.2
mass dominating
0.1
stiffness dominating damping dominating
0
0 0.5 1 1.5 2 2.5 3 0
/ 0 0 0.5 1 1.5 2 2.5 3
/ 0
Figure 4.9: Left: Dynamic amplification factor for linear viscously damped one degree of free-
dom oscillator of undamped eigenfrequency 0 subject to harmonic excitation of frequency .
Right: Corresponding phase delay of the response. The curves correspond to the damping
ratios = 1, 0.5, 0.2, 0.1, 0.01, 0.001 (bottom to top at the right side of /0 = 1).
4.3.4 Two or more degrees of freedom linear oscillator

By consistent modeling to the level of a two degree of freedom system the two coupled differ-
ential equations of movement in matrix notation get the form

m 11 m 12 u 1 c11 c12 u 1 k11 k12 u 1 p
+ + = 1 (4.69)
m 21 m 22 u 2 c21 c22 u 2 k21 k22 u 2 p2
3 0.5
damping force force
0.4
2 0 a
2
0.3
(a,ka)
0.2
1
2 0 a 0.1
displacement displacement
0 0
a
-0.1
-1
-0.2
-0.3
-2
-0.4
-3 -0.5
-3 -2 -1 0 1 2 3 -2 -1.5 -1 -0.5 0 0.5 1 1.5 2
Figure 4.10: Left: Viscous damping force elliptic loop during a displacement period. The en-
ergy loss per period is equal to the enclosed area Wd = a 2 2 0 . Right: Hysteretic damping
force loop during a displacement period. The enclosed area is Wd = (a)02 a 2 where (a)
is a frequency independent dimensionless function of the amplitude a. An equivalent viscous
damping ratio is then eq = Wd /(2a 2 0 ) = (a)0 /(2).
where

m 11 m 12 c11 c12 k k
M= , C= , K = 11 12 (4.70)
m 21 m 22 c21 c22 k21 k22
are the mass matrix, the damping matrix, and the stiffness matrix, respectively, and where the
displacement vector uT = [u 1 u 2 ] refer to a fixed coordinate system. The stiffness matrix
K is symmetric because the elastic work made by passing from the displacement (u 1 , u 2 ) to
the displacement (u 1 + du 1 , u 2 + du 2 ) must be the same irrespective of wether the passage is
from (u 1 , u 2 ) to (u 1 + du 1 , u 2 ) and from there to (u 1 + du 1 , u 2 + du 2 ), or from (u 1 , u 2 ) to
(u 1 , u 2 + du 2 ) and from there to (u 1 + du 1 , u 2 + du 2 ). The difference between the work along
the two paths becomes (k21 k12 )du 1 du 2 , and thus k21 = k12 .
There are no physical principles that require that the mass matrix and the damping matrix
are symmetric. However, in general the mass matrix M is symmetric. In fact, any square
matrix M can be written as the sum of a symmetric part (M + MT )/2 and an antimetric part
(M MT )/2. Only the symmetric part of the mass matrix can carry kinetic energy because
uT (M MT )u = 0. Similarly only the symmetric part of the damping matrix C can dissipate
energy. Therefore the damping matrix is usually also modeled as a symmetric matrix .
The simultaneous symmetry of the mass and the stiffness matrix makes the analysis of the
undamped movements particularly simple. These are determined by substituting u = U eit ,
U = unknown constant complex vector, into the differential equation Mu + Ku = 0. This
gives the equation
(2 M + K)U = 0 (4.71)
which has a nontrivial solution only if the determinant of 2 M + K is zero. The equation
(4.71) is recognized as the extended eigenvalue problem KU = 2 MU . Let U denote the
complex conjugate of U and consider the product U T KU . Since the product is a scalar it is
equal to its transpose U T KT U which is seen to be the complex conjugate of the product using
that KT = K. Thus the scalar is a real number, and this also applies if K is replaced by M.
Thus it follows from U T KU = 2 U T MU that the eigenvalue 2 is real, implying that also
the corresponding eigenvector U is real. Morover 2 is nonnegative because K and M are both
nonnegative definite. This property is ensured by the fact that elastic energy and kinetic energy
are nonnegative quantities.
In the case of a two degree of freedom system there are for most systems of engineering
interest two different positive eigenvalues 12 and 22 . Then the corresponding eigenvectors
U 1 and U 2 have the property of being ortogonal to each other with respect to both the mass
matrix M and the stiffness matrix K. In fact, by subtracting U T2 KU 1 = 12 U T2 MU 1 from
T T
(U 1 KU 2 )T = 22 (U 1 MU 2 )T and using the symmetry of K and M it follows that (22
12 )U T2 MU 1 = 0, and thus that U T2 MU 1 = 0. Then it is also true that U T2 KU 1 = 0.
The property of orthogonality with respect to K obviously implies that no elastic energy can
be transferred from the one to the other of the two undamped natural modes of vibration u1 (t) =
U 1 ei1 t and u2 (t) = U 2 ei2 t . It is convenient to order the natural frequencies according to size
such that 1 < 2 , denoting 1 as the fundamental frequency. The corresponding two modal
shape vectors U 1 and U 2 are generally such that the components of U 1 have the same sign and
the components of U 2 have opposite signs.
These properties of real eigenvalues, real eigenvectors and orthogonality directly generalize
to systems of any finite number of degrees of freedom (and even to systems with an infinite
countable number of degrees of freedom).
Turning now to the equation of free damped vibrations
Mu + Cu + Ku = 0 (4.72)
it is convenient to transform the equation by use of the matrix U = [U 1 U 2 ] where the

two columns are the undamped eigenvectors corresponding to the undamped eigenvalues col-
lected in the diagonal matrix 2 = 12 22 . The undamped eigenvalue problem is writ-
ten jointly for all eigenvalues and eigenvectors as KU = MU 2 , from which it follows that
UT KU = UT MU 2 = diagonal matrix. In particular the eigenvectors may be normalized such
that U MU = I = unit matrix. The one to one mapping
T
u = U v, v = UT M u (4.73)
is substituted into the differential equation, and the equation is multiplied from the left by UT .
This gives the equation
UT MU v + UT CU v + UT KU v = 0 (4.74)
which is the same as
v + UT CU v + 2 v = 0 (4.75)
, where Z = 1 2 is a
If case UT CU is also a diagonal matrix, it is conveniently written as 2Z
diagonal matrix of modal damping ratios. Then (4.75) separates into the uncoupled differential
equations
v1 (t) + 21 1 v1 (t) + 12 v1 (t) = 0

v2 (t) + 22 2 v2 (t) + 22 v2 (t) = 0 (4.76)
Thus the two degree of freedom oscillator problem has been reduced to two uncoupled one
degree of freedom oscillators that behave as described above. The free damped vibrations have
the form
u(t) = U 1 a1 e1 1 t ei(1d t+1 ) + U 2 a2 e2 2 t ei(2d t+2 ) (4.77)

1 1 t 2 2 t
[u(t)] = U 1 a1 e cos(1d t + 1 ) + U 2 a2 e cos(2d t + 2 ) (4.78)

where a1 , a2 are arbitrary constants, and d1 = 1 12 1 , d2
= 1 22 2 are the damped
natural modal frequencies. Each of the two mode displacements are to any time proportional
to the respective modal vectors, and the damping of the modes take place independently of
each other. The mode with the frequency 2 is damped away faster than the mode with the
frequency 1 , and after some time the movement is completely dominated by the movement
in the fundamental mode. All displacements in any mode pass zero simultaneously and are
maximal simultaneously.
The type of damping where UT CU is a diagonal matrix is called classical damping or modal
damping. The case C = 1 M+2 K of Rayleigh damping (4.31) obviously is classical damping
since UT CU = 1 I + 2 2 = 2Z giving the damping ratio matrix
1
Z = (1 1 + 2 ) (4.79)
2
where 1 and 2 are positive constants. Thus the proportionality of C with the mass matrix
implies that any modal damping ratio decreases inversionally proportional to the corresponding
modal natural frequency while proportionality with the stiffness matrix implies that the damping
ratio increases proportional to the corresponding modal natural frequency. Of course, modal
damping can be modeled directly by adopting the diagonal form of UT CU and specifying the
value of each modal damping ratio, for example on the basis of measurements. An extension
of the model of Rayleigh damping has been suggested in (Caughey 1960). The consequence
of the model is simply that (4.79) becomes extended by adding 3 2 + 4 4 + . . . , with any
needed number of terms included.
Remark 4.3: The most general necessary and sufficient condition for modal damping is that the
damping matrix C satisfies the condition M1 CK1 = K1 CM1 . The proof is based on the following
theorem.
Theorem: Let A and B be regular matrices of order n both with n linearly independent eigenvectors.
Then A and B have the same eigenvectors if and only if AB = BA.
Proof of only if part: Given Ax = x and Bx = x. Then (BA AB) x = Bx Ax =
( )x = 0 BA AB has rank zero BA = AB.
Proof of if part: Given AB = BA and AX = X , X = [x1 . . . xn ], = 1 . . . n . Then
BAX = BX BX = XI p
A(BX) = (BX)
where = 1 . . . n and I p = [ ei1 ei2 . . . ein ] in which the columns are all different unit vectors
ordered in some way that might be different from the natural order as it is in the unit matrix I. Thus
X = B1 XI p X
= AX = AB1 XI p BX
= BAB1 XI p = AXI p
XI p = X
I p I p = I p I p = I BX = X

which completes the proof of the theorem.
Since M1 CK1 = K1 CM1 M1 C = K1 CM1 K KM1 C = CM1 K

(M1 K)(M1 C) = (M1 C)(M1 K), the theorem can be applied with A = M1 K and B = M1 C.
Thus M1 KU = U 2 implies that M1 CU = U , where is a diagonal matrix, if and only if
M CK = K CM1 , and it follows hereafter that
1 1 1
UT CU = UT MU
=
if and only if M1 CK1 = K1 CM1 . This completes the proof.

For the case where the transformed damping matrix D = UT CU is not diagonal, the relation
the free damped vibrations must satisfy is obtained by substituting v(t) = V eit into (4.75):
(2 I + iD + 2 )V eit = 0 (4.80)
The nontrivial solutions are obtained for those values of for which | 2 I + iD + 2 | = 0.
This frequency equation is a 2n degree complex polynomial equation in . Therefore it has 2n
solutions j = j + i j , j = 1, 2, . . . with corresponding eigenvectors V j . Consequently the
free movement can be any superposition of the 2n independent basis movements of the form
(suppressing index j)
u(t) = UV et eit = et (X + iY )(cos t + i sin t) =

et [(X cos t Y sin t) + i(X sin t + Y cos t)] (4.81)
X = (UV ), Y = (UV )
with real part (for n = 2 degrees of freedom)

t a1 cos(t + 1 )
t
[u(t)] = e (X cos t Y sin t) = e (4.82)
a2 cos(t + 2 )

x1 x2
a1 = x12 + y12 , a2 = x22 + y22 , cos 1 = , cos 2 = (4.83)
a1 a2
with X T = [x1 x2 ] and Y T = [y1 y2 ]. It is seen that nonclassical damping implies that
there in general will be a nonzero phase difference 1 2 between the free damped harmonic
movements of common frequency of the two mass points. This means that for each single
natural vibration mode the displacements of the masses are not zero simultaneously and are
not at their maximal values simultaneously such as it is the case for a classically damped multi
degree of freedom linear oscillator.
The difficulty of solving the frequency equation for nonclassically damped systems of sev-
eral degrees of freedom has made it common to assume classical damping in structurel vibration
analysis for engineering practice. Even though the computational problem has diminished with
the use of modern computers, the difficult problem of assessing the values of the elements of
the damping matrix remains. Certainly, keeping to the diagonal form of UT CU requires a less
number of damping parameters to be assessed on the basis of measurements and/or other in-
formation. If there is evidence of significant phase differences in the observed displacement
movements for example in the fundamental mode after the higher modes are damped out, it
should be considered to perform the vibration analysis with nonclassical damping if it has im-
portant engineering consequences.
In the following only classically damped systems are considered. Applied to the excitation
p(t) on the right side of (4.69) the transformation (4.73) gives the excitation UT p(t) such that
the modal equations of movement become
v1 (t) + 21 1 v1 (t) + 12 v1 (t) = U 1 T p(t) = u 11 p1 (t) + u 12 p2 (t)

v2 (t) + 22 2 v2 (t) + 22 v2 (t) = U 2 T p(t) = u 21 p1 (t) + u 22 p2 (t) (4.84)
Due to their role on the right side of these equations, the elements of the undamped eigenvectors
U 1 and U 2 are called the modal participation factors.
Remark 4.4: In case of stationary random response process V (t) a technique to replace a nonclas-
sical damping matrix D = UT CU by an approximating diagonal damping matrix Z is to choose the
V (t) DV (t) has the same expectation as
T
damping ratios in Z such that the dissipation per time unit
V (t) Z
T
V (t) and such that the Euklidian norm of Cov V (t)T DV (t) V (t)T Z
V (t), [V1 (t)2 . . .

Vn (t)2 ] becomes minimized.
This problem is similar to approximation by linear regression of a random variable Y on a vec-
tor X of random variables, except that the approximation Y = aT X is required to be homogeneous
linear. Therefore there is one condition more to satisfy than the number of unknown components in
the coefficient vector a. Consequently it is not possible to obtain that both E[Y ] = aT E[X] and
Cov[Y Y , X] = 0. In stead the last condition is replaced by a minimization of the square of the
Euklidian norm of Cov[Y Y , X]. Applying the Lagrangian factor method the function
(a1 , . . . , an ) =
(Cov[Y, X T ] aT Cov[X, X T ])(Cov[X, Y ] Cov[X, X T ]a) + (aT E[X] E[Y ]) (4.85)
must be minimized with respect to the components of a and the Lagrangian factor . Differentiation
with respect to ai and setting to zero gives
,i (a1 , . . . , an ) = ei T Cov[X, X T ](Cov[X, Y ] Cov[X, X T ]a)

(Cov[Y, X T ] aT Cov[X, X T ]) Cov[X, X T ]ei + ei T E[X] =
ei T (2Cov[X, X T ]Cov[X, Y ] + 2Cov[X, X T ]2 a + E[X]) = 0 (4.86)
where ei T is the ith unit vector. Since this equation must be satisfied for all i = 1, . . . , n, the factor to
ei T must be the zero vector, and thus

a = Cov[X, X T ]2 (Cov[X, X T ]Cov[X, Y ] E[X]) (4.87)
2
Substituting this result into the condition E[Y ] = aT E[X] finally gives an equation that determines
such that the best homogeneous linear approximation to Y in terms of X becomes
Y =
Cov[Y, X T ]Cov[X, X T ]1 E[X] E[Y ]
T 1
Cov[Y, X T ] Cov[X, X ] E[X T
] Cov[X, X T ]1 X
E[X]T Cov[X, X T ]2 E[X]
(4.88)
For the application to the above formulated damping matrix approximation problem the random variable
T
Y is Y = V DV while X is X = [V12 . . . Vn2 ]T . The needed expectations and covariances in (4.88) can
be calculated explicitely if the response V (t) is a stationary Gaussian vector process. With D = {di j }nn ,
4.4. RESPONSE OF LINEAR SYSTEMS TO FORCES OF GENERAL RANDOM PROCESS TYPE 89
i2 = Var[Vi ], and i j = correlation coefficient between Vi and V j , the results are

E[X] = k2 (4.89)
n

n
n
E[Y ] = di j i j i j (4.90)
i=1 j=1

Cov[X, X T ] = 3(i j i j )2 (4.91)
nn
Cov[X, Y ] =
n n
di j i j i j
3k2 (ik
jk i j )2
+ ( jk
ik i j ) 2
+ 2 (
i j ik
jk i j )( jk
ik i j )
i=1 j=1
1 i2j n
(4.92)
Since the idea of introducing the classical damping approximation is to avoid the more complicated cal-
culations needed to obtain exact random response process to the random excitation process, an iterative
procedure must be used. First the off diagonal elements of the damping matrix D are replaced by ze-
ros, making the oscillator clasically damped, and the expectations (4.89), (4.90) and covariances (4.91),
(4.92) of the corresponding response are calculated, and substituted into (4.88) to give the first improve-
ment of the equivalent modal damping matrix. This calculation procedure is continued iteratively until
a sufficiently small change from one calculation to the next is achieved.
It is noted that the best approximating modal damping matrix, that is, the coefficient matrix to X
in (4.88), does not depend on the absolute level of the standard deviations i of the stationary random
response.
Exercise 4.4: Return to Exercise 4.3.
Question 4.4.1: Formulate the (three) equations of a finite element model with a nodal mass at
a point A on the topside bottom and a nodal mass at point B placed at the still water level. Plot
the amplitude shapes as function of x2 for all the free undamped solutions of the form u(x2 , t) =
([u A u B B ]S(x2 )eit ), () = real part.
Hint: Use a standard MATLAB program to solve the (extended) eigenvalue problem, but be aware
that the problem is not necessarily symmetric. Unsymmetry implies that the row eigenvectors in general
will be different from the column eigenvectors. This is essential for the interpretation of the physical
meaning of the eigenvectors.
Question 4.4.2: Reduce the 3 degree of freedom system in Question 4.4.1 to a 2 degree of freedom
system by neglecting the rotational inertial force that corresponds to B . This type of approximate reduc-
tion of the system size is called static condensation. As in Question 4.4.1, plot the amplitude shapes of
the free undamped solutions to the reduced system. Compare in the same diagram the amplitude shapes
corresponding to the one degree of freedom system considered in Question 4.3.3, and the 2 and 3 degree
of freedom systems in this question and in Question 4.4.1.
4.4 Response of linear systems to forces of general random

process type
Let p(t) in Duhamels integral (4.41) be a random process X (t) of zero mean, implying that the
response u(t) becomes the random process
t
Y (t) = h(t ) X ( ) d (4.93)

of zero mean and with covariance function

t1 t2
Cov[Y (t1 ), Y (t2 )] = h(t1 1 )h(t2 2 )Cov[X (1 ), X (2 )] d1 d2 (4.94)

If the excitation process X (t) is covariance stationary, that is, Cov[X (1 ), X (2 )] = C X X (2

1 ), where C X X (t) is a nonnegative definit function, then it is easily seen that the response Y (t)
is covariance stationary. Writing Cov[Y (t1 ), Y (t2 )] = CY Y (t1 t2 ), (4.94) becomes
t1 t2
CY Y (t1 t2 ) = h(t1 1 )h(t2 2 )C X X (1 2 ) d1 d2 (4.95)

This equation can berepresented in the frequency domain by substituting the Wiener-Khintchine

relation C X X ( ) = S X X () ei d. This gives
t1 t2
CY Y (t1 t2 ) = h(t1 1 )e i1
d1 h(t2 2 )ei2 d2 S X X () d

(4.96)
Since
t2
h(t2 2 )ei2 d2 = H () eit2 (4.97)

where H () is the frequency response function, it follows that

CY Y (t2 t1 ) = H ()H () ei(t2 t1 ) S X X () d (4.98)

showing that the spectrum SY Y () of the response process Y (t) is

SY Y () = |H ()|2 S X X () (4.99)
The factor function |H ()|2 = H ()H () is called the spectral amplification factor or the
spectrum transfer function and is the square of the frequency amplification factor (4.57).
In the generalization to a linear dynamic system idealized as a finite element system of a
finite number of degrees of freedom, the external node forces can be an m-dimensional vector
of stationary random processes X(t) and the response Y (t) an n-dimensional vector of sta-
tionary random node point displacement processes. Then for each relevant node point force
component there is an n-dimensional vector of impulse response functions h j (t) corresponding
to the considered component put to a force impulse (t) and all other node force components
put to zero. The linearity of the system implies that the response to the random excitation
X(t) = [X 1 (t) . . . X m (t)]T is
m t t
Y (t) = h j (t ) X j ( ) d = h(t ) X( ) d (4.100)
j=1
where h(t) = [h1 (t) . . . hm (t)] is the (n, m)-matrix of impulse response functions. The covari-
ance function matrix of the stationary response vector process Y (t) then becomes
t1 t2
CY Y (t1 t2 ) = h(t1 1 )C X X (1 2 )h(t2 2 )T d1 d2 (4.101)

The covariance function matrices C X X (t) and CY Y (t) are not necessarily symmetric, but they
have the property C X X (t) = C X X (t)T . The Wiener-Khintchine relations have the straight-
forward generalizations, see e.g. (Ditlevsen 1981) p. 362,

C X X ( ) = S X X () ei d (4.102)

1
S X X () = C X X () ei d (4.103)
2
where S X X () is called the spectral matrix of the stationary vector process X(t). A square
matrix S can be a spectral matrix for a stationary vector process if and only if it is a nonnegative
definite Hermitian matrix, that is, if and only if S has no negative eigenvalues and S = ST , see
e.g. (Cramer & Leadbetter 1967) p. 161. Substitution of (4.102) into (4.101) gives
t1 t2
CY Y (t1 t2 ) = h(t1 1 )e i1
d1 S X X () h(t2 2 )T ei2 d2 d =

t1 t2
ei(t1 t2 ) h(t1 1 )ei(t1 1 ) d1 S X X () h(t2 2 )T ei(t2 2 ) d2 d =

H()S X X ()H()T ei(t1 t2 ) d (4.104)

where
t1
i(t1 1 )
H() = h(t1 1 )e d1 = h(t)eit dt (4.105)
0
is the frequency response function matrix. Thus the response process Y (t) has the spectral
matrix
SY Y () = H()S X X ()H()T (4.106)
Having obtained the spectral matrix SY Y () for the response process of node displacements
Y (t) the spectrum of any response process Z(t) as for example a stress tensor at a specific
point of the structure can be obtained as
S Z Z () = H Z ()SY Y ()H Z ()T (4.107)
where H Z () is the frequency response function matrix (or spectrum transfer function matrix)
from the vector of node displacements to the considered response vector process Z(t). This
transfer matrix may for example be obtained by some suitable finite element model of sufficient
detaling to describe the response Z(t) with sufficient accuracy.
4.4.1 Application to tubular structure subject to stationary random wave

load process
In the Airy wave theory a stationary and homogeneous Gaussian surface elevation of spectrum
S() can be written as the real part of 0 exp{i[ t k()x1 ]} d Z (), see Remark 3.1, and
a velocity potential in the form of a complex random field is therefore obtained from (1.32) as

cosh[k()(x2 + d)] i[tk()x1 ]
U (x1 , x2 , t) = e d Z () (4.108)
0 k() sinh[k()d ]
The real part of half the covariance function of this complex field is the covariance function of
the real part of U (x1 , x2 , t):
Cov[U (x1 , x2 , t), U (y1 , y2 , t + )]/2 = E[U (x1 , x2 , t)U (y1 , y2 , t + )]/2 =

1 1 2 cosh[k(1 )(x2 + d)] cosh[k(2 )(y2 + d)]
2 0 0 k(1 )k(2 ) sinh[k(1 )d ] sinh[k(2 )d ]
i[1 tk(1 )x1 ] i[2 (t+ )k(2 )y1 ]
e e E[d Z (1 )d Z (2 )] =
2
cosh[k()(x2 + d)] cosh[k()(y2 + d)] ik()(x1 y1 ) i
e e S() d (4.109)
0 k()2 sinh2 [k()d ]
It follows from this result that the real parts of
2
Cov[Vl (x1 , x2 , t), Vm (y1 , y2 , t + )] = Cov[U (x1 , x2 , t), U (y1 , y2 , t + )]/2 =
xl ym
2 cosh[k()(x2 + d)] cosh[k()(y2 + d)] ik()(x y ) i

0
e 1 1 e S() d for l = m = 1
sinh 2
[k()d ]
2 sinh[k()(x2 + d)] sinh[k()(y2 + d)] ik()(x y ) i
0 e 1 1 e S() d for l = m = 2
sinh2 [k()d ]
2 cosh[k()(x2 + d)] sinh[k()(y2 + d)] ik()(x y ) i
i e 1 1 e S() d for l = 1, m = 2
0
sinh 2
[k()d ]
2 sinh[k()(x2 + d)] cosh[k()(y2 + d)] ik()(x y ) i
i 0 e 1 1 e S() d for l = 2, m = 1
sinh2 [k()d ]
(4.110)
are the covariance functions for the particle velocities. The covariances between the particle
velocities and the particle accelerations are hereafter obtained by differentiation with respect to
:

Cov[Vl (x1 , x2 , t), Vm (y1 , y2 , t + )] = Cov[Vl (x1 , x2 , t), Vm (y1 , y2 , t + )]

(4.111)


(4.112)
2
2
(4.113)
and are the real parts of these expressions.

The right side of the finite element equation of motion (4.35) is
l l
F (t) = k D (s)S(s)X(s, t) |X(s, t)| ds + k M (s)S(s)X(s, t) ds =
0 0
l l

k D (s)S(s)O(s)V [x(s), t] O(s)V [x(s), t] ds + k M (s)S(s)O(s)V [x(s), t] ds (4.114)
0 0
where O(s) = I c(s)c(s)T , in which c(s) is the unit vector in the direction of the cylinder axis
at position s. Thus O(s) is the orthogonalization operator matrix that applied to V gives the
component of V orthogonal to c(s). The pair x(s) = [x1 (s), x2 (s)] is the projection of the tube
point at s on the coordinate system of the plane wave field. The matrix covariance function of
the nodal wave forces then is
Cov[F (t), F (t + )T ] =
l l

k D (s1 )k D (s2 ) S(s1 )Cov O(s1 )V [x(s1 ), t] O(s1 )V [x(s1 ), t] ,
0 0
T
{O(s2 )V [x(s2 ), t + ]} O(s2 )V [x(s2 ), t + ] S(s2 )T ds1 ds2 +
l l
k D (s1 )k M (s2 )
0 0

S(s1 )Cov O(s1 )V [x(s1 ), t]O(s1 )V [x(s1 ), t] , {O(s2 )V [x(s2 ), t + ]T } S(s2 )T ds1 ds2 +
l l
k M (s1 )k D (s2 )
0 0

S(s1 )Cov O(s1 )V [x(s1 ), t], {O(s2 )V [x(s2 ), t + ]}T O(s2 )V [x(s2 ), t + ] S(s2 )T ds1 ds2 +
l l
k M (s1 )k M (s2 )
0 0

S(s1 )Cov O(s1 )V [x(s1 ), t], {O(s2 )V [x(s2 ), t + ]}T S(s2 )T ds1 ds2 (4.115)
The covariance matrix in the integrand of the last double integral is directly obtained from
(4.113) while the covariances in the integrands of the first three integrals are more complicated
due to the presense of the absolute velocity values. However, the Gaussianity of the particle ve-
locity field makes it possible to obtain approximate expressions for these covariances. The tools
are the folowing formulas. Let (X, Z ) be a Gaussian pair of zero expectations, unit variances,
and covariance Cov[X, Z ] = . Then

2 2

Cov X |X |, Z |Z | = (1 + 2 ) arcsin + 3 1 2 (4.116)

2
Cov X |X |, Z = (4.117)

The proofs are given in Remark 4.5.
These formulas can be applied to scalar random variables X and Z . To be directly applicable
on the covariances in the integrals of (4.115), the vector OV |OV | must be represented in
coordinate form in a local coordinate system that for a given wave direction is fixed relative to
the tube at s such that only one of the coordinates of OV are different from zero. This is possible
for the vertical tubes of the structure, but for the non-vertical tubes only a representation with
two non-zero coordinates
can be obtained.
Thus it is required to
have formulas for covariances
of the type Cov[X 1 X 12 + a 2 X 22 , X 3 X 32 + b2 X 42 ], and Cov[X 1 X 12 + a 2 X 22 , X 3 ], where 0
a, b 1 are scaling constants, and X 1 , X 2 , X 3 , X 4 are jointly Gaussian random variables with
zero expectations, unit standard deviations, and covariances Cov[X i , X j ] = i j . Closed form
formulas for these covariances may not exist, or are difficult to obtain at least. Since the non-
vertical tubes generally have less diameters than the vertical tubes the contributions from the
non-vertical tubes to the nodal forces are less dominating than those fromthe vertical tubes. It
is therefore judged to be accurately enough to replace the vector length X 12 + a 2 X 22 , a 1,

by k |X 1 |, where k = 1 + a 2 (1 + 212
2 )/3 is the value of k that minimizes E[(X 2 + a 2 X 2
1 2
k 2 X 12 )2 ]. The variance

2 2 2 2 )/3 = 3 + a 2 (1 + 2 2 )
Var X 1 X 1 + a X 2 = Var X 1 |X 1 | 1 + a 2 (1 + 212 12
(4.118)
becomes exact, while the correlation coefficients

Corr X 1 X 1 + a X 2 , X 3 X 32 + b2 X 42
2 2 2

2 2

Corr[X 1 |X 1 |, X 3 |X 3 | ] = (1 + 213 ) arcsin 13 + 313 1 13
2 (4.119)
3

2
Corr[X 1 X 12 + a 2 X 22 , X 3 ] Corr[X 1 |X 1 |, X 3 ] = 13 (4.120)
3
are approximate except for a = b = 0. The approximate correlation coefficients are indepen-
dent of a and b, of course. An evaluation of the size of this error is made for a particular choice
of the correlation structure between the X -variables in Remark 4.6. The error level turns out to
be relatively modest and judged to be well within the general level of uncertainty in the present
offshore structure applications.
Remark 4.5: The proofs of (4.116) and (4.117) are as follows: Write Z = X + 1 2 Y , where
E[X ] = E[Y ] = 0, Var[X ] = Var[Y ] = 1, and Cov[X, Y ] = 0, implying that = Cov[X, Z ]. Then
with = sin , /2 /2:

Cov X |X |, Z |Z | = E X (X sin + Y cos ) |X (X sin + Y cos )| =

E R 4 cos (cos sin + sin cos ) | cos (cos sin + sin cos )| =

E[R 4 ] E cos sin( + ) | cos sin( + )| (4.121)
where

2 /2
E[R 4 ] = r 5 er dr = 8 (4.122)
0
and

2 E cos sin( + ) | cos sin( + )| =
/2
2 [cos sin( + )]2 d [cos sin( + )]2 d =
/2

1 /2
[sin + sin(2 + )] d 2
[sin + sin(2 + )]2 d =
2 /2
1 1
(1 + 2 sin2 ) + 3 sin cos = (1 + 2 2 ) arcsin + 3 1 2 (4.123)
2 2
which concludes the proof of (4.116). The formula (4.117) follows from

Cov X |X |, Z = E X |X | (X + Y 1 2 ) =

2
E[X 2 |X | ] = 2 x 3 (x) d x = (4.124)
0

Remark 4.6: The error of the approximate correlation coefficient (4.119) is illustrated by simulation
order 1,2,3,4 for * and 1,3,2,4 for o

0.8
0.7
0.6
correlation coefficient
0.5
0.4
0.3
0.2
0.1
-0.1
0 0.2 0.4 0.6 0.8 1
a

Figure 4.11: Comparison of correlation coefficients Corr[X 1 X 12 + a 2 X 22 , X 3 X 13 + a 2 X 42 ]

and Corr[X 1 X 1 + a X 3 , X 2 X 22 + a 2 X 42 ] obtained by simulation and the correlation coef-
2 2 2
ficient corresponding to a = 0 and given by the right side of (4.119). The considered random
variables are defined in Remark 4.6.
results in Fig. 4.11 for the special Gaussian random variables X 1 = Y1 , X 2 = kY1 + Y2 , X 3 = k 2 Y1 +
kY2 + Y3 , X 3 = k 3 Y1 + k 2 Y2 + kY3 + Y4 , where Y1 , Y2 , Y3 , Y4 are independent zero mean unit variance
Gaussian random variables,and k is a constant.
The two cases Corr[X 1 X 1 + a X 2 , X 3 X 13 + a 2 X 42 ] Corr[X 1 |X 1 |, X 3 |X 3 |] (points marked by
2 2 2

*) and Corr[X 1 X 12 + a 2 X 32 , X 2 X 22 + a 2 X 42 ] Corr[X 1 |X 1 |, X 2 |X 2 |] (points marked by ) are con-
sidered for k = 0, 0.2, 0.4, 0.6, 0.8, 1.0 and 0 a 1. The effect of a is a slightly increasing correlation
coefficient with a, and the more so for increasing values of the correlation level. The approximations
obtained by setting a = 0 are not seriously in error.
With the above formulas available the covariance matrix Cov[F (t), F (t + )T ] of the node
force vector process F (t) can be determined approximately from the given wave spectrum S()
by numerical integration. Numerical errors may cause that the resulting matrix does not fulfil
the requirement of being a nonnegative definit matrix of nonnegative definite functions. A
remedy against this is to increase the accuracy of the numerical integration, of course, at the ex-
pence of longer computation time, however. Another remedy is to calculate the spectrum matrix
S F F () numerically from (4.103) after substitution of the possibly slightly erraneous covari-
ance matrix Cov[F (0), F (t)T ], and thereafter check whether a nonnegative definite Hermitian
matrix is obtained. A Hermitian matrix has real eigenvalues, and the matrix is nonnegative
definite if and only if all the eigenvalues are nonnegative definite. Thus the possible numerical
error effect is that some of the eigenvalues become negative for some values of . Assuming
that these negative eigenvalues are made small in absolute value by using a reasonably accu-
rate numerical calculation of Cov[F (0), F (t)T ], the error with respect to lack of nonnegative
definiteness is removed by simply replacing all the negative eigenvalues by zero. A corrected
spectral matrix is then defined by the eigenvector expansion S() = W()()W()T , where
() is the corrected diagonal matrix of nonnegative eigenvalues, and W() is the matrix of
the corresponding eigenvectors to the uncorrected spectral matrix. The spectral matrix of any
considered response vector is finally obtained from (4.106) and (4.107).
It is noted that the described spectral analysis solely gives information about the probabilistic
moments of second order. Even though the sea wave process is assumed to be Gaussian, the
nonlinear drag force term in Morisons formula implies that the force process becomes non-
Gaussian. How much this non-Gaussianity of the excitation moves the response away from
being Gaussian is a difficult question. If it comes to comfort for people on the offshore platform
it may be sufficient just to use the results of the spectral analysis to judge the properties or to
meet given criteria. However, if the problem is the evaluation of fatigue life of some structural
part, a deviation from the normal distribution of the stress process may be quite important
because the stress amplitudes contribute additively to the fatique damage after being raised to a
power of 3 to 4.
The integration of the excitation over the structure may in analogy to the central limit theorem
make the response closer to Gaussian than the excitation. This is a very loose statement and
it may therefore be needed in some situations to get information about the higher moments of
the response by direct simulation in the time domain. Simulation directly from the particle
velocity field to the response of interest may be a very time consuming task. An intermediate
step is by separate simulations and other considerations to obtain information on the marginal
distributional shapes of the node force processes.
A computationally operational representation of the nodal forces is to define these as a vec-
tor of third degree polynomials of Gaussian processes of zero mean and unit variance, and
with the correlation function matrix and the polynomial coefficients chosen such that the vec-
tor of polynomials get the precalculated covariance function matrix Cov[F (0), F (t)T ]. The
number of free coefficients are sufficient to vary the skewness and the kurtosis within certain
limits,(Ditlevsen & Madsen 1996) p. 119. This polynomial representation has been succesfully
used for certain types of offshore structures, (Winterstein 1988).
Remark 4.7: A distribution type that has been much applied for description of the marginal distri-
bution of the amplitude processes corresponding to the response processes in tubular offshore structures
is the so-called Weibull distribution. The Weibull distribution function of the corresponding random
variable W is
1 x
FW (x) = 1 exp , x 0 (4.125)
2 x0
where x0 is a scale parameter and is a positive shape parameter that in the offshore structure applica-
tions usually satisfies 2. For a narrow band Gaussian response process the amplitude distribution
is a Rayleigh distribution which corresponds to = 2 while = 1 gives the exponential distribution.

These are the two extreme cases of the Borgman distribution (4.17). The small values of are typical
when the drag force contribution is large as compared to the inertial force contribution. In fact, if the
amplitude process A(t) of a narrow band Gaussian process X (t) is raised to the power 2/ , then the
marginal distribution function of the obtained process W (t) = A(t)2/ is given by (4.126). Thus a value
of less than 2 increases the large upper tail values relative to the values of the Gaussian process. The
shape parameter in the Weibull distribution becomes x0 = 2/ , where = D[X (t)] is the standard
deviation of the Gaussian process. The mth moment of the random variable W is
A 2m/ 2 m/ x2
x 2
E[W ] = E[A
m 2m/
]= 2m/
E = (2 )
2 m/
ex /2 d =
2 2
m
0
= (2 )2 m/
u m/ eu du = 2m/ + 1 x0m (4.126)
0
While the spectral analysis give , and thus the scale parameter x0 = 2/ if is known. The exponent
may depend on the sea state and may be assessed by simulations or on the basis of measurements
on existing offshore structures. The value m = 4.1 is seen recommended for fatique analysis of welded
tubular connections. A crude estimate of the mean fatigue damage increment per time unit within a given
sea state is then proportional to E[W m ] 0 where 0 is a characteristic central frequency of the sea wave
process. For a more accurate assessment of the expected damage rate the relevant expectation is
A(t)2m/
E (4.127)
T (t)
where [A(t), T (t)] is the process pair of local amplitude and period of the response process X (t) under
the assumption that X (t) is Gaussian. The positive correlation between A(t) and T (t) is important for
ensuring that the joint density becomes sufficiently small in a neighbourhood of (0, 0) to ensure the
existence of a finite value of the expectation E[A(t)2m/ /T (t)].
Chapter 5
Appendix on Basic Probability Theory

Concepts
5.1 Probability space

The first basic concept of probability theory is the sample space which is a set of elements
called points or outcomes. The sample space is defined as the set of all possible outcomes of
an experiment, though restricted to outcomes that are relevant in a given modeling application.
The subsets of are called events. However, not all events may be relevant in a given modeling
application. With the desire only to work with events that are relevant, a subset of the set of
events that contains the relevant events is chosen for the further modeling. However, this subset
may be larger than the set of relevant events because it needs to possess a certain algebraic
structure to allow a minimum of necessary mathematical manipulations within the subset. What
turns out to be needed is that the considered subset has the structure as a so-called sigma-algebra
or sigma-field ( -field). This is the second basic concept of probability theory: A subset of
events in the sample space is a sigma-field F if the subset has the following properties:
(a) F (5.1)
(b) A F A F (5.2)
(c) A1 , A2 , . . . , An , . . . F
n=1 An F (5.3)
These properties imply that = F ( is called the empty event), and that F is
closed with respect to a countable number of the set operations union , intersection , and set
difference . There obviously is a smallest sigma-field that contains all the relevant events. In
the applications it is generally not needed to identify this smallest sigma-field. All that is needed
is that there is some sigma-field that contains the relevant events and on which a probability
measure can be defined. This is the third basic concept of probability theory. A probability
measure is a mapping P : F [0, 1] with the following properties:
(d) P() = 1 (5.4)

(e) A1 , A2 , . . . , An , . . . F i, j : Ai A j = P(
n=1 An ) = P(An )
n=1
(5.5)
99
100 CHAPTER 5. APPENDIX ON BASIC PROBABILITY THEORY CONCEPTS
The triple (, F, P) is called a probability space. In modeling applications the applied proba-
bility space is rarely explicitly set up in all its details. Except for the simplest probability spaces
it is usually not possible to determine the probability P(A) on some arbitrary event A F.
However, all what is needed in the applied modeling is that all definitions and applied operations
are consistent with the rules. For example, if probabilities are assigned to three events A, B, and
A B, then the assignments are only consistent with the rules if P(A B) P(A)+ P(B) with
equality valid if A B = (but not vice versa). Similarly it can be shown that it is inconsistent
with the rules to assign a probability to A B that differs more from P(A)P(B) than 1/4.
5.2 Random variable

A simple minded and most common motivation to set up a probabilistic model is the experience
that a well define scalar quantity shows randomly fluctuating values from experiment to exper-
iment. Then the experimentalist usually says that the quantity is a statistical quantity with an
observed cumulative distribution of the measurement results. The probabilistic modeling can
start from this information if there is a concept in the probability theory that fits to this type of
information. This concept is the random variable formally defined as a special type of mapping
X that to each assigns a point X () R. The special is that for X : R to be a ran-
dom variable it is required that the set of points in that by X maps into the half axis ] , x]
for any x R belongs to F. By this requirement the existence of the probability of the event
{ | X () ] , x]} is ensured for any x R. This probability is written as P(X x)
(omitting the explicit reference to ), and it is a never decreasing function of x with properties
that completely correspond to those of the cumulative distribution of the experimentalists data.
This function is called the distribution function of X , and it is written as FX (x). By assigning
FX (x) such that it fits to some degree of accuracy to the experimentalists cumulative distribu-
tion of the data, an assignment of probabilities is simultaneously made to all those events in F
that are generated from the set of events {{ | X () ] , x]} F | x R} by using the
set operation rules of F. Obviously this subset of F is itself a sigma-field F X , and it is the
smallest sigma-field that meets the need to model the data situation of the experimentalist. This
sigma-field is said to be generated by the random variable X . For a never decreasing function
F to be a candidate as a distribution function for a random variable it must be continuous from
the right (a consequence of rule (e)), but not necessarily continuous from the left, and it must
satisfy F() = 0 and F() = 1.
Some few examples of the most used distribution functions for modeling are
Normal or Gaussian
x distribution:
x 1 1 2
FX (x) = , x R, where (x) = (t) dt and (x) = e 2 x are called
2
the standard normal distribution function and density function, respectively, while and > 0
are the parameters of the normal distribution.
Lognormal distribution:
If Y has a normal distribution, then X = eY has a lognormal distribution with
log x
FX (x) = P(Y log x) = , x R+ .

Gamma distribution:
5.3. SEVERAL RANDOM VARIABLES 101
a k x k1 at
FX (x) = t e dt, (k) = 0 t k1 et dt (the gamma function), a > 0, k > 0
(k) 0
are parameters.
Binomial distribution:
"[x] #n $ i # $
ni , n = n!
FX (x) = i=0 i p (1 p) , [x]= integer part of x, parameter n is a
i i!(n i)!
positive integer, and parameter p [0, 1].
Poisson distribution:
"
FX (x) = ec [x] n=0 c /n!, x R+ , c > 0 is a parameter.
n
5.3 Several random variables

A model may be formulated with several random variables X 1 , X 2 , . . . , X n : R in play.
Besides the probabilities P(X i x) given by the distribution functions FX i (x), it follows from
the rules that the probability exists for any event defined as the intersection of any number
of the events {X 1 x1 }, . . . {X n xn } for any point (x1 , . . . , xn ) Rn . Thus there is a
function FX 1 ... ,X n (x1 , . . . , xn ) = P({X 1 x1 } . . . {X n xn }) of (x1 , . . . , xn ) Rn with
properties in each variable as the properties of the one-dimensional distribution function except
that FX 1 ,... ,X n (x1 , . . . , xn ) FX 1 ,... ,X n (x1 , . . . , xn1 ) as xn , and similarly for the same
type of limit passage in any of the other variables. This function is called the (ndimensional)
distribution function of the random vector (X 1 , . . . , X n ). Obviously the distribution function
of any subvector of (X 1 , . . . , X n ) is obtained from the ndimensional distribution function
FX 1 ,... ,X n (x1 , . . . , xn ) by setting xi = for all X i that are not contained in the subvector. In
particular FX 1 ,... ,X n (, . . . , ) = 1.
By choosing the n-dimensional distribution function of a random vector X = (X 1 , . . . , X n )
in a given modeling situation, a minimal sigma-field FX F that contains all events of rele-
vance for X is generated just as for n = 1. Obviously F X i FX for any i 1, . . . , n.
Often the distribution function is defined in terms of an everywhere nonnegative density
function f X 1 ,... ,X n (x1 , . . . , xn ) by the integral
x1 xn
FX 1 ,... ,X n (x1 , . . . , xn ) = ... f X 1 ,... ,X n (t1 , . . . , tn ) dt1 . . . dtn (5.6)

with the inverse formula

n FX 1 ,X 2 ,... ,X n (x1 , x2 , . . . , xn )
f X 1 ,... ,X n (x1 , . . . , xn ) = (5.7)
x1 x2 . . . xn
The most often used ndimensional distribution function is the normal or Gaussian ndimensional
distribution function obtained by starting out from the ndimensional standard normal density
function
1 1 T
n (x1 , . . . , xn ) = (x1 )(x2 ) . . . (xn ) = exp( x x), x = (x1 , . . . , xn )
(2 )n 2
(5.8)
as density function for an ndimensional random vector X. Any inhomogeneous linear one-to-
one mapping y = Ax + , with inverse x = A1 (y ) of Rn onto Rn defines a random vector
Y = AX + with the density function
1 1
T T 1
f Y (y) = exp (y ) [AA ] (y ) (5.9)
(2)n det(AAT ) 2
The determinant det(AAT ) = det(A)2 under the square root sign comes from the fact that a
volume element of volume 1 in x-space maps onto a volume element in y-space of volume
|det(A)|. The density function (5.9) is the general expression for the ndimensional normal
distribution.
The ndimensional lognormal distribution function is obtained as the distribution function
of the random vector (X 1 , . . . , X n ) = [exp(Y1 ), . . . , exp(Yn )], where (Y1 , . . . , Yn ) is a Gaus-
sian vector, that is, a random vector with ndimensional normal distribution function.
5.4 Conditional probabilities

For any event A F the set of events {A B F | B F} is obviously a sigma-field if
A is taken to be the sample space. Denoting this sigma-field as A F, a probability measure
P( | A) : A F [0, 1] can obviously be defined by normalizing the probability measure
P : F [0, 1] to obtain
P(A B)
P(B | A) = (5.10)
P(A)
given that P(A) > 0. This probability is called the conditional probability of the event B given
the event A. The event B is said to be independent of the event A if P(B | A) = P(B). If
P(B) > 0 the conditional probability P(A | B) is also defined, and if B is independent of A
then A is independent of B. Since in this case P(A B) = P(A)P(B), a relation which is
valid also if P(A)P(B) = 0, the events are said to be mutually independent if
P(A B) = P(A)P(B) (5.11)
P(B)
If P(A)P(B) = 0, then P(B | A) = P(A | B), which is Bayes formula. More generally,
P(A)
n events A1 , . . . , An F are said to be mutually independent if and only if
n
P(i=1 Ai ) = P(A1 )P(A2 ) . . . P(An ) (5.12)
Let the sample space be subdivided into n disjoint events A1 , A2 , . . . , An , that is, i = j :
Ai A j = and = i=0
n
Ai , such that i : P(Ai ) > 0. Then obviously

n
P(B) = P(B | Ai )P(Ai ) (5.13)
i=0
for any B F.
It follows from the definition of conditional probability that the concept of random variables
carries over without any changes as long as the conditioning event A has positive probability.
5.5. CONDITIONAL RANDOM VARIABLES 103
The random vector X directly generates a conditional random vector X | A with the distribution
function FX | A (x) FX (x | A) P(X 1 x1 , . . . , X n xn | A).
Conditioning on an event A for which P(A) = 0 is less elementary. The obvious pro-
cedure is to select a sequence A1 A2 . . . An . . . of events in F satisfying
i : P(Ai ) > 0 so that A = n=1 An and define P(B | A) as the limit of the sequence
P(B | A1 ), P(B | A2 ), . . . , P(B | An ), . . . if the limit exists. The definition depends on the
sequence of events A1 A2 . . . An . . . , which therefore should be clearly defined in
any application.
5.5 Conditional random variables

For simplicity of the presentation only random vectors with a probability density function is
considered in the following, that is, random vectors with a distribution function of the form as in
(5.6). The conditional density of (X 1 , . . . , X m ) given that (X m+1 , . . . , X n ) = (xm+1 , . . . , xn )
is defined as
f X 1 ,... ,X n (x1 , . . . , xn )
f X 1 ,... ,X m (x1 , . . . , xm | X m+1 = xm+1 , . . . , X n = xn ) = (5.14)
f X m+1 ,... ,X n (xm+1 , . . . , xn )
where

f X m+1 ,... ,X n (xm+1 , . . . , xn ) = ... f X 1 ,... ,X n (x1 , . . . , xm , xm+1 , . . . , xn ) d x1 . . . d xm

(5.15)
This definition corresponds to a decreasing event sequence of the form

nm
i=1 {xm+i < X m+i xm+i + j d xm+i } (5.16)
jN
where 1 , . . . , j , . . . 0 is any decreasing sequence of positive scaling numbers.

In a modeling situation it is quite often the conditional density that is modeled on the
basis of given data or known structure of the problem. Then the n-dimensional density of
(X 1 , . . . , X n ) is obtained as the product of the conditional density of (X 1 , . . . , X m ) given
(X m+1 , . . . , X n ) = (xm+1 , . . . , xn ) and the (n m)dimensional density of the condition-
ing random vector (X m+1 , . . . , X n ). In fact, by recursive application of this product rule one
obtains the general product formula
f X 1 ,... ,X n (x1 , . . . , xn ) = f X 1 (x1 | x2 . . . , xn ) f X 2 (x2 | x3 . . . , xn ) . . . f X n1 (xn1 |xn ) f X n (xn )
(5.17)
that is well suited for modeling because it resolves the ndimensional density into a product
of one-dimensional conditional densities that are easier to fit to data and are easier to chose by
anticipatory modeling. For shortage of writing the conditions | X m+i = xm+i , . . . , X n = xn )
are written as | xm+i , . . . , xn ).
It follows from (5.14) that
f X ,... ,X (x1 , . . . , xm ) =
1 m
... f X 1 ,... ,X m (x1 , . . . , xm | xm+1 , . . . , xn ) f X m+1 ,... ,X n (xm+1 , . . . , xn ) d xm+1 . . . d xn

(5.18)
and by integration
FX ,... ,X m (x1 , . . . , xm ) =
1
... FX 1 ,... ,X m (x1 , . . . , xm | xm+1 , . . . , xn ) f X m+1 ,... ,X n (xm+1 , . . . , xn ) d xm+1 . . . d xn

(5.19)
for the distribution function. It is seen that (5.19) is the analogue to (5.13). In particular, an
often used formula is
FX (x1 ) =
1
. . . FX 1 (x1 | x2 , . . . , xn ) f X 2 (x2 | x3 . . . , xn ) . . . f X n1 (xn1 |xn ) f X n (xn ) d x2 . . . d xn

(5.20)
Just as for events in F, n random variables X 1 , . . . , X n are said to be mutually independent if

and only if
FX 1 ,... ,X n (x1 , . . . , xn ) = FX 1 (x1 )FX 2 (x2 ) . . . FX n (xn ) (5.21)
or equivalently (when the density functions exist):
f X 1 ,... ,X n (x1 , . . . , xn ) = f X 1 (x1 ) f X 2 (x2 ) . . . f X n (xn ) (5.22)
5.6 Expectation, covariance, and higher moments

A function Y = g(X 1 , X 2 , . . . , X n ) of random variables is per definition itself a random vari-
able if y R : { | g(X 1 , X 2 , . . . , X n ) y} F. Functions g with this property
are said to be Fmeasurable. The class of Fmeasurable functions is very general and con-
tains all reasonably regular functions. The expectation or mean value of the random variable
Y = g(X 1 , X 2 , . . . , X n ) is defined by

E[g(X 1 , X 2 , . . . , X n )] = g(x1 , x2 , . . . , xn ) f X 1 ,X 2 ,... ,X n (x1 , x2 , . . . , xn )d x1 d x2 . . . d xn
Rn
(5.23)
The expectation E[] is obviously a linear functional on the linear space of random variables for
which the integral (5.23) exists, that is, if X and Y are such random variables and a is a constant
(real or complex), then
E[1] = 1 (5.24)
E[a X ] = a E[X ] (5.25)
E[X + Y ] = E[X ] + E[Y ] (5.26)
Moreover it is seen that the expectation functional has the important property of being a positive
linear functional:
X 0 E[X ] 0 (5.27)
5.6. EXPECTATION, COVARIANCE, AND HIGHER MOMENTS 105
where the notation X 0 is tantamount to P(X 0) = 1, that is, the random variable X is
non-negative with probability 1.
The expectation E[X ] is a number that determines the central location (the point of prob-
ability mass gravity) of the distribution of X . Similarly the point (E[X 1 ], . . . , E[X n ]) deter-
mines the central location of the ndimensional distribution of (X 1 , . . . , X n ).
Besides defining the central location of the probability mass distribution by its point of grav-
ity it is useful to measure the spread of the probability mass relative to the point of gravity in
terms of inertial moments and centrifugal moments. The variance of a random variable X is
defined as the inertial moment, and the covariance between two random variables X and Y is
defined as the centrifugal moment, that is,
Var[X ] = E[(X E[X ])2 ] = Cov[X, X ] 0 (5.28)

Cov[X, Y ] = E[(X E[X ])(Y E[Y ])] = E[X Y ] E[X ]E[Y ] (5.29)
respectively. It is seen that the covariance is a bilinear functional on the linear space of random
variables:
Cov[X, Y ] = Cov[Y, X ] (5.30)

Cov[a X, Y ] = a Cov[X, Y ] (5.31)
Cov[X + Y, Z ] = Cov[X, Z ] + Cov[Y, Z ] (5.32)
that together with the property Cov[X, X ] 0 show that calculation with covariances are
as inner product calculations with vectors. In particular the standard deviation D[X ] =
just
Var[X ] is analogous to the length of a vector. Further the covariance functional obeys the
rules
Cov[a, Y ] = 0 (5.33)
Cov[X + a, Y + b] = Cov[X, Y ] (5.34)
for any constants a and b.

It follows from the linearity properties of E[] and the bilinear properties of Cov[, ] that
E[a1 X 1 + . . . + an X n ] = a1 E[X 1 ] + . . . + an E[X n ] or E[aT X] = aT E[X] (5.35)

Cov[ a1 X 1 + . . . + an X n , b1 Y1 + . . . + bn Yn ] = Cov[ aT X, YT b ] = aT Cov[ X, YT ] b
(5.36)
In particular
Var[ a1 X 1 + . . . + an X n ] = Cov[ aT X, XT a ] = aT Cov[ X, XT ] a (5.37)
The most general notation appears in the matrix expression
Cov[ AX, YT BT ] = A Cov[ X, YT ] BT (5.38)
Besides the mean and the variance, from which the coefficient of variation
D[X ]
VX = , E[X ] > 0 (5.39)
E[X ]
is defined (VX contains useful physical information for positive random variables only, but is
seen used also for random variables that do not satisfy this restriction), the central moments
E[(X E[X ]) j ], j = 2, 3, . . . , and in particular the following relative central moments, are
used to partly characterize the probability distribution of a random variable X :
E[(X E[X ])3 ]

3 = (5.40)
D[X ]3
E[(X E[X ])4 ]
4 = (5.41)
D[X ]4
denoted the skewness and the kurtosis, respectively. In particular these two numbers are used
to indicate deviations from the normal distribution for which 3 = 0 (as for all symmetric
distributions with third moment), and 4 = 3.
5.7 Moments of normal and lognormal distribution

The moments of the standard normal distribution are readily obtained by use of the expectation
(moment generating function)

1 2 1 2
tX tx t
E[e ] = e (x) d x = e 2 (x t) d x = e 2 t (5.42)

from which it follows that

dn 0 for n odd
E[X n ] = E[et X ] = (5.43)
dt n t=0 1 3 5 . . . (2n 1) for n even
as is directly seen from the series expansion
1 2
1 t 2 n
(2n)! t 2n

t 2n
e2t = = = [1 3 5 . . . (2n 1)] (5.44)
n=0
n! 2 n=0
2n n! (2n)! n=0 (2n)!
The lognormal random variable Y = e X + then has the expectation E[Y ] = e E[e X ] with

( X )n
2 n
X 2n 1 3 5 . . . (2n 1) 1 1 2
E[e ]=E = = = e2
n=0
n! n=0
(2n)! n=0
2 n!
(5.45)
from which it follows that E[(e X )2 ] = E[e2 X ] = e2 , and thus Var[Y ] = e2 (e2 e ) =
2 2 2
e2 e (e 1). The formulas that relate (, ) to (E[Y ], Var[Y ]) therefore are

2 2
2 = Var[log Y ] = log(1 + VY2 ) (5.46)

1
= E[log Y ] = log E[Y ] log(1 + VY2 ) (5.47)
2
+ 12 2
E[Y ] = e (5.48)
5.8. CONDITIONAL EXPECTATION AND LINEAR REGRESSION 107
Next let (X, Y ) be a Gaussian pair with zero mean. Then

1
E[e X +Y ] = exp (Var[X ] + Var[Y ] + 2Cov[X, Y ]) = E[e X ]E[eY ]eCov[X,Y ] (5.49)
2
Obviously this result holds also if (X, Y ) has mean value different from zero. Subtracting
E[e X ]E[eY ] from both sides followed by division by E[e X ]E[eY ] and finally taking logarithm
gives the standard relation
Cov[e X , eY ]
Cov[X, Y ] = log 1 + (5.50)
E[e X ]E[eY ]
Finally let (X 1 , . . . , X n ) be a Gaussian vector, and define Z i = e X i , i = 1, . . . , n. Moreover,

let k1 , . . . , kn be any real numbers. Then (5.49) gives
%
n n
n1 n1
% k
E Z iki = E exp ki X i = exp Cov ki X i , k n X n E Z i i E[Z nkn ] =
i=1 i=1 i=1 i=1

n
j1 %
n
. . . (recursion) = exp kj ki Cov[X i , X j ] E[Z iki ] (5.51)
j=2 i=1 i=1
or
%
n %
n 1
n n n
E Z iki = E[Z iki ] exp ki k j Cov[X i , X j ] ki2 Var[X i ] (5.52)
i=1 i=1
2 i=1 j=1 i=1
For X Gaussian, Z = e X , and k a positive integer, (5.52) gives

1
E[Z k ] = E[i=1
k
Z ] = E[Z ]k e 2 k(k1)Var[Z ] (5.53)
5.8 Conditional expectation and linear regression

Conditional expectations are defined just as ordinary expectations by (5.23) simply by replacing
the density under the integral sign by the relevant conditional density. It is directly seen that the
conditional expectation has the property
E[g(X 1 , . . . , X n )Y | X 1 , . . . , X n ] = g(X 1 , . . . , X n )E[Y | X 1 , . . . , X n ] (5.54)
for any function g(X 1 , . . . , X n ) of the conditioning random variables. Also it immediately
follows from (5.13) and (5.18) that formulas like (with obvious notation)

n
n
E[X ] = E[X | Ai ]P(Ai ) (i = j : Ai A j = , = i=1 Ai ) (5.55)
i=1
E[Y ] = E[Y | (X 1 , . . . , X n ) = (x1 , . . . , xn )] f X 1 ,... ,X n (x1 , . . . , xn ) d x1 . . . d xn =
Rn

E E[Y | X 1 , . . . , X n ] (5.56)
are valid. Since

E Cov[Y, Z |X] = E E[Y Z |X] E[Y |X] E[Z |X] = E E[Y Z | X] E E[Y |X] E[Z |X]
(5.57)

Cov E[Y |X], E[Z |X] = E E[Y |X] E[Z |X] E E[Y |X] E E[Z |X] (5.58)
it follows by addition of the two formulas and use of (5.56) that

Cov[Y, Z ] = E Cov[Y, Z |X] +Cov E[Y |X], E[Z |X] (5.59)
by which the total covariance between two random variables Y and Z are determined by the sum
of the expectation of the conditional covariance and the covariance between the two conditional
expectations, where all conditioning is on a common random vector X. In particular (5.59)
gives

Var[Y ] = E Var[Y |X] +Var E[Y |X]] (5.60)
which is called the total variance formula while (5.59) is called the total covariance formula.
Formulas similar to (5.56), (5.59), and (5.60) are obtained in connection with the important
concept of linear regression. As the conditional expectation E[Y|X] (without problems gener-
alizing the random variable Y to a random vector Y) is the best approximation to Y for X given,
in the sense that E[Y|X] is the point of gravity of the conditional probability mass of Y given X,
it might be of interest to look for a simpler determinable but also less accurate approximation
to Y in terms of X. Restricting such an approximation to be of the linear form Y = AX + b, the
constant regular matrix A can be determined such that Cov[Y Y, XT ] = 0 and the constant
vector b such that E[Y Y] = 0. This approximation, written as E[Y|X] and characterized
by the zero correlation between Y E[Y|X] and X to be the best linear approximation to Y
in terms of X, is called the linear regression of Y on X and is after some few manipulations
obtained as
E[Y|X] = E[Y] + Cov[Y, XT ]Cov[X, XT ]1 (X E[X]) (5.61)
The residual Y E[Y|X] has the covariance matrix
Cov[Y E[Y|X], (Y E[Y|X])T ] = Cov[Y, YT ] Cov[Y, XT ]Cov[X, XT ]1 Cov[X, YT ]

(5.62)
where the last term is the covariance matrix of E[Y|X]. Thus the formula analogous to the total
covariance formula (5.59) is
Cov[Y, YT ] = Cov[Y E[Y|X], (Y E[Y|X])T ] + Cov[ E[Y|X], E[Y|X]T ] (5.63)
It is directly seen that the linear regression E[Y|X] has the linearity property
E[AY + b|X] = A E[Y|X] + b (5.64)
for any constant matrix A and constant vector b, and that
E[Y|AX + b] = E[Y|X] (5.65)

5.9. THE MULTI-DIMENSIONAL NORMAL DISTRIBUTION 109
for any regular constant matrix A and constant vector b.

There is a useful geometric interpretation of the linear regression E[X|B(m,n) X] where B(m,n)
is a constant matrix of rank m with m rows and n columns. The random vector X is n-
dimensional. First assume that E[X] = 0 and Cov[X, XT ] = I (= unit matrix). The linear
regression then becomes
E[X|B(m,n) X] = Cov[X, (B(m,n) X)T ]Cov[B(m,n) X, (B(m,n) X)T ]1 B(m,n) X =

BT(m,n) (B(m,n) BT(m,n) )1 B(m,n) X (5.66)
It is seen that B(m,n) E[X|B(m,n) X = c] = c, that is, the vector E[X|B(m,n) X = c] is a

vector from the origin to a point in the translated (n m)dimensional subspace of the x-
space defined by the matrix equation B(m,n) x = c. Moreover, since for any two points x
and x0 in this translated subspace the difference satisfies B(m,n) (x x0 ) = 0, it follows that
(x x0 )T E[X|B(m,n) X = c] = 0, that is, the vector E[X|B(m,n) X = c] is orthogonal to any
vector x x0 in the translated subspace. Thus the linear regression vector E[X|B(m,n) X = c] is
the shortest position vector to a point in the translated subspace B(m,n) x = c.
In the general where the expectation vector E[X] = = 0 and Cov[X, XT ] = I, the in-
homogeneous linear mapping X = AY + , with A chosen as any matrix for which AAT =
Cov[X, XT ], and with E[Y] = 0, Cov[Y, YT ] = I, reduces the problem to the previous situa-
tion:
E[X|B(m,n) X] = E[AY + |B(m,n) (AY + )] = A E[Y|B(m,n) AY] + (5.67)
By comparison with (5.66) it is seen that the linear regression E[X|B(m,n) X = c] is the map by
x = Ay + of the shortest position vector in the yspace to the points in the subspace defined
by the matrix equation B(m,n) Ay = c B(m,n) A.
5.9 The multi-dimensional normal distribution

The matrix product AAT in the expression (5.9) for the ndimensional normal density is by
use of (5.38) directly seen to be AAT = Cov[Y, YT ].
It follows from the way the normal distribution is constructed that any regular inhomoge-
neous linear vector function of Y has a normal density. The same is the case if the inhomoge-
neous linear vector function maps the ndimensional random vector Y into a random vector
of dimension m < n. This is a simple consequence of the property that the orthogonal pro-
jection of the probability mass of the ndimensional standard normal density (5.8) on any
mdimensional subspace (any is due to the rotation symmetry) becomes an mdimensional
standard normal density in that subspace.
It is a most important property of the ndimensional normal distribution that the condi-
tional distribution of Y given that B(m,n) Y = c is an (n m)dimensional normal distribu-
tion (definitions of B(m,n) and c as in the previous section). This is seen by first noting that
the m equations B(m,n) y = c determine y as an (n m)dimensional infinity of solutions
y = C(n,m) ynm + y0 , ynm Rnm , where y0 is any solution to B(m,n) y = c, and C(n,m) ynm
is the complete solution to the homogeneous equation B(m,n) y = 0. The vector ynm is an
(n m)-dimensional subvector of y for which the complementary m-dimensional subvector of
y corresponds to a regular (m, m) submatrix of B(m,n) .
0.2 0.2
0.1 0.1
0 0
2 2
0 0
2 2
-2 -2 0 -2 -2 0
0.4 1
0.2 0.5
0 0
2 2
0 0
2 2
-2 -2 0 -2 -2 0
Figure 5.1: Illustration of bivariate normal density functions 2 (x, y; ) =

1 x 2 2x y + y 2 1 y x
exp = (x) of zero mean, unit
2 1 2 2(1 2 ) 1 2 1 2
variance, and correlation coefficients = 0.24, 0.48, 0, 72, 0.96 from top left to bottom right.
Substitution of the solution y into the ndimensional normal density (5.9) then shows that
the restriction of the density to the translated subspace defined by the condition B(m,n) Y = c
varies over this subspace as
1
T T 1
exp (y ) (AA ) (y ) =
2
1
exp (C(n,m) ynm + y0 )T (AAT )1 (C(n,m) ynm + y0 ) =
2
1
exp yTnm CT(n,m) (AAT )1 C(n,m) ynm +
2
T T 1 T T 1
2(y0 ) (AA ) C(n,m) ynm + (y0 ) (AA ) (y0 ) =
1
exp (ynm c,nm )T CT(n,m) (AAT )1 C(n,m) (ynm c,nm ) (5.68)
2
where c,nm is the point in ynm -space to which the origin of the coordinate system must be
translated to get a pure quadratic form in ynm c,nm . Upon normalization this expression
defines the conditional density of Ynm given B(m,n) Y = c. This proves that the conditional
5.9. THE MULTI-DIMENSIONAL NORMAL DISTRIBUTION 111
2 2 2
0 0 0
-2 -2 -2
-2 0 2 -2 0 2 -2 0 2
2 2 2
0 0 0
-2 -2 -2
-2 0 2 -2 0 2 -2 0 2
2 2 2
0 0 0
-2 -2 -2
-2 0 2 -2 0 2 -2 0 2
Figure 5.2: Contour ellipses corresponding to the bivariate normal den-
sity functions of zero mean, unit variance, and correlation coefficients =
0.96, 0.72, 0.48, 0.24, 0, 0.24, 0.48, 0, 72, 0.96. The straight lines are the condi-
tional expectation lines (linear regressions) E[Y | X = x] = x and E[X | Y = y] = y
(conjugate axes of the contour ellipses).
distribution is (n m)-dimensional normal with

E[Ynm | B(m,n) Y = c] = c,nm (5.69)
Cov[Ynm , YTnm | B(m,n) Y = c] = [CT(n,m) (AAT )1 C(n,m) ]1 (5.70)
It is important to note that the conditional covariance matrix is not dependent on the localiza-
tion c of the translated subspace (the so-called homoscedastic property of the multidimensional
normal distribution).
As shown in the previous section the linear regression E[Y | B(m,n) Y = c] is the image point
by an inhomogeneous linear map of a particular point in the standard normal space represen-
tation of the conditioning subspace. This particular point is the point closest to the origin in
the standard normal space. Obviously the restriction of the standard normal probability density
to this subspace takes its maximal value at this point. Therefore the restriction of the normal
density of Y to the conditioning subspace takes its maximal value at E[Y | B(m,n) Y = c] which
therefore must be equal to the conditional expectation E[Y | B(m,n) Y = c], and so also for the
relevant subvector:
E[Ynm | B(m,n) Y = c] = E[Ynm | B(m,n) Y = c] =
E[Ynm ] + Cov[Ynm , YT ]BT(m,n) {B(m,n) Cov[Y, YT ]BT(m,n) }1 (c B(m,n) E[Y]) (5.71)
This is an explicit expression for c,nm in (5.69). It now follows by comparing (5.59) and
(5.63) that

T T
E Cov[Y, Y | B(m,n) Y] = Cov Y E[Y | B(m,n) Y], (Y E[Y | B(m,n) Y]) (5.72)
Since Cov[Ynm , YTnm | B(m,n) Y] does not vary with B(m,n) Y, as noted above, it is concluded
that the conditional covariance matrix of Ynm is determined by the residual covariance matrix
corresponding to the linear regression:
Cov[Ynm , YTnm | B(m,n) Y] =

Cov Ynm E[Ynm | B(m,n) Y], (Ynm E[Ynm | B(m,n) Y])T =
Cov[Ynm , YTnm ] Cov[Ynm , YT ]BT(m,n) {B(m,n) Cov[Y, YT ]BT(m,n) }1 B(m,n) Cov[Y, YTnm ]
(5.73)
which is an explicit expression for the right side of (5.70).

A set of bivariate normal density functions are illustrated in Fig: 5.1. Fig. 5.2 shows a set of
bivariate normal contour ellipses and the corresponding conditional expectations.
5.10 Small probabilities. First order reliability method

Generally it is a difficult problem to determine the values of the distribution function of a ran-
dom variable of the form as a function g(X 1 , . . . , X n ) of several random variables. Only for
special cases of g and special probability distributions of the random vector X = (X 1 , . . . , X n )
there exist closed form solutions. One most important example is an inhomogeneous linear
g and the ndimensional normal distribution of X. Then g(X) aT X + b simply becomes
Gaussian with mean = aT E[X] + b and variance 2 = aT Cov[X, XT ]a, and the distribu-
tion function is FaT X+b (x) = [(x )/ ], see Sections ?? and 5.2. Another example is
g(X) X 12 + . . . + X n2 and X standard normal. Then g(X) has a so-called 2 distribution with
n degrees of freedom, which is a gamma distribution with the parameters k = n/2 and a = 1/2,
see Section 5.2.
The first of the two examples is particularly important because it gives a possibility for
approximate evaluation of the distribution function of g(X 1 , . . . , X n ) in the region of small
probabilities for quite general g and distributions of X provided a condition of approximate
flatness of the surface g(x) = 0 at a certain critical point is satisfied. This unprecise statement
will be explained in the following.
If Y has standard normal distribution, a is a unit vector, and > 0, then P(aT Y + < 0) =
() where is the distance from the origin of y-space to the hyperplane with the equation
aT y + = 0, as seen from the linear regression vector
E[Y | aT Y + = 0] = 0 + Ia(aT Ia)1 () = a (5.74)
that has length and is orthogonal to the hyperplane, see Section 5.8. An inhomogeneous
linear mapping X = AY + defines a normal random vector with expectation and covariance
matrix Cov[X, XT ] = AAT , while the hyperplane equation aT y + = 0 maps into the equation
aT A1 (x ) + = 0 for a hyperplane in yspace. Any inequality bT x + b 0 for a
5.10. SMALL PROBABILITIES. FIRST ORDER RELIABILITY METHOD 113
hyperplane bounded halfspace of the xspace can be written as k(aT A1 (x ) + ) 0,

where k is a positive constant. The relations are directly obtained as
= E[X] (5.75)
AAT = Cov[X, XT ] (any such matrix A will do) (5.76)
k 2 = bT Cov[X, XT ]b (5.77)
aT = bT A (5.78)
= (b + bT )/k (5.79)
For the random variable M = bT X + b defined by the left side of the half-space inequality
bT x + b 0, the ratio
E[M] E[bT X + b] bT E[X] + b bT + b
= = = = (5.80)
D[M] D[bT X + b] bT Cov[X, XT ]b k2
is interesting by being invariant to the half-space representation. Thus the probability that
M = bT X + b < 0 is () = (E[M]/D[M]) (which, in fact, is a trivial consequence
of M being a Gaussian random variable). The reason for being interested in the geometric
interpretation of E[M]/D[M] is that if a nonlinear differentiable function g(X) of a standard
Gaussian vector X is considered, and the set {x Rn | g(x) < 0} is convex, and g(0) > 0,
then the probability that g(X) < 0 is bounded from below by the probability on the half-space
bounded by any tangent hyperplane to the surface defined by the equation g(x) = 0, and the
largest lower bound is obviously obtained when the tangent point is the point of the surface clos-
est to the origin of the standard Gaussian space. If the set {x Rn | g(x) < 0} is concave the
same holds except that the bound will be a smallest upper bound. If the surface is sufficiently
flat at the point closest to the origin (there are methods to judge this, but the topic is outside the
scope of this text) a quite good approximation to the exact probability is obtained by replacing
the surface by the tangent hyperplane, provided the probability is close to zero, as generally is
the case in structural reliability assessment applications. Due to the fast decay of the Gaussian
density with distance from the origin only local convexity or local concavity at the closest point
is needed to judge whether the approximation is likely to be a lower bound or an upper bound
on the probability. In cases where such local properties cannot be decided the approximation
may still be good enough for practical reliability evaluations. In structural reliability the surface
is called the limit state surface and the point closest to the origin is called the -point, (or the
most likely failure point or the most central limit state point or the design point). This method
of evaluation of the probability on the failure set {x Rn | g(x) < 0} is called the First Order
Reliability Method referred to by the wide spread acronym FORM. Thus FORM simply consists
in determination of the -point by some computational algorithm which in many commercial
computer programs is an algorithm for minimizing xT x under the constraint g(x) = 0, or some
direct solution algorithm of Newton iteration principle type designed for this type of problem.
One such algorithm based on the geometric properties of the linear regression is described in the
following. After having determined the -point, the geometric reliability index is calculated
and the probability approximation P[g(X) < 0] () is obtained.
The algorithm based on the linear regression is simply as follows. If x is the -point, then
this point obviously satisfies the equation
E[X | g(x ) + i=1
n
g,i (x )(X i xi ) = 0] = x (5.81)
according to the geometric properties of the linear regression shown in Section 5.8. The notation
g,i is short for / xi , and the equation g(x ) + i=1 n
g,i (x )(xi xi ) = 0 is the equation for the
tangent hyperplane to the surface defined by g(x) = 0 (note that g(x ) = 0). Thus the problem
is to solve the generally non-linear equation (5.81). Starting at some point x1 (for example
x1 = 0), a sequence x1 , x2 , . . . , x j , . . . is generated from the algorithmic formula
n
x j+1 = E[X | g(x j ) + i=1 g,i (x j )(X i x ji ) = 0] (5.82)
Then it is a simple exercise to use continuity properties to show that if the sequence defined by
(5.82) is convergent, then the limit point is a solution to (5.81). In case of divergence with os-
cillations in the sequence, convergence may be obtained by some suitable smoothing procedure
such as averaging. Of course, having a solution to (5.82) does not in general guarantee that this
solution is the -point.
5.11 FORM for the non-Gaussian case

If the random vector X = (X 1 , . . . , X n ) has a non-Gaussian distribution it may still be possible
to apply FORM to evaluate the probability P[g(X 1 , . . . , X n ) < 0] approximately. This may
be the case if it is possible to determine a one to one mapping T of the random vector X to
a standard normal random vector Y = T (X) such that the set {x Rn | g(x) < 0} maps
one to one onto a set of the form {y Rn | G(y) < 0} where G(y) g[T 1 (y)]. Then
P[g(X 1 , . . . , X n ) < 0] = P[G(Y1 , . . . , Yn ) < 0], and FORM applies if the surface defined by
G(y1 , . . . , yn ) = 0 in the standard normal space is sufficiently flat at its -point.
Such a one to one mapping can in principle be constructed in the form of the so-called
Rosenblatt transformation defined by the following system of equations
(y1 ) = FX 1 (x1 )
(y2 ) = FX 2 (x2 | X 1 = x1 )
(y3 ) = FX 3 (x3 | X 1 = x1 , X 2 = x2 )
..
.
(yn ) = FX n (xn | X 1 = x1 , X 2 = x2 , . . . , X n = xn1 ) (5.83)
in case the conditional distribution functions on the right side of the equations have derivatives:
(y1 ) dy1 = f X 1 (x1 ) d x1

(y2 ) dy2 = FX (x2 |x1 ) d x1 + f X 2 (x2 | x1 ) d x2
x1 2

(y3 ) dy3 = FX 3 (x3 | x1 , x2 ) d x1 + FX (x3 | x1 , x2 ) d x2 + f X 3 (x3 | x1 , x2 ) d x3
x1 x2 3
..
.

(yn ) dyn = FX (xn | x1 , x2 , . . . , xn ) d x1 + . . . + f X n (xn | x1 , x2 , . . . , xn1 ) d xn (5.84)
x1 n
This set of equations shows that the transformation has the Jacobian
(y1 , . . . , yn ) f X (x1 ) f X 2 (x2 | x1 ) f X 3 (x3 | x1 , x2 ) . . . f X n (xn | x1 , x2 , . . . , xn1 )
= 1 (5.85)
(x1 , . . . xn ) (y1 ) . . . (yn )
5.11. FORM FOR THE NON-GAUSSIAN CASE 115
which compared to
(y1 , . . . , yn ) f X ...X (x1 , x2 , . . . , xn )

= 1 n (5.86)
(x1 , . . . xn ) f Y1 ...Yn (y1 , . . . , yn )
by use of (5.17) proves that the density function of (Y1 . . . Yn ) is the ndimensional standard
normal density function
f Y1 ...Yn (y1 , . . . , yn ) = (y1 ) . . . (yn ) (5.87)
To find the point on the surface defined by G(y1 , . . . , yn ) = 0 in the standard normal
space an iterative algorithm can be constructed to run directly in the space of the original vari-
ables. Simplify the notation by writing the n transformation equations (5.83) as
(yi ) = Fi (x), i = 1, . . . , n (5.88)
At the point x0 the first order Taylor expansion of the transformation is

n
(y0i )(yi y0i ) = Fi, j (x0 )(x j x0 j ) (5.89)
j=0
where y0 = (y01 , . . . , y0n ) is the image of x0 , that is, (yi0 ) = Fi (x0 ). Solving with respect to
x gives
x = A(x0 )y + [x0 A(x0 )y0 ] (5.90)

A(x0 ) = {Fi, j (x0 )}1
(n,n) (y01 ) . . . (y0n ) (5.91)
where (y01 ) . . . (y0n ) is a diagonal matrix of elements (y0i ) along the diagonal. For any
given point x0 and corresponding point y0 the matrix A(x0 ) can be approximately evaluated by
use of numerical differentiation. Exact differentiation can be applied, of course, but it may not
be convenient to apply exact differentiation in a general purpose computer program.
Similarly the limit state function g(x) has the first order Taylor expansion
M(x, xk ) = g(xk ) + grad g T (x xk ) (5.92)

(grad g)T = [g,1 (xk ) . . . g,n (xk )] (5.93)
As a first approximation, the nonlinear mapping defined by (5.88) is replaced by the linear
mapping defined by (5.90), and the limit state surface defined by g(x) = 0 is replaced by
M(x, x0 ) = 0. The point on the hyperplane defined by M(x, x0 ) = 0 is then obtained as the
linear regression vector
E[X | M(X, x0 ) = 0] = E[X] + Cov[X, M(X, x0 )]Var[M(X, x0 )]1 (0 E[M(X, x0 )]) =

x0 A(x0 ) y0 Cov[X, nj=1 g, j (x0 )X j ]Var[ nj=1 g, j (x0 )X j ]1 [g(x0 ) (grad g)T A(x0 ) y0 ] =
Cov[X, XT ] grad g
x0 A(x0 ) y0 [g(x0 ) (grad g)T A(x0 ) y0 ] (5.94)
(grad g) Cov[X, X ] grad g
T T
where Cov[X, XT ] = A(x0 )A(x0 )T is determined from (5.90) under the assumption that Cov[Y, YT ] =
I (unit matrix). The distance 0 from the origin to the approximate limit state hyperplane in the
yspace obtained by the approximating linear mapping is
E[M(X, x0 )] g(x0 ) (grad g)T A(x0 ) y0

0 = = (5.95)
D[M(X, x0 )] ( grad g)T Cov[X, XT ] grad g
The computation runs as follows: Construct a sequence of points x0 , x1 , . . . , xk , . . . by the

iteration formula
xk+1 = E[X | M(X, xk )] (5.96)
with a suitably chosen first point x0 . It can easily be shown that if this sequence is convergent,
then the limit point x satisfies the equation g(x) = 0 and has the property that (5.88) maps x
into a stationarity point y (usually, but not always, a global minimum point) for the distance
from the origin in the standard normal space to the points on the image of the limit state surface
defined by G(y) = 0. The corresponding FORM approximation to the probability on the
set of points for which g(x) < 0 is then (), where = yT y = limn n . The
experienced convergence properties of the sequence 0 , 1 , . . . , n , . . . may be used to define
a stop criterion for the iterations.
FORM for the case of separated random variables

It is usually the situation that the random variables of a reliability analysis can be separated
into groups of random variables where the random variables from one group are stochastically
independent of the random variables in any other group. Then the Taylor expansion equations
(5.89) separate into corresponding groups of equations that are uncoupled between the groups,
and therefore can be solved separately with respect to the subvectors of x in each group. Thus
(5.90) gets the form
xk = Ak (x0k )yk + [x0k Ak (x0k )y0k ], k = 1, . . . , m, n1 + . . . + nm = n (5.97)
where n k is the number of random variables in the kth group, and Ak is given by (5.91) applied
to the kth group of conditional distribution functions.
Similarly it is also often the situation that the limit state function g(x) has the form as a
sum of functions gl (xl ), l = 1, . . . , p, where the variables in x are separated into subvectors
xl without common variables. For example, it is very often so that g(x) = r (x1 ) s(x2 ),
p = 2, where g1 (xl ) = r (x1 ) contains solely variables that concern the structural resistance,
and g2 (x2 ) = s(x2 ) contains solely variables that concern the loads on the structure.
The two situations of variable separation will usually not coinside, but quite often the situa-
tion is that a smaller number of groups will coincide. Then (5.94) specializes to
E[Xl | M(X, x0 ) = 0] = x0l Al (x0l ) y0l

Cov[Xl , XlT ] grad gl m
k=1 [gk (x0k ) (grad gk )T Ak (x0k )y0k ] (5.98)
nj=1
k
(grad gk )T Cov[Xk , XTk ] grad gk
(grad gk )T = [gk,1 (xk ) . . . gk,n (xk )] (5.99)
5.11. FORM FOR THE NON-GAUSSIAN CASE 117
l = 1, . . . , m, where Cov[Xk , XTk ] = Ak (x0k )Ak (x0k )T . The corresponding reliability index is
m [gk (x0k ) (grad gk )T Ak (x0k )y0k ]

0 = k=1 (5.100)
nj=1
k
(grad gk )T Cov[Xk , XTk ] grad gk
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Index
(Hs , Tz )-density, 20 ratio, 69, 75
Hs -density, 18 Rayleigh, 67
Tz -density, 20 viscous, 78
u-upcrossing rate, 46 design point, 107
-point, 107 Diracs delta function, 70
[Hs given (Tz , Q > q0 )]-density, 26 dispersion relation, 4
generalized, 7
complex random increment, 43 distribution
most central limit state point, 107 ndimensional, 95
Nataf density, 50 binomial, 95
gamma, 94
Airy wave theory, 3
Gaussian, 94
Airy, G.B., 2
lognormal, 94, 100
amplification factor, 84
multi-dimensional normal, 103
angular
normal, 94, 100
frequency, 4
Poisson, 95
velocity, 4
distribution function, 94
Bayes formula, 96 Duhamels integral, 70
Bernoulli equation, 2 dynamic amplification factor, 76, 77
binomial distribution, 21
envelope process, 37
Bochner condition, 45
ergodic
Borgman density, 62
asymptotically, 41
causal system, 70 in mean square up to second moment level, 41
causality requirement, 74 ergodic process, 39
characteristic zero-crossing period, 17 Euler relation, 44
distribution, 20 expectation, 98
classical damping approximation, 82 conditional, 101
cnoidal wave theory, 9 of positive random variable, 39
coefficient of variation, 99 exponential waiting time distribution, 22
Conditional probability, 96 extreme wave height distribution, 26
conditional random variable, 97
consistent finite element formulation, 66 fatigue, 90
convolution integral, 72 fatigue damage, 44
correlation time, 44 fatigue accumulation analysis, 33
covariance, 99 fatigue analysis
covariance function, 36 low cycle, 34
complex, 43 finite element formulation, 65
cross , 37 consistent, 66
covariance stationary process, 34 First Order Reliability Method, 29, 30
Cramer-Leadbetter envelope process, 37 first order reliability method, 106
cross covariance function, 37 force coefficient
drag, 12
damping mass, 12
critical, 75 FORM, 29, 30, 106
equivalent viscous, 78 separated random variables, 110
phase shift, 76 non-Gaussian case, 108
121
122 INDEX
Fourier integral theory, 43 Morison formula

Fourier series, 40, 69 tensor form, 12, 13
Fourier transform Morisons formula, 59
of convolution, 72 Morisons wave force, 12
of delta function, 72 most likely failure point, 107
frequency amplification factor, 73 mutual independence, 96
frequency response function matrix, 85
frequency response function, 73, 76 narrow band process, 39
fundamental frequency, 79 narrow band spectrum, 60
Nataf distribution model, 20
Gaussian density function Nataf model, 29, 50
delta function sequence approximation, 71 nodal
Gaussian random process, 34 damping coefficients, 67
Gaussian trigonometric polynomial, 34 masses, 67
geometric reliability index, 107 stiffnesses, 67
Green function, 70 non-Gaussianity, 90
normal density
height below topside, 23 bivariate, 106
Hermitian matrix, 85 normal density product formula, 26
Hilbert envelope process, 37, 43
Hilbert transform, 37, 43 outcomes, 93
homogeneous linear regression, 82
homoscedastic, 105 parametric excitation, 65
hydrodynamic damping, 65 Parseval theorem, 40
hydrodynamic mass particle
added, 13 acceleration, 5, 15
hysteretic damping, 76 paths, 5
velocity, 5
impulse response function, 70, 75, 77 phase
influence function, 70 plane representation, 37
ISSC-spectrum, 55 phase angle, 4
phase delay, 77
JONSWAP spectrum, 56
Pierson-Moskowitz spectrum, 54
Keulegan-Carpenter number, 13, 60 Poisson distribution, 22
kinematic viscosity, 12 Poisson process, 34, 46
Kroneckers delta, 71 homogeneous, 52
kurtosis, 60, 100 marked, 21, 23
thinned, 21, 23
level crossings, 45 positive definite function, 45
Rice formula, 46 probability
linear regression, 102 measure, 93
local extremes, 49 space, 93
local maxima, 45 pushover failure, 28
logarithmic decrement, 77
Longuet-Higgins density, 51 random
variable, 94
marine growth, 32 vector, 95
maximal wave height random process
distribution, 54 complex, 43
mean value, 98 random variables
modal damping ratios, 79 mutually independent, 98
modal participation factors, 82 Rayleigh
moment generating function, 100 damping, 67
moments, 100 distribution, 47
Morison force, 62, 64 distribution function, 37
linearization, 64 standard density, 35
INDEX 123
standard distribution, 48, 62 significant height, 17

regularity factor, 47, 48 Weibull distribution, 90
residual covariance matrix, 102 Wiener-Khintchine formulas, 42
resonance, 76 Wiener-Khintchine relations, 45
Reynolds number, 12 wind storm, 23
Rice density function, 49 wind velocity pressure, 21
Rosenblatt transformation, 29
zero-crossing period
sample space, 93 characteristic, 17, 46
scale of fluctuation, 44
sea state, 17
shape functions, 66
sigma-algebra, 93
sigma-field, 93
significant wave height, 17, 39
distribution, 18
simulation of sample curves, 38
skewness, 100
spectral matrix, 85
spectral models for waves, 54
spectral moments, 45
spectral representation, 42
spectrum, 39, 41, 42
double-sided, 45
one-sided, 45
spectrum transfer function, 84
standard deviation, 99
static condensation, 83
Stokes 5th order wave theory, 6
Stokes wave coefficients (5th order), 10
Stokes, G.G., 6
strictly stationary process, 34
superposition, 69
system identification, 74
thinning probability, 23
total covariance formula, 102
total energy envelope, 37
total variance formula, 102
transfer function, 76
undamped natural modes, 79

uniform distribution, 34
variance, 99
velocity potential, 1, 5, 7
velocity pressure
conditional distribution, 23
wave
deep sea, 4
extreme height distribution, 26
length, 4
Morisons force, 12
number, 4
period, 4
shallow sea, 4

Stochastic Wave Loads On Tubular Offshore Structures - O - Ditlevsen - 2003

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Stochastic Wave Loads on Tubular Offshore

Lecture notes for offshore structures course (second edition)

25th April 2003

Preface to second edition

1 Sea wave theories and wave forces 1

2 Stochastic wave and load description 17

3 Sea wave random load processes 35

4 Random wave force process and structure response 65

4.4.1 Application to tubular structure subject to stationary random wave load

5 Appendix on Basic Probability Theory Concepts 99

Sea wave theories and wave forces

1.1 Equations of motion for plane ocean waves

Figure 1.1: Coordinate system

U,ii U,11 + U,22 = 0 (1.2)

v2 (x1 , d, t) = U,2 (x1 , d, t) = 0 (1.3)

w[ x1 (t), t] x2 (t) 0 (1.4)

Differentiation with respect to time gives the identity

1.2 Airy wave theory

H (x1 ct)V (x2 ) + H (x1 ct)V (x2 ) = 0 (1.13)

H (x1 ct) V (x2 )

[C1 cos k(ct) + C2 sin k(ct)][(ck)2 cosh kd + gk sinh kd] = 0 (1.18)

U (x1 , x2 , t) = C sin k(x1 ct) cosh k(x2 + d) (1.20)

-10 -10 -10

-10 -10 -10

-20 -20 -20

-30 -30 -30

-20 -20 -20

-40 -40 -40

-60 -60 -60

1.3 Stokes 5th order wave theory

5th order expansions

A1 = A11 + A13 3 + A15 5

surface elevation (m) 5

Figure 1.3: Wave profiles for Stokes and Airy wave.

where C1 and C2 are given in the table below as functions of kd.

MATLAB m-files can be downloaded from

1.4 Wave forces

1.5 The Morison force

1.6 Wave force loaded vertical pole

q = q D,max cos t| cos t| q M,max sin t (1.58)

Figure 1.6: Time variation of Morison wave force on vertical pole.

which is zero for

The time variation of q/q M,max is shown in Fig. 1.6.

Exercise 1.5: Show that

Stochastic wave and load description

2.1 Sea state characterization

0.15 density 0.15

distribution function model

of observations of (xi , y j ). Then the conditional distribution

2.2 Wind pressure distribution

q0 (z) = [ 5 log(100z)]2 N/m2 , z in m (2.10)

2.2.1 Denition of marked and thinned Poisson process

P[N ( t) > 1] = o( t) (2.18)

2.3 Wind pressure and signicant wave height distribution

= 0 e(q q0 ) , n = 0 e(qn q0 ) (2.22)

from which the conditional density f Hs (h | Tz = t, Q = q) is obtained by differentiation:

By a similar procedure as applied to obtain (2.31) it can be shown that

and consequently that

2.4 Extreme wave heights

maximal wave height Hmax can be modeled as

1 exp{ N [1 FHmax (x | Q > q0 )]} N [1 FHmax (x | Q > q0 )] (2.39)

where the approximation is valid if N [1 FHmax (x | Q > q0 )]  1.

2.5 Pushover reliability analysis of offshore platform

where the approximation is valid if N [1 FHmax (x | Q > q0 )] 1.

with k = n k 1 /N and k = k+1 k n 1 , n+1 = n . As n together with

Q(t) = k D A(t)2 cos[(t) t] | cos[(t) t]| (t)k M A(t) sin[(t) t]