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Jesper Rydén
Department of Mathematics, Uppsala University
jesper.ryden@math.uu.se
ln Z ∈ N(m, σ 2 )
ln z − m
FZ (z) = P(Z ≤ z) = P(ln Z ≤ ln z) = Φ .
σ
One can prove that for a lognormally distributed variable
ln Z ∈ N(m, σ 2 ),
2 /2
E(Z ) = em+σ ,
2m 2σ 2 2
V(Z ) = e · (e − eσ ),
p 2
p
D(Z ) = em e2σ2 − eσ2 = em+σ /2 · eσ2 − 1.
Lognormal distribution
p
Note that the coefficient of variation R(Z ) = exp(σ 2 ) − 1 is only
a function of σ 2 .
Solving for σ 2 , we obtain σ 2 = ln(1 + R(Z )2 ). With σ 2 known, m
can be computed if E(Z ) is given. However, m is much easier to
find in the case when the median of Z is specified.
For a normal variable Z ∈ N(m, σ 2 ) the parameter m is both mean
and median, thus
min(X1 , . . . , Xn ) ≤ ucrt .
0 − mZ
Pf = P(Z < 0) = Φ = Φ(−βC ) = 1 − Φ(βC ),
σZ
where
mZ
βC =
σZ
is the so-called Cornell’s safety index.
Safety index: Cornell’s index
The index measures the distance from the mean mZ = E(Z ) > 0
to the unsafe region (that is zero) in the number of standard
deviations.
Example: βC = 4 means that the unsafe region is four standard
deviations away from the mean, which is often chosen as a “typical
value”.
If Z is normally distributed then we can find from tables of the
normal distribution that for βC = 4 the failure probability
0.4
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0
−2 −1 0 1 2 3 4 5 6
The safety index βHL = 3.1 implies that the intensity of accidents
is 1/1000 [year−1 ], or equivalently, the return period is 1000 years.
Similarly, the corresponding return periods corresponding to the
other values of βHL in the previous table can be found:
Safety index βHL 3.1 3.3 3.7 4.2 4.7
Return period (years) 103 2 · 103 104 105 106
Gauss’ Approximations
E(h(X , Y )) ≈ h(mX , mY ),
2 2
V(h(X , Y )) ≈ h1 (mX , mY ) V(X ) + h2 (mX , mY ) V(Y ),
where
∂ ∂
h1 (x, y ) = h(x, y ), h2 (x, y ) = h(x, y ),
∂x ∂y
Gauss’ approximation, two variables
E(h(X , Y )) ≈ h(mX , mY ),
2 2
V(h(X , Y )) ≈ h1 (mX , mY ) V(X ) + h2 (mX , mY ) V(Y )
+2h1 (mX , mY )h2 (mX , mY ) C (X , Y ).
Example: Gauss’ approximation
PL3
U= .
48EI
Give approximately E(U) and V(U).
Example: Gauss’ approximation