RISK AND RELIABILITY OF CIVIL

INFRASTRUCTURE SYSTEMS (CE60112)

ARITRA CHATTERJEE
DEPARTMENT OF CIVIL ENGINEERING
SPRING 2024
LECTURE 11 INTRODUCTION TO STOCHASTIC PROCESSES
CONTEXT - CONSIDERATION OF TIME OR SPACE
COORDINATES IN RELIABILITY ANALYSIS
Reliability problems may evolve in the time domain or in the space domain

If time parameter is represented as t, or spatial variation is considered only along a

line (single parameter s), the two problems are mathematically similar, i.e., t and s
could be interchangeable

However, consideration of 3 spatial dimensions is non-trivial and is beyond the scope

of this course
CLASSES OF TIME AND SPACE VARIANT
RELIABILITY PROBLEMS
Encroaching problem

Outcrossing problem

Encroaching-outcrossing problem

Generalized time and space variant problem

ENCROACHING PROBLEM
Basic variables are not a function of time, but the limit state is a function of time (or
space)

Ro exp ot
Example – exponential decay in capacity due to corrosion
R
x s
x t on
g
g g
0
x t
5 ming
ET Con s
OUTCROSSING PROBLEM
Limit state is fixed in time, but basic variables are functions of time or space (that is,
they are stochastic processes)

Example – stochastic time-varying loads such as extreme wind and earthquake,

vehicular loads
t on s
g g g
t 50
F ming
LET
ENCROACHING – OUTCROSSING PROBLEM
Basic variables are stochastic processes and limit states are functions of time

Example – stochastic loads with time-dependent capacity

X t t
g g
Ct 0
min g
F tET
GENERALIZED TIME AND SPACE VARIANT
PROBLEM
Basic variables are both stochastic processes and random fields, while limit states are
functions of both time and space
t s
GS
g g
t s t s 03
F ming
TETSER
This is the most generalized case
STOCHASTIC PROCESS
Sequence of parameterized random variables X(t1), …., X(tn), t1 < t2 < …. tn

Note that each quantity X(ti) is a separate random variable. The above sequence
therefore represents n jointly distributed random variables.

The stochastic process is completely defined by the joint distribution of X(t1), … ,

X(tn)

Either or both t and X(t) can be discrete or continuous (four types total)
INDIVIDUAL MOMENTS OF STOCHASTIC PROCESS

ti E X E
Ux
Mean of X(ti)

Variance of X(ti)
T ti Van x ti
PDF of X(ti) at X(ti) = x (that is, marginal distribution)

CDF of X(ti) at X(ti) = x

fx x t
 I

JOINT MOMENTS OF STOCHASTIC PROCESS

Auto-covariance:

E G X ta
t ta
Exx t Mx ta
Auto-correlation coefficient:
Mx

ex
 PROPERTIES OF AUTO-COVARIANCE AND AUTO-
CORRELATION FUNCTIONS
Symmetricity:

t
Ex t E xx tz
Boundedness:

15 14 E I ETHENE
t2
Tx t Tx
PROPERTIES OF AUTO-COVARIANCE AND AUTO-
CORRELATION FUNCTIONS
Continuity:
cont titi taste
If Exx is
cont Cti tz
It must be
PROPERTIES OF AUTO-COVARIANCE AND AUTO-
CORRELATION FUNCTIONS
Loss of correlation: This property is applicable to a stochastic process that does not
contain periodic components

t1 t2
xx 0
Ita t I
PROPERTIES OF AUTO-COVARIANCE AND AUTO-
CORRELATION FUNCTIONS
Positive semi-definiteness:
1. Autocovariance matrix formed by any discrete set of parameter values is positive
semi-definite

2. The Bivariate Fourier Transform is non-negative for any 

I
in t t at dt
Ex t t exp
0
MULTIPLE STOCHASTIC PROCESSES
Consider two stochastic processes, X(t) and Y(t)

Cross-covariance

E 4 Y ta
Ex Esta
Cross-correlation Mx ti My Lta
Ct to
MULTIPLE STOCHASTIC PROCESSES
Consider two stochastic processes, X(t) and Y(t)

list
Continuity of cross-covariance:

ti te is cont
If Exy t2 t2
and at
be contn
cti.tz
It must
STATIONARY OR HOMOGENOUS PROCESS
If a stochastic process is stationary or homogenous, its probabilistic properties are
invariant of shift in origin, that is X(t) and X(t+) have identical probabilistic
properties (distributions and moments)

This implies :
1. mean and variance remain the same for any ti (discrete or continuous)
2. Marginal PDF fX(x) and CDF FX(x) are independent of t
3. Autocovariance and autocorrelation are functions of time lag 
4. Two processes are jointly stationary if cross-covariance and cross-correlation are
functions of  only
 PROPERTIES OF STATIONARY OR HOMOGENOUS
PROCESS
cross
covariance
Symmetricity of auto-covariance

C E
Exx E Ex
cross
covariance 2
A
5
Boundedness of auto-covariance

2 10
T
5 5
1 Ex E I
 I

PROPERTIES OF STATIONARY OR HOMOGENOUS

PROCESS
Continuity
T
x E Ex contn Y 0
contn allT if
Loss of correlation if there are no periodic components

him CT 0
PROPERTIES OF STATIONARY OR HOMOGENOUS
PROCESS
Positive semi-definiteness

int de
T exp
Fxx 30
GAUSSIAN PROCESS
Random process X(t) is called Gaussian process, if for any selected parameter set,
{t1,t2…tj}, {X(t1),….X(tj)} has a multinormal distribution

Recall that the multinormal distribution is completely defined by the mean vector and
covariance matrix

Similarly, the Gaussian process is completely defined by the mean and

autocovariance functions, that is, X(t) and XX(t,t’)
JOINTLY GAUSSIAN PROCESSES
Consider a set of random processes X1(t), X2(t),…..Xm(t)

These processes are jointly Gaussian, if for any selected parameter set, {t1,t2…tj},
any j, the random variables Xi(tk), i={1,…m}, k={1,…j}, are jointly Gaussian

Jointly Gaussian processes are completely defined by the specification of mean, auto
and cross-covariance functions, Xi(t), XiXi(t,t’) and XiXi’(t,t’)
MOMENTS OF GAUSSIAN PROCESS
Consider X(t) = [X1(t), X2(t),…..Xm(t)]T

Consider a linearly transformed process Y(t) = A(t)X(t) + b(t)

Where A(t) is an l X m deterministic coefficient matrix, b(t) is an l X 1 deterministic
vector, Y(t) is a vector of l jointly Gaussian processes

MY(t) = A(t)MX(t) + b(t) is the mean function of Y(t)

YY(t,t’) = A(t)XX(t,t’)A(t’)T is an l X l matrix of autocorrelation (diagonal terms) and
cross correlations (off-diagonal terms)
DERIVATIVE OF GAUSSIAN PROCESS
Etat Ct Δt
y t him
Δt 0

IS A LINEAR FN
THIS
A t
OF Etat
Thus, the derivative of a Gaussian process (of it exists) is Gaussian
INTEGRAL OF GAUSSIAN PROCESS
h t u dt
X t
Y u
t
in X
IF kt u is linear
t
Y u is linear in
i Y t is
Integral of Gaussian processes in linear form are linear
Gaussian
and Gaussian
STOCHASTIC ANALYSIS OF LINEAR SYSTEMS
UNDER GAUSSIAN EXCITATIONS
Since derivatives and linear integrals of Gaussian processes are Gaussian, the
analysis of such systems is huge simplified

The knowledge of mean and auto- / cross- covariance functions of the Gaussian
excitation or response completely characterizes the corresponding stochastic process