CE 502

Probability and Statistics in Civil Engineering

Spring 2022

Taner Yılmaz, PhD

Özyeğin University
Department of Civil Engineering

Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 WEEK 5
Subjects:
• Normal (Gaussian) Distribution
• Lognormal Distribution

References
Ang, A.H-S. and W.H. Tang, Probability Concepts in Engineering: Emphasis on Applications to Civil and Environmental
Engineering, 2nd edition, John Wiley & Sons, 2007.
Haldar, A. and Mahadevan, S. Probability, Reliability, and Statistical Methods in Engineering Design, John Wiley & Sons,
2000.

Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Normal (or Gaussian) Distribution
Normal (or Gaussian) distribution is undoubtedly the best known and most widely used probability distribution

PDF (probability density function) for the normal distribution of a continuous random variable X:

2
1 1 𝑥 − 𝜇𝑋
𝑓𝑋 (𝑥) = 𝑒𝑥𝑝 − −∞ < 𝑥 < ∞
𝜎𝑋 2𝜋 2 𝜎𝑋

where; 𝜇𝑋 = 𝑀𝑒𝑎𝑛 𝑣𝑎𝑙𝑢𝑒

𝜎𝑋 = 𝑆𝑡𝑎𝑛𝑑𝑎𝑟𝑑 𝑑𝑒𝑣𝑖𝑎𝑡𝑖𝑜𝑛 (𝜇𝑋 , 𝜎𝑋 : Parameters of the distribution)

Convenient short notation for Normal distribution: N(𝜇𝑋 ,𝜎𝑋 )

CDF (cumulative distribution function) for the normal distribution:

𝑥 2
1 1 𝑥 − 𝜇𝑋
𝐹𝑋 (𝑥) = න 𝑒𝑥𝑝 − 𝑑𝑥
𝜎𝑋 2𝜋 2 𝜎𝑋
−∞

Important properties of normal distribution:

• The distribution is symmetric about the mean.
• The mean, median and modal values are identical and can be estimated directly from the data.

Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example: X: N(100, 10)

PDF (Probability density function)

0.045

0.04

0.035

0.03

0.025
fX(x)
0.02

0.015

0.01

0.005

0
70 80 90 100 110 120 130
Random variable, X

CDF (Cumulative distribution function)

1.0
0.9
0.8
0.7
0.6
FX(x)

0.5
0.4
0.3
0.2
0.1
0.0
70 80 90 100 110 120 130
Random variable, X
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Normal (or Gaussian) Distribution
Variation of normal distribution for different mean and standard deviations.

0.05 The effect of different standard deviation on

𝜎 = 10
0.04 PDFs of normal distribution
𝜎 = 20
0.04 𝜇𝑋 = 60
𝜎 = 30
0.03

0.03
fX(x)

0.02

0.02

0.01

0.01

0.00
0 20 40 60 80 100 120 140
Random variable, X

0.05

0.04
𝜇 = 30 The effect of different mean values on PDFs of
0.04
𝜇 = 45 normal distribution
𝜇 = 60 𝜎𝑋 = 10
0.03

0.03
fX(x)

0.02

0.02

0.01

0.01

0.00
0 20 40 60 80 100
Random variable, X
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Standard Normal Distribution
A normal distribution with the parameters 𝜇 = 0 and 𝜎 = 1.0 is known as the standard normal distribution.

Convenient short notation for standard normal distribution: N(0, 1).

Z: Standard normal variate

PDF (probability density function) for the standard normal distribution of the continuous random variable Z:

1 1
𝑓𝑍 (𝑧) = 𝑒𝑥𝑝 − 𝑧 2 −∞ < 𝑧 < ∞
2𝜋 2

CDF (cumulative distribution function) for the normal distribution:

𝑧
1 1
𝐹𝑍 (𝑧) = න 𝑒𝑥𝑝 − 𝑧 2 𝑑𝑧
2𝜋 2
−∞

Because of its wide usage, a special notation 𝚽(𝒛) is commonly used to designate the cumulative distribution
function (CDF) of the standard normal distribution.

Φ(𝑧) = 𝐹𝑍 (𝑧)

Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Standard Normal Distribution
Z: Standard normal variate

Since the standard normal distribution is 𝑝 = Φ(𝑧) = 𝐹𝑍 (𝑧) 𝑁(0,1)

perfectly symmetrical,

fZ(z)
Φ 𝑧 = 0 = 0.5

-5 0 z 5

Standard random variable, Z

1.0
0.9
0.8
0.7
0.6
FZ(z) 0.5
0.4
0.3
0.2
0.1
0.0
-5 0 5

Standard random variable, Z

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 In the table shown here, the cumulative
probability from -∞ to z is calculated.

𝑝 = 𝐹𝑍 (𝑧) = Φ(𝑧)

The table shown here is only valid for

positive values of z.
However, note that negative values are
possible for a normal or standard normal
variable.

Example: CDF for z = 0.61 ?

𝑝 = 𝐹𝑍 0.61 = Φ 0.61 = 0.72907

CDF for z = -0.61 ?

Φ −0.61 = 1 − 0.72907 = 0.27093

The above table is taken from Appendix 1 of the book Haldar and
Mahadevan, 1999.
• Similar tables as shown here are presented in different sources to
calculate the CDF.
• However, please be careful that in some tables presented by
different sources, the cumulative probability for the range from 0 to
z is presented (instead of the probability from -∞ to z).
For calculating the CDF for standard
normal distribution, MS Excel (i.e. Using
the function NORM.S.DIST) or Matlab can
also be used and it would be much more
convenient and faster compared to the use
of a table as presented herein.
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Standard Normal Distribution
Z: Standard normal variate

Since the standard normal distribution is 𝑝 = Φ(𝑧) = 𝐹𝑍 (𝑧) 𝑁(0,1)

perfectly symmetrical, we can show that

fZ(z)
Φ −𝑧 = 1 − Φ(𝑧)

-5 0 z 5

Standard random variable, Z

fZ(z)
1−𝑝 1−𝑝
=Φ(−𝑧)

-5 -z 0 z 5

Standard random variable, Z

Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Standard Normal Distribution
Z: Standard normal variate

Values of z corresponding to probabilities

p > 0.5 are positive (see the upper figure) 𝑝 = Φ(𝑧) 𝑁(0,1)
and may be obtained as follows:

fZ(z)
𝑧 = Φ−1 𝑝

-5 0 z 5

Standard random variable, Z

Values of z corresponding to probabilities

p < 0.5 are negative (see the lower figure)
and may be obtained as follows:

fZ(z)
−𝑧 = Φ−1 𝑝 = −Φ−1(1 − 𝑝)
𝑝 = Φ(−𝑧) 𝑝

-5 -z 0 z 5

Standard random variable, Z

10

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Calculation of Probabilities for Normal Distribution
For a random variate X with distribution N(𝜎𝑋 , 𝜎𝑋 ), the probability of having a value between two limits a and b:
𝑏 2
1 1 𝑥 − 𝜇𝑋
𝑃 𝑎<𝑋≤𝑏 = න 𝑒𝑥𝑝 − 𝑑𝑥
𝜎𝑋 2𝜋 2 𝜎𝑋
𝑎

The above probability can be obtained by performing the integral directly (which is the area under the normal distribution
PDF between a and b).
However, this can be evaluated more readily using the Φ(𝑧) by transforming the original random variable X into standard
normal variable (Z) with zero mean and unit standard deviation:

𝑋 − 𝜇𝑋
𝑍= and 𝑑𝑥 = 𝜎𝑋 dz
𝜎𝑋

(𝑏−𝜇𝑋 )/𝜎𝑋
Then the above integral becomes: 1 1
𝑃 𝑎<𝑋≤𝑏 = න 𝑒𝑥𝑝 − 𝑧 2 𝜎𝑋 dz
𝜎𝑋 2𝜋 2
(𝑎−𝜇𝑋 )/𝜎𝑋

(𝑏−𝜇𝑋 )/𝜎𝑋
1 1
= න 𝑒𝑥𝑝 − 𝑧 2 dZ
2𝜋 2 −∞ < 𝑧 < ∞
(𝑎−𝜇𝑋 )/𝜎𝑋

We recognize that the above probability is the area under the PDF of standard normal distribution Z: N(0, 1) between
(𝑎 − 𝜇𝑋 )/𝜎𝑋 and (𝑏 − 𝜇𝑋 )/𝜎𝑋 .

𝑏 − 𝜇𝑋 𝑎 − 𝜇𝑋
𝑃 𝑎<𝑋≤𝑏 =Φ −Φ
𝜎𝑋 𝜎𝑋

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Standard Normal Distribution

𝑏 − 𝜇𝑋 𝑎 − 𝜇𝑋
𝑃 𝑎<𝑋≤𝑏 =Φ −Φ
𝜎𝑋 𝜎𝑋
𝑃 𝑎<𝑋≤𝑏 𝑁(𝜇𝑋 , 𝜎𝑋 )

fX(x)
-5 a 𝜇0 𝑋 b 5

Random variable, X

𝑏 − 𝜇𝑋 𝑎 − 𝜇𝑋
Φ −Φ
𝜎𝑋 𝜎𝑋 𝑁(0, 1)

fZ(z)

-5 (𝑎 − 𝜇𝑋 )/𝜎𝑋 0 (𝑏 − 𝜇𝑋 )/𝜎𝑋 5

Random variable, Z

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example 3.1:
From historical records, it is found that the total annual rainfall in a catch basin can be modeled with normal distribution
with a mean value of 𝜇𝑋 = 60 𝑖𝑛𝑐ℎ and a standard deviation of 𝜎𝑋 = 15 𝑖𝑛𝑐ℎ .

a) What is the probability that in future years the annual rainfall will be between 40 𝑖𝑛𝑐ℎ and 70 𝑖𝑛𝑐ℎ?
b) What is the probability that the annual rainfall will be at least 30 𝑖𝑛𝑐ℎ ?

a) 𝑋: 𝑇𝑜𝑡𝑎𝑙 𝑎𝑛𝑛𝑢𝑎𝑙 𝑟𝑎𝑖𝑛𝑓𝑎𝑙𝑙 𝑋: 𝑁(60, 15)

𝑃 40 ≤ 𝑋 ≤ 70 = 𝑃 𝑋 ≤ 70 − 𝑃 𝑋 ≤ 40

70 − 60 40 − 60 CDF values are obtained from

= 𝐹𝑋 70 − 𝐹𝑋 40 = Φ −Φ
15 15 standard normal distribution tables

= Φ 0.67 − Φ −1.33

= Φ 0.67 − 1 − Φ 1.33
Recall:
= Φ 0.67 − 1 − Φ 1.33 Φ −𝑧 = 1 − Φ 𝑧

= 0.7486 − 1 − 0.9082 = 𝟎. 𝟔𝟓𝟔𝟖

b) 𝑃 𝑋 ≥ 30 = 1 − 𝑃 𝑋 < 30

30 − 60
=1−Φ
15

= 1 − Φ −2 = 1 − 1 − Φ 2 = Φ 2 = 𝟎. 𝟗𝟕𝟕𝟐
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example 3.2: (Example 4.2 in Haldar and Mahadevan, 1999)
Assume the randomness in elastic modulus of steel (E) can be described by normal distribution with a mean value
of 𝜇𝐸 = 29576 𝑘𝑠𝑖 and a standard deviation of 𝜎𝐸 = 1507 𝑘𝑠𝑖 .

a) What is the probability of the elastic modulus having a value between 28000 𝑘𝑠𝑖 and 29500 𝑘𝑠𝑖?
b) What is the probability that the elastic modulus will be at least 29000 𝑘𝑠𝑖 ?
c) What is the probability that the elastic modulus will be smaller than 0.0.
d) Calculate the 10th and 90th percentile values of the elastic modulus of steel.

a) 𝐸: 𝐸𝑙𝑎𝑠𝑡𝑖𝑐 𝑚𝑜𝑑𝑢𝑠𝑙𝑢𝑠 𝑜𝑓 𝑠𝑡𝑒𝑒𝑙 𝐸: 𝑁 29576, 1507 𝑘𝑠𝑖

𝑃 28000 ≤ 𝐸 ≤ 29500 = 𝑃 𝐸 ≤ 29500 − 𝑃 𝐸 ≤ 28000

29500 − 29576 28000 − 29576

= 𝐹𝐸 29500 − 𝐹𝐸 28000 = Φ −Φ
1507 1507

= Φ −0.05 − Φ −1.05

= 1 − Φ 0.05 − 1 − Φ 1.05

= 1 − 0.5199 − 1 − 0.8531 = 𝟎. 𝟑𝟑𝟑𝟐

b) 𝑃 𝐸 > 29000 = 1 − 𝑃 𝐸 ≤ 29000

29000 − 29576
𝑃 𝐸 ≤ 29000 = 𝐹𝐸 29000 = Φ = Φ −0.38 = 1 − Φ 0.38 = 1 − 0.64803 = 0.35197
1507
We can say that 29000 ksi is approximately the 35th percentile value.

𝑃 𝐸 > 29000 = 1 − 0.35197 = 𝟎. 𝟔𝟒𝟖𝟎𝟑

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example 3.2: (Cont’d)
c) What is the probability that the elastic modulus will be smaller than 0.0.
d) Calculate the 10th and 90th percentile values of the elastic modulus of steel.

c) 0.0 − 29576
𝑃 𝐸 ≤ 0.0 = 𝐹𝑋 0.0 = Φ
1507

= Φ −19.63 ≈ 𝟎. 𝟎

Actually under the normal distribution assumption, negative values of the random variable are possible. However, in
this case the mean value and standard deviation value describing the distribution yielded that the probability of having
a negative value for E is very small, nearly equal to zero.

d) 10th percentile value: x0.10

𝑃 𝐸 ≤ x0.10 = 𝐹𝐸 x0.10 = 0.10

Recall; Φ−1 0.10 = −Φ−1 (1 − 0.10)
x0.10 − 29576 x0.10 − 29576
Φ = 0.10 = Φ−1 0.10 = −Φ−1 0.90 = −1.28
1507 1507

x0.10 = 29576 − 1.28 × 1507 = 27647 𝑘𝑠𝑖

90th percentile value: x0.90

𝑃 𝐸 ≤ x0.90 = 𝐹𝐸 x0.90 = 0.90

x0.90 − 29576 x0.90 − 29576

Φ = 0.90 = Φ−1 0.90 = 1.28
1507 1507

x0.90 = 29576 + 1.28 × 1507 = 31505 𝑘𝑠𝑖

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Lognormal Distribution
In many engineering problems, a random variable cannot have negative values due to the physical aspects of the problem.
In this situation, modeling the variable as lognormal (i.e., considering the natural logarithm of the variable X) is more
appropriate, automatically eliminating the possibility of negative values.

If a random variable has a lognormal distribution, then its natural logarithm has a normal distribution.

PDF (probability density function) for the lognormal distribution of a continuous random variable X:

2
1 1 𝑙𝑛𝑥 − 𝜆𝑋
𝑓𝑋 (𝑥) = 𝑒𝑥𝑝 − 𝑥>0
2𝜋 𝜁𝑋 𝑥 2 𝜁𝑋

where; 𝜆𝑋 and 𝜁𝑋 are the two parameters of the lognormal distribution.

𝜆𝑋 = 𝐸 𝑙𝑛𝑋 Mean of l𝑛𝑋 (or shortly lognormal mean)

𝜁𝑋 = 𝑉𝑎𝑟(𝑙𝑛𝑋) Standard deviation of l𝑛𝑋 (or shortly lognormal standard deviation)

Convenient short notation for Lognormal distribution: X: LN(𝜇𝑋 ,𝜎𝑋 ) or X: LN(𝜆𝑋 ,𝜁𝑋 )

CDF (cumulative distribution function) for the lognormal distribution:

𝑥 2
1 1 𝑙𝑛𝑥 − 𝜆𝑋
𝐹𝑋 (𝑥) = න 𝑒𝑥𝑝 − 𝑑𝑥
2𝜋 𝜁𝑋 𝑥 2 𝜁𝑋
−∞

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Lognormal Distribution
Important properties of lognormal distribution:
• PDF of lognormal distribution is asymmetrical, thus its mean, median and modal values are expected to be different.
• If X is a lognormal variable with parameters 𝜆𝑋 and 𝜁𝑋 , then 𝑙𝑛𝑋 is normal with a mean 𝜆𝑋 and standard deviation 𝜁𝑋 .
𝑋: 𝐿𝑁 𝜆𝑋 , 𝜁𝑋

𝑌 = ln 𝑋 → 𝑌 = 𝑁 𝜆𝑋 , 𝜁𝑋

For a random variate X with distribution LN(𝜆𝑋 ,𝜁𝑋 ), the probability of having a value between two limits a and b:

𝑏 2
1
1 𝑙𝑛𝑥 − 𝜆𝑋
𝑃 𝑎<𝑋≤𝑏 =න 𝑒𝑥𝑝 − 𝑑𝑥
2𝜋 𝜁𝑋 𝑥 2 𝜁𝑋
𝑎

To calculate this probability, the procedures used for the normal variable are still applicable, except for the lognormal case,
the standard variable Z will take the following form:

𝑙𝑛𝑋 − 𝜆𝑋
𝑍= and 𝑑𝑥 = 𝜁𝑋 x dz
𝜁𝑋
(𝑙𝑛𝑏−𝜆𝑋 )/𝜁𝑋
1 1
Then the above integral becomes: 𝑃 𝑎<𝑋≤𝑏 = න 𝑒𝑥𝑝 − 𝑧 2 𝜎𝑋 dz
2𝜋 2
(𝑙𝑛𝑎−𝜆𝑋 )/𝜁𝑋

Φ : CDF of the standard

𝑙𝑛𝑏 − 𝜆𝑋 𝑙𝑛𝑎 − 𝜆𝑋
normal distribution, which 𝑃 𝑎<𝑋≤𝑏 =Φ −Φ
can be obtained by using 𝜁𝑋 𝜁𝑋
the standard tables. 17

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Lognormal Distribution
The two parameters of the lognormal distribution can be calculated from the information on the two parameters of the
normal distribution, the mean (𝜇𝑋 ) and standard deviation (𝜎𝑋 ) of the sample population.

1
𝜆𝑋 = 𝐸 𝑙𝑛𝑋 = 𝑙𝑛𝜇𝑋 − 𝜁𝑋 2
2
2
𝜎𝑋
𝜁𝑋 2
= 𝑉𝑎𝑟 𝑙𝑛𝑋 = 𝑙𝑛 1 + = 𝑙𝑛 1 + 𝛿𝑋 2
𝜇𝑋

If the COV (𝛿𝑋 = 𝜎𝑋Τ𝜇𝑋) is not very large, for example less than 0.30, then 𝑙𝑛 1 + 𝛿𝑋 2 ≈ 𝛿𝑋 ; thus 𝜁𝑋 ≈ 𝛿𝑋 .

The median (𝑥𝑚 ), instead of the mean, is often used to designate the central value of a lognormal random variable.

𝑙𝑛𝑥𝑚 − 𝜆𝑋
By definition; 𝑃 𝑋 ≤ 𝑥𝑚 = 0.50 = Φ
𝜁𝑋

𝑙𝑛𝑥𝑚 − 𝜆𝑋
= Φ−1 0.50 = 0
𝜁𝑋

Hence; 𝜆𝑋 = 𝑙𝑛𝑥𝑚 conversely, 𝑥𝑚 = 𝑒 𝜆𝑋

𝜇𝑋
𝜆𝑋 = 𝑙𝑛 The mean value of a lognormal variate is invariably
2 𝜇𝑋 = 𝑥𝑚 1 + 𝛿𝑋 2
1 + 𝛿𝑋 larger than the corresponding median value (𝜇𝑋 > 𝑥𝑚 ).
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Comparison Between Normal and Lognormal Distribution
Suppose; 𝝁𝑿 = 𝟏𝟎𝟎 and 𝝈𝑿 = 𝟐𝟎
0.03

For the lognormal distribution; 0.02

𝜎𝑋 20 0.02
𝛿𝑋 = = = 0.20

fX(x)
𝜇𝑋 100
0.01
2
𝜁𝑋 = 𝑙𝑛 1 + 𝛿𝑋 = 𝑙𝑛 1 + 0.202 = 0.198
0.01

1
𝜆𝑋 = 𝑙𝑛𝜇𝑋 − 𝜁𝑋 2 0.00
2 0 20 40 60 80 100 120 140 160 180
Random variable, X
1 2
= 𝑙𝑛100 − 0.198 = 4.586
2 Normal Lognormal

1.0
0.9
0.8
0.7
0.6
FX(x)

0.5
0.4
0.3
0.2
0.1
0.0
0 20 40 60 80 100 120 140 160 180
Random variable, X

Normal Lognormal

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Lognormal Distribution
Variation of lognormal distribution PDFs for different lognormal standard deviations 𝜻𝑿 .

For the median value of 𝑥𝑚 = 1

4.50

𝜁 = 0.1
4.00
𝜁 = 0.3
3.50
𝜁 = 0.5
3.00

2.50
fX(x)

2.00

1.50

1.00

0.50

0.00
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
Random variable, X

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example 3.3:
From historical records, it is found that the total annual rainfall in a catch basin can be modeled with lognormal distribution
with a mean value of 𝜇𝑋 = 60 𝑖𝑛𝑐ℎ and a standard deviation of 𝜎𝑋 = 15 𝑖𝑛𝑐ℎ .
a) What is the probability that in future years the annual rainfall will be between 40 𝑖𝑛𝑐ℎ and 70 𝑖𝑛𝑐ℎ?
b) What is the probability that the annual rainfall will be at least 30 𝑖𝑛𝑐ℎ ?

𝑋: 𝑇𝑜𝑡𝑎𝑙 𝑎𝑛𝑛𝑢𝑎𝑙 𝑟𝑎𝑖𝑛𝑓𝑎𝑙𝑙 𝑋: 𝐿𝑁(𝜇𝑋 = 60, 𝜎𝑋 = 15)

𝜎𝑋 15
COV: 𝛿𝑋 = = = 0.25
𝜇𝑋 60

Lognormal standard deviation: 𝜁𝑋 = 𝑙𝑛 1 + 𝛿𝑋 2 = 𝑙𝑛 1 + 0.252 = 0.246

1 1
Lognormal mean: 𝜆𝑋 = 𝑙𝑛𝜇𝑋 − 𝜁𝑋 2 = 𝑙𝑛60 − 0.246 2 = 4.064
2 2
a) b)
𝑃 40 ≤ 𝑋 ≤ 70 = 𝑃 𝑋 ≤ 70 − 𝑃 𝑋 ≤ 40 𝑃 𝑋 ≥ 30 = 1 − 𝑃 𝑋 < 30

𝑙𝑛70 − 𝜆𝑋 𝑙𝑛40 − 𝜆𝑋 𝑙𝑛30 − 4.064

= 𝐹𝑋 70 − 𝐹𝑋 40 = Φ −Φ =1−Φ
𝜁𝑋 𝜁𝑋 0.246
𝑙𝑛70 − 4.064 𝑙𝑛40 − 4.064
=Φ −Φ = 1 − Φ −2.694
0.246 0.246
CDF values are obtained = 1 − 1 − Φ 2.694
from standard normal = Φ 0.75 − Φ −1.52
distribution tables
= Φ 0.75 − 1 − Φ 1.52 = Φ 2.694 = 𝟎. 𝟗𝟗𝟔𝟓
Recall: = Φ 0.75 − 1 − Φ 1.52
Φ −𝑧 = 1 − Φ 𝑧
= 0.7734 − 1 − 0.9357 = 𝟎. 𝟕𝟎𝟗𝟏
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example 3.4: (Example 4.4 in Haldar and Mahadevan, 1999)
Assume the randomness in elastic modulus of steel (E) can be described by lognormal distribution with a mean
value of 𝜇𝐸 = 29576 𝑘𝑠𝑖 and a standard deviation of 𝜎𝐸 = 1507 𝑘𝑠𝑖 .

a) What is the probability of the elastic modulus having a value between 28000 𝑘𝑠𝑖 and 29500 𝑘𝑠𝑖?
b) What is the probability that the elastic modulus will be at least 29000 𝑘𝑠𝑖 ?
c) Calculate the 10th and 90th percentile values of the elastic modulus of steel.

𝐸: 𝐸𝑙𝑎𝑠𝑡𝑖𝑐 𝑚𝑜𝑑𝑢𝑠𝑙𝑢𝑠 𝑜𝑓 𝑠𝑡𝑒𝑒𝑙 𝐸: 𝐿𝑁 𝜇𝑋 = 29576, 𝜎𝑋 = 1507

𝜎𝐸 1507
COV: 𝛿𝐸 = = = 0.051
𝜇𝐸 29576

Lognormal standard deviation: 𝜁𝑋 = 𝑙𝑛 1 + 𝛿𝑋 2 = 𝑙𝑛 1 + 0.512 = 0.051 Actually, when 𝛿𝐸 < 0.3; 𝛿𝐸 ≈ 𝜁𝑋

1 1
Lognormal mean: 𝜆𝑋 = 𝑙𝑛𝜇𝑋 − 𝜁𝑋 2 = ln(29576) − 0.051 2 = 10.293
2 2

a) 𝑃 28000 ≤ 𝐸 ≤ 29500 = 𝑃 𝐸 ≤ 29500 − 𝑃 𝐸 ≤ 28000

ln(29500) − 10.293 28000 − 10.293

= 𝐹𝐸 29500 − 𝐹𝐸 28000 = Φ −Φ
0.051 0.051

= Φ −0.017 − Φ −1.04 = 1 − Φ 0.017 − 1 − Φ 1.04

= 1 − 0.5068 − 1 − 0.8508 = 𝟎. 𝟑𝟒𝟒
b) 𝑃 𝐸 > 29000 = 1 − 𝑃 𝐸 ≤ 29000
ln(29000) − 10.293
𝑃 𝐸 ≤ 29000 = 𝐹𝐸 29000 = Φ = Φ −0.35 = 1 − Φ 0.35 = 1 − 0.6368 = 0.3632
0.051
We can say that 29000 ksi is approximately the 36th percentile value.
𝑃 𝐸 > 29000 = 1 − 0.3668 = 𝟎. 𝟔𝟑𝟔𝟖
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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz
 Example 3.4: (Cont’d)
c) Calculate the 10th and 90th percentile values of the elastic modulus of steel.

c)
10th percentile value: x0.10

𝑃 𝐸 ≤ x0.10 = 𝐹𝐸 x0.10 = 0.10

Recall; Φ−1 0.10 = −Φ−1 (1 − 0.10)
ln x0.10 − 10.293 ln x0.10 − 10.293
Φ = 0.10 = Φ−1 0.10 = −Φ−1 0.90 = −1.28
0.051 0.051

x0.10 = 𝑒 10.293−1.28×0.051 = 27659 𝑘𝑠𝑖

90th percentile value: x0.90

𝑃 𝐸 ≤ x0.90 = 𝐹𝐸 x0.90 = 0.90

ln x0.90 − 10.293 ln x0.10 − 10.293

Φ = 0.90 = Φ−1 0.90 = 1.28
0.051 0.051

x0.10 = 𝑒 10.293+1.28×0.051 = 31517 𝑘𝑠𝑖

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Özyeğin University – CE 502 Advanced Probability and Statistics for Civil Engineers – Dr. Taner Yılmaz