Characterizing Uncertain Site-Specific Trend Function by

Sparse Bayesian Learning

Jianye Ching, M.ASCE 1; and Kok-Kwang Phoon, F.ASCE 2
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Abstract: This paper addresses the statistical uncertainties associated with the estimation of a depth-dependent trend function and spatial
variation about the trend function using limited site-specific geotechnical data. Specifically, the statistical uncertainties associated with the
following elements are considered: (1) the functional form (shape) of the trend function; (2) the parameters of the trend function (e.g., intercept
and gradient); and (3) the random field parameters describing spatial variation about the trend function, namely standard deviation (σ) and
scale of fluctuation (δ). The problem is resolved with a two-step Bayesian framework. In Step 1, a set of suitable basis functions that pa-
rameterize the trend function is selected using sparse Bayesian learning. In Step 2, an advanced Markov chain Monte Carlo method is adopted
for the Bayesian analysis. The two-step approach is shown to be consistent in the well-defined sense that the resulting 95% Bayesian con-
fidence interval (or region) contains the actual trend (or actual σ and δ) with a chance that is close to 0.95. Inconsistency can occur when the
spatial variability has a large σ or a large δ relative to data record length. DOI: 10.1061/(ASCE)EM.1943-7889.0001240. © 2017 American
Society of Civil Engineers.
Author keywords: Geotechnical engineering; Statistical uncertainty; Trend; Site characterization; Spatial variability.

Introduction
One of the purposes of site investigation is to obtain information
on the vertical spatial distribution of geotechnical parameters.
Typically, the vertical spatial distribution is expressed as a depth-
dependent trend function and a zero-mean spatial variation. The
most popular model for the spatial variation is the random field.
The amount of information collected in a site investigation is lim-
ited compared with the volume of soil. Hence statistical uncertainty
is particularly important in the geotechnical context (Phoon and
Kulhawy 1999). This means that the parameters used to character-
ize the vertical spatial distribution, such as the trend function (t),
standard deviation (σ), and scale of fluctuation (SOF) (δ), cannot be
estimated with complete certainty. From the Bayesian perspective,
statistical uncertainty can also be interpreted as model uncertainty,
and the prior/posterior distributions are used to quantify the model
uncertainty before/after the site investigation. However, the term
statistical uncertainty is adopted here because it is a recent focus
in geotechnical risk and reliability (Phoon and Retief 2015; Phoon
et al. 2016).
The statistical uncertainty in some of these parameters has been
addressed in Ching et al. (2016c). They considered a vertical spatial
distribution with a constant trend μ. Ching et al. (“On the identi-
fication of geotechnical site-specific trend function,” submitted,
J. Risk Uncertainty Eng. Syst. Part A: Civ. Eng., ASCE, Reston,
Virginia) further considered a vertical spatial distribution with a
linear trend a þ bz (z is the depth; a and b are the intercept and
gradient, respectively). They further considered a common scenario
1
Professor, Dept. of Civil Engineering, National Taiwan Univ., No. 1,
Section 4, Roosevelt Rd., Da’an District, Taipei 10617, Taiwan (corre-
sponding author). E-mail: jyching@gmail.com
2
Professor, Dept. of Civil and Environmental Engineering, National
Univ. of Singapore, 21 Lower Kent Ridge Rd., Singapore 119077.
Note. This manuscript was submitted on July 20, 2016; approved on
November 23, 2016; published online on February 21, 2017. Discussion
period open until July 21, 2017; separate discussions must be submitted
for individual papers. This paper is part of the Journal of Engineering
Mechanics, © ASCE, ISSN 0733-9399.
where the trend function is obtained by regression and the detrended
data is adopted to characterize the statistical uncertainty in (σ, δ):
the statistical uncertainty in the trend function is ignored. Detrending
is a standard preprocessing procedure for spatial variability data
(e.g., Fenton 1999a; Phoon and Kulhawy 1999; Uzielli et al. 2005).
Ching et al. (“On the identification of geotechnical site-specific
trend function,” submitted, J. Risk Uncertainty Eng. Syst. Part A:
Civ. Eng., ASCE, Reston, Virginia) showed that ignoring the stat-
istical uncertainty in the trend has the undesirable consequence of
overestimating the reliability. Past studies have recognized that
detrending deserves more rigorous attention (e.g., Kulatilake 1991;
Li 1991; Jaksa et al. 1997; Fenton 1999b). Phoon et al. (2003) tried
to couple detrending with the identification of statistically homo-
geneous soil layers using modified Bartlett statistics. They argued
that detrending by regression assumes that the remaining zero-
mean oscillating component is white noise, which is inconsistent
with the empirical observation that geotechnical parameters are
spatially correlated. All previous studies did not consider the im-
pact of statistical uncertainty on detrending.
This paper addresses the statistical uncertainties associated with
the characterization of spatially variable site data in full and within
a consistent theoretical framework. Ching et al. (2016c) only con-
sidered a constant trend t ¼ μ, whereas Ching et al. (“On the iden-
tification of geotechnical site-specific trend function,” submitted,
J. Risk Uncertainty Eng. Syst. Part A: Civ. Eng., ASCE, Reston,
Virginia) only considered a linear trend tðzÞ ¼ a þ bz. Another
source of statistical uncertainty is in the form of the trend function.
This is more fundamental than the statistical uncertainty in the trend
parameters such as μ or (a, b). The actual trend function tðzÞ is a
consequence of natural deposition processes and ensuing environ-
mental factors that continue to modify the deposits. There is limited
physical basis to believe that the actual trend can be represented by
a constant or linear function, although normally consolidated soils
tend to exhibit strength profiles that increase linearly with depth.
Overconsolidated soils may exhibit strength profiles that remain
constant with depth up to some limit, because the overconsolidation
ratio is known to decrease with the depth and this trend may be
compensated by the effective vertical stress that increases with

© ASCE 04017028-1 J. Eng. Mech.

J. Eng. Mech., -1--1

 depth. If the actual trend is neither a constant nor a linear function,
force-fitting a constant or a linear trend model will introduce bias
that cannot be eliminated by increasing the amount of site inves-
tigation data. The bias in the form (or shape) of the trend function
will ultimately propagate to the design outcomes.
The purpose of the current paper is to characterize the statistical
uncertainty in the trend function without assuming the form of the
trend function a priori. Hence the statistical uncertainty is not lim-
ited to the trend parameters associated with a prescribed trend func-
tional form, as was considered in previous studies; this paper also
considers the uncertainty in the trend functional form. An analysis
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framework that can potentially handle both sources of uncertainties
(parameters and functional form) is proposed. The trend function is
represented as the linear combination of a collection of basis func-
tions (BFs) with uncertain weights. The framework consists of
two steps. In Step 1 (BF selection), the collection of BFs that give
the maximum conditional evidence is identified using an iterative
optimization procedure. This step is similar to the Bayesian model
class selection (Beck and Yuen 2004; Yuen 2010a, b; Cao and
Wang 2014; Wang and Aladejare 2015), but it is not necessary
to compute the evidence for every possible collection of BFs.
Instead, a few optimization runs over the hyperparameters will suf-
fice. This greatly reduces the computational cost. Tipping (2001)
called this framework sparse Bayesian learning (SBL) because
the optimization result is typically sparse in the sense that only
a few BFs are necessary to effectively represent the trend function.
However, Tipping (2001) only considered uncorrelated residuals. In
the context of spatial variability at a site, this means that the de-
trended residuals from soil data records are uncorrelated, which is
rarely encountered in actual field measurements. It will be shown
that the assumption of uncorrelated residuals underestimates the
uncertainty in the trend function.
A key contribution of this paper is the modification of the SBL
framework to incorporate correlated residuals. It will be made clear
that the critical sparsity feature still holds with the incorporation of
spatial correlation when an appropriate thresholding scheme pro-
posed in this paper is implemented. Recently, Wang and Zhao
(2016) showed that the compressive sampling method (Candès and
Wakin 2008) can also lead to sparse BFs. However, SBL is adopted
in this study to be consistent with the Bayesian analysis in Step 2.
In Step 2, the BFs selected in Step 1 are adopted for further
Bayesian analysis. Another key contribution of this paper is the
proposing of an efficient MCMC method to draw samples from the
high dimensional posterior probability density function (PDF) of
the trend function and (σ, δ). With the two-step approach, the stat-
istical uncertainties in the trend functional form and in the trend
parameters are addressed holistically and consistently. The statis-
tical uncertainties in (σ, δ) are also considered within this consistent
two-step Bayesian framework.
Bayesian Probabilistic Site Characterization
Let Y ¼ ðy1 ; y2 ; : : : ; yn Þ denote the site investigation data ob-
served at depths (z1 ; z2 ; : : : ; zn ). For example, yi can be the cor-
rected cone tip resistance (qt ) in the cone penetration test (CPT) at
depth zi . It can also be a transformed observation—e.g., yi ¼
ln½qt ðzi Þ or yi ¼ ln½Qtn ðzi Þ ¼ ln½qt ðzi ÞCN , where CN is the
overburden correction factor (e.g., Liao and Whitman 1986). It
is customary to hypothesize that the observation yi is the summa-
tion of the trend tðzi Þ and the spatial variability εðzi Þ
yi ¼ tðzi Þ þ εðzi Þ ð1Þ
© ASCE 04017028-2
J. Eng. Mech., -1--1
where εðzÞ is modeled as a zero-mean stationary random field with
standard deviation = σ and SOF = δ. The normalized parameter
nD ¼ D=δ is used to characterize the total depth D ¼ zn − z1 ;
nD is the equivalent number of SOFs within the total depth D.
Probabilistic Site Characterization
Given the site investigation data Y ¼ ðy1 ; y2 ; : : : ; yn Þ, the purpose
of probabilistic site characterization is to estimate the trend function
tðzÞ as well as (σ, δ). Note that not only are the parameters (σ, δ)
unknown, but the functional form for the trend function tðzÞ is also
unknown. It will be explained in the next section that the unknown
function tðzÞ is parameterized into a set of unknown weights. The
only available information is the Y data. It is impossible to deter-
mine the unknown parameters (t, σ, δ) exactly given the limited
information Y. It is more realistic to present the unknown param-
eters (t, σ, δ) in the form of a range of possibilities, all of which are
consistent with the observation data Y, rather than a single definite
number. The range should logically broaden/narrow when there is
less/more information. To characterize this range, say in the form of
a 95% confidence interval or region, the statistical uncertainties in
(t, σ, δ) must be quantified. This is a practical and critical problem
in probabilistic site characterization. This paper shows that it is
possible to do this entirely within a consistent two-step Bayesian
framework. The following sections introduce the probabilistic
models for the trend function tðzÞ and for the spatial variability
εðzÞ. Without loss of generality, the trend function tðzÞ, spatial
variability εðzÞ, and the observations Y ¼ ðy1 ; y2 ; : : : ; yn Þ are all
defined on the depth interval [0, 1]. For real site investigation
data not defined on the depth interval [0,1], the transformation
z ¼ ðoriginal depth z − z1 Þ=D can be adopted to convert to the
[0, 1] interval. The SOF needs to be converted as well; SOF ¼
ðoriginal SOFÞ=D. Note that nD ¼ D=δ is invariant under this
transformation.
Probabilistic Model
The trend function tðzÞ is modeled as the linear combination of a
collection of basis functions (BFs)
X
m
tðzÞ ¼ wk ϕk ðzÞ ð2Þ
k¼0
where ϕk ðzÞ = kth BF and wk = unknown weight. This expression
is fairly general and can encompass the polynomial basis
(zk ∶k ¼ 0; 1; 2; : : : ), the wavelet basis (wavelets with various
scales and locations), and the Fourier cosine basis, among others.
In this study, the shifted Legendre polynomial basis is first
demonstrated, although other bases can be adopted. The shifted
Legendre polynomials are a collection of polynomials defined
on the interval [0, 1]. They are the shifted versions of the Legendre
polynomials on ½−1; 1. The first five such polynomials are
ϕ0 ðzÞ ¼ 1
pffiffiffi
ϕ1 ðzÞ ¼ 3ð2z − 1Þ
pffiffiffi
ϕ2 ðzÞ ¼ 5ð6z2 − 6z þ 1Þ
pffiffiffi
ϕ3 ðzÞ ¼ 7ð20z3 − 30z2 þ 12z − 1Þ
pffiffiffi
ϕ4 ðzÞ ¼ 9ð70z4 − 140z3 þ 90z2 − 20z þ 1Þ ð3Þ
Note that they are scaled by a constant ð2k þ 1Þ0.5 such that the
norms of the polynomials are 1:
J. Eng. Mech.

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Fig. 1. First five BFs for the shifted Legendre polynomials
Z Σ¼σ ×6
1 6
2
ϕk ðzÞ dz ¼ 1
0
Fig. 1 shows the first five shifted Legendre polynomials. The
collection of all BFs up to order m is denoted by M, i.e., M ¼
fϕ0 ; ϕ1 ; : : : ; ϕm g. It is desirable that m is large (e.g., m ¼ 20)
so that the trend model can cover a wide variety of trend functions.
The following analysis requires the BFs to have a unity norm but it
does not require the BFs to be orthogonal, nor does it require that
the data (y1 ; y2 ; : : : ; yn ) be equally spaced in the depth direction.
From the parameterized trend model in Eq. (2), it is clear that
X
m expected that a regular trend function (e.g., a linear trend) can be
yi ¼ wk ϕk ðzi Þ þ εðzi Þ
k¼0
In other words
Y ¼Φ×Wþε
where Y ¼ ðy1 ; y2 ; : : : ; yn ÞT , W ¼ ðw0 ; w1 ; : : : ; wm ÞT ,
½εðz1 Þ; εðz2 Þ; : : : ; εðzn ÞT , and
2 3
ϕ0 ðz1 Þ ϕ1 ðz1 Þ · · · ϕm ðz1 Þ
6 7
6 ϕ0 ðz2 Þ ϕ1 ðz2 Þ ϕm ðz2 Þ 7
6 7
Φ¼6 . .. .. 7
6 .. . . 7
4 5
ϕ0 ðzn Þ ϕ1 ðzn Þ ··· ϕm ðzn Þ
The spatial variability εðzÞ is modeled as a zero-mean stationary
normal random field with standard deviation = σ and the following
auto-correlation function ρðΔzÞ (Vanmarcke 1977):
ρðΔzÞ ¼ ρ½εðzÞ;εðz þ ΔzÞ ¼ expð−2jΔzj=δÞ
where δ = SOF.
The purpose of probabilistic site characterization is to estimate
(W; σ; δ), where tðzÞ is parameterized by W. For Bayesian analysis,
prior PDFs for (W; σ; δ) need to be specified. For (σ; δ), flat non-
informative prior PDFs are assigned to lnðσÞ and lnðδÞ. For each
weight wk , its prior PDF is assumed to be a zero-mean normal
variable with standard deviation sk
fðwk jsk Þ ∼ Nð0; s2k Þ
© ASCE
J. Eng. Mech., -1--1
By setting sk to be a fixed large number, the prior PDF for wk is also
flat. The members of set S ¼ ðs0 ; s1 ; : : : ; sm Þ are called the hyper-
parameters. Note that although the prior mean for wk is zero, the pos-
terior mean of wk can become non-zero after the Bayesian updating.
Likelihood and Posterior PDF
From Eq. (6), the likelihood of observing Y given the uncertain
variables (W; σ; δ) can be written as
1 1
fðYjW; σ; δÞ ¼ pffiffiffiffiffiffin × pffiffiffiffiffiffi
2π jΣj
 
1
× exp − ðY − Φ × WÞT Σ−1 ðY − Φ × WÞ
2
ð10Þ
where Σ is the covariance matrix of ε
2 3
1 e−2jz1 −z2 j=δ e−2jz1 −z3 j=δ · · · e−2jz1 −zn j=δ
6 7
6 1 e−2jz2 −z3 j=δ · · · e−2jz2 −zn j=δ 7
6 7
6 7
2
6 1 7 ð11Þ
7
.. 7
ð4Þ 6 SYM: . e −2jzn−1 −zn j=δ 7
4 5
1
Step 1—Selection of Basis Functions
An important question to ask is whether all BFs in M ¼
fϕ0 ; ϕ1 ; : : : ; ϕm g are necessary to characterize the trend function
tðzÞ. Using the shifted Legendre polynomials as an example, it is
ð5Þ expressed as the linear combination of a small subset of the BFs
that contains only few low-order polynomials. Adopting high-
order polynomials may overfit the data—i.e., they may fit the spa-
tial variability εðzÞ in addition to the trend function tðzÞ. This is the
fundamental difficulty pointed out in past studies. However, aban-
ð6Þ
doning high-order polynomials indiscriminately will create another
ε¼ difficulty. If the actual trend function happens to be irregular, the
low-order polynomials cannot fit the trend function well and parts
of the trend function are incorporated into the spatial variability
εðzÞ. It is often difficult to determine by visual inspection whether
the trend function is regular or not because the trend function is
buried in the spatial variability.
ð7Þ
One method of selecting a suitable collection of BFs is the
Bayesian model class selection. A collection of BFs is referred to
as a model class in this paper. Given a model class M j —i.e., a
subset of M—the model evidence fðYjM j Þ can be estimated as
Z
fðYjMj Þ ¼ fðYjW; σ; δ; M j ÞfðWjM j Þfðln σjM j Þfðln δjM j Þ
ð8Þ · dW · dðln σÞ · dðln δÞ ð12Þ
where fðln σjM j Þ and fðln δjMj Þ are taken to be flat priors; and
fðWjMj Þ is also flat by setting sk to be a fixed large number. The
model evidence fðYjM j Þ quantifies the plausibility of M j given the
observed data Y, so the model class that maximizes the model evi-
dence is the most plausible. A more complicated model class tends
to have a smaller model evidence. This penalization mechanism
against complicated model classes is well known (e.g., Mackay 1992;
Yuen 2010a). This means that M j containing many unnecessary BFs
ð9Þ is penalized. As a result, maximizing the model evidence fðYjMj Þ
04017028-3 J. Eng. Mech.
 can effectively mitigate overfitting. There are numerous possible 1 1
fðYjS; σ; δ; MÞ ¼ pffiffiffiffiffiffin × pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
model classes—e.g., M 1 ¼ fϕ0 g, M 2 ¼ fϕ0 ; ϕ2 g, and M 3 ¼ 2π jΦ × Ω × ΦT þ Σj
fϕ0 ; ϕ3 ; ϕ6 g. There are 2mþ1 possible model classes. If m ¼ 20,  
there are 221 possible model classes. For each model class 1
× exp − Y T ðΦ × Ω × ΦT þ ΣÞ−1 Y ð14Þ
M j ⊆ M, the model evidence fðYjM j Þ can be evaluated and the 2
model class with the highest model evidence is the most plausible
model class, denoted by M . The analytical evaluation of fðYjM j Þ where Ω = covariance matrix for W
is challenging because the integral in Eq. (12) is high dimensional. 2 3
Some methods are able to approximately estimate fðYjM j Þ— s20 0 ··· 0
6 7
e.g., Laplace approximation (Beck and Yuen 2004; Yuen 2010a, b) 6 0 s21 0 7
6 7
and transitional MCMC (Ching and Chen 2007)—but the compu- Ω¼6 .. .. .. 7 ð15Þ
6 7
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tation cost for each model evidence estimation is high, not to 4 . . . 5

mention that the computation cost will be multiplied by 2mþ1.
0 0 ··· s2m

Maximizing the Conditional Evidence f
Y jS;σ;δ;M 
This study adopts an alternative strategy for performing the BF
selection that was first proposed by MacKay (1992). Whether or
not the kth BF ϕk ðzÞ is active is governed by the standard deviation
sk of its weight wk ; sk ¼ 0 implies that ϕk ðzÞ is deactivated because
wk is equal to 0 with prior probability 1. In MacKay’s framework,
S ¼ ðs0 ; s1 ; : : : ; sm Þ are considered as variables rather than fixed
at large values as in Eq. (12). Furthermore, numerous model classes
(M1 ; M 2 ; M 3 ; : : : ) are not considered. Instead, the entire set M is
considered and the optimal (S; σ; δ) that maximizes the conditional
evidence fðYjS; σ; δ; MÞ is sought:
Z derivations are extended to accommodate the spatial correlation
fðYjS; σ; δ; MÞ ¼ fðY; WjS; σ; δ; MÞ · dW
Z items always need to be updated to their most recent states:
¼ fðYjW; σ; δ; MÞfðWjS; MÞ · dW ð13Þ
Maximizing the conditional evidence fðYjS; σ; δ; MÞ is similar
to maximizing the likelihood function fðYjW; σ; δ; MÞ in Eq. (10),
but now the objective is to fine-tune the standard deviations S ¼
ðs0 ; s1 ; : : : ; sm Þ rather than the weights W ¼ ðw0 ; w1 ; : : : ; wm Þ.
Maximizing the likelihood fðYjW; σ; δ; MÞ (fine-tuning W di-
rectly) can lead to a great deal of overfitting. On the other hand,
maximizing the model evidence fðYjM j Þ in Eq. (12) can mitigate
the overfitting because all random variables are integrated out, but
it is computationally costly. Maximizing the conditional evidence
fðYjS; σ; δ; MÞ is an intermediate solution. The question of whether
or not maximizing the conditional evidence can mitigate overfitting
will be addressed later.
Tipping (2001) showed that the optimal solution S ¼
ðs0 ; s1 ; : : : ; sm Þ that optimizes the conditional evidence fðYjS; σ;
 
δ; MÞ is typically sparse; most optimal hyperparameters sk go to
zero. Tipping (2001) called this framework sparse Bayesian learn-
ing (SBL) because the optimization result is typically sparse. This
SBL has recently attracted some attention in civil engineering
(Huang et al. 2014; Huang and Beck 2015; Mu and Yuen 2016).
Because sk ¼ 0 implies that the kth basis ϕk ðzÞ is deactivated,
the marginal likelihood fðYjS; σ; δ; MÞ is maximized by deactivat-
ing all BFs with sk ¼ 0. Therefore,It is found that a small initial
the problem of selecting an optimal model class M  among
(M1 ; M 2 ; M 3 ; : : : ) that maximizes the model evidence fðYjM j Þ
is simplified into the problem that finds the optimal S that max-
imizes the conditional evidence fðYjS; σ; δ; MÞ. The computation
cost is greatly reduced; the former problem requires the estimation
of a combinatorial number of model evidences fðYjM 1 Þ; fðYjM 2 Þ;
fðYjM 3 Þ, and so on, whereas the latter only requires a single opti-
mization run.
The conditional evidence fðYjS; σ; δ; MÞ has the following
analytical expression:
The optimization problem for fðYjS; σ; δ; MÞ is high dimen-
sional because there are ðm þ 1Þ þ 2 ¼ m þ 3 parameters in
(S; σ; δ). The Appendix shows that the following steps can be
adopted to decompose the high-dimensional optimization problem
into (m þ 3) one-dimensional (1D) optimization problems, and
(m þ 2) of them have analytical solutions. The optimal solution
(S ; σ ; δ  ) can be obtained by iterating among these (m þ 3)
1D optimization problems until convergence is achieved. Tipping
(2001) derived the solutions for the scenario with uncorrelated re-
siduals. When applied to spatial variability at a site, this means the
derivation only applies to a soil data record that is spatially uncor-
related. This is clearly unrealistic in the geotechnical context. The
structure in the Appendix. Throughout the steps, the following two
C ¼ ðΩ−1 þ ΦT × Σ−1 × ΦÞ−1 μ ¼ C × ΦT × Σ−1 × Y
ð16Þ
Note that Ω−1 can be computed easily because Ω is diagonal.
The algorithm for optimizing fðYjS; σ; δ; MÞ is as follows:
1. Initialize (S; σ; δ). It is found that a small initial δ will help the
convergence.
2. Update ðnew s2k Þ ¼ ðold s2k Þ × μ2k =½ðold s2k Þ − Ckk . Do this for
k ¼ 0; 1; 2; : : : ; m. To prevent the round-off error when evalu-
ating Ω−1 in Eq. (16), a lower bound of 10−10 is adopted for
(new s2k ) in this paper. Specifically, ifðnew s2k Þ < 10−10 , (new s2k )
is set to be 10−10 .
3. Update ðnew σ2 Þ ¼ ðold σ2 Þ × ½ðY − Φ × μÞT Σ−1 ðY − Φ × μÞ=
½n − traceðC × ΦT × Σ−1 × ΦÞ, where traceð·Þ is the summation
of the diagonals of a square matrix.
4. Update (new δ) by optimizing fðYjS; σ; δ; MÞ, where S and σ
are fixed at their most updated values. There is no analytical
solution for this 1D optimization problem. Any optimization
algorithm (e.g., steepest decent) can be adopted.
5. Iterate Steps 2–4 until convergence.
Examples for Basis Function Selection
To showcase the BF selection, consider the following three
examples:
1. EX1: tðzÞ ¼ 100 þ 200z;
2. EX2: tðzÞ ¼ 100 þ 100z − 1000z2 þ 1000z3 ; and
3. EX3: tðzÞ ¼ 100 þ 100 × cosð4πzÞ.
For all examples, the spatial variability εðzÞ is with standard devia-
tion σ ¼ 20 and SOF δ ¼ 0.1 (nD ¼ 1=0.1 ¼ 10). Given (σ; δ),
ε ¼ ½εðz1 Þ; εðz2 Þ; : : : ; εðzn ÞT can be simulated by
t(z) = EX1 + ε ¼ L · U ð17Þ

© ASCE 04017028-4 J. Eng. Mech.

J. Eng. Mech., -1--1

 Covariance Matrix = Sigma² * R

where U ¼ ½U 1 U 2 ; ::: ;U n T contains independent standard normal
samples; L is the Cholesky decomposition of the covariance matrix
ΣðΣ ¼ L × LT Þ in Eq. (11). Further given the trend function tðzÞ,
Eq. (1) can be adopted to simulate the Y ¼ ðy1 ; y2 ; : : : ; yn Þ data.
Figs. 2(a), 3(a), and 4(a) show the simulated Y data (dashed lines).
The Y data are obtained at equally spacing depths ðz1 ; z2 ; : : : ; zn Þ ¼
ð0; 0.01; 0.02; : : : ; 1.0Þ. Although there are 101 data points in Y,
those data points are correlated. Effectively, there are only approxi-
mately nD ¼ 10 equivalent independent data points in Y. Ching
et al. (2016c) defined the normalized sampling interval to be
Δ ¼ ðsampling intervalÞ=δ. They showed that if Δ is larger than
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This means that ϕk with k > 3 is unnecessary. However, ϕ4 ; ϕ7 ; ϕ8 ,
etc. in Fig. 3(b) are still active. If all these unnecessary BFs are
incorporated, they may fit the spatial variability εðzÞ—i.e., there
may be overfitting. Therefore a further thresholding procedure is
proposed in this study as follows.
Some remaining BFs are insignificant in the sense that their sk
values are substantially less than the optimal solution for σ indicated
by the horizontal dashed lines in Figs. 2(b), 3(b), and 4(b). Because
all BFs have unit norm, it is meaningful to compare between sk and
σ . These BFs have insignificant contributions to the trend and are
likely to fit the spatial variability, hence they are further deactivated

0.5, δ may become unidentifiable. For the three examples above,
Δ is equal to 0.1, so δ is identifiable. Only one realization of Y is
used to select the BFs. The shifted Legendre polynomials with
order up to 20 (m ¼ 20) are adopted as the BFs: M ¼ fϕ0 ;
ϕ1 ; : : : ; ϕ20 g. Figs. 2(b), 3(b), and 4(b) show the optimal solutions
for S ¼ ðs0 ; s1 ; : : : ; s20 Þ after one optimization run. For all exam-
ples, many sk values are effectively zero: they attain the lower limit
10−10 . These BFs should be deactivated in Step 2 (Bayesian ana-
lysis). However, some unnecessary high-order BFs are still active.
For instance, the actual trend for EX2 is a third-order polynomial.
for the reason of robustness. In this study, 50% of σ is taken to be
the threshold of whether or not a BF has significant contribution.
This 50% ratio threshold is adopted based on numerical experience:
BFs below this ratio tend to fit the spatial variability, not the trend.
The optimization algorithm should be executed again without these
further deactivated BFs to update the optimal solution (S ; σ ; δ  ).
The updated σ typically will be higher than its previous estimate
because the overfitting is suppressed by removing insignificant
BFs so that the residual becomes more significant. It is then possible
that the updated sk values for some BFs become less than 50% of the

Fig. 2. (a) One simulated realization for EX1; (b) optimal solutions for (s0 ; s1 ; : : : ; s20 ) after the first optimization iteration; (c) final solutions for
(s0 ; s1 ; : : : ; s20 )

Fig. 3. (a) One simulated realization for EX2; (b) optimal solutions for (s0 ; s1 ; : : : ; s20 ) after the first optimization iteration; (c) final solutions for
(s0 ; s1 ; : : : ; s20 )

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J. Eng. Mech., -1--1

Downloaded from ascelibrary.org by THE UNIVERSITY OF NEWCASTLE on 02/24/17. Copyright ASCE. For personal use only; all rights reserved.
Fig. 4. (a) One simulated realization for EX3; (b) optimal solutions for (s0 ; s1 ; : : : ; s20 ) after the first optimization iteration; (c) final solutions for
(s0 ; s1 ; : : : ; s20 )
updated σ . If this happens, these BFs are further deactivated and the
optimization is executed again. The iterative process stops when
there are no more BFs with an updated sk that is less than 50%
of the updated σ . Step 1 usually takes less than five optimization
iterations. Figs. 2(c), 3(c), and 4(c) show the final optimal solutions
for S ¼ ðs0 ; s1 ; : : : ; s20 Þ. The remaining BFs with non-zero sk are
fairly sparse. Two BFs fϕ0 ; ϕ1 g are finally selected for EX1, three
fϕ0 ; ϕ2 ; ϕ3 g for EX2, and three fϕ0 ; ϕ4 ; ϕ6 g for EX3. Step 1 only
selects the BFs. The trend function will be estimated in Step 2.
To illustrate whether or not the iterative optimization and thresh-
olding in Step 1 can mitigate overfitting, consider EX2 in Fig. 3.
Suppose that Step 1 only consists of a single optimization without
the thresholding with respect to 50% of σ . Fig. 3(b) shows the
optimal solutions for S ¼ ðs0 ; s1 ; : : : ; s20 Þ for this single optimi-
zation. This single optimization still suffers from overfitting, as
seen from the tðzÞ Samples conditioning on (S , σ , δ  ) and the
Y data [see the grey dotted lines in Fig. 5(a)]. Such tðzÞ samples
can be readily drawn because W is multivariate normal condition-
ing on (S ; σ ; δ  ) and Y (multivariate normality will be discussed
in a later section). The overfitting in Fig. 5(a) is evident because
tðzÞ samples follow the Y data closely.
Now consider the full Step 1 that consists of a series of iterative
optimization and thresholding operations. Fig. 3(c) shows the final
optimal solutions for S ¼ ðs0 ; s1 ; : : : ; s20 Þ. Many of them are zero
Fig. 5. tðzÞ samples conditioning on (S ; σ ; δ  ) and Y: (a) (S ; σ ; δ  ) obtained by a single optimization; (b) (S ; σ ; δ  ) obtained at the end of Step 1
© ASCE 04017028-6
J. Eng. Mech., -1--1
(the sparsity). The tðzÞ samples conditioning on this (S ; σ ; δ  ) and
Y are plotted in Fig. 5(b) as the grey dotted lines. It is evident that
the overfitting is effectively suppressed. These results suggest that
simply maximizing the conditional evidence fðYjS; σ; δ; MÞ using
a single optimization cannot effectively mitigate overfitting. How-
ever, overfitting can be effectively mitigated by adopting the iter-
ative optimization and thresholding procedure in Step 1.
To further illustrate whether or not Step 1 can mitigate overfit-
ting, let M 0 denote the model class that contains the BFs selected
in Step 1. Let M  denote the model class maximizing the model
evidence fðYjMj Þ in Eq. (12). It is demonstrated that M 0 is close
to M in the sense that fðYjM 0 Þ is close to fðYjM  Þ—i.e., M 0 is
close to the optimal solution for the model evidence. Recall that
maximizing the model evidence fðYjM j Þ can effectively mitigate
overfitting. Because Step 1 is close to optimality for the model evi-
dence, it is expected that Step 1 can also effectively mitigate over-
fitting. To illustrate that M 0 is close to M  , consider a reduced M
which contains the first ten shifted Legendre polynomials (m ¼ 9).
A smaller m is taken herein to make it feasible to search over
the 2mþ1 ¼ 1,024 possible model classes. For each model class
M j , the model evidence fðYjM j Þ in Eq. (12) is estimated using
the transitional Markov chain Mote Carlo (TMCMC) method
(Ching and Chen 2007; Ching and Wang 2016a), producing
1,024 model evidence estimates. Fig. 6(a) shows the histogram
J. Eng. Mech.
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Fig. 6. Histograms of the 1,024 ln½fðYjMj Þ estimates: (a) EX1; (b) EX2; (c) EX3; the first 10 shifted Legendre polynomials (m ¼ 9) are adopted

for the 1,024 ln½fðYjM j Þ estimates for the EX1 data. The vertical fðYjM 0 Þ in Eq. (12) is evaluated under a flat prior fðWjM j Þ
solid line indicates the location of the optimal log model evidence: for which sk is set to be a fixed large number. By adopting the flat
ln½fðYjM  Þ ¼ −316.24. This represents the optimal model class prior, the model evidences for different model classes are evaluated
M  for EX1 from the viewpoint of the Bayesian model class selec- based on the same W prior PDF. This puts the comparison among
tion. The vertical dashed line indicates the location of the log model different model classes on the same ground. If sk is set to sk rather
evidence for M 0 ¼ fϕ0 ; ϕ1 g selected by Step 1. The log model evi- than to a fixed large number, the resulting model evidence estimates
dence for M 0 is fairly close to the optimal log model evidence. for various model classes are not based on the same W priors. In
Figs. 6(b and c) show the histograms for the 1,024 ln½fðYjM j Þ fact, numerical evidences show that the model class with overfitting
estimates for the EX2 and EX3 data. For EX2 and EX3, M 0 hap- sk tends to have a higher model evidence.
pens to be identical to M . Drawing posterior samples from the high-dimensional pos-
terior PDF fðW 0 ; ln σ; ln δjY; M 0 Þ is challenging. This study
proposes an efficient method to draw the posterior samples of
Step 2—Bayesian Analysis (W 0 ; ln σ; ln δ) to circumvent the difficulty for high-dimensional
sampling: (1) (ln σ; ln δ) samples are first drawn from fðln σ;
After the model class M 0 is selected in Step 1, Bayesian analysis ln δjY; M 0 Þ. Many sampling methods can become inefficient for
can be performed in Step 2 to draw posterior samples of high-dimensional PDFs. However, fðln σ; ln δjY; M 0 Þ is always
(W; ln σ; ln δ) conditioning on the Y data. Because the full model two-dimensional and (2) W 0 samples are then drawn from the
class M is reduced to M 0 after Step 1, the posterior PDF of interest multivariate normal PDF fðW 0 jσ; δ; Y; M 0 Þ, where σ and δ are
is fðW 0 ; ln σ; ln δjY; M 0 Þ, where W 0 contains the weights for the fixed at their sampled values. This PDF is potentially high dimen-
selected BFs only. The matrices Φ and Ω reduce to Φ 0 and Ω 0 as sional, but samples from a multivariate normal PDF can be easily
well. For EX2 in Fig. 3, fϕ0 ; ϕ2 ; ϕ3 g are selected in Step 1. There- obtained.
fore, W 0 ¼ ðw0 ; w2 ; w3 ÞT , S 0 ¼ ðs0 ; s2 ; s3 Þ
2 3 Drawing (ln σ; ln δ) Samples from f (ln σ; ln δjY ;M 0 )
ϕ0 ðz1 Þ ϕ2 ðz1 Þ ϕ3 ðz1 Þ
2 3
6 7 s20 The posterior PDF fðln σ; ln δjY; M 0 Þ can be written as
6 ϕ0 ðz2 Þ ϕ2 ðz2 Þ ϕ3 ðz2 Þ 7
0 6 7 6 7
Φ ¼ 6. .. .. 7 Ω0 ¼ 4 s22 5 ð18Þ
6 .. . . 7 fðYjσ; δ; M 0 Þfðln σjM 0 Þfðln δjM 0 Þ
4 5 s23 fðln σ; ln δjY; M 0 Þ ¼ ð20Þ
ϕ0 ðzn Þ ϕ2 ðzn Þ ϕ3 ðzn Þ fðYjM 0 Þ

and Eq. (6) now becomes where fðYjσ; δ; M 0 Þ has the following analytical expression
[similar to Eq. (14)]:
Y ¼ Φ0 × W 0 þ ε ð19Þ
1 1
In Step 2, sk is not treated as a variable but is set to be a fixed fðYjσ; δ; M 0 Þ ¼ pffiffiffiffiffiffin × pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
large number (hence the diagonals of Ω 0 are fixed large numbers as 2π jΦ 0 × Ω 0 × Φ 0T þ Σj
well). This means that a flat prior PDF is assigned to each weight  
1 T 0 0 0T −1
wk . If sk is set to the optimal solution sk from Step 1, the trend × exp − Y ðΦ × Ω × Φ þ ΣÞ Y ð21Þ
2
estimates obtained in Step 2 will not be significantly affected. How-
ever, the estimated model evidence fðYjM 0 Þ, a by-product of Step 2
that is to be introduced later, will be misleading. This model evi- The denominator fðYjM 0 Þ in Eq. (21) is the model evidence of
dence estimate is essential for the selection of basis type (e.g., se- M 0.Recall that lnðσÞ and lnðδÞ have non-informative flat prior
lection among polynomial, shifted Legendre, and Fourier cosine PDFs, hence fðln σjM 0 Þ and fðln δjM 0 Þ are constant functions.
bases) and for the selection of autocorrelation model. Recall that Therefore

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J. Eng. Mech., -1--1

 1 intervals ½lnð5Þ; lnð50Þ and ½lnð0.01Þ; lnð1Þ, respectively. For each
fðln σ; ln δjY; M 0 Þ ∝ pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
jΦ × Ω × Φ 0T þ Σj
0 0
 
1 there are 5,000 trend function samples as well as 5,000 (σ̂, δ̂) sam-
× exp − Y T ðΦ 0 × Ω 0 × Φ 0T þ ΣÞ−1 Y
2 ples. These samples reflect the statistical uncertainties in the trend
With Eq. (22), the MCMC method (Metropolis et al. 1953;
Hastings 1970; Wang and Cao 2013; Wang et al. 2016) can be
adopted to obtain samples from fðln σ; ln δjY; M 0 Þ. In this paper,
the TMCMC method (Ching and Chen 2007; Ching and Wang
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2016a) is adopted to obtain the samples. An important benefit
of TMCMC is that it can estimate the model evidence fðYjM 0 Þ
as a by-product without extra computation cost. Recently, Betz et al.
(2016) proposed a useful modification to the original TMCMC.
They found that if the TMCMC weights are adjusted after each
MCMC move, the bias in the model evidence estimate will be sig-
nificantly reduced (see also the discussion by Ching and Wang
2016b). This modification is adopted in the TMCMC. With the
modified TMCMC method, the posterior samples for (ln σ; ln δ)
can be readily drawn from fðln σ; ln δjY; M 0 Þ. Moreover, the model
evidence fðYjM 0 Þ can be estimated. This model evidence will be
adopted for the Bayesian model class selection over different types
of basis functions (e.g., polynomials and Fourier cosine functions).
In order to obtain a meaningful fðYjM 0 Þ estimate, all sk should be
set to fixed large numbers, and the diagonals of Ω 0 are the squares
of these large sk .
Drawing W 0 Samples from f (W 0 jσ;δ;Y ;M 0 )
Let (ln σ̂; ln δ̂) denote a set of samples drawn from fðln σ; ln δjY;
M 0 Þ. They are first converted to exponentials to obtain (σ̂, δ̂). Next,
the W 0 sample can be readily drawn from fðW 0 jσ̂; δ̂; Y; M 0 Þ, a
multivariate normal PDF with the following mean vector and
covariance matrix:
Ĉ 0 ¼ ðΩ 0−1 þ Φ 0T × Σ̂−1 × Φ 0 Þ−1
μ̂ 0 ¼ Ĉ 0 × Φ 0T × Σ̂−1 × Y
where Σ̂ is associated with (σ̂, δ̂):
2 3
1 e−2jz1 −z2 j=δ̂ e−2jz1 −z3 j=δ̂ · · · e−2jz1 −zn j=δ̂
6 7
6 1 e−2jz2 −z3 j=δ̂ · · · e−2jz2 −zn j=δ̂ 7
6 7
6 7
2 6
Σ̂ ¼ σ̂ × 6 1 7
7 is more strict, hence the chance for complete enclosure is less.
6 .. 7
6 SYM: . −2jzn−1 −zn j=δ̂ 7
4 e 5
1 (σ̂, δ̂). Ching et al. (2016c) found that (σ; δ) are unidentifiable for
Consider again EX2 in Fig. 3 as the example. Recall that
fϕ0 ; ϕ2 ; ϕ3 g are finally selected. Suppose (σ̂, δ̂) has been drawn
using TMCMC. The companion sample Ŵ 0 ¼ ðŵ0 ; ŵ2 ; ŵ3 Þ can
then be drawn from a multivariate normal PDF with the mean vec-
tor and covariance matrix defined in Eq. (23). Finally, the sample
for the trend function, denoted by t̂ðzÞ, can be obtained:
t̂ðzÞ ¼ Φ 0 × Ŵ 0 ¼ ŵ0 ϕ0 ðzÞ þ ŵ2 ϕ2 ðzÞ þ ŵ3 ϕ3 ðzÞ
To illustrate Step 2, the Y data points for EX2 in Fig. 3(a)
(dashed line) are analyzed. Because fϕ0 ; ϕ2 ; ϕ3 g are selected in
Step 1, the TMCMC method is adopted to obtain samples from
fðln σ; ln δjY; M 0 Þ with these three BFs only in Step 2. The
TMCMC stage sample size is taken to be 5,000. In Step 2, the stan-
dard deviation sk is set to be a fixed large number ½expð10Þ ≈
22,000. The prior PDFs for lnðσÞ and lnðδÞ are uniform over the
© ASCE
J. Eng. Mech., -1--1
set of (σ̂, δ̂) samples, a companion set of Ŵ 0 samples is drawn and a
trend function sample t̂ðzÞ is obtained using Eq. (25). Therefore
ð22Þ function tðzÞ and in (σ, δ).
Fig. 7(b) shows the median and the 95% confidence interval for
the 5,000 trend function samples. The actual trend function tðzÞ is
shown for comparison. Note that the results presented here are
based on one realization of the Y data. This corresponds to the most
extreme site-investigation scenario where only a single CPT sound-
ing is available. The effect of multiple CPT soundings on the iden-
tification of tðzÞ and (σ; δ) is presented in Ching et al. (2016d). The
95% confidence interval for the trend function in Fig. 7(b) is a
depthwise confidence interval. For instance, Fig. 7(b) shows the
95% confidence interval for z ¼ 0.25 as the left-hand-side error
bar. The upper and lower bounds of the error bar are the 97.5 and
2.5% percentiles, respectively, of the 5,000 trend function samples
evaluated at z ¼ 0.25. The 95% confidence interval for another
depth can also be plotted—e.g., the right-hand-side error bar is the
95% confidence interval at z ¼ 0.75. The dashed lines in Fig. 7(b)
are the locus of the upper and lower bounds of the 95% confidence
intervals at various depths. For this particular random realization of
the Y data, the actual tðz ¼ 0.25Þ lies within the 95% confidence
interval at z ¼ 0.25 [Fig. 7(b)]. For another random realization of
Y, this does not necessarily hold, because the upper and lower
bounds of the 95% confidence interval will change. The confidence
interval in this paper is always constructed based on a single reali-
zation of the Y data. For each realization, the chance of such an
interval capturing the actual trend at a depth z is either yes or
no. To get a sense of the chance of capturing the actual trend using
this confidence-interval construction procedure, it is necessary to
repeat the procedure for a large number of different Y realizations;
a sample size of 100 is adopted in this paper. One hundred random
realizations of the Y data show that the chance for such a confi-
dence interval at z ¼ 0.25 to contain the actual trend tðz ¼ 0.25Þ
is 0.97 and that the chance for such a confidence interval at
ð23Þ z ¼ 0.75 to contain the actual trend tðz ¼ 0.75Þ is 0.95. Both
are reasonably close to 95%. The two-step approach is deemed
to be consistent in this well-defined sense that the resulting 95%
Bayesian confidence interval (or region) contains the actual trend
(or actual σ and δ) with a chance that is close to 0.95. It is not true
that the chance for the dashed lines in Fig. 7(b) to completely enclose
the entire tðzÞ is also about 95%; the criterion of complete enclosure
ð24Þ
Fig. 7(c) shows the (σ̂, δ̂) samples. The actual (σ, δ) values are
shown for comparison. There seems to be a strong tradeoff between
data with insufficient nD . When nD is not sufficiently large, there
are many combinations of (σ; δ) that are all consistent with the Y
data. For the current case, nD ¼ 10. For Y data with a larger nD, the
tradeoff will be less significant. The unidentifiability issue of
½tðzÞ; σ; δ is explored in detail in Ching et al. (2016d). Ching et al.
(2016c) proposed a method of constructing a 95% confidence el-
lipsoid for the cloud of the (σ̂, δ̂) samples. This 95% confidence
ð25Þ ellipsoid is shown in Fig. 7(c). For this particular random realiza-
tion of the Y data, the actual (σ; δ) is within the 95% confidence
ellipsoid. For another random realization of Y this does not nec-
essarily hold, because the location of the 95% confidence ellipsoid
will change. One hundred random realizations of the Y data reveal
that the chance for the 95% confidence ellipsoid to contain the actual
(σ; δ) is 0.94. This is also reasonably close to 95%. Although not
shown, the (σ̂, δ̂) samples seem to be mutually uncorrelated to the
W 0 samples. The (ŵ0 , ŵ1 , ŵ2 ) samples seem mutually uncorrelated
04017028-8 J. Eng. Mech.
Downloaded from ascelibrary.org by THE UNIVERSITY OF NEWCASTLE on 02/24/17. Copyright ASCE. For personal use only; all rights reserved.
Fig. 7. (a) One simulated realization for EX2: the dashed line is the simulated Y data; (b) median estimate and the 95% confidence interval for the
trend function based on the one simulated realization in (a); (c) (σ̂, δ̂) samples based on the one simulated realization in (a)
as well, because the shifted Legendre polynomials are orthogonal.
Furthermore, the posterior mean values for (w0 ; w1 ; w2 ) are signifi-
cantly greater than zero, although its prior mean value is zero.
Effect of Spatial Variability Amplitude
The Y data for EX2 are originally simulated with standard devia-
tion σ ¼ 20. To investigate the effect of a different spatial variabil-
ity amplitude, the Y data are simulated with two different standard
deviations σ ¼ 10 and 40, whereas the scale of fluctuation remains
δ ¼ 0.1. For σ ¼ 10, the chance for the confidence interval/
ellipsoid to contain the actual trend/parameters is still close to 95%.
For σ ¼ 40, however, it becomes fairly challenging to estimate the
trend, and the chance for the confidence interval to contain the ac-
tual trend is only about 75%. Numerical evidence shows that the
discrepancy from 95% occurs because Step 1 fails to identify a suit-
able set of BFs in the presence of significant spatial variability. If a
suitable set of BFs is selected in Step 1, the chance can be close to
95% even in the presence of significant spatial variability.
Effect of the Scale of Fluctuation
The Y data for EX2 are originally simulated with scale of fluc-
tuation δ ¼ 0.1 (nD ¼ 10). To investigate the effect of a different
SOF, the Y data are simulated with two different SOFs δ ¼ 0.02
(nD ¼ 50) and 0.5 (nD ¼ 2), whereas the standard deviation
remains σ ¼ 20. The former case, δ ¼ 0.02, corresponds to Δ ¼
ðsampling intervalÞ=δ ¼ 0.01=0.02 ¼ 0.5, hence δ is still identifi-
able. For δ ¼ 0.02 (or nD ¼ 50), the chance for the confidence in-
terval/ellipsoid to contain the actual trend/parameters is still close
to 95%. For δ ¼ 0.5 (or nD ¼ 2), it becomes fairly challenging to
estimate the trend because it can be difficult to distinguish between
trend and spatial variability when the spatial variability has a large
SOF. The chance for the confidence interval to contain the actual
trend is approximately 75–80%. Numerical evidence shows that the
discrepancy from 95% occurs because Step 1 fails to identify a suit-
able set of BFs in the presence of the large-SOF spatial variability.
If a suitable set of BFs has been selected in Step 1, the chance
can be close to 95% even in the presence of the large-SOF spatial
variability.
Selection for Type of Basis Functions
Shifted Legendre BFs have been considered thus far. There are other
types of BFs, such as polynomial basis, Fourier cosine basis, radial
© ASCE 04017028-9
J. Eng. Mech., -1--1
basis, wavelet basis, and b-spline basis. The effectiveness of a cer-
tain basis type depends on the functional form of the actual trend
function. The polynomial and shifted Legendre bases may be more
effective for polynomial trends such as EX1 and EX2, whereas the
Fourier cosine basis may be more effective for the cosine trend
such as EX3. Recall that the TMCMC method can estimate the
model evidence fðYjM 0 Þ as a by-product. The resulting model
evidence estimate will be adopted to select the basis type in this
section. The selection among the polynomial basis (M P0 ), shifted
Legendre basis (M L0 ), and Fourier cosine basis (M F0 ) according
to their model evidence estimates, denoted by fðYjM P0 Þ, fðYjML0 Þ,
and fðYjM F0 Þ, respectively, will be demonstrated. To do this, the
above two-step approach is executed for each basis type for the same
Y data. During the TMCMC in Step 2, the evidences fðYjM P0 Þ,
fðYjML0 Þ, and fðYjM F0 Þ are estimated. The basis type with the
highest evidence is the best basis type. The posterior probability of
each basis type can be estimated as the normalized evidence—
e.g., PðM L0 jYÞ ¼ fðYjM L0 Þ=½fðYjM P0 Þ þ fðYjM L0 Þ þ fðYjM F0 Þ.
The data for EX1, EX2, and EX3 are analyzed using the three
types of basis—polynomial, shifted Legendre, and Fourier cosine
bases. The logarithms of the resulting model evidence estimates are
shown in Table 1, with the posterior probability shown in brackets.
Note that EX1 and EX2 have polynomial trends and EX3 has a co-
sine trend. It is reasonable that the polynomial basis performs the
best for EX1 and EX2 and that the Fourier cosine basis performs
the best for EX3. To illustrate that the selection result is sensible,
consider EX3. The polynomial basis performs poorly for EX3 with
a very low evidence. Fig. 8(a) further shows the median estimate and
the 95% confidence intervals for the trend function of EX3 based on
the polynomial basis. It is clear that the Y data trend is not even
captured. The chance that the actual trend tðzÞ is within the confi-
dence interval at a fixed z location becomes significantly lower than
95%. In contrast, the shifted Legendre and Fourier cosine bases can
capture the Y data trend [Figs. 8(b and c)]. The Fourier cosine basis
not only captures the Y data trend, but the resulting 95% confidence
interval is fairly narrow. The above observations are consistent with
the fact that the polynomial basis has the lowest evidence whereas
the Fourier cosine basis has the highest evidence. For all examples,
the shifted Legendre basis never performs poorly in the sense that the
median estimate fails to capture the general shape of the Y data [such
as in Fig. 8(a)]. In fact, the evidence for the shifted Legendre basis is
usually not the lowest among the three basis types.
The model evidence estimate can also be adopted to select
the autocorrelation model. Although only the single exponential
J. Eng. Mech.
 Table 1. Logarithms of the Model Evidence Estimates
Trend function Polynomial M P0
EX1: tðzÞ ¼ 100 þ 200z −322.14½0.52
EX2: tðzÞ ¼ 100 þ 100z − 1,000z2 þ 1,000z3 −328.15½0.79
EX3: tðzÞ ¼ 100 þ 100 × cosð4πzÞ −336.03½0.00
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Fig. 8. Median estimates and the 95% confidence intervals for the trend function in EX3: (a) polynomial basis; (b) shifted Legendre basis;
(c) Fourier cosine basis
model in Eq. (8) is adopted thus far, other autocorrelation models
such as squared exponential, cosine exponential, and second order
Markov models (Uzielli et al. 2005) can also be adopted. By
comparing the model evidence estimates produced by different
autocorrelation models, a suitable autocorrelation model can be
selected.
Real Case History
Piezocone test (CPTU) data from the nearshore of the eastern part
of Singapore is analyzed in this section. The water depth is approx-
imately 2 m. The first 2 m of the seabed is very soft surface sed-
imentation, followed by upper marine clay, fluvial clay, and lower
marine clay. Fig. 9 shows the normalized cone resistance (Qtn )
data. The vertical data interval is 0.02 m. The normalized cone
resistance is defined as (Robertson 2009)
0 n
Qtn ¼ ½ðqt − σv0 Þ=Pa  × ðPa =σv0 Þ ð26Þ
where qt = (corrected) cone resistance; Pa ¼ 101.3 kN=m2 (one
atmosphere pressure); σv0 0 and σ = effective and total overburden
v0
stresses, respectively; and the exponent n varies from 0.5 to 1 de-
pending on the soil behavior type (n ¼ 1 for claylike soils and n ¼
0.5 for sandlike soils) (Robertson 2009). Fig. 9(a) also shows the
stratification results based on the wavelet transform modulus
maxima method (Ching et al. 2015). There are four soil layers, in-
dexed 1 to 4 from top to bottom, with soil behavior type (Robertson
2009) annotated in the figure. The purpose is to demonstrate the
use of the proposed two-step approach for the characterization
of the statistical uncertainties in the trend function tðzÞ for the
lnðQtn Þ profile as well as in its (σ; δ). It is noteworthy that for this
real-world example, discrepancy between the reality and the model
(such as the adopted BFs and autocorrelation function) may exist.
This discrepancy cannot be reduced by increasing amount of data;
© ASCE 04017028-10
J. Eng. Mech., -1--1
ln½fðYjM 0 Þ estimate [PðM 0 jYÞ estimate]
Shifted Legendre M L0 Fourier cosine M F0
−322.86½0.25 −322.96½0.23
−329.50½0.21 −335.74½0.00
−331.45½0.00 −326.08½1.00
i.e., it is not due to statistical uncertainty. From the Bayesian per-
spective, this discrepancy can be interpreted as model uncertainty.
The model uncertainties in the BFs and the autocorrelation function
for this real-world case study are addressed in the following
analysis. The details for the analysis of Layer 2 are presented
below.
Fig. 9(b) shows the lnðQtn Þ data points for Layer 2. Originally,
the data points were defined on the interval z ¼ ½2.34 m; 11.92 m.
However, it is well known that CPTU data has a transition zone,
and the data within the transition zone do not truly represent the
current layer. For the current case study the transition zone was
taken to be 0.3 m on each side of the layer boundary based
on visual inspection. The Y ¼ lnðQtn Þ data points excluding the
transition zones were analyzed, so the depth range for the Y data
became z ¼ ½2.64 m; 11.62 m. This depth range was translated to
[0, 1][Fig. 9(c)] by z ¼ ½ðoriginal zÞ − 2.64=ð11.62 − 2.64Þ. The
translated Y data was analyzed using the two-step approach. The
database collected by Phoon and Kulhawy (1999) indicates that
the coefficient of variation (COV) for the inherent variability of soil
properties roughly ranges from 0.05 to 0.5. This implies that the
standard deviation (σ) of the logarithm for the inherent variability
also ranges approximately from 0.05 to 0.5. Phoon and Kulhawy
(1999) indicated that the vertical SOF ranges approximately from
0.1 m to 10 m. The Y data was the translated into the [0, 1] interval
(depth was scaled by 11.62 − 2.64 ¼ 8.98 m), hence the SOF for
the translated Y data should range from ð0.1 mÞ=ð8.98 mÞ ¼
0.011 to ð10 mÞ=ð8.98 mÞ ¼ 1.11. As a result, the prior PDFs
for lnðσÞ and lnðδÞ were uniform over the intervals [ln(0.05), ln
(0.5)] and [ln(0.011), ln(1.11)], respectively. The two-step approach
was executed three times with the polynomial basis, shifted Legen-
dre basis, and Fourier cosine basis, producing three model evidence
estimates. For Layer 2, the polynomial basis had the highest model
evidence. The polynomial basis was therefore selected to obtain the
median estimate and 95% confidence interval for the trend function
as well as the posterior samples of (σ; δ). Note that the δ samples
J. Eng. Mech.
Downloaded from ascelibrary.org by THE UNIVERSITY OF NEWCASTLE on 02/24/17. Copyright ASCE. For personal use only; all rights reserved.
Fig. 9. (a) lnðQtn Þ data for the eastern Singapore site; (b) lnðQtn Þ data for Layer 2; (c) translated lnðQtn Þ data for Layer 2 (excluding the transition zone)
need to be multiplied by 8.98 m to convert them back to the original
physical depth scale. Different autocorrelation models, including
the single exponential, squared exponential, cosine exponential,
second order Markov, and triangular models, were also investigated.
Fig. 10. Analysis results for the eastern Singapore site: (a) median and
95% confidence interval for the trend function; (b–e) the posterior
samples of (σ; δ) for the four soil layers
© ASCE
J. Eng. Mech., -1--1
The single exponential model in Eq. (8) produced the maximum
model evidence for all layers, hence it was selected for all the
analysis.
Fig. 10 shows the resulting median estimate and 95% confi-
dence interval for the trend function as well as the posterior samples
of (σ; δ). The lnðQtn Þ data points in each soil layer were analyzed
independently with respect to the other soil layers. The polynomial
basis was optimal for Layers 2 and 4, and the shifted Legendre
basis was optimal for Layers 1 and 3. The (σ; δ) samples for most
layers seemed to have a strong tradeoff except for Layer 2. Layer 2
was considered to be relatively thick because its nD = thickness/
SOF was large. Its thickness was 8.98 m (excluding the transition
zone) and its δ samples ranged from 0.1 to 0.2 m. Therefore its nD
ranged from 45 to 90. The lnðQtn Þ data were also reanalyzed by
the two-step approach but with the assumption of uncorrelated
residuals [the original setting in Tipping (2001)]. The resulting
trend estimates were fairly different from those seen in the left
plot in Fig. 10. The resulting median estimate for the trend closely
followed the Y data and the resulting 95% confidence intervals
were very narrow—e.g., for Layer 2, the 95% confidence interval
was about seven times narrower than the ones seen in Fig. 10.
The uncertainty in the trend was greatly underestimated with the
uncorrelated residual assumption.
Conclusions
This study tries to fully characterize the statistical uncertainty in the
unknown trend function for the vertical spatial distribution of geo-
technical site investigation data. Previous studies have shown that
ignoring the statistical uncertainty in the trend function may lead to
unconservative reliability estimation. Although the characterization
of uncertain trend parameters—e.g., gradient and intercept—has
been addressed in the literature, the characterization of the uncer-
tain functional form for the trend function has not been addressed in
the literature. The trend function is usually buried in spatial vari-
ability, and it may not be realistic to determine its functional form
by visual inspection. To the authors’ best knowledge, methods that
04017028-11 J. Eng. Mech.
 characterize both uncertainties (uncertainties in parameters and in ∂½Y T ðΦ × Ω × ΦT þ ΣÞ−1 Y
functional form) do not yet exist. ∂s−2
k
The current paper proposes a two-step approach to characterize
the uncertainties in all parameters, including the functional form ∂½Y T Σ−1 Y − Y T Σ−1 ΦðΦT Σ−1 Φ þ Ω−1 Þ−1 ΦT Σ−1 Y
¼
of the trend, within a consistent Bayesian framework. In Step 1, an ∂s−2
k
iterative optimization procedure is proposed to select the optimal ∂ðΦT Σ−1 Φ þ Ω−1 Þ
set of the BFs that can effectively represent the actual trend func- ¼ −Y T Σ−1 ΦðΦT Σ−1 Φ þ Ω−1 Þ−1 ×
∂s−2
k
tion. The solution for Step 1 is sparse, meaning that typically only
a few BFs are necessary to effectively represent the actual trend. ∂ðΩ−1 Þ
× ðΦT Σ−1 Φ þ Ω−1 Þ−1 ΦT Σ−1 Y ¼ μT × × μ ¼ μ2k
To retain the critical sparsity feature in the presence of correlated ∂s−2
k
residuals, an appropriate thresholding scheme for the BFs is
ð29Þ
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proposed. In Step 2, an efficient method based on the TMCMC

method is proposed to obtain the high-dimensional posterior sam-
ples for the uncertain parameters, including the uncertain trend
and uncertain standard deviation and SOF for the spatial variabil- where μ is defined in Eq. (16). Here, the matrix inversion lemma
ity. Simulation studies show that the two-step approach is gener- ðA × B × AT þ DÞ−1 ¼ D−1 − D−1 × A × ðAT × D−1 × A þ B−1 Þ−1 ×
ally effective for characterizing the statistical uncertainties in trend AT × D−1 and the partial derivative identity ∂ðA−1 Þ=∂x ¼ −A−1 ×
parameters and in functional form, in the well-defined sense that ∂ðAÞ=∂x × A−1 have been implemented. Combining Eqs. (27)–
the resulting 95% Bayesian confidence intervals enclose the actual (29), it is clear that
parameters/trend with a chance that is reasonably close to 0.95.
An exception can happen when the BFs are poorly selected in
Step 1. This can be partly mitigated by the Bayesian model class ∂ ln fðYjS; σ; δ; MÞ 1 1
¼ − × ðCkk − s2k Þ − × μ2k ð30Þ
selection over different types of basis, such as polynomial basis, ∂s−2
k 2 2
Fourier cosine basis, radial basis, wavelet basis, and b-spline
basis.
Solving Eq. (30) for zero gives ðnew s2k Þ ¼ μ2k þ Ckk . Note that
both C and μ are based on (old sk ). Tipping (2001) indicated that if
Appendix. Analytical Solutions for 1D Optimization Eq. (30) is written as
Problems

The optimization problem for fðYjS; σ; δ; MÞ can be decomposed  

into (m þ 3) 1D optimization problems. This appendix derives the ∂ ln fðYjS; σ; δ; MÞ 1 Ckk 1
¼ − × − 1 × s2k − × μ2k ð31Þ
analytical solutions for (m þ 2) of them: the optimization with re- ∂s−2
k 2 s 2
k 2
spect to sk ðk ¼ 0,1; : : : ; mÞ and the one with respect to σ. The 1D
optimization with respect to δ does not have an analytical solution.
For the 1D optimization with respect to sk , it is convenient to with the first sk being old and the second being new, the conver-
optimize ln½fðYjS; σ; δ; MÞ with respect to s−2 k : gence is much faster. This gives
ln fðYjS; σ; δ; MÞ ¼ −0.5 × lnðjΦ × Ω × ΦT þ ΣjÞ
1 μ2k ðold s2k Þ × μ2k
− Y T ðΦ × Ω × ΦT þ ΣÞ−1 Y ð27Þ ðnew s2k Þ ¼ ¼ ð32Þ
2 1 − Ckk =ðold sk Þ ðold s2k Þ − Ckk
2

The optimal sk satisfies ∂ ln½fðYjS; σ; δ; MÞ=∂s−2

k ¼ 0. The
partial derivative for the first term yields
For the 1D optimization with respect to σ, it is also convenient to
∂ lnðjΦ × Ω × ΦT þ ΣjÞ
optimize ln½fðYjS; σ; δ; MÞ with respect to σ−2 . The partial deriva-
∂s−2
k tive for the first term yields
∂½lnðjΦ × Σ−1 × ΦT þ Ω−1 jÞ þ lnðjΩjÞ þ lnðjΣjÞ
¼
∂s−2
k
 ∂ lnðjΦ × Ω × ΦT þ ΣjÞ
¼ trace ðΦ × Σ−1 × ΦT þ Ω−1 Þ−1 ∂σ−2
 ∂½lnðjΦ × Σ−1 × ΦT þ Ω−1 jÞ þ lnðjΩjÞ þ lnðjΣjÞ
∂ðΦ × Σ−1 × ΦT þ Ω−1 Þ ∂ lnðjΩjÞ ¼
× þ ∂σ−2
∂s−2
k ∂s−2
k

  ¼ trace ðΦ × Σ−1 × ΦT þ Ω−1 Þ−1
∂ðΦ × Σ−1 × ΦT þ Ω−1 Þ ∂ lnðjΩjÞ
¼ trace C × þ
∂s−2 ∂s−2 
 
k k ∂ðΦ × Σ−1 × ΦT þ Ω−1 Þ ∂ lnðjΣjÞ
∂Ω−1 ∂ lnðjΩjÞ × −2
þ
¼ trace C × −2 þ ¼ Ckk − s2k ð28Þ ∂σ ∂σ−2
∂sk ∂s−2
k ¼ traceðC × Φ × R−1 × ΦT Þ − n × σ2 ð33Þ
where C is defined in Eq. (16). Here, the matrix determinant
identity jA þ B × Dj ¼ jAj × jI þ D × A−1 × Bj and the partial
derivative identity ∂ lnðjAjÞ=∂x ¼ trace½A−1 × ð∂A=∂xÞ have where R ¼ Σ=σ2 is the correlation matrix. The partial derivative
been implemented. The partial derivative for the second term yields for the second term yields

© ASCE 04017028-12 J. Eng. Mech.

J. Eng. Mech., -1--1

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