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DIRECTING EXPLORATION WITH 3D FEM SENSITIVITY AND

DATA UNCERTAINTY
By Andrew J. Graettinger,1 Associate Member, ASCE, and
Charles H. Dowding,2 Member, ASCE

ABSTRACT: Quantitatively directed exploration (QDE) employs a first-order Taylor series expansion to com-
bine sensitivity of a 3D finite-element model (FEM) and uncertainty in geologic data to calculate the variance
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in project performance, which is employed to direct exploration. This approach is made practical by calculating
model sensitivity with direct differentiation of the engineering analysis code, thus producing sensitivity with a
single model run rather than multiple runs required by parameter perturbation. Uncertainty in subsurface data
is computed through two different extrapolation methods for comparison: kriging and conditional probability
(Bayesian updating). Although either of these methods can be employed in QDE, conditional probability is
required to quantifiably terminate exploration. The QDE framework is applicable to any subsurface analysis that
employs a 3D FEM. A case study illustrates the QDE approach, where settlement is the performance criterion,
and layer interface elevations are the uncertain geologic data. Additional boring locations identified by QDE
were placed where a combination of model sensitivity and subsurface uncertainty was the greatest, thus directing
exploration toward the building footprint and away from existing sampled points.

INTRODUCTION vastava 1989) or conditional probability (Gelman et al. 1995)


to provide interface elevation information at unsampled points.
Optimizing the location of the small number of borings em- Sensitivity is calculated efficiently through QDE by direct
ployed during site characterization is becoming increasingly derivative coding (DDC) (Wilson and Metcalfe 1985). In the
important because the need for more precise characteriza- example presented, sensitivity of calculated settlement is a
tion conflicts with the limited availability of exploration re- function of the sensitivity of the mesh to changes in interface
sources. Typically less than one-millionth of a site volume is locations multiplied by the sensitivity of the settlement cal-
sampled during exploration (Poeter and McKenna 1995). culated by 3D finite-element model (FEM) to changes in the
Therefore, engineering and geologic judgment are relied upon mesh. The derivatives are calculated at every node location
to leverage this information to direct exploration and prepare throughout the 3D model space. Because DDC allows for all
models for analysis. The need for a more rigorous, less sub- sensitivities to be calculated with a single model run, this
jective, probabilistic approach to site exploration for geotech- method is more computationally efficient than traditional sen-
nical engineering projects has been discussed for decades. This sitivity analyses produced by parameter perturbation or Monte
interest can be seen in articles dating back some 35 years, Carlo simulations. The QDE analysis of the case study pre-
including Casagrande (1965), Grivas (1977), Dowding (1978), sented in this paper required 120MB of memory and produced
National Research Council (1995), and Shackelford et al. approximately 200MB of output data; therefore, this approach
(1996). can be implemented on personal computers or workstations.
An efficient quantitative method for selecting boring loca- Because the QDE approach is based on a 3D FEM em-
tions called quantitatively directed exploration (QDE) is de- ployed to calculate project performance, it can be employed
scribed in this paper. This method combines (1) sensitivity of for a large variety of subsurface performance analyses. For
a 3D finite-element performance model; and (2) uncertainty of instance, EPA-sponsored research (Reeves et al. 1998) is cur-
input data, to locate the next boring at the position of greatest rently under way to apply this approach to ground-water flow
importancy. Importancy, which is the variance in calculated problems. QDE can be extended to other subsurface analyses
performance (Tomasko et al. 1987), is the product of the involving 3D FEM solutions, such as contaminant transport or
model sensitivity and input data uncertainty. Through the im- soil/rock-structure interaction. Project performance for each of
portancy matrix, QDE combines engineering analysis and ge- these cases is contingent on changes in the geologic interface
ologic characterization into a single, three-dimensionally dis- location and layer properties, which are dealt with indepen-
tributed variance parameter for directing exploration. dently in the QDE approach and in this paper.
This paper concentrates on interface uncertainty in the ex- The QDE method employs a first-order Taylor series ex-
ploration process and thus treats properties within layers as if pansion to produce an importancy matrix or variance in project
they are perfectly known, even though their uncertainty could performance (Ditmars et al. 1988). The importancy or variance
be incorporated within QDE. Effects of uncertainty within a in calculated performance is needed because neither the sen-
layer were not included as this subject has been discussed by sitivity (greatest near the largest loads) nor the uncertainty
others (Wilson and Metcalfe 1985; Baecher and Ingra 1986; (greatest at a distance from boring locations) alone indicates
Ditmars et al. 1988). Interface data from boring locations can the optimal location for the next boring. In the QDE method
be extrapolated by either kriging (Davis 1986; Isaaks and Sri- described herein, information gathered from the optimal bor-
ing location will yield the greatest reduction in calculated per-
1
Asst. Prof., Dept. of Civ. and Envir. Engrg., Univ. of Alabama, Tus- formance variance. The fundamental mathematics of QDE,
caloosa, AL 35487. based on a first-order Taylor series expansion, are described
2
Prof., Dept. of Civ. Engrg., Northwestern Univ., Evanston, IL 60208. later.
Note. Discussion open until April 1, 2000. To extend the closing date Application of QDE is described through an example to
one month, a written request must be filed with the ASCE Manager of demonstrate the method by which the next most important
Journals. The manuscript for this paper was submitted for review and
boring location is selected. To provide the proper setting for
possible publication on April 9, 1998. This paper is part of the Journal
of Geotechnical and Geoenvironmental Engineering, Vol. 125, No. 11, the case study, the QDE computational flowchart is described
November, 1999. 䉷ASCE, ISSN 1090-0241/99/0011-0959–0967/$8.00 first. The data flow structure and case study lay the foundation
⫹ $.50 per page. Paper No. 18090. for subsequent discussion of the computation of uncertainty in
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J. Geotech. Geoenviron. Eng. 1999.125:959-967.


characterization, performance model sensitivity, and variances iance in calculated performance (importancy matrix, column
in calculated performance. Mathematical details of the data 4); and (3) a predetermined performance goal. Comparison of
extrapolation methods employed are introduced in the body the performance goal and the probability distribution of cal-
and are discussed in Appendix I. culated performance allows for the calculation of project re-
liability. If the reliability index is sufficient, given the current
DATA FLOW STRUCTURE FOR QDE subsurface uncertainty, then exploration stops. If it is insuffi-
cient, more exploration is required. This paper concentrates on
The computational flowchart for QDE is shown in Fig. 1. the details of the exploration process where the reliability of
Data output from one module or program is employed as input project success is insufficient and more exploration is required.
for the next. Computational steps normally associated with site
characterization are shown at the top, and those associated CASE STUDY OF DIRECTED EXPLORATION
with modeling or analysis of project performance are shown
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at the bottom. The computational process begins at the top left Operation of QDE to locate the next boring, to optimally
with interface elevation data from the borings. These limited reduce the variance in surface settlement, is demonstrated with
interface data are then extrapolated to generate interface sur- actual field data. The site is located on thick alluvial deposits
faces with associated uncertainty throughout the site. Extrap- consisting of silty clay and dense sands overlying stiff to very
olated data are inherently uncertain because they are produced stiff clays (Finno 1996). The plan view of the site in Fig. 2
from a relatively small number of borings or sampling points shows the location of initial borings and the footprint of the
(Kulhawy and Trautmann 1996). The uncertainty matrix proposed two-story structure. Five existing soil borings (SB-
shown in the second column of Fig. 1 stores the uncertainty 1–SB-5) drilled to a depth of 15.25 m define the subsurface.
of the extrapolated 3D interface surfaces. A 0.75-m-thick concrete mat is designed to support interior
Moving down column 1 from the top left, the extrapolated equipment, and a 1.5-m-wide perimeter strip footing is de-
3D interface surfaces serve as input for the meshing program, signed to support the building frame; there are no interior col-
which creates nodal coordinates and element connectivity for umns. Design loads are 23 kPa for the mat and 48 kPa for the
the FEM. In addition, the meshing program distributes soil perimeter strip footings. These loads were averaged across the
properties, which for this example have zero uncertainty, to building footprint and applied as nodal loads in the FEM.
each of the mesh elements. Continuing to move down column The performance goal for this example was to restrain total
1, the mesh then serves as input for the 3D FEM settlement surface settlement of the structure. Other performance criteria
program that computes project performance (in this case nodal can be considered with the QDE approach. Both total and
displacements) in 3D space. differential settlement performance criteria have been evalu-
QDE expands upon the typical 3D settlement analysis with ated (Graettinger 1998). It was shown that these two criteria
the addition of a sensitivity analysis of the performance model each direct exploration to the same location because differ-
and meshing program by DDC, as shown by the dashed boxes ential settlement is a function of total settlement. The power
in Fig. 1. Following this new step, the derivative matrices are of the QDE approach is that both criteria as well as others can
multiplied together to produce the overall sensitivity matrix, be investigated rapidly.
shown in column 2. This sensitivity matrix is then multiplied Interface elevations of four geologic layers are shown by
by the uncertainty matrix using the Taylor series calculation, the cross section in Fig. 3(a). The dashed line in Fig. 2, labeled
shown in column 3, to produce the importancy matrix or var- A-A⬘, locates this representative cross section with respect to
iance in calculated performance. the building. Soil properties of Young’s modulus E and Pois-
The reliability index, shown in column 4, is employed to son’s ratio ␯ for each layer were determined from soil samples
determine when exploration is adequate. It is produced from and used as input for the 3D FEM. Table 1 shows soil param-
a combination of (1) the expected value of calculated perfor- eters for the four layers at this site. Although it is possible to
mance (predicted settlement, bottom of column 1); (2) the var- incorporate uncertainty of layer properties by adding another

FIG. 1. Flowchart of Subprograms (Boxed and Capitalized) and Data Matrices (Unboxed and Lower Cased) Required to Produce Im-
portancy Matrix Employed in Directed Exploration [after Graettinger and Dowding (1997)]

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TABLE 1. Soil Layer Properties

Young’s modulusa E
Layer (kPa) Poisson’s ratio ␯
(1) (2) (3)
Silty clay 6,420 0.3
Dense sand 26,350 0.3
Stiff clay 18,400 0.3
Very stiff clay 22,810 0.3
a
From constrained modulus and assumed Poisson’s ratio.
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influence on settlement variance, it should not be implied from


the focus of this paper that interface location is any more im-
portant than soil properties.
A spatial correlation structure based upon interface eleva-
tions at the case study borings was employed to extrapolate
interfaces. The correlation structure is determined by fitting
FIG. 2. Plan View of Case Study, which Includes Building Out- typical variogram shapes (Isaaks and Srivastava 1989) to the
line, Existing and Proposed Soil Boring Locations, and Location
site specific data of interface elevation differences and bore-
of Cross Section A-A⬘
hole separation distance. Different interfaces were considered
to be statistically independent. Both linear and Gaussian var-
iogram shapes were employed in this example. The Gaussian
shape is shown in the inset in Fig. 3(a). Vertical bars on the
variogram inset indicate the horizontal dimensions of the finite
elements. This spatial correlation is similar to those reported
in the literature for soils (Lacasse and Nadim 1996).

LOCATION FOR NEXT BORING


Total importancy, which is the variance of calculated surface
settlement, is employed to determine the location for the next
boring. As seen in Fig. 4, total importancy is a minimum at
sampled locations and at distances away from the proposed
building. Importancy is produced by first multiplying the sen-
sitivity of surface settlement to changes in interface elevation
by the associated elevation uncertainty and then summing
these values for all four interfaces to produce a total impor-
tancy or settlement variance at each x, y location.
Two approaches for directing exploration are available to
analyze the spatial distribution of total importancy. First, an
exploration philosophy that focuses on the ‘‘worst-case’’ as-
pect of the site directs exploration to the x, y location of largest
total site importancy. This is the location with the greatest
variance in calculated settlement. Second, a philosophy of
gaining ‘‘overall knowledge’’ at a site directs exploration by
minimizing the volume under the spatial distribution of total
importancy shown in Fig. 4.
For this example, the worst-case philosophy was employed
to identify the optimal location for the next soil boring, labeled
SB-6 in Fig. 5(a). Fig. 5(a) is a contour plot of the total im-
portancy surface shown in Fig. 4. The asymmetry of impor-
tancy results from the asymmetry of the building footprint
(Fig. 2), the interface elevation and variance (Fig. 3). Assumed
interface elevation data were added to the original site infor-
mation as if SB-6 were drilled, and the QDE analysis was
FIG. 3. (a) Cross Section A-A⬘ Including Building Location,
Geologic Layer Interfaces, and Interface Uncertainty Error Bars. rerun to produce a new total site importancy, shown in Fig.
Inset Shows Variogram Indicating How Interface Uncertainty Is 5(b). The same worst-case exploration philosophy used to lo-
Reduced near Boring Locations. (b) Cross Section A-A⬘ Show- cate SB-6 was then employed to locate the next sampling
ing Location of New Soil Boring SB-6 at 42.5 m, and Its Affect on point, SB-7, which is shown in Fig. 5(b).
Interface Elevation Uncertainty The significance of including ‘‘professional judgment’’ in
QDE without basing the next boring location solely on pro-
set of terms to the Taylor series expansion (Baecher and Ingra fessional judgment cannot be overemphasized. Subjectivity is
1981), layer properties are held constant in this example to only introduced in the initial or prior model. This prior model
focus attention on the spatial uncertainty of the interface lo- involves initial elevations, the correlation structure, and initial
cations. Consideration of a standard 1D settlement equation variances. From then on, determination of the next boring lo-
indicates that the contribution to the variance of settlement due cation is calculated. Furthermore, the intuitively obvious lo-
to soil properties Cc is the same as it is due to the layer height cation of new borings SB-6 and SB-7 within the building foot-
H. Because soil properties and layer thickness have a similar print is a demonstration of the validity of the QDE approach.
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FIG. 4. Relationship between Borings (SB-1–SB-5) and the Square Root of the 3D Total Importancy Distribution Employed to Direct
Exploration

Although these locations confirm standard ‘‘rules of thumb’’


for exploration, none were employed in this calculation.

TERMINATION OF EXPLORATION
As shown in Fig. 1, the QDE method can be expanded to
include a quantifiable conclusion to exploration through the
reliability index. Termination decisions are made by compar-
ing the probability distribution of calculated performance to a
predetermined performance goal, from which a reliability in-
dex or probability of project success is calculated. This pro-
cess, called reliability-based exploration (RBE), has been suc-
cessfully applied to two synthetic case studies (Graettinger
1998). The two cases differ only in the geometry of the sub-
surface layers. One site involved an abruptly pinching soft clay
layer directly below the proposed structure, whereas the sec-
ond site’s clay layer gradually tapers across the entire site.
Because the case studies are synthetic, the QDE modeled in-
terfaces could be compared with the predetermined interfaces.
During the evaluation of exploration sufficiency at the two
synthetic sites the following results were identified. First, to
accurately model the abruptly pinching geometry, a directional
variogram was required. Second, the site with an abruptly
pinching geometry required more borings to define project per-
formance with the same confidence as for the site with a grad-
ually tapering geometry. The study also showed that regardless
of the number of additional borings at the pinching site, the
desired reliability could not be met. In this situation the design
must be changed or the objectives relaxed.

3D LAYER INTERFACE EXTRAPOLATION


AND UNCERTAINTY
Two methods of data extrapolation, kriging and conditional
probability or Bayesian updating, were tested and shown to
direct exploration to the same location. Despite the similarity
of the results in this case, each approach represents a different
philosophical view of extrapolation (Freeze et al. 1990). Krig-
ing is based on classical statistics and does not allow for sub-
jective prior estimates of interface elevation, whereas condi-
tional probability does. Both methods were employed to
extrapolate data from the borings to a regularized finite-ele-
ment grid.

FIG. 5. (a) Contour Map of the Square Root of Total Impor- Uncertainty in Extrapolated Data
tancy (in mm) Indicating Location of Next Boring SB-6; (b) New
Importancy Distribution after Inclusion of Data from SB-6, along Kriging and conditional probability calculate interface ele-
with Location of Next Soil Boring SB-7 vations and the associated spatially distributed uncertainty.
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Each interface is an extrapolated 3D surface; therefore, the variance produced by kriging is not the true variance but rather
associated uncertainty is also 3D and is assumed normally dis- the error variance. Although the assumption that the error var-
tributed about the calculated elevation. Fig. 6 shows the un- iance is the true variance allows kriging to be employed for
certainty in the stiff clay-very stiff clay interface, which de- QDE, it should not be employed for ending exploration
creases at the five sampled locations. These uncertainties are through RBE. Because conditional probability can incorporate
seen along cross section A-As⬘ in Figs. 3(a and b) as a series the covariance of input data it will produce a more accurate
of vertical bars. Longer error bars indicate a greater uncer- variance and, therefore, is the preferred extrapolation method
tainty in the interface location. Uncertainty along cross section for the QDE and RBE approaches.
A-A⬘ in Fig. 3(a) decreases in three regions that are near bor-
ings SB-3–SB-5. As is expected, uncertainty increases with Kriging
distance from these borings as shown by the variogram inset
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in Fig. 3(a) (Isaaks and Srivastava 1989). The ground surface Kriging requires the assumption that the calculated error
interface has low uncertainty because it is assumed to be a variance is the true variance of unsampled interface elevations
horizontal domain boundary in this example. to produce a probabilistic subsurface model (Smith 1989). In
As seen in Fig. 3(b), the uncertainty distribution is greatly kriging, the covariance function is employed to determine an
affected by the addition of the new soil boring SB-6 at the optimal set of weights that are used in the calculation of the
location of greatest importancy. In this example, SB-6 inter- best estimate of interface elevation and the associated uncer-
sects each interface, thus reducing uncertainty to zero at the tainty (Davis 1986; Isaaks and Srivastava 1989). The set of
sampled location. The uncertainty near the new boring is re- weights for calculating the best estimate of elevation at a spe-
duced for all interfaces, but is most easily observed on the stiff cific x, y location is the product of the inverse of a matrix
clay-very stiff clay interface in Fig. 3(b). The location of this containing the covariance between sampled elevations multi-
interface was relatively uncertain before SB-6 data were added plied by a vector containing the covariance between the sam-
and is still uncertain except for the area near the new soil pled elevations and the elevation being estimated. The weight-
boring. ing vector takes into account two important aspects of the
estimation process: (1) spatial clustering of the known (sam-
Comparison of Kriging and Conditional Probability pled) elevation data; and (2) spatial separation between the
known (sampled) and unknown (unsampled) elevation (Isaaks
The two extrapolation methods investigated in this study, and Srivastava 1989). The same set of weights employed to
kriging and conditional probability (Bayesian updating), em- calculate the best estimate of interface elevation is also em-
ploy covariance functions to calculate mean interface eleva- ployed to produce the error variance, which must be assumed
tions and uncertainty of interface elevations throughout the in this approach to be equal to the uncertainty in interface el-
model space. A covariance function in the form of a vario- evation. Details of the kriging approach are described in Ap-
gram, which defines the relationship between interface eleva- pendix I.
tions and the distance separating those elevations, is shown in
the inset of Fig. 3(a). Because the covariance function is in- Conditional Probability
dependent of the extrapolation method, the same covariance
function was employed with each method. Thus it is not sur- Extrapolation through conditional probability (Bayesian up-
prising that the two extrapolation methods incorporated in the dating) requires a prior or initial estimate of the probabilistic
QDE method each yield the same location of greatest total subsurface (Gelman et al. 1995). For this study, a prior inter-
importancy. face elevation was assumed to be a flat surface located at the
The extrapolated interface elevation data produced with the average value of the five sampled elevations, and the initial
conditional probability approach were within 2% of the values variance was assumed to be half the maximum variance (or
produced by kriging. The variance produced by conditional variogram sill) of the sampled locations. Unlike kriging, the
probability, which is the main diagonal of the covariance ma- conditional probability method incorporates initial engineering
trix, was within 13% of the values produced by kriging. The judgment or ‘‘soft data,’’ by allowing the interface elevations

FIG. 6. 3D Spatial Uncertainty Associated with Stiff Clay-Very Stiff Clay Interface, which Declines at Boring Locations

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to be adjusted in the prior model to ‘‘better’’ represent the duced from both of the enhanced programs were multiplied
site. The same covariance function employed in kriging was together to produce the 3D sensitivities.
used to generate the prior covariance matrix, which describes Model sensitivity, or d(surface settlement)/d(interface ele-
the spatial relationships between every pair of points on a spe- vation), is a product of the derivatives from both the meshing
cific interface. and the 3D finite-element programs, as seen in Fig. 1, column
In the conditional probability approach, the prior model is 2. In this 3D case study there are 676 surface nodes and 3,380
updated with ‘‘hard’’ data from the sampled points through a interface elevation nodes; therefore, (676 ⫻ 3,380) = 2.28 ⫻
series of matrix manipulations similar to those employed in 106 sensitivities are required to describe every d(surface set-
kriging, as shown in Appendix I. Unlike conditional probabil- tlement)/d(interface elevation) derivative.
ity, the kriging approach does not produce a posterior covar- Sensitivity is calculated for every node in the finite element
iance matrix; therefore, an uncorrelated version of the Taylor mesh. A sense of the scale of the finite-element mesh can be
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series approximation is employed to calculate importancy gained from the inset in Fig. 2 and the tick marks on the
when input data are extrapolated by kriging. The effect of the variogram in Fig. 3(a). The elements are approximately one-
covariance terms on the QDE approach is discussed in the fifth the correlation length. The height of each element varies
section on importancy. to represent the spatially varying interface elevations. The 3D
Conditional probability and Bayesian updating approaches sensitivity distributions for each interface at the site are shown
are currently employed to direct exploration; however, their in cross section A-A⬘ in Fig. 7(a). In this figure, sensitivity is
use is based upon site uncertainty only and do not incorporate the ratio of a change in z displacement of a surface node,
the sensitivity of project performance as does QDE and RBE. divided by an increase in the interface elevation. A negative
For instance, Johnson (1996) employed a Bayesian/geostatis- sensitivity corresponds to greater calculated surface settlement
tical adaptive sampling approach, which uses uncertainty in caused by an increase in interface elevation, whereas positive
soil contaminant levels to direct exploration. Johnson’s con- sensitivity corresponds to less surface settlement.
taminated soil example has no associated performance model, Sensitivity is relatively unaffected by the addition of new
only a spatial material property (contamination); therefore, in- interface elevation data in this example, as shown by the sim-
put data uncertainty alone is sufficient to direct exploration in ilarity between the original sensitivity [Fig. 7(a)] and the sen-
that case. sitivities after synthetic data were added from SB-6 as seen in
Fig. 7(b). Interface sensitivities increase or decrease only when
SENSITIVITY OF PERFORMANCE MODEL FROM DDC the best estimate of an interface location moves closer to or
away from the load. As seen in Figs. 3(a and b), the best
Sensitivity of the performance model, which for this ex- estimate of interface locations along cross section A-A⬘ are
ample is defined as a change in surface settlement divided by approximately the same; therefore, the sensitivities will remain
a change in each interface elevation, was produced by directly approximately the same. The most sensitive subsurface inter-
differentiating the existing programs. This process, DDC, em- face in the site is the silty clay-dense sand interface because
ploys the chain rule of calculus to produce accurate derivatives
with a single model run. Two computer programs, a meshing
and a 3D FEM program, were employed to calculate surface
settlement from interface elevations. Both programs were re-
written to produce the original output plus gradients that de-
scribe model sensitivity for any layered geometry. DDC is un-
dertaken only once for each program, but model sensitivities
are re-evaluated after each new boring is drilled because sen-
sitivities change if the best estimate of interface elevation
changes. Programming of the derivatives was accomplished
either by hand coding or by employing ADIFOR 2.0 (Bischof
et al. 1995), an automated derivative coding program. This
method of evaluating model sensitivities was compared to the
two-sided parameter perturbation method and was shown to
be 125 times faster (Graettinger 1998).
Horwedel et al. (1992) states that existing codes can be re-
programmed to produce the original output plus derivatives
thus eliminating the need to perturb input variables to evaluate
model sensitivities. By analyzing each line of code and apply-
ing the chain rule of calculus, an entire program can be sys-
tematically differentiated. Manual reprogramming of existing
code is a tedious process that is prone to errors and in many
cases takes much longer than the original coding (Bischof et
al. 1995); thus software was developed to automatically re-
program existing code. ADIFOR 2.0 (Automatic Differentia-
tion of FORTRAN) is such a preprocessor that automatically
rewrites operating FORTRAN 77 programs to generate deriv-
ative enhanced codes. ADIFOR reads FORTRAN code as in-
put and produces a new program as output that retains the
original code’s functionality while adding the ability to pro-
duce the derivative of dependent output variables with respect
to independent input variables. In this study ADIFOR 2.0 was
employed to enhance the meshing program and specific sub-
routines of the finite-element program (Johnston 1981; Finno FIG. 7. (a) and (b) Change in Sensitivity with Addition of New
1983). In addition, hand coding was used to differentiate cer- Boring SB-6; (c) and (d) More Significant Change in Importancy
tain aspects of the finite-element program. The derivatives pro- with Addition of New Boring SB-6

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J. Geotech. Geoenviron. Eng. 1999.125:959-967.


(1) it is closest to the load; and (2) compressibility of the silty comparing Figs. 3(a and b). Therefore, performing the com-
clay and dense sand layers are very different. Thus, a change putation described in (1) at SB-6 (42.5 m along cross section
in this interface elevation will greatly affect the height of the A-A⬘) results in a low importancy or variance in calculated
closest, most compressible layer. surface settlement. The largest reduction in interface impor-
tancy is with the silty clay-dense sand interface as seen by
IMPORTANCY GOVERNS PERFORMANCE comparing Figs. 7(c and d) at SB-6.
DRIVEN DECISIONS
EFFICIENCIES OF DIRECT DIFFERENTIATION AND
Neither uncertainty in interface location nor model sensitiv- TAYLOR SERIES EXPANSION
ity alone can adequately direct or evaluate exploration. In the
QDE approach these two considerations are combined through Combining DDC and first-order Taylor series expansion
dramatically reduces run times compared to employing param-
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a first-order Taylor series expansion to produce an importancy


distribution, which mathematically is the variance in computed eter perturbation or Monte Carlo methods. The Monte Carlo
surface settlement. The importancy at any surface node is in- method requires numerous site realizations, each of which are
fluenced by all interface elevations at the site because each run through the engineering model. Alternatively the Taylor
interface elevation affects surface settlement in this 3D ex- series with DDC requires only one model run for any subsur-
ample. Unlike sensitivity, which changes only when the best face geometry. During this run the sensitivity, performance
estimate of the interface elevation changes after the addition variance, and the model performance are all calculated.
of a new boring, importancy responds significantly to the new The Taylor series with the DDC method has successfully
information because of the reduction of uncertainty around the been employed to calculate the sensitivity and probability dis-
boring. tributions for performance models with 10,000 dependent var-
Interface importancy distributions, shown in Figs. 7(c and iables produced from 4,000 correlated input variables in a mat-
d), are calculated for each interface through a first-order Taylor ter of hours. The accuracy and computational efficiency of the
series expansion, as shown by (1) (Harr 1996), which is for Taylor series method based on DDC has been compared to
correlated input data Monte Carlo simulations for the 3D subsurface investigation

冘冘冉 冊冉 冊
n n
described herein. Results for both correlated and uncorrelated
⭸fk ⭸fk Monte Carlo simulations showed accurate agreement to the
var[Yk] ⬇ Cov[x̄i, x̄j] (1)
i=1 j=1 ⭸x̄i ⭸x̄j results produced with a single model run of the Taylor series
expansion method. The Taylor series method required only 2.5
where var[Yk] = variance or interface importancy of computed h of computer time on a 160-MHz machine; however, 10,000
surface settlement at node k. For this case study there are 676 uncorrelated Monte Carlo simulations required approximately
surface nodes. (⭸fk /⭸x̄i) is the sensitivity of surface node k to 10 days on a 200-MHz machine, and 10,000 correlated Monte
the elevation of interface node i ; because there are 676 surface Carlo simulations required some 12 days with Choleski de-
nodes and 676 elevation nodes on each interface, there are composition (Ripley 1987).
over (676 ⫻ 676) = 4.50 ⫻ 105 surface sensitivities for each
interface. Cov[x̄i, x̄j] is the covariance between elevations of CONCLUSIONS
interface nodes i and j. There are 6762 pairs of nodes on each
interface or over 4.50 ⫻ 105 covariance terms. Because only The QDE approach presented herein employs a first-order
the variance or main diagonal of the covariance matrix is pro- Taylor series expansion to combine the sensitivity of a 3D
duced from kriging, there is no updated covariance matrix. FEM and uncertainty in extrapolated geologic characterization
Therefore, the uncorrelated version of the first-order Taylor to calculate the importancy or variance in project performance.
series expansion must be employed. Although the performance model for this example involved
The Taylor series expansion method for calculating perfor- computed surface settlement, the generality of the finite-ele-
mance variance has limitations. First, the derivatives are cal- ment computation allows use of the QDE approach in a variety
culated at the expected value of interface elevation; therefore, of performance measures ranging from soil/rock-structure de-
it there is a large uncertainty associated with the interface el- formation to ground-water flow. Though the illustrated ex-
evation the derivative may not be equal to the derivative of ample focused only on the effect of uncertainty in geologic
the true interface elevation (Harr 1996). Second, in this ex- interface elevations, the QDE framework can include the effect
ample the interface elevations on one interface were assumed of uncertainty in layer properties. Based upon these accom-
to be statistically independent of the other interfaces in the plishments and the study presented, the following conclusions
subsurface. Finally, the Taylor series expansion method re- are advanced:
quires knowledge of the uncertainty associated with each input
parameter, which in this example is produced during interface • Both sensitivity of the project performance model and un-
extrapolation. certainty in the geologic input data must be combined to
Fig. 7(c) shows importancy values var[Yk], for each interface quantitatively direct exploration through calculation of
along cross section A-A⬘ before the addition of SB-6 elevation importancy, or variance, in the project performance. This
data. The large importancy values for the silty clay-dense sand settlement example demonstrated a method of accounting
interface, shown in Fig. 7(c), indicate that this interface is the for uncertainty of 3D interface elevations. Additional bor-
most significant to explore because it is uncertain and it de- ing locations that were identified by QDE were intuitively
termines the thickness of the closest and most compressible obvious, and thus confirm the adequacy of the approach.
layer. These individual interface importancy values are • No subjective judgment beyond acceptance of the initial
summed vertically at a specific location (x, y) to produce the geologic model and correlation structure is required. Ex-
total importancy value. The distribution of total importancy trapolation of interface elevations from known values at
for the site is seen in Figs. 4 and 5. borings through either kriging or conditional probability
The interface importancies are greatly influenced by the ad- allows for calculation of interface elevation and uncer-
dition of soil boring SB-6, as shown in Fig. 7(d). Although tainty at unsampled locations. However, conditional prob-
the interface sensitivities in Figs. 7(a and b) remained rela- ability provides the full covariance matrix to completely
tively constant in this example, the input data uncertainty at describe the probabilistic subsurface, which is necessary
the new boring location is significantly reduced as seen by for the correlated version of the first-order Taylor series
JOURNAL OF GEOTECHNICAL AND GEOENVIRONMENTAL ENGINEERING / NOVEMBER 1999 / 965

J. Geotech. Geoenviron. Eng. 1999.125:959-967.


expansion as well as termination of exploration through couraged to investigate introductory kriging literature for fur-
calculation of the reliability of project performance. ther details on this process (Davis 1986; Isaaks and Srivastava
• Direct differentiation of the finite-element code allows 1989).
sensitivities to be computed with a single pass through Kriging also produces an estimate of error variance, which
the program, which significantly reduces the computa- is assumed, as by many others, to represent the true spatial
tional effort compared with either parameter perturbation variance in the parameter being estimated. The error variance
or Monte Carol simulation. Because direct differentiation in estimated interface elevation var[x̄], produced with the krig-
affects only the meshing and finite-element programs and ing process, is shown as follows:


not the data, it is neither site nor structure dependent and m
only needs to be undertaken once for the code to be em-
var[x̄] = var[X] ⫺ wi Cov[Xi, x] ⫹ ␮ (7)
ployed for any number of sites and facilities. Efficient i=1
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calculation of performance variance or importancy result- where, for this paper, var[X] = maximum variance in interface
ing from the direct differentiation of the analytical code elevation set by the magnitude of the covariance function; wi
allows QDE to be employed in adaptive real-time explo- = weight factor; Cov[Xi, x] = spatial covariance between the
ration. known elevation locations and the elevation being estimated;
and ␮ = Lagrange parameter. All the terms employed in the
APPENDIX I. INPUT DATA EXTRAPOLATION kriging process to estimate elevation and variance are either
MATHEMATICAL BACKGROUND actual data from the site or are produced from the covariance
The QDE approach presented in this case study examined function or variogram model employed to model the spatial
two extrapolation methods, kriging and conditional probability correlation of the data.
(Bayesian updating), to generate a regularized grid of interface The conditional probability approach employed in this ex-
elevation estimates and associated uncertainty. For this ex- ample is for multivariate, normally distributed data. Utilizing
ample, both extrapolation methods directed exploration to the only the limited information retrieved from sampling points,
same x, y location and produced the same value of settlement three sets of data are needed to begin this approach. First, the
variance when only the diagonal terms of the posterior covar- actual interface elevations from the five boring locations are
iance matrix from conditional probability were employed in stored in a vector V. Second, a vector E(U ) is produced that
the Taylor series calculation. This appendix provides a brief contains a prior estimate of mean elevation at each interface
look at these two methods and examines their similarities. grid point. For this example the interface was initially assumed
Kriging extrapolates interface elevation from known loca- flat at the average elevation of the five sampled points. Finally,
tions at borings to unsampled locations through a weighting an informed prior covariance matrix Cov(U ), is calculated by
process described below. The kriging procedure estimates in- employing a function that represents the covariance relation-
terface elevation x̄ at an unsampled location by solving (2) ships between the known interface elevations at boring loca-
(Isaaks and Srivastava 1989) tions. From these matrices, entirely based on site information,
the prior estimates E(U) and Cov(U) are updated to posteriors


m
E(U兩V) and Cov(U兩V) through the following equations (Gel-
x̄ = wi Xi (2) man 1995):
i=1

where Xi = known interface elevation at boring i; and wi = E(U兩V ) = E(U ) ⫹ Cov(V, U )Cov(V )⫺1(V ⫺ E(V )) (8)
weighting factor based on the covariance between known in- Cov(U兩V ) = Cov(U ) ⫺ Cov(V, U )Cov(V )⫺1Cov(U, V ) (9)
terface elevations and the interface elevation being estimated
at an unsampled location. The weighting factor is calculated E(U兩V) = updated vector of interface elevation given the five
by known elevations at the borings. Cov(V, U) is a subset of the
full covariance matrix describing the interface and is the co-
w = C ⫺1D (3)
variance between the known elevations and the remaining in-

再冎
where terface elevations being estimated. In this example the Cov(V,
U) matrix is 676 ⫻ 5. Cov(V)⫺1 is again a subset of the full
w1 covariance matrix and is the inverse of the covariance between
⭈⭈
w= ⭈ (4) the known interface elevations. Cov(V)⫺1 is a 5 ⫻ 5 matrix
wm for this example. E(V) is a subset of E(U) and holds the prior

冋 册
␮ elevation estimates at the five boring locations. In (9),
Cov(U兩V) is the updated covariance matrix, which has dimen-
Cov[X1, X1] ⭈⭈⭈ Cov[X1, Xm] 1
⭈⭈ ⭈⭈ ⭈⭈ sions of 676 ⫻ 676 terms. Cov(U) is the prior covariance
⭈ ⭈ ⭈ ⭈⭈⭈ matrix, 676 ⫻ 676, calculated by the covariance function, and
C= (5)
Cov[Xm, X1] ⭈⭈⭈ Cov[Xm, Xm] 1 Cov(U, V) is the transverse of Cov(V, U).

再 冎
1 ⭈⭈⭈ 1 0 Comparing these two extrapolation methods for the estimate
Cov[X1, x̄] of interface elevation reveals many similarities. The same var-
⭈⭈ iogram or covariance function is employed in both methods
D= ⭈ (6) for each interface. Therefore, the covariance terms between
Cov[Xm, x̄]
1 pairs of points in each method will be the same. The C matrix
in kriging [(5)], ignoring the Lagrange parameter, is the
The weight vector seen in (4) is a product of the inverse of a Cov(V) matrix in conditional probability. The D vector in krig-
matrix containing the covariance Cov[Xm, Xm] between known ing [(6)] is one row of the Cov(V, U) matrix in conditional
interface elevations at boring locations [(5)] multiplied by a probability, and as successive grid points in kriging are esti-
vector of covariance Cov[Xm, x̄] between known interface el- mated successive rows of the Cov(V, U) matrix match the D
evations at borings Xi and the interface elevation being esti- vector. These two matrices are inversely multiplied together in
mated at an unsampled location x̄ [(6)]. Both the C and D each method to produce a weighting factor. Kriging multiplies
matrices have additional terms for the Lagrange parameter ␮ the weighting factor by the known elevations at sampled lo-
that is needed to solve the kriging equation. Readers are en- cations. Conditional probability multiplies the weighting vec-
966 / JOURNAL OF GEOTECHNICAL AND GEOENVIRONMENTAL ENGINEERING / NOVEMBER 1999

J. Geotech. Geoenviron. Eng. 1999.125:959-967.


tor by a vector of the difference between prior elevation esti- Graettinger, A. J., and Dowding, C. H. (1997). ‘‘Quantitative site explo-
mates and the known elevations at the boring locations and ration directed by interface location uncertainty.’’ Proc., 5th Great
Lakes Geotech./Geoenvir. Conf., Site Characterization for Geotech.
then adds this to the prior elevation estimate. Due to these and Geoenvir. Problems, University of Michigan, College of Engrg.,
similarities, for this example, interface elevations were ap- Ann Arbor, Mich., 117–131.
proximately equal. Grivas, D. A. (1977). ‘‘Probability theory and reliability analysis in geo-
technical engineering.’’ Rep. of an NSF-Sponsored Workshop at Rens-
ACKNOWLEDGMENTS selaer Polytechnic Institute, Rensselaer Polytechnic Inst., New York.
Harr, M. E. (1996). Reliability-based design in civil engineering. Dover,
The writers wish to thank Prof. G. Baecher of the Department of Civil New York.
Engineering, University of Maryland, College Park, Md., Drs. J. Ditmars, Horwedel, J. E., Raridon, R. J., and Wright, R. Q. (1992). ‘‘Automated
G. Williams, and R. Johnson of Argonne National Laboratories, Argonne, sensitivity analysis of an atmospheric dispersion model.’’ Atmospheric
Ill., and Profs. H. Reeves and T. Igusa at Northwestern University, Ev- Envir., 26A(9), 1643-1649.
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anston, Ill. Their advice has been extraordinarily helpful, and the writers Isaaks, E. H., and Srivastava, R. M. (1989). An introduction to applied
deeply appreciate their assistance and support. geostatistics. Oxford University Press, New York, 278–322.
Johnson, R. L. (1996). ‘‘A Bayesian geostatistical approach to the design
of adaptive sampling programs.’’ Geostatistics for environmental and
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