A B

x
a1 a2 b1 b2

Figure C.1 Two local averages over lengths A and B, res-

APPENDIX C pectively.

where A = a2 − a1 and B = b2 − b1 . The covariance

between XA and XB is
Computing Variances and
b2
a2
σ2
Covariances of Local Averages Cov [XA , XB ] = X
AB
ρ(ξ − η) d ξ d η
b1 a1
ng
σX2  
ng

wi wj ρ(ξi − ηj )
4
i =1 j =1

where
ξi = a1 + 12 A(1 + zi ), ηj = b1 + 12 B(1 + zj )
C.1 ONE-DIMENSIONAL CASE
Let XA be the local arithmetic average of a stationary one- C.2 TWO-DIMENSIONAL CASE
dimensional random process X (x ) over some length A,
where Consider the two local averages shown in Figure C.2, XA

and XB , where A and B are now areas. The local averages
1 A
XA = X (x ) dx are defined as
A 0



1 a2y a2x
The variance of XA is given by σA2 = γ (A)σX2 , in which γ (A) XA = X (x , y) dx dy
is the variance reduction function (see Section 3.4), A a1y a1x





1 b2y b2x
1 A A XB = X (x , y) dx dy
γ (A) = 2 ρX (ξ − η) d ξ d η B b1y b1x
A 0 0

A
2
= 2 (A − τ )ρX (τ ) d τ (C.1)
A 0 y
b2y
where ρX (τ ) is the correlation function of X (x ). Equation C.1
can be efficiently (and accurately if ρX is relatively smooth
between Gauss points) evaluated by Gaussian quadrature,
ng By B
1
γ (A)
wi (A − xi )ρX (xi ) (C.2)
A
i =1

where xi = 1
+ zi ) and the Gauss points zi and weights b1y
2 A(1
wi are given in Appendix B for various choices in the
number of Gauss points, ng . a2y
Now consider two local averages, as illustrated in Ay A
Figure C.1, defined as
a1y

a2
1 x
XA = X (x ) dx Ax Bx
A a1

b2
a1x a2x b1x b2x
1
XB = X (x ) dx Figure C.2 Two local averages over areas A and B, respectively.
B b1

Risk Assessment in Geotechnical Engineering Gordon A. Fenton and D. V. Griffiths 451

Copyright © 2008 John Wiley & Sons, Inc. ISBN: 978-0-470-17820-1
452 C COMPUTING VARIANCES AND COVARIANCES OF LOCAL AVERAGES

where C.3 THREE-DIMENSIONAL CASE

Consider the two local averages XA and XB where A and
A = Ax Ay = (a2x − a1x )(a2y − a1y ) B are now volumes. The notation used in three dimen-
B = Bx By = (b2x − b1x )(b2y − b1y ) sions basically follows that shown for two dimensions in
Figure C.2, with the addition of the third z direction. The
The variance of XA is σA2 = γ (A)σX2 , where γ (A) is the local averages are defined as
variance reduction function (see Section 3.4) defined in two
dimensions as
a2z
a2y
a2x
1
XA = X (x , y, z ) dx dy dz

Ax
Ax
Ay
Ay A a1z a1y a1x
1
γ (A) = 2
b2z
b2y
b2x
A 0 1
0 0 0
XB = X (x , y, z ) dx dy dz
× ρX (η1 − ξ1 , η2 − ξ2 ) d ξ2 d η2 d ξ1 d η1 B b1z b1y b1x

Ax
Ay
4 where
= 2
A 0 0
× (Ax − τ1 )(Ay − τ2 )ρX (τ1 , τ2 ) d τ2 d τ1 (C.3) A = Ax Ay Az = (a2x − a1x )(a2y − a1y )(a2z − a1z )
where ρX (τ1 , τ2 ) is the correlation function of X (x , y), B = Bx By Bz = (b2x − b1x )(b2y − b1y )(b2z − b1z )
which is assumed to be stationary and quadrant symmetric
in the above (see Section 3.7.4). Equation C.3 can be The variance of XA is σA2 = γ (A)σX2 , where γ (A) is the vari-
approximated by Gaussian quadrature as ance reduction function (see Section 3.4) defined in three
dimensions as
ng
1 
ng

Ax
Ax
Ay
Ay
Az
Az
γ (A)
wj wi (Ax − ξi )(Ay − ηj )ρX (ξi , ηj ) 1
A γ (A) =
j =1 i =1 A2 0 0 0 0 0 0
ng × ρX (η1 − ξ1 , η2 − ξ2 , η3 − ξ3 ) d ξ3 d η3
1  ng
= wj (1 − zj ) wi (1 − zi )ρX (ξi , ηj ) × d ξ2 d η2 d ξ1 d η1
4
j =1 i =1
Ax
Ay
Az
8
where = 2 (Ax − τ1 )(Ay − τ2 )(Az − τ3 )
A 0 0 0
ξi = 12 Ax (1 + zi ), ξj = 12 Ay (1 + zj ) × ρX (τ1 , τ2 , τ3 ) d τ3 d τ2 d τ1 (C.4)
and the weights wi and Gauss points zi are found in where ρX (τ1 , τ2 , τ3 ) is the correlation function of X (x , y, z ),
Appendix B. which is assumed to be stationary and quadrant symmet-
The covariance between XA and XB is given by ric in the above (see Section 3.7.4). Equation C.4 can be




approximated by Gaussian quadrature as
a2y a2x b2y b2x
σX2
Cov [XA , XB ] = ng ng ng
AB a1y a1x b1y b1x 1  
γ (A)
wk wj wi (Ax − ξi )(Ay − ηj )(Az − ψk )
× ρX (x − ξ , y − η) d ξ d η dx dy A
j =1 i =1
k =1
ng ng ng ng
σ2     × ρX (ξi , ηj , ψk )

X
wi wj wk w
16 ng ng
1   ng
i =1 j =1 k =1 =1
= wk (1 − zk ) wj (1 − zj ) wi (1 − zi )
× ρX (xj − ξ , yi − ηk ) 8
k =1 j =1 i =1
where × ρX (ξi , ηj , ψk )

xj = a1x + 12 Ax (1 + zj ), ξ = b1x + 12 Bx (1 + z ) where

yi = a1y + 12 Ay (1 + zi ), ηk = b1y + 12 By (1 + zk ) ξi = 12 Ax (1 + zi ), ξj = 12 Ay (1 + zj ), ψk = 12 Az (1 + zk )

and the weights wi and Gauss points zi can be found in and the weights wi and Gauss points zi are found in Ap-
Appendix B. pendix B.
 THREE-DIMENSIONAL CASE 453
The covariance between XA and XB is given by where

a2z
a2y
a2x
b2z
b2y
b2x
σ2 xk = a1x + 12 Ax (1 + zk ), ξn = b1x + 12 Bx (1 + zn )
Cov [XA , XB ] = X
AB a1z a1y a1x b1z b1y b1x
yj = a1y + 12 Ay (1 + zj ), ηm = b1y + 12 By (1 + zm )
× ρX (x − ξ , y − η, z − ψ)
zi = a1z + 12 Az (1 + zi ), ψ = b1z + 12 Bz (1 + z )
× d ξ d η d ψ dx dy dz
and the weights wi and Gauss points zi can be found in
ng ng ng ng ng
σX2      Appendix B.

wi wj wk w wm
64
i =1 j =1 k =1 =1 m=1
ng

× wn ρX (xk − ξn , yj − ηm , zi − ψ )
n=1