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MCS-based probabilistic design of embedded sheet pile

walls
Yu Wang

Department of Civil and Architectural Engineering, Shenzhen Research Institute, City

University of Hong Kong, Kowloon, Hong Kong
Published online: 15 Mar 2013.

To cite this article: Georisk: Assessment and Management of Risk for Engineered Systems and Geohazards (2013): MCS-based
probabilistic design of embedded sheet pile walls, Georisk: Assessment and Management of Risk for Engineered Systems and
Geohazards, DOI: 10.1080/17499518.2013.765286
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Georisk, 2013
http://dx.doi.org/10.1080/17499518.2013.765286

MCS-based probabilistic design of embedded sheet pile walls

Yu Wang*
Department of Civil and Architectural Engineering, Shenzhen Research Institute, City University of Hong Kong, Kowloon,
Hong Kong

Downloaded by [University of Delaware] at 12:58 28 July 2013

(Received 22 August 2012; final version received 7 January 2013)

A probabilistic approach to the design of embedded sheet pile walls is developed in this paper. The approach is
based on Monte Carlo simulation (MCS), and it is used to investigate the performance of the partial factors and
different design approaches in Eurocode 7 in achieving the target degrees of reliability. The approach is illustrated
through an embedded sheet pile wall design example that has been used in literature for the evaluation of
Eurocode 7. The approach deals rationally with the correlated load and resistance, and it bypasses a difficult but
frequently asked question in Eurocode 7 (i.e. should the passive earth pressure be considered as a load (i.e. action)
or a resistance?). The probabilistic design approach (DA) is also used to explore the effects of the soil unit weight
variability and uncertainties in over-digging depth and wall friction. The effects of uncertainties in over-digging
depth and wall friction are found to be significant. It is also found that, although the soil unit weight variability is
generally minor, its effect on the design of embedded sheet pile walls is significant and should be properly
accounted for in the design. The MCS-based probabilistic DA proposed in this study provides a straightforward
way for proper consideration of such variability with relative ease.

Keywords: uncertainty; Monte Carlo simulations; correlated load and resistance; reliability-based design;
Eurocode 7

Introduction
During the past two decades, several reliability-based
design (RBD) codes have been developed and implemented around the world, such as the Eurocode 7
(e.g. BSI 2010; Schuppener 2010) in Europe, the load
and resistance factor design (LRFD; e.g. Barker et al.
1991; Becker 1996; Paikowsky et al. 2004, 2010) or
multiple resistance factor design (MRFD; e.g. Phoon,
Kulhawy, and Grigoriu 1995, 2003a, 2003b) for
foundations in North America, LRFD for retaining
walls (e.g., Chalermyanont and Benson 2004, 2005;
Goh, Phoon, and Kulhawy 2009; Bathurst, Huang,
and Allen 2011) and the Geocode 21 (i.e. JGS4001;
e.g. Japanese Geotechnical Society 2006; Honjo,
Kikuchi, and Shirato 2010) in Japan. These design
codes aim to provide designs with appropriate
degrees of reliability, which are usually expressed in
probabilistic terms, such as the target probability of
failure (pT) or target reliability index (bT). For
reference, Table 1 correlates reliability indices for
representative geotechnical components and systems
and their corresponding probabilities of failure and
expected performance levels (US Army Corps of
Engineers 1997). The bT for geotechnical design is
typically larger than 2.5, corresponding to pT B0.006.

*Email: yuwang@cityu.edu.hk
# 2013 Taylor & Francis

The pT or bT is achieved through the application

of partial factors (or load and resistance factors) in
current RBD codes, and the traditional practice of
applying factors of safety (FS) in design calculations
is abandoned. This partial factor approach has been
applied with some success to foundation design, but it
has been less satisfactory when applied to retaining
structures (Christian and Baecher 2011). One major
challenge is that, for retaining structures, the load (or
action as used in Eurocode 7) and resistance are
usually originated from the same sources (e.g. effective stress of soil) and correlated with each other. It is,
therefore, difficult to decide whether the effective
stress of soil should be regarded as load/action or
resistance. This has led to a difficult but frequently
asked question in the retaining wall design with
Eurocode 7: should passive earth pressure be regarded as a resistance or as an action (e.g. Bond and
Harris 2008)? The answer to this question obviously
has a significant bearing and may result in different
designs, because the partial factors are different for
resistances and actions. For example, Table 2 summarises the partial factors relevant for design of
embedded sheet pile walls in Eurocode 7, including
those for actions (e.g. gG,unfav and gG,fav for unfavourable and favourable permanent actions, respectively,

Y. Wang

Table 1. Relationship between reliability index (b) and

probability of failure (pf; after US Army Corps of Engineers
1997).
Reliability
index
b

Probability of failure
pf F( b)

1.0
1.5
2.0
2.5
3.0
4.0
5.0

0.16
0.07
0.023
0.006
0.001
0.00003
0.0000003

Expected
performance level
Hazardous
Unsatisfactory
Poor
Below average
Above average
Good
High

Downloaded by [University of Delaware] at 12:58 28 July 2013

Note: F( )  standard normal CDF.

and gQ,unfav for unfavourable variable actions), material properties (e.g. gf? for soil effective friction
angle f?) and resistance (e.g. gR for earth resistance),
respectively (BSI 2010). This question is equally
applicable to other geotechnical design situations
(e.g. deep excavation), and it underscores the need
of alternative probabilistic design methods that deal
rationally with the correlated load and resistance.
In addition, as shown in Figure 1, numerical
values of the partial factors can be calibrated using
three different methods: Method a, deterministic
methods; Method b, full probabilistic methods (e.g.
Monte Carlo simulation (MCS) method) and Method
c, the so-called semi-probabilistic methods (e.g. the
first order reliability method). Either Method a or
Method c has been used in the calibration of current
RBD codes. For example, the calibration of Eurocode 7 and the numerical values in Table 1 have been
primarily based on Method a (Orr and Breysse 2008),
which is referred to as a deterministic method that
calibrates to the long experience of traditional design
with the aid of historical and empirical methods. As
the numerical values of the partial factors are
obtained from deterministic methods or semi-probabilistic methods, it is of great interest to use full
probabilistic methods (i.e. Method b, MCS) to
investigate the performance of these partial factors
in achieving the desired degrees of reliability.

This paper develops a MCS-based probabilistic

approach to the design of embedded sheet pile walls.
The approach deals rationally with the correlated
load and resistance and achieves the desired degrees
of reliability without using partial factors. There is,
therefore, no need to decide whether the passive earth
pressure should be regarded as a resistance or an
action. Furthermore, it provides a vehicle to investigate the performance of the partial factors in current
RBD codes in achieving the desired degrees of
reliability. The paper starts with a brief review on
the deterministic design approach (DA) to embedded
sheet pile walls. Then, an MCS-based probabilistic
DA is proposed, and its design steps are illustrated
through a sheet pile wall design example that has been
used in literature for the evaluation of Eurocode 7. In
addition, the effects of the soil unit weight variability
and uncertainties in over-digging depth and wall
friction are illustrated using this approach.

Deterministic DA
The principal failure mode of embedded sheet pile
walls is rotation or translation of the wall induced by
the instability of the retained soil mass (e.g. Craig
2004). As shown in Figure 2a, the wall tends to fail by
rotation about a point O near the lower end of the
wall. Consequently, the passive pressure acting in
front of the wall above O and behind the wall below O
provides resistance moments against rotation (see
Figure 2b). Design calculation is generally based on
the simplified pressure diagram shown in Figure 2c, in
which the net passive resistance below point O is
simplified as a concentrated force R acting at a depth d
below the lower soil surface. The key design parameter
in the traditional deterministic design analysis is the
embedment depth d, and it is determined by solving
the moment equilibrium at the location of the
concentrated force R with an FS being applied to the
passive resistance in front of the wall. Then, the
additional embedment depth Dd is calculated by
solving the force equilibrium in the horizontal direction and assuming that the active pressure behind the
wall and the passive pressure in front of the wall

Table 2. Summary of partial factors for design of embedded sheet pile walls (after BSI 2010).
Partial factor for
unfavourable permanent actions, gG,unfav
favourable permanent actions, gG,fav
unfavourable variable actions, gQ,unfav
Effective friction angle, gf?
Earth resistance, gR

DA1, Combination 1

DA1, Combination 2

DA2

DA3

1.35
1.0
1.5
1.0
1.0

1.0
1.0
1.3
1.25
1.0

1.35
1.0
1.5
1.0
1.4

1.0
1.0
1.3
1.25
1.0

Georisk
Deterministic Methods

Probabilistic Methods

Such as
Historical Methods
Empirical Methods

Such as
First Order Reliability
Full Probabilistic
Method (FORM)
Method (e.g., MCS)

Calibration

Calibration

Calibration

Method c

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Method a
(Primary Method
for Eurocode 7)

Partial
Factors

Method b

Figure 1. Development of partial factors in Eurocode 7 (after Orr and Breysse 2008; European Committee for
Standardization 2002).

suddenly reverse and become full passive and full

active pressures, respectively, for embedment depth
greater than d. This leads to the required minimum
embedment depth D d Dd. For simplification, it is
quite common to take D 1.2d or Dd0.2d (e.g.
Craig 2004). In addition, it is recommended that, to
allow for over-digging during construction, the soil
level in front of the wall should be reduced by 10% of
the retained height h, with a maximum of 0.5 m. A
minimum surcharge pressure of 10 kPa should also be
assumed to act on the soil surface behind the wall.
The deterministic design calculation involves two
design parameters (i.e. d and Dd) and two design
equations (i.e. moment and horizontal force equilibrium equations). As the number of unknowns equals
to the number of equations, both d and Dd can be
solved directly and explicitly. It is therefore straightforward to extend the deterministic design to an

MCS-based probabilistic design, as discussed in the

next section.

MCS-based probabilistic DA
MCS is a numerical process of repeatedly calculating
a mathematical or empirical operator in which the
variables within the operator are random or contain
uncertainty with prescribed probability distributions
(e.g. Ang and Tang 2007). The numerical result from
each repetition of the numerical process is considered
as a sample of the true solution of the operator,
analogous to an observed sample from a physical
experiment. For example, consider the probabilistic
design of embedded sheet pile walls in which the
mathematical operator involves solving two equations of moment equilibrium and horizontal force

h
Active

Active

Passive

Passive

d
R

Active
Passive
(a) Wall Deflection Profile

(b) Earth Pressure Diagram

(c) Design Pressure Diagram

Figure 2. Deterministic design of embedded sheet pile walls (modied from Craig 2004).

Downloaded by [University of Delaware] at 12:58 28 July 2013

Y. Wang

equilibrium for d and Dd and determining the

required minimum embedment depth D d Dd.
Figure 3 shows a flow chart for the MCS-based
probabilistic approach to the design of embedded
sheet pile walls. It starts with characterisation of
probability distributions for geotechnical-related uncertainties that arise in loads, geotechnical properties,
calculation models, etc. For example, effective friction angle f? of soil can be modelled by a normal
distribution (e.g. Ang and Tang 2007; Orr and
Breysse 2008). Then, repeated random samples of
the uncertain variables are generated from their
respective probability distributions, followed by repeated calculation of D using each set of random
samples as input. Statistical analysis is performed to
construct the resulting D histogram and probability
density function (PDF) of D. Note that failure occurs
when the final embedment depth Df adopted in the
design is smaller than the required minimum embedment depth D. The failure probability is therefore
defined as P(D Df) or 1  P(D 5Df), which is the
Characterize probability distributions for
geotechnical-related uncertainties

Generate n sets of random samples according to the

prescribed probability distributions

Calculate the required minimum embedment depth D

for the embedded sheet pile wall using one set of
random samples as input
(Repeat n-1 times)

No

Complete n times of repetitive

executions of the previous step
using different sets of random
samples as input every time?

Yes
Perform statistical analysis of the resulting n sets of
output for estimating the probability density function
(PDF) of D

Select the final design Df value by

comparing the complement of cumulative
distribution function (CDF) of D with target
probability of failure pT

Figure 3. Flow chart for MCS in probabilistic design of

embedded sheet pile walls.

complement of cumulative distribution function

(CDF) of D. To achieve the target probability of
failure pT in the design, the complement CDF of D
(i.e. the failure probability) is first calculated, and the
Df is selected by assuring 1  P(D 5Df) 5pT.
MCS has been widely used for reliability analyses
in geotechnical engineering, such as slope stability
(e.g. Baecher and Christian 2003; Griffiths and
Fenton 2004; El-Ramly, Morgenstern, and Cruden
2005; Low 2008; Wang, Cao, and Au 2010, 2011),
retaining walls (e.g. Chalermyanont and Benson 2004,
2005; Fenton, Griffiths, and Williams 2005; Goh,
Phoon, and Kulhawy 2009; Zevgolis and Bourdeau
2010) and foundations (e.g. Phoon, Chen, and Kulhawy 2006; Wang and Kulhawy 2008; Misra and
Roberts 2009). These reliability analysis studies used a
set of pre-defined system design parameters and
carried out repeated runs of MCS to determine failure
probability or other probabilistic characterisation of
the pre-defined design, which actually is the inverse of
what design engineers face. The real issue in the design
that design engineers have to address is to determine a
set of system design parameters for achieving a predefined pT or bT. One exception is the expanded RBD
approach recently developed for pile (Wang, Au, and
Kulhawy 2011) and spread foundations (Wang 2011).
Because the design parameters can be solved directly
and explicitly in the design of embedded sheet pile
walls, the MCS-based probabilistic DA proposed in
this paper is more straightforward than the expanded
RBD approach for foundations.
The MCS-based probabilistic DA conceptually
contains three basic steps: (1) establish deterministic
calculation models, (2) model the geotechnical-related
uncertainties and (3) perform MCS and statistical
analysis to select Df. MCS-based reliability assessments are deliberately decoupled from the traditional
deterministic design calculation, and the MCS and
probabilistic design therefore can proceed as an
extension of the traditional deterministic design in a
non-intrusive manner. This offers design engineers
the flexibility to make design assumptions deemed
appropriate, use the deterministic design calculation
models that best suit the design situation in hand and
decide how many and which uncertain quantities to
be included and how to model the uncertainties in the
design. The probabilistic DA and its three basic
design steps are illustrated using a design example
in the next section.
Design example
An embedded sheet pile wall design example that has
been used for evaluating Eurocode 7 in an international workshop (Orr 2005; Simpson 2005) is used

Georisk
Characteristic variable
surcharge qk = 10 kPa

horizontal force equilibrium equation and subsequently, the required minimum embedment depth D
dDd.
The coefficients of active and passive earth
pressures, Ka and Kp, are estimated using the following equations (Lancellotta 2002):

1.5 m
Ground
water
level

h = 3.0 m
j = 1.5 m

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Sand with a
deterministic total unit
weight = 20 kN/m3
and characteristic
effective friction angle
'k = 37 (effective
cohesion c' = 0)

Ground
water
level
D=?

Figure 4. A design example of embedded sheet pile walls

(after Orr 2005).

in this paper to illustrate the probabilistic DA.

As shown in Figure 4, an embedded sheet pile wall
is designed for a 3-m deep excavation with a
surcharge on the surface behind the wall. The
surcharge is considered as a variable load with a
characteristic value qk 10 kPa. Ground water levels
are different behind and in front of the wall, and they
are at depth of 1.5 m below ground surface behind the
wall and at the ground surface in front of the wall,
respectively. The soil retained is sand with a deterministic total unit weight g20 kN/m3 and a characteristic effective friction angle /0k 37 (effective
cohesion c? 0). As discussed in the section DETERMINISTIC DA, the design is a process of
determining the wall embedment depth D to prevent
the wall failure by rotation or translation. Following
the design approaches in Eurocode 7, Orr (2005) and
Simpson (2005) have provided a set of model solutions to this design example, which will be summarised in the subsection Result comparison later.
The design example is redesigned using the probabilistic approach developed in this paper, and three
basic steps of the approach are illustrated in the
following three subsections, respectively.
Deterministic calculation models
To enable a consistent comparison with the results
from Orr (2005) and Simpson (2005), the deterministic design calculation models in this section follow
those adopted in their model solutions. As described
in the section DETERMINISTIC DA and Figure 2c,
an equation for moment equilibrium (see Figure 2c) is
used to determine the embedment depth d. Then, the
additional depth, Dd, is determined by solving the


q
cos d
Ka
cos d  sin2 /0  sin2 d
1 sin /0

 

sin d
dsin1 sin
tan /0
/0
e

q
cos d
cos d sin2 /0  sin2 d
Kp
1  sin /0

 

sin d
dsin1 sin
tan /0
/0
e

(1)

(2)

where dfriction angle between the sheet pile wall

and soil. As suggested by Eurocode 7 and adopted in
the model solutions, d2f?/3. Equations (1) and (2)
not only give results consistent with those given by
Eurocode 7 (Simpson 2005) but also allow automatic
recalculation of Ka and Kp in MCS. In addition, an
over-digging depth of 0.3 m is assumed on the
excavation side of the wall so that the ground and
water levels are reduced by 0.3 m on this side. The
water pressure is assumed to dissipate uniformly
around the wall so that the pressure head, pt, at the
toe (see Figure 2) is given as (e.g. Craig 2004; Orr
2005):
pt 2djd  0:3m=L

(3)

where j1.5 m height of ground water level behind

the wall above the excavation (see Figure 4) and L
the length of the seepage path around the wall.
Uncertainty modelling
Uncertainties in design loads and material properties
in Eurocode 7 are reflected through their respective
characteristic values. The design example shown in
Figure 4 contains two uncertain variables, that is, a
variable surcharge load with a characteristic value
qk 10 kPa and an effective friction angle with a
characteristic value /0k 37 . The characteristic value
for a design load in Eurocode 7 is defined as the load
magnitude that corresponds to 5% or 2% probability
of exceedance (i.e. an upper 95% or 98% fractile of
its probability distribution; European Committee
for Standardization 2002; Orr and Breysse 2008).
The surcharge q in the design example is considered
normally distributed with a coefficient of variation COVq 0.15, and its characteristic value qk is
taken as the upper 95% fractile of the probability

Y. Wang

Table 3. Statistics of uncertain variables in design example.

Uncertain variables

Characteristic value

COV

Mean m

Standard deviation s

10 kPa
378

0.15
0.1

8.02 kPa
38.958

1.20 kPa
3.898

Surcharge q
Effective friction angle f?

Note: Both uncertain variables follow normal distributions.

qk mq 1 1:645COVq

(4)

COVq sq =mq

(5)

This leads to mq 8.02 kPa and sq 1.20 kPa, as

summarised in Table 3. In addition, the effective
friction angle f? is considered normally distributed
with a COVf? 0.1 (e.g. Phoon and Kulhawy 1999).
As a material property, its characteristic value /0k is
estimated from its mean mf? and standard deviation
sf? using the following equations (Schneider 1997; Orr
and Breysse 2008):
/0k m/0 1  0:5COV/0

(6)

COV/0 s/0 =m/0

(7)

Consider, for example, a pf 0.001 or b3.0 (see

Table 1). The sample size n 1 million leads to a
COVpf 3%, and the sample size used herein is
considered large enough to estimate pf accurately.
Although the sample number of 1 million appears
relatively large, it takes about 20 minutes to perform
an MCS with such a sample number using a desktop
computer with 2.40 GHz CPU and 2.00 GB RAM
and the software package Matlab. Then, a histogram
of the 1 million D values and its corresponding PDF
are developed, as shown in Figure 5a. As discussed in
the section MCS-BASED PROBABILISTIC DA,
the failure probability is equivalent to the complement CDF of D, which is shown in Figure 5b.
The final wall embedment depth Df is selected by
0.7

MCS and determination of final designs

MCS is performed in this study using the software
package Matlab (Mathworks Inc. 2012). As illustrated in Figure 3, probability distributions for q
and f? are first characterised (see the previous
subsection), followed by generation of random samples from the prescribed probability distributions.
Random samples of the normally distributed q and f?
are generated using the Matlab function randn with
their respective values of mean and standard deviation. For each set of generated samples of q and f?,
moment and horizontal force equilibrium equations
are constructed and solved for d and Dd, leading to
the required minimum embedment depth D dDd.
The calculation of D is repeated for each set of
generated samples of q and f?, and a total number of
1 million samples are generated in this example,
resulting in 1 million D values. Note that accuracy
of the MCS results relies on the sample number, n,
used in the simulation. The COV of the failure
probability pf estimated from the MCS is expressed
as (e.g. Ang and Tang 2007):
s
1  pf
(8)
COVpf
npf

Probability Density Function, PDF

As summarised in Table 3, mf? and sf? are estimated

as 38.958 and 3.898, respectively.

Sample Number: 1 million

0.6
0.5
D Range from Simpson (2005)

0.4
0.3
0.2
0.1
0
1

4
5
6
Embedment Depth, D (m)

(a) Probability Density Function

Probability of Failure, pf

Downloaded by [University of Delaware] at 12:58 28 July 2013

distribution. Then, its mean mq and standard deviation sq are calculated using the following equations:

0.1
-2

0.01

T = 2.5 or pT = 6.210

-3

T = 3.0 or pT = 1.410

-3

T = 3.8 or pT = 7.210

-5

0.001

Df = 4.8 m, pf = 1.910
-3
Df = 5.3 m, pf = 6.010
5.3 m
6.0 m

0.0001

7.4 m
0.00001
1

4
5
6
Embedment Depth, D (m)

(b) Complement of Cumulative Distribution

Function or Probability of Failure

Figure 5. MCS results.

Georisk
Table 4. Summary of wall embedment depth from different design approaches (after Orr 2005).
DA

DA1, Combination 1 (C1) DA1, Combination 2 (C2) DA2 DA3

Wall embedment depth for moment equilibrium, d (m)

Additional wall embedment depth for horizontal force
equilibrium, Dd (m)
Total wall embedment depth D dDd (m)
Total wall embedment depth D 1.2d (m)

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comparing the failure probability with the target

failure probability pT. Figure 5b includes the pT 
1.4 10 3 (i.e. bT 3.0) for an expected performance
level of above average by a solid line (see Table 1).
Feasible designs are those that fall below the pT in
Figure 5b and Df 6.0 m.
Result comparison
Using three design approaches (i.e. DA1 with combination 1 (C1) or 2 (C2), DA2 and DA3) of Eurocode
7, Orr (2005) provided a set of model solutions to this
design example as summarised in Table 4. Since no
structural loads are involved in the example, DA3 is
identical to DA1 with C2. As shown in Table 4, the D
values vary from 3.40 to 4.73 m for different DAs or
combinations, resulting in a Df value of about 4.8 m.
Figure 5b includes this Df value, and its corresponding pf value is estimated as 1.9 10 2. This pf value is
between the expected performance levels of below
average and poor (see Table 1). If D is conservatively simplified as 1.2d, as frequently used in
deterministic design practice, the resulting Df 5.3
m (see the last row in Table 4) corresponds to a pf 
6.0 10 3. This pf value is approximately at the
expected performance level of below average (see
Table 1).
In addition to the model solutions by Orr (2005),
this design example were distributed to members of
three technical committees, including the European
Regional Technical Committee 10, Work Package 2
of the European Geotechnical Network for Research
and Development and Technical Committee 23 of the
International Society for Soil Mechanics and Geotechnical Engineering. Simpson (2005) collected totally 21 sets of solutions to this design example from
those committee members and found that the D
values vary from about 3.9 m to about 6.9 m. As
shown in Figure 5a, they all fall in the upper tail of
the PDF of D. The corresponding pf values vary from
1.2 10 1 to 1.710 4, and their expected performance levels vary from unsatisfactory to good (see
Table 1).
Note that a pT 7.2 10 5 (i.e. bT 3.8) is
adopted in Eurocode 7 (e.g. Orr and Breysse 2008),
and this pT value is significantly smaller than the pf

3.14
0.26

4.38
0.35

4.35 4.38
0.34 0.35

3.40
3.77

4.73
5.26

4.69 4.73
5.22 5.26

values (i.e. vary from 1.2 10 1 to 1.710 4) above

mentioned. This implies that using the partial factors
recommended in Eurocode 7 does not guarantee
automatic fulfilment of its target reliability. It is
interesting to note that, however, these pf values are
consistent with the empirical foundation failure rates
of about 10 2 to 10 3 (Baecher 1987), and it does fall
between the typical pf range (i.e. 810 2 to 110 
3
) for a single pile reported in literature (e.g. Tang,
Woodford, and Pelletier 1990; Barker et al. 1991;
Zhang, Tang, and Ng 2001). It is also worthwhile to
note that such unsatisfactory performance in fulfilling
the target reliability is not unique for the embedded
sheet pile wall design in Eurocode 7. Orr and Breysse
(2008) showed that, for spread foundations, the
design based on the partial factors in Eurocode 7
gives a pf value that is significantly larger than the pT
value. It seems that the pT 7.2 10 5 adopted in
Eurocodes is much smaller than the empirical rates of
failure observed for geotechnical systems (Baecher
1987) and the pT values adopted in other RBD
methodologies/codes in geotechnical engineering
(e.g. Phoon, Kulhawy, and Grigoriu 2003a, 2003b;
Paikowsky et al. 2004; Paikowsky et al. 2010).
In addition, the proposed DA allows feasible
designs for different values of pT to be obtained
directly from the MCS results (e.g. Figure 5) without
additional computational effort. For the pT 7.2 
10 5 adopted in Eurocode 7, Figure 5b also includes
this pT value by a dashed line, and the corresponding
feasible designs are those that fall below the dashed
line, that is, Df 7.4 m. This design value of course is
significantly larger than the model solutions provided
by Orr (2005) and the solutions summarised by
Simpson (2005). Furthermore, the proposed DA
allows a design engineer to make a conscious choice
on the acceptable level of design risk through pT and
then proceed to a Df value that is consistent with that
choice. This is important as the embedded sheet pile
walls are often used as a temporary lateral support
structure, and hence, the acceptable risk level is not as
stringent as the one for permanent structures, such as
foundations. Consider, for example, the pT value of
6.210 3 (i.e. bT 2.5) that correspond to an
expected performance level of below average (see

Y. Wang

Table 1). The pT value is included in Figure 5b by a

dashed line, and the corresponding feasible designs
are those that fall below the dashed line, that is, Df 
5.3 m.

In the design of embedded sheet pile walls, an overdigging depth is frequently allowed that reduces the
soil level in front of the walls for the consideration of
over-excavation during construction. The over-digging depth is taken as 0.1h 0.3 m (smaller than the
maximum of 0.5 m) in this design example, and it has
been shown to have significant effects on the designs
(Simpson 2005). To explore the effect of uncertainty
in over-digging depth, a sensitivity study is performed
in this section that considers the over-digging depth
uncertainty in the design. The proposed MCS-based
probabilistic DA allows design engineers to include
uncertainties in a straightforward manner. The overdigging depth is considered in the design as a random
variable uniformly distributed between [0, 0.5 m]. In
MCS, an additional random variable is included for
the over-digging depth, which is simulated using the
Matlab uniform random number generator function
rand. For comparison, two additional sets of MCS
with a deterministic over-digging depth of 0 and 0.5
m, respectively, are also performed.
Figure 6 shows the results from the sensitivity
studies in a plot of pf versus D. When the over-digging
depth is deterministic and increases from 0 to 0.5 m,
the pf versus D relationship moves towards the upper
right corner of the plot. The D values at the same pT
values increases significantly as the over-digging
depth increases from 0 to 0.5 m. Consider, for
example, the pT 1.4 10 3 for an expected performance level of above average (see Table 1). The
corresponding D value increases from 5.1 m at an
over-digging depth of 0 m to 6.6 m at an over-digging
1

0.01

T = 2.5 or pT = 6.210

-3

T = 3.0 or pT = 1.410

-3

Following the suggestions in Eurocode 7, the friction

angle d between the sheet pile wall and soil is taken as
2/3 (i.e. 0.67) of the effective friction angle f? of soil
in the design example shown in Figure 4. This d/f?
ratio has significant effect on the earth pressure
coefficients and the final design. To explore the effect
of wall friction, a series of sensitivity studies with
three different d/f? ratio (i.e. 0, 0.5 and 1.0) is carried
out. Note that when d/f? 0, the earth pressure
coefficients given by Equations (1) and (2) converge
to those from Rankine theory. In addition, the d/f?
ratio is explicitly modelled as uncertain in the MCS,
and it is considered as a random variable uniformly
distributed between [0.5, 1.0]. The d/f? range of [0.5,
1.0] adopted herein is consistent with its typical range
suggested in design manuals (e.g. Canadian Geotechnical Society 2006). Considering the d/f? ratio as
uncertain is simply achieved by including an additional random variable for d/f? in MCS using the
Matlab uniform random number generator function
rand.
Figure 7 shows the results from the sensitivity
study in a plot of pf versus D. When the d/f? ratio is
deterministic and decreases from 1.0 to 0, the pf
versus D relationship moves towards the upper right
1

Over-digging Depth:
0.0 m
0.3 m
0.5 m
Uncertain
between
[0, 0.5 m]

0.1

Effect of uncertainty in wall friction

Probability of Failure, pf

Probability of Failure, pf

Downloaded by [University of Delaware] at 12:58 28 July 2013

Effect of uncertainty in over-digging depth

depth of 0.5 m. These observations are consistent

with those reported by Simpson (2005) that the effect
of over-digging depth is significant. When the overdigging depth is modelled as a random variable
uniformly distributed between [0, 0.5 m], the pf versus
D relationship almost overlaps with the one shown in
Figure 5b, where the over-digging depth is considered
deterministic and equals to 0.3 m. It seems that
modelling the over-digging depth as a deterministic
value of 0.3 m is equivalent to modelling it as a random
variable uniformly distributed between [0, 0.5 m].

0.001

/ = :
0
0.50
0.67
1.00
Uncertain between [0.5,1]
-3
T = 2.5 or pT = 6.210

0.1

0.01

T = 3.0 or pT = 1.410

-3

0.001

0.0001

0.0001

0.00001

0.00001
1

Embedment Depth, D (m)

Figure 6. Effect of uncertainty in over-digging depth.

Embedment Depth, D (m)

Figure 7. Effect of uncertainty in wall friction.

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Georisk

Effect of soil unit weight variability

Because the variability in soil unit weight g is
generally minor with a COVg less than 10% (e.g.
Phoon and Kulhawy 1999), soil unit weight has
frequently been considered as deterministic in reliability analyses. Consider, for example, the soil unit
weight in the design example shown in Figure 4,
which is considered as deterministic with g20 kN/
m3. Although the variability of soil unit weight is
relatively minor, its effect on the design might not be
necessarily minor, particularly for the design of
embedded sheet pile walls where the self-weight of
the soil is the major source of load and resistance
simultaneously. To quantify the effect of the soil unit
weight variability, a sensitivity study is performed in
this section that models g explicitly as a normally
distributed random variable with a mean of 20 kN/m3
and a COVg 10%. This is simply achieved by
including an additional random variable for g in
MCS using the Matlab normal random number
generator function randn. Although the g is modelled as a normal random variable herein because of
mathematical convenience and engineering common
sense, the proposed approach is robust and does not
limit itself to normal random variables.
Figure 8 shows the results obtained when g is
considered uncertain by open triangles and compares
with those from Figure 5b in which g is considered
deterministic. When pf is larger than 10%, these two

Probability of Failure, pf

corner of the plot. The D values at the same pT values

increases significantly as the d/f? ratio decreases,
particularly for d/f? 0. Consider, for example, the
pT 6.2 10 3 for an expected performance level of
below average (see Table 1). The corresponding D
value increases from 5.0 m at d/f? 1.0 to 5.6 m at
d/f? 0.5, and it further increases to 7.6 m at d/f? 
0 (i.e. Rankine theory). The assumption of smooth
wall (i.e. d/f? 0) in Rankine theory obviously leads
to a conservative design. The increase of D values
when d/f? decreases from 1.0 to 0.5 is less significant
than the D increment obtained when d/f? further
decreases from 0.5 to 0. When pf B0.01, the pf versus
D relationships for d/f? 1.0, 0.67 or 0.5 are more or
less parallel, and the difference in D values between
them remains about 0.7 m. Figure 7 also shows that
when d/f? is explicitly modelled as a random variable
uniformly distributed between [0.5, 1.0], the pf versus
D relationship almost overlaps with the one shown in
Figure 5b where d/f? is considered as a deterministic
value of 0.67. The suggestion in Eurocode 7 that d/f?
should be taken as a deterministic value of 0.67 seems
equivalent to modelling the d/f? as a random variable
uniformly distributed between [0.5, 1.0].

Deterministic
Uncertain ( = 0)
Uncertain ( = 0.5)
Uncertain ( = 1)

0.1

0.01

T = 2.5 or pT = 6.210

-3

T = 3.0 or pT = 1.410

-3

5.8 m

5.3 m

0.001

6.0 m

6.8 m

0.0001

0.00001
1

Embedment Depth, D (m)

Figure 8. Effect of soil unit weight variability.

sets of results are virtually identical. The difference

between them, however, becomes growingly significant when pf further decreases. When pT 6.2 10 3
with an expected performance level of below average
(see Table 1), the Df values are 5.3 and 5.8 m,
respectively, resulting in a difference of 0.5 m. The
difference further increases to 0.8 m (i.e. for two
respective Df values of 6.0 and 6.8 m) when pT 1.4
10 3 with an expected performance level of above
average. This shows that, although the g variability is
relatively minor, its effect on the design of embedded
sheet pile walls is significant, particularly at relatively
small probability levels that are typically of interest in
engineering practice.
When the soil unit weight is relatively large, the
effective friction angle of soil is likely to be relatively
large too. There is a positive correlation between g
and f?, and such a correlation can be incorporated
easily in the MCS-based DA. This is simply achieved
by generating a set of two normal random variables
(U1, U2) for f? and g, in which U1 and U2 are
correlated as defined below:
U1 s/0 Z1 m/0
p
U2 sc Z1 q Z2 1  q2 mc

(9)

where Z1 and Z2 uncorrelated standard normal

random variables generated by the Matlab normal
random number generator function randn, mg and
sg mean and standard deviation of g and r 
coefficient of correlation between f? and g. The value
of r varies from 0 for an uncorrelated case to 1 for a
fully correlated case. The uncertain case of g discussed in the previous paragraph is in fact the
uncorrelated case with r 0.
Figure 8 also includes the results for r 0.5 and 1
by open squares and crosses, respectively. As the r
value increases from 0 to 1, the pf versus D relationship moves towards the upper right corner of the
plot. The D values at the same pT value increase

Downloaded by [University of Delaware] at 12:58 28 July 2013

10

Y. Wang

significantly as the r value increases or the positive

correlation between f? and g becomes increasingly
significant. Similarly, the pf values at the same D
value increases significantly as the r value increases.
It is obvious that an increase of f? leads to an
improvement of the performance of the embedded
sheet pile wall. On the other hand, as the self-weight
of the soil is the major source of load and resistance
simultaneously, an increase of g leads to an increase
of both load and resistance. However, the design
calculation for determining the embedment depth D
has assured that the resistance is always larger than
the load. In other words, under the design circumstance, the resistance benefits more from the selfweight of the soil than the load does. Therefore, an
increase of g is more beneficial to resistance than
load, and it leads to an improvement of the performance as well. As both f? and g affect the performance of the embedded sheet pile wall in a similar
pattern (i.e. the performance improves as the value of
f? or g increases and vice versa), incorporating the
positive correlation between them further enforces
their effect on the performance and leads to an
increase of the variance for the probability distribution of the performance. As the design focuses on the
lower tail of the probability distribution of the
performance (i.e. small failure probability), an increase of the variance results in an increase of failure
probability. This implies that ignoring the positive
correlation between f? and g in design leads to
unconservative designs.
The g variability and the positive correlation
between f? and g have significant effect on the design,
and therefore, they have to be properly considered in
the RBD of sheet pile walls. The MCS-based
probabilistic DA proposed in this study provides a
straightforward way for proper consideration of such
variability and correlation with relative ease.
Summary and conclusions
An MCS-based probabilistic approach to the design
of embedded sheet pile walls has been developed in
this paper. The probabilistic DA is conceptualised as
a process of performing systematic sensitivity studies
(i.e. MCS), analysing statistically the sensitivity study
results and determining the final design by comparing
the statistical analysis results with the target failure
probability pT. Statistical analysis is carried out to
construct the histogram, PDF, and complement CDF
of D from the MCS results. The failure probability is
found to be equivalent to the complement CDF of D,
and the final design is determined by comparing the
complement CDF of D with the target failure
probability pT.

The DA deliberately decouples the traditional

deterministic design calculation and the MCS for
reliability assessments. The MCS and probabilistic
design can therefore proceed as an extension of the
traditional deterministic design in a non-intrusive
manner. The MCS-based probabilistic approach was
illustrated through an embedded sheet pile wall
design example that has been used for the evaluation
of Eurocode 7. It is found that the pf value for the
design that is based on the partial factors recommended in Eurocode 7 is consistent with the empirical
rates of foundation failure, and it falls between the
typical pf ranges for a single pile reported in literature.
It is however much larger than the pT 7.2 10 5
adopted in Eurocodes. Using the partial factors
recommended in Eurocode 7 does not guarantee
automatic fulfilment of its target reliability. The pT
value adopted in Eurocodes seems much smaller than
the empirical rates of failure observed for geotechnical systems and the pT values adopted in other RBD
methodologies/codes in geotechnical engineering.
The MCS-based probabilistic DA developed in
this paper allows a design engineer to make a
conscious choice on the acceptable level of design
risk through pT and then proceed to a final design
that is consistent with that choice. In addition,
feasible designs for different values of pT can be
obtained directly from the sensitivity study results
without additional computational effort.
The proposed probabilistic DA is a repetitive
computer execution of the traditional deterministic
DA, and the correlation between the load and
resistance is implicitly considered in the deterministic
calculation model. The reliability assessment is performed by MCS, that is, repetitive computer execution of the deterministic calculation model, and the
difficulty in handling the correlated load and resistance in the partial factor approach is bypassed in
the MCS-based approach.
The probabilistic DA was also used to explore the
effects of the soil unit weight variability and uncertainties in over-digging depth and wall friction. The
uncertainties in over-digging depth and wall friction
are shown to have significant effects on the design of
embedded sheet pile walls. It is also found that,
although the soil unit weight variability is relatively
minor, its effect on the design of embedded sheet pile
walls is significant, particularly at relatively small
probability levels that are typically of interest in
engineering practice. It is also found that the positive
correlation between soil unit weight and effective
friction angle has significant effect on the design, and
ignoring such positive correlation leads to unconservative design.

Georisk
Acknowledgements
The work described in this paper was supported by a
Strategic Research Grant from City University of Hong
Kong (Project Number 7002838) and a grant from the
National Natural Science Foundation of China (Project
Number 51208446). The nancial supports are gratefully
acknowledged.

Downloaded by [University of Delaware] at 12:58 28 July 2013

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