Marginal and total exceedance probabilities of environmental contours

Various methods have been proposed for defining an environmental contour, based on different concepts of exceedance probability. In the inverse first-order reliability method (IFORM) and the direct sampling (DS) method, contours are defined in terms of exceedances within a region bounded by a hyperplane in either standard normal space or the original parameter space, corresponding to marginal exceedance probabilities under rotations of the coordinate system. In contrast, the more recent inverse second-order reliability method (ISORM) and highest density (HD) contours are defined in terms of an isodensity contour of the joint density function in either standard normal space or the original parameter space, where an exceedance is defined to be anywhere outside the contour. Contours defined in terms of the total probability outside the contour are significantly more conservative than contours defined in terms of marginal exceedance probabilities. In this work we study the relationship between the marginal exceedance probability of the maximum value of each variable along an environmental contour and the total probability outside the contour. The marginal exceedance probability of the contour maximum can be orders of magnitude lower than the total exceedance probability of the contour, with the differences increasing with the number of variables. For example, a 50-year ISORM contour for two variables at 3-h time steps, passes through points with marginal return periods of 635 years, and the marginal return periods increase to 10,950 years for contours of four variables. It is shown that the ratios of marginal to total exceedance probabilities for DS contours are similar to those for IFORM contours. However, the marginal exceedance probabilities of the maximum values of each variable along an HD contour are not in fixed relation to the contour exceedance probability, but depend on the shape of the joint density function. Examples are presented to illustrate the impact of the choice of contour on simple structural reliability problems for cases where the use of contours defined in terms of either marginal or total exceedance probabilities may be appropriate. The examples highlight that to choose an appropriate contour method, some understanding about the shape of a structure's failure surface is required.

Automated summary

Various methods for defining environmental contours, such as IFORM, DS, ISORM, and HD, are based on different concepts of exceedance probability. Marginal exceedance probabilities may be significantly lower than total exceedance probabilities, with differences increasing with the number of variables. The shape of a structure's failure surface is important in choosing an appropriate contour method.