COPULA APPROACH FOR FLOOD PROBABILITY ANALYSIS OF THE HUANGPU RIVER DURING BARRIER CLOSURE J.Y. NAI Delft University of Technology, Faculty of Civil Engineering and Geosciences, Stevinweg 1, 2600 GA Delft, the Netherlands P.H.A.J.M. VAN GELDER Delft University of Technology, Faculty of Civil Engineering and Geosciences, Stevinweg 1, 2600 GA, Delft, the Netherlands P.J.M. KERSSENS WL | Delft Hydraulics, Rotterdamseweg 185, 2629 HD Delft, the Netherlands Z.B. WANG Delft University of Technology, Faculty of Civil Engineering and Geosciences, Stevinweg 1, 2600 GA Delft, the Netherlands E. VAN BEEK Delft University of Technology, Faculty of Civil Engineering and Geosciences, Stevinweg 1, 2600 GA Delft, the Netherlands This paper introduces the use of copulas for flood probability analysis applied to the Huangpu River during barrier closure. The Huangpu River meanders through the downtown area of Shanghai City and connects the westward-located Tai Lake with the Yangtze River estuary. Storm surges of a typhoon passing the offshore region of Shanghai in combination with high tide is the main cause for flooding of the Huangpu River with inundation of the downtown area as a result. By the year 2010, Shanghai should be protected for floods with a frequency of 1:1000 years. As re-heightening of the present floodwalls alongside the river to meet this demand is not a sustainable solution anymore, the Shanghai Municipal Government is investigating the feasibility to protect Shanghai with a storm surge barrier in the mouth of the river. However, typhoons not only bring storm surges but also torrential rainfall to the area. These intense rains temporarily increase the runoff into the Huangpu River substantially, and since the river is the main drainage route in the area, flooding of the river during barrier closure may occur after all. The objective of this study is to analyze the flood probability of the Huangpu River during barrier closure due to upstream discharges into the river. The paper shows that copulas have proven to be useful in flood probability analyses when limited data is available in which only the marginal distribution functions are known. 1 2 1. Introduction The Huangpu River is the main shipping and drainage route to port city Shanghai in the PRC of China. The city is located in the Tai Lake basin which is surrounded by the East China Sea to the East, the Yangtze River in the North and the Hangzhou Bay in the south. The Huangpu River meanders through the downtown area of Shanghai City and connects the westward-located Tai Lake with the Yangtze River estuary in the North East. Typhoons, a regional specific name for tropical cyclones, in the vicinity of Shanghai are the main trigger for flooding of the Huangpu River. Typhoons bring along storm surge, torrential rainfall and strong winds. These hazards move along with the typhoon and affect the areas the typhoon passes. When a typhoon passes Shanghai, the storm surges caused will be driven into the Yangtze River estuary causing the storm tide levels to increase additionally because of the shallow waters and confined dimensions within the estuary. When this conjuncts with astronomical high tide, the storm tide traveling into the Huangpu River can easily cause the water levels in the river rise to unparalleled levels with inundation of urban Shanghai as a result. The historical highest water levels recorded in the Huangpu River are caused by the 11th typhoon in 1997 (also named Winnie) passing the region. At Huangpu Park observation station in the city centre, the water level reached the historical height of 5.72m above Wusongkou datum (WD), being about 1.32m above the flood warning level and 0.5m higher than the previous record in 1981. Moreover the water level was only 0.14m lower than the design 1:1000 year’s water level at this location. To protect urban Shanghai against flooding of the Huangpu River, a system of floodwalls and control gates has been erected along almost its entire course as well as along the downtown sections of the river’s major tributaries. For decades however, these flood protection works have been heightened and reinforced continuously to keep pace with the rising flood frequency of the Huangpu River associated with rapid ground level subsidence in the area and changes in the upstream water regime. Even though some sections of the urban floodwall raises for more than three meters above street level nowadays, the flood protection of Shanghai City is currently not reflecting the current and expected social and economic importance of the area to China. Since heightening and reinforcement of the existing floodwalls has proven to be not a sustainable solution to floods, the Shanghai Municipal Government intends to raise the city’s flood frequency to 1:1000 via a storm surge barrier in the mouth of the Huangpu River. This storm surge barrier will become the first line of defense against typhoon induced storm surges traveling into the river. However, the existing urban floodwall will not lose its function during barrier closure since it is then the only defense against the upstream discharge into the river. And considering the Huangpu River’s role as the main 3 drainage route to the area, flooding might even occur during barrier closure due to the increased runoff into the river as a result of torrential rainfall accompanying typhoons passing the area. As part of the ongoing feasibility study of protecting the city with a storm surge barrier in the mouth of the river, the objective of this study is to analyze the flood probability of the Huangpu River during barrier closure due to upstream discharges into the river. 2. Limit state condition during barrier closure During barrier closure, flooding of the Huangpu River occurs either when the barrier fails to keep out storm tides or when the river is not able to store its discharge during the duration of barrier closure. This is visualized in Figure 1. Figure 1. Fault tree for flooding of the downtown area of Shanghai City during barrier closure; the focus of this paper is on flooding as a result of insufficient storage capacity of the Huangpu River. In this study we only focus on flooding as a result of insufficient storage capacity of the Huangpu River during barrier closure. This situation is captured in a limit state function expressed as: Z RS (1) The storage capacity and the discharged water volume during barrier closure are represented with R and S respectively. When Z=0 flooding just not occurs, this is defined as the limit state condition. In contrast, when Z<0, the Huangpu River floods. The storage capacity is considered deterministic and quantified by the dimensions of the river, which are governed by the length of the Huangpu River with regard to the barrier locations in the mouth of the river, the height of the floodwalls and the initial water level in the river immediately after barrier closure. The discharged water volume is determined by the closure duration, the base discharge and the torrential rainfall runoff triggered by the typhoon. The latter two are considered stochastic variables. The flood probability of the river during barrier closure is defined as the probability that the limit state condition is exceeded, which is expressed as Pflooding P( Z 0) P( S s ) (2) 4 The flood probability is retrieved by backward evaluation of the limit state function. First, the critical discharges are determined per closure duration for each of the potential barrier locations with a one-dimensional flow model of the Huangpu River in SOBEK River. The critical discharge is defined as the uniform discharge required per closure duration to cause a limit state condition. Hence, the flood probability is the most likely combination of base discharge and torrential rainfall runoff that causes this critical discharge. Figure 2 presents the critical discharges at Huangpu Park in the downtown area of Shanghai for three potential storm surge barrier locations in the mouth of the river. When the barrier closes at the most downstream location at Wusongkou, the limit state condition at Huangpu Park is reached after 36 hours of barrier closure for a uniform river discharge of 750m3/s. For three main locations along the river the current warning water level is used to determine the corresponding critical discharges. These locations are Wusongkou in the river mouth, Huangpu Park in the city centre and Mishidu, the most upstream location about 80km from Wusongkou. At Huangpu Park in the city centre, the warning level amounts 4.55m WD. Critical discharge with reference to Huangpu Park 2000 Wusongkou Zhanghua Bang Fishery Yard critical discharge [m 3/s] 1750 1500 1250 1000 750 500 250 0 0 12 24 36 48 closure duration [hrs] 60 72 Figure 2. Critical discharges of the Huangpu River for three barrier locations with reference to the warning water level at Huangpu Park in the down town area of Shanghai City. 3. Upstream discharges into the Huangpu River The next step in the analyses is to determine the upstream discharge into the Huangpu River during a typhoon storm. The absence of historical discharge data during typhoon storms requires us to decompose the discharge into its main contributors and analyze them accordingly. First, there is the base discharge, which because of the tidal dominance in the Huangpu River strongly depends on the hydrological year and month of interest. In 1954, the rain season brought more rain than expected and flood water from the Tai Lake needed to be diverted into the river increasing the annual average discharge to 755m3/s. 5 In contrast, the annual average discharge can be as low as 153m3/s in a dry year as in 1979. Secondly, there is the additional drainage into the river due to typhoon induced torrential rainfall in the Tai Lake basin. Torrential rainfall is defined as rainfall with intensity over 100mm/24hrs. According to Yuan (1999) torrential rains with intensities ranging from 150 to over 200mm/24hrs occurs most frequently in Shanghai. These intensities typically cause water logging hazards in the urban area. Theoretically, torrential rainfall can occur throughout the year, depending on the actual meteorological conditions. However, the main trigger for this type of rain is the tropical cyclones in the vicinity of Shanghai from June to October. When the typhoon season starts in the Shanghai region, the water levels in the Huangpu River are swollen already because of the plum rain season earlier. These plum rains are monsoon induced wide spread prolonged rains and can cause severe flooding of the inland areas as they can fall for a period of three months continuously and swell the water levels in the lakes and rivers of the Tai Lake basin and raise the groundwater table in this deltaic area. When the typhoon season then follows, the typhoon induced heavy downpour will temporarily increase the already higher discharges into the Huangpu River. Consequently, flooding of the Huangpu River due to insufficient storage capacity for the upstream discharge can be reality even though a storm surge barrier successfully stops storm tides from the East China Sea traveling into the Huangpu River. 4. Copula for torrential rainfall and storm surges The key driving mechanism of a tropical cyclone is the conversion of latent and sensible heat from the ocean into wind. In fact, torrential rainfall, like storm surge and wind gusts, is an inevitable exhaust product of the mechanism of tropical cyclones; a positive correlation between storm surge and torrential rainfall seems likely. As a consequence the torrential rainfall runoff into the Huangpu River depends on the storm surge level that in combination with the tide in the mouth of the river enforces a barrier closure. When we assume the future barrier closure water level equals the current warning water level in the river mouth at 4.80m WD, then the annually exceedance frequency of this water level is 4.12 times according to observations of the Shanghai Water Authority. We can now derive the mean surge level required (1.18m) given the occurrence barrier closure by using the typhoon induced storm surge levels probability distribution derived from historical typhoon storms from 1921 to 1997 at Wusongkou (Hohai, 1999). The torrential rainfall corresponding to this surge level is hence derived by linking the known probability distribution functions of typhoon induced storm surge levels at Wusongkou and torrential rainfall in the Tai Lake Basin for different event durations (Tai 6 Lake Basin Authority, 2000) into their joint probability distribution function via the Gumbel copula. Copulas are functions that link arbitrary univariate distributions into their joint multivariate distribution. The study of copulas and its applications is rather new but a rapid growing field in the literature of statistics. Copulas originate from the study on probabilistic metric spaces. At present, copulas are particularly used in the field of financial mathematics and actuaries. The relation between copulas and multivariate distribution functions is stated in Sklar’s theorem (1959). The version of this theorem for a bivariate situation, which is of interest in this study, is as follows: Let H be joint distribution function with margins F and G, then there exists a copula C that, for all x, y in [0,1]2, H ( x, y) C ( F ( x), G( y)) (3) If F and G are continuous, then C is unique; otherwise C is uniquely determined on, RanF × RanG, where Ran is the range of the margins. Conversely, if C is a copula and F and G are distribution functions then H, as in (3), is a joint distribution function with margins F and G. From Sklar’s theorem, we see that for continuous multivariate distribution functions, the univariate margins and the multivariate dependence structure can be separated, and the dependence structure is represented by the copula. Clearly, this provides a large freedom in choosing the margins once the desired dependence structure has been specified. Because of the strong physical relationship between storm surge and torrential rainfall of a typhoon we use the Gumbel copula to model their joint distribution. The Gumbel copula belongs to the special class of Archimedean copulas and is characterized by its stronger dependence in the lower probabilities. The main characteristic of Archimedean copulas is that they allow us to reduce the study of multivariate copulas to a single univariate functions, the so-called generator of the copula. Different choices of generators yield several important families. A complete listing of Archimedean copulas and their properties can be found in Nelson (1999). Because of the relative simplicity of the Archimedean copula together with its coverage of the common probability distributions, this class of copulas is used in a wide range of applications. The general expression of Archimedean copulas for variables u, v [0, 1]2 is C (u, v) 1 ( (u ) (v)) (4) in which is the generator of the copula. The generator is a strictly decreasing function, which maps the interval (0,1] onto [0,). The generator of the Gumbel copula is given by 7 (t ) ( ln t ) , for [1, ) (5) hence, the Gumbel copula is expressed as CGumbel (u, v) exp [( ln u) ( ln v) ]1 (6) Much of the usefulness of copulas derives from the fact that copulas are invariant under strictly increasing transformations of the random variables. Since Spearman’s and Kendall’s share this characteristic as well, they can be expressed in terms of copulas. Note that these are not the ordinary product moment correlation coefficients. These are so-called rank correlations. Given a set where the data values x and y are organized in order of size. The rank correlation coefficients can then be computed for the given numerical values, which are in the form of ranks. Moreover, with Archimedean copulas, the expression for correlation can be expressed directly in terms of the generator Eq. (7) and (8), which simplifies computations significantly. (t ) dt '(t ) 0 1 1 4 (7) For the Gumbel copula, the Kendall’s is hence expressed as 1 1 , for [0,1] (8) Similarly, simulating just the generators of the copula performs simulations of the Archimedean copula. Many algorithms exist for random variable generation with copulas. A universal algorithm to generate random variables (u v) from bivariate Archimedean copulas is proposed by Genest and Mackay (1986). By simply using the inverted margins of the individual variables we obtain the values for storm surge levels and torrential rainfall. Results are shown in Figures 3 and 4 respectively = 0 and = 0.5. P(H D), =0 storm surge level, h [cm] 1 P(H>h) 0.8 0.6 0.4 0.2 0 0 0.5 P(D>d) 1 Joint storm surge and torrential rainfall 250 200 150 100 50 0 0 200 400 1 day torrential rainfall, d [mm] Figure 3. Simulation of the Gumbel 2-copula, = 0, for storm surge and torrential rainfall with H: storm surge level [cm] and D: rainfall [mm]. 8 P(H D), =0.5 storm surge level, h [cm] 1 P(H>h) 0.8 0.6 0.4 0.2 0 0 0.5 P(D>d) Joint storm surge and torrential rainfall 250 200 150 100 1 50 0 0 100 200 300 1 day torrential rainfall, d [mm] Figure 4. Simulation of the Gumbel 2-copula, = 0.5, for storm surge and torrential rainfall with H: storm surge level [cm] and D: rainfall [mm]. Subsequently, the conditional probabilities of 1 and 3 days of torrential rainfall in the Tai Lake basin given a storm surge level of at least 1.18m are presented in Figure 5. The correlation between storm surge levels and torrential rainfall is adjusted to 0.3 which is representative according to studies of Hohai University (2000). From Figure 5 we can see that the conditional probabilities are shifted to the right in comparison with the margins as expected. Furthermore, the Gumbel copula gives stronger upper tail dependence, which is visible in the conditional probabilities. The factor between the joint probabilities and the conditional probabilities is the probability for a storm surge level of at least 1.18m (P=10%). Indeed, a lower surge level will cause the joint probability curve to lower since the probability of this surge level is higher. Moreover, the conditional probability curve will move towards the marginal distribution curve and it will become the marginal distribution curve when the given surge level becomes nil indeed. A higher correlation between storm surge and torrential rainfall will cause the conditional probability curve to shift more to the right from the marginal curve. Rainfall distribution with Gumbel copula, = 0.3, hs 118.46cm Rainfall distribution with Gumbel copula, = 0.3, hs 118.46cm 100 100 60 40 conditional marginal joint 60 40 20 20 0 80 probability [%] probability [%] 80 conditional marginal joint 50 100 150 200 250 300 350 1 day torrential rainfall in Tai Lake Basin, d [mm] Basin 0 50 100 150 200 250 300 350 3 days torrential rainfall in Tai Lake Basin, d [mm] Basin Figure 5. 1 and 3 days torrential rainfall distributions from Gumbel copula generated samples with = 0.3 and a given surge level of at least 118cm P=10%. 9 5. Flood probability during barrier closure The conditional probabilities of torrential rainfall given a barrier closure in the mouth of the Huangpu River are found via the Gumbel copula. These results are subsequently translated into actual torrential rainfall runoff into the river. In the final step of the analyses we determine the flood probability of the Huangpu River during barrier closure. During barrier closure, the warning water level will be exceeded first at Mishidu because of its upstream position in the river and its lower warning water level. The critical discharges at Mishidu are hence dominant in the flood probability analysis. The flood probability at Huangpu Park is eventually analyzed with the required torrential rainfall runoff with respect to the critical discharges at Mishidu. Recall that flooding of the Huangpu River is defined as the probability that the upstream discharge exceeds the storage capacity of the river or critical discharge. P( Z 0) P(Qupstream Qcritical ) (10) Since the only the upstream discharge is considered stochastic, flooding solely depends on the variables that build up this upstream discharge, namely the base discharge and the torrential rainfall runoff given barrier closure. When we now define Qr as the required torrential rainfall runoff, which is just the difference between the critical and base discharge, then the flood probability can be denoted as P(Z 0) P(Qtorrential Qr ) (11) The base discharge data used is however discrete for a given month and type of hydrological year. The base discharge depends on the prevailing type of hydrological year. In a wet hydrological year, the base discharges are significant higher, but their probability of occurrence is lower. As a consequence of the discrete data the flood probability is first computed for given the barrier closure and the month and hydrological year of interest. Next, the flood probability given the barrier closure for a given month regardless of the hydrological year is obtained by the sum of the products of the monthly flood probabilities and the normalized probabilities of the corresponding hydrological years. The expression for the flood probability then reads P( Z 0 | month) 3 P(type _ year ) P(Qtorrential Qr ) (12) type _ year The main goal is to determine the annual flood probability during barrier closure. For this purpose the probability of a barrier closure is required, i.e. the assumed barrier closure water level of 4.80m WD. This probability can be computed via random combination of tide and surge levels. Results, however, show a probability of exceedance 10 of only 16%. This seems to be underestimated in comparison with the historical exceedance frequency of 4.12 annually. Only for extreme events the difference between frequency of exceedance and probability of exceedance can be neglected as an extreme event is not likely to happen twice a year. Apparently, random combination of tide and storm surge at Wusongkou only gives representative results for the higher probabilities as these return periods are more reasonable compared with the results from the Shanghai Water Authority. Probably, the linear interaction between storm surge of a tropical cyclone and astronomical tide can not be neglected. As a consequence we continue the analysis with use of the historical frequency of exceedance. The frequency of exceedance is defined as the annual exceedance of a certain threshold. Hence, the monthly distribution of the exceedance frequency of the barrier closure water level can be found with the monthly probability of occurrence of tropical cyclones in the Shanghai region, see table below. Table 1. Normalized probability of occurrence of tropical cyclones in the Shanghai area in the regional typhoon season P [%] June 8 July 20 August 28 September 25 October 9 Naturally, not every tropical cyclone in the Northwest Pacific will cause barrier closure; this is however already taken into account in the frequency of exceedance of the barrier closure water level. When we combine the monthly distribution of tropical cyclones in the region with the barrier closure frequency we obtain the monthly distribution of the barrier closure frequency. Hence the monthly frequency of exceedance of the storage capacity of the Huangpu River during barrier closure reads: f month (Z 0) fclosure P(Z 0 | month) (13) Finally, we derive the annual flood frequency of the Huangpu River during barrier closure for the three proposed barrier location with reference to the locations Mishidu and Huangpu Park along the river. This flood frequency derived by summation of the monthly flood frequencies, which can be expressed as f (Z 0) 5 f month (Z 0) (14) month The results are shown in Figure 6 below. The effects of the discrete base discharges are still clearly visible in the frequency curves in Figure 6. The flood frequencies for a representative 24 hours barrier closure for each barrier location for a 1 day torrential rainfall are presented in Table 2. 11 10 10 10 10 Flood frequency Huangpu River, Huangpu Park frequency of exceedance [per year] frequency of exceedance [per year] Flood frequency Huangpu River, Mishidu 0 -1 -2 Wusongkou Zhanghua Bang Fishery Yard -3 0 12 24 36 closure duration [hrs] 48 60 10 10 10 10 0 -1 -2 Wusongkou Zhanghua Bang Fishery Yard -3 12 24 36 48 60 72 closure duration [hrs] 84 96 Figure 6. Flood frequency of the Huangpu River with reference to warning water levels at Huangpu Park and Mishidu, 4.55 m WD and 3.50 respectively, during barrier closure for three proposed barrier locations with 1 day of torrential rainfall. Table below shows that the return periods of the flood frequency for all barrier locations for both Mishidu and Huangpu Park are significant. A low return period indicates a high frequency of exceedance. Note that this does not mean that the threshold will be exceeded every year. Table 2. Return periods of the flood frequency of the Huangpu River during a 24 hours closure for the three barrier locations with 1 day of torrential rainfall. Wusongkou Mishidu Zhanghua Bang Fishery Yard f [years] 1.88 1.14 0.93 Huangpu Park f [years] 135 14.30 7.70 As expected, the most upstream barrier location at FisheryYard has the highest flood frequency. However, even with a barrier at Wusongkou in the mouth of the river, the flood frequency is higher than the aimed 1:1000 years for Shanghai City. To meet this return period, the barrier may not close for longer than 8 hours and 16 hours with regard to the warning water levels at Mishidu and Huangpu Park respectively. This closure duration seems to be short to withstand any typhoon storm in the region. To prevent flooding of the Huangpu River during barrier closure the upstream discharge volume has to be either reduced or released. The first measure can be implemented simply with the existing control gate at the Taipu River. During barrier closure, the Huangpu River can be relieved from the stored water volume by facilitating hatches in the barrier doors. So that, during low tide, the river can discharge the stored water volume into the Yangtze River estuary through the hatches. The barrier itself remains closed, ready to protect Shanghai City against the next storm. 12 6. Conclusions and recommendations This paper introduces the use of copulas to analyze the flood probability. In this study we linked the known distribution functions of typhoon induced storm surge levels in the mouth of the Huangpu River with torrential rainfall in the region to their joint distribution function. From the results obtained we conclude that flooding of the Huangpu River during barrier closure is a real threat with regard to the limited and sometimes conflicting data. The results are a strong indication that accurate data and precise knowledge on the study area is vital for accurate analyses on the exact flood probability, since flooding of the Huangpu River concerns the loss of property and even human lives. The methodology developed in this study, including the concept of copulas, is suitable for future analyses of the flood probability when accurate data becomes available. Copulas have proven to be useful in flood probability analyses when limited data are available in which only the individual distribution functions are known. Copulas allow us to study each individual contribution to multivariate events like typhoon induced floods separately from each other. Acknowledgments This paper results from the first author's MSc-graduation thesis at Delft University of Technology in the Netherlands. The presentation at the International Conference on Coastal Engineering 2003 has been made possible with sponsorship from Delft University of Technology and the thesis sponsor WL|Delft Hydraulics. Much gratitude is owed to prof. dr. ir. Vrijling and prof. dr. ir. Stive both from Delft University of Technology for their efforts in this. The author also acknowledges the support from the Shanghai Water Authority. References Chen, X. and Y. Zong, 1999. Typhoon hazards in the Shanghai area, Disasters, 1999, 23(1):66-88, Blackwell Publishers, Oxford. Hohai University, 1999. Storm tide, flood, urban torrential rainfall joint occurrence analysis, Huangpu River storm surge barrier study volume 1.3 (in Chinese), Shanghai Water Authority, Shanghai. Hohai University, 2000. Final Report: Huangpu River storm tide levels analysis, Huangpu River storm surge barrier study, Shanghai Water Authority (in Chinese), Shanghai. 13 Genest, C. and J. Mackay, 1986. Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données, Canadian Journal of Statistics. 14, 145-159. Nelson, Roger B. 1999. An introduction to copulas, Lecture notes in statistics, Springer-Verlag, New York. Sklar, A., 1959. Fonctions de répartition à n dimensions et leurs marges, Publ. Inst. Statist. Univ. Paris 8, 229-231. Tai Lake Basin Authority, 2000. Tai Lake basin torrential rainfall design probabilities, Tai Lake Basin Authority (in Chinese), Shanghai. Yuan Zhilun, 1999. Flood and drought disasters in Shanghai, Hohai University Press (in Chinese), Nanjing 14 KEYWORDS – ICCE 2004 COPULA APPROACH FOR FLOOD PROBABILITY ANALYSIS OF THE HUANGPU RIVER DURING BARRIER CLOSURE J.Y. Nai, P.H.A.J.M. van Gelder, P.J.M. Kerssens, Z.B. Wang, E. van Beek Paper No:276 Flood probability Storm surges Tropical cyclones Torrential rainfall Joint probability distribution Copula Correlation Dependence Limit state Floods Fault tree