Coastal Engineering 78 (2013) 112

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Coastal Engineering
journal homepage: www.elsevier.com/locate/coastaleng

Calculating nonlinear wave crest exceedance probabilities using a

Transformed Rayleigh method
Yingguang Wang a, b,, Yiqing Xia a
a
b

Department of Naval Architecture and Ocean Engineering, Shanghai Jiaotong University, Shanghai 200240, China
State Key Laboratory of Ocean Engineering, Shanghai Jiaotong University, Shanghai 200240, China

a r t i c l e

i n f o

Article history:
Received 22 May 2012
Received in revised form 4 March 2013
Accepted 6 March 2013
Available online 9 April 2013
Keywords:
Wave crest height exceedance probabilities
Nonlinear mixed sea states
Transformed Rayleigh method
Wave steepness
Finite water depth
Monte Carlo simulation

a b s t r a c t
This paper concerns the calculation of the wave crest height exceedance probabilities in fully nonlinear
mixed sea states. The exceedance probabilities have been calculated by incorporating a fully nonlinear
wave model into a Transformed Rayleigh method. This is an efcient approach to the calculation of wave
crest exceedance probabilities and, as all of the calculations are performed in the probability domain, avoids
the need for long time-domain simulations. The nonlinear mixed sea states studied include a swell dominated sea state, two wind sea dominated sea states, and two states of mixed wind sea and swell with comparable
energy. The wave steepness inuence and the nite water depth effects are also considered in the study. The
accuracy and efciency of the Transformed Rayleigh method are validated by comparing the results predicted
using the method with those predicted by using the Monte Carlo simulation method, the theoretical Rayleigh
method and some empirical formulas.
2013 Elsevier B.V. All rights reserved.

1. Introduction
The probability distributions of wave crest height are of vital importance to the design and safety evaluation of coastal structures, offshore structures and ships. Firstly, the wave crest height assessment,
including specifying sound safety limits for overtopping hazards, is
important for all kinds of coastal structures such as seawalls, dikes
and breakwaters. Secondly, in the case of offshore structures such as
a xed platform, a jack-up rig, a tension leg platform or a semisubmersible platform, their deck elevations are usually designed to maintain an adequate air gap so that the impact of the highest wave crests
on the underside of the deck structures can be prevented. Finally, for
a ship in the ocean, the occurrence of green water on deck, the wave
slamming on the bow are, and the extreme vessel roll motion are all
dependent on the extreme wave crests.
The wave eld is not Gaussian even in innitely deep water, but
approaches a Gaussian eld in the limit when the wave steepness
tends to zero. The wave crest distributions in an ideal Gaussian random sea are generally regarded to obey the Rayleigh probability law
(Chakrabarti, 1987; Longuet-Higgins, 1952; Ochi, 1998). In the ideal
Gaussian sea model the individual cosine wave trains superimpose

Corresponding author at: Department of Naval Architecture and Ocean Engineering,

Shanghai Jiaotong University, Shanghai 200240, China. Tel.: +86 21 34206514;
fax: +86 21 34206701.
E-mail address: wyg110@sjtu.edu.cn (Y. Wang).
0378-3839/$ see front matter 2013 Elsevier B.V. All rights reserved.
http://dx.doi.org/10.1016/j.coastaleng.2013.03.002

linearly (add) without interaction, and therefore, the model is also

called the linear sea model.
Waves in the real world are nonlinear. Real waves show a small
but easily noticed departure from a Gaussian surface. The crests are
higher and sharper than expected from a summation of sinusoidal
waves with random phase, and the troughs are shallower and atter
(Forristall, 2000). Consequently, the linear Gaussian sea model can
lead to underestimation of wave crests which increases in severity
as the wave energy increases. In this case the application of the
Rayleigh distribution to the wave crests becomes nonconservative,
and other more suitable methods should be applied to predict the distribution of wave crest heights for the nonlinear random model of the
sea elevation.
The crest distributions of nonlinear random waves have been a
research topic for more than three decades. In the literature, there
exist many theoretical and/or empirical models of crest height distributions of nonlinear random waves. Approximate crest distributions
based on the narrow-band model of sea waves (Tayfun, 1980, 1986)
include those described by Huang et al. (1983), Tung and Huang
(1985), Dawson et al. (1993), Kriebel and Dawson (1993), Tayfun
and Al-Humoud (2002), Tayfun (2004), and others. Forristall (2000)
used second-order nonlinear simulations of a set of unimodal
JONSWAP spectra to obtain parametric wave crest distributions.
Prevosto et al. (2000) and Prevosto and Forristall (2004) also developed a perturbated narrowband model for probability distributions
of nonlinear wave crests. Fedele and Arena (2005) have derived analytical expressions for the probabilities of exceeding crest height in a
non-Gaussian sea state, and the proposed distributions consider

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

second order nonlinearities. Their proposed analytical probabilities

are validated by performing Monte Carlo simulations of nonlinear
sea states with rectangular and unimodal JONSWAP spectra. Fedele
and Arena (2005) also validated their proposed model against the
data of the wave elevation measured at the Draupner eld in the
central North Sea.
It is well known that not all sea states have unimodal wave spectra
and narrow (or nite) spectral bandwidth. Frequently, sea states are
due to the coexistence of various wave systems. In particular, local
wind waves often develop in the presence of some background low
frequency swell coming from distant storms, and the resulting
mixed sea states will have bimodal wave spectra (Guedes Soares,
1984). Although validations of the existing probabilistic wave crest
models are done basically for sea states with unimodal spectra,
there also exist studies on wave crest statistics in bimodal sea states,
and a description of recent results in this eld is given as follows:
Toffoli et al. (2006) study the effect of the angle of spread between
two coexisting wave systems on the statistics of second-order
waves in unimodal and bimodal seas.
Arena and Guedes Soares (2009a) validate the model of Fedele
and Arena (2005) against second-order Monte Carlo simulations for
four bimodal wave spectra in deep water recorded in the North Atlantic
Ocean and in the North Sea. Arena and Guedes Soares (2009b) investigated the nonlinear structure of high wave groups in bimodal sea states
and the results in their paper are validated by means of Monte Carlo
simulations of nonlinear sea waves. Petrova and Guedes Soares
(2009) estimated the probability distributions of wave heights in bimodal seas and compared with the Rayleigh model and with other
models that take into account either the effect of spectral bandwidth
or the effect of wave nonlinearities. Petrova et al. (2011) investigate
the effect of angle of spread between two crossing wave systems (characterized by bimodal spectra) on the nonlinearity of waves measured in
a deep-water basin. Petrova and Guedes Soares (2011) presented
results for the distribution of wave heights from laboratory generated
bimodal sea states. In their study, data collected at the DHI offshore
basin were analyzed and compared with results based on wave records
from the MARINTEK offshore basin. Finally for shallow water Cherneva
et al. (2005) investigated the probability distributions of peaks, troughs
and heights of wind waves measured in the coastal zone of the
Bulgarian part of the Black Sea. In their study various theories for
non-Gaussian random process are applied.
To move a step further, in this paper, the probabilistic structure
of the wave crest height distributions in nonlinear mixed sea states
will be systematically investigated by utilizing a Transformed Rayleigh method. The nonlinear mixed sea states studied will include
a swell dominated sea state, two wind sea dominated sea states,
and two states of mixed wind sea and swell with comparable energy. Finite water depth effects (e.g. in the coastal regions) will also
be considered in the study. The accuracy and efciency of the
Transformed Rayleigh method for calculating the crest height exceedance probabilities will be validated by comparing the results
predicted using the method with those predicted by using the Monte
Carlo simulation method, the theoretical Rayleigh method and some
empirical formulas.
2. The nonlinear mixed sea states
2.1. The bimodal wave spectra for mixed sea states
In order to derive the wave crest distributions in the nonlinear
mixed sea states, the bimodal structure of the wave spectra should
be studied rst.
To describe the mixed sea states, Ochi (1998) developed a sixparameter spectrum model by a superposition of two modied
PiersonMoskovitz spectra. One of the modied PiersonMoskovitz
spectra is for the higher frequency components of the wave energy

and the other covers the lower frequency components. Each modied PiersonMoskovitz spectrum is expressed in terms of three parameters and the total spectrum is written as a linear combination
of the two:

2
1X
S
4 j1

j
4j 1 4
4 mj

 
j

H2sj

4j 1


 
 
4j 1 mj 4
exp
4

where Hs1, m1 and 1 are the signicant wave height, modal frequency and spectral shape parameters for the lower frequency components of the sea while Hs2, m2 and 2 correspond to the higher
frequency components of the sea.
Rodriguez et al. (2004) (also in Rodriguez and Guedes Soares, 1999,
2001; Rodriguez et al., 2002) utilized the above bimodal OchiHubble
spectrum with nine different parameterizations to represent three
types of sea state categories (please note that in these papers the
sea states were all numerically simulated; however, full scale evidence of the situation can be found in Guedes Soares and Carvalho,
2003, 2012):
I Swell dominated sea states: The most important part of the energy
is concentrated on the low frequency spectral part but with a signicant contribution from high frequency components.
II Wind sea dominated sea states: The main part of the wave eld
energy is associated with the high frequency spectral peak but
signicantly inuenced by the swell.
III Mixed wind sea and swell with comparable energy: The wave eld
energy is comparably distributed over the high and low frequency
ranges.
Each category is represented by three different inter-modal
distances between the wind sea and the swell spectral components.
These three subgroups are denoted in Table 1 by a, b, and c respectively. The exact values of the six parameters are given in Table 1.
In Fig. 1, a bimodal OchiHubble spectrum is plotted with a Matlab
toolbox (Brodtkorb et al., 2000) for a swell dominated sea state with innite water depth (sea state typeI and sea state group b in Table 1).
In the following sections, this spectrum will be called Spectrum 1.
Similar plots have been made for Spectrum 2 and Spectrum 3 in
Figs. 2 and 3 respectively, and these two spectra are for two wind
sea dominated sea states with innite water depth. Similar plots
have also been made for Spectrum 4 and Spectrum 6 in Figs. 4 and 5
respectively, and these two spectra are respectively for two mixed
swell and wind sea states with comparable energy in an innitely
deep sea.
In order to study the effects of nite water depth, Spectrum 5
(a bimodal OchiHubble model for the shallow water case) has also
been plotted. This spectrum follows the original Spectrum 4 but includes a correction parameter for a nite water depth of 30 m, i.e. it
is obtained by multiplying the original Spectrum 4 by a function

Table 1
Target spectrum parameters for mixed sea states (cf. Rodriguez et al., 2004).
Sea state type

Sea state group

Hs1

Hs2

m1

m2

S1

a
b
c
a
b
c
a
b
c

5.5
6.5
5.5
2.0
2.0
2.0
4.1
4.1
4.1

3.5
2.0
3.5
6.5
6.5
6.5
5.0
5.0
5.0

0.440
0.440
0.283
0.440
0.440
0.283
0.440
0.440
0.283

0.691
0.942
0.974
0.691
0.942
0.974
0.691
0.942
0.974

3.0
3.5
3.0
3.0
4.0
2.0
2.1
2.1
2.1

6.5
4.0
6.0
6.0
3.5
7.0
2.5
2.5
2.5

0.0314
0.0293
0.0274
0.0533
0.1016
0.0988
0.0446
0.0700
0.0617

II

III

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

S(w) [m2 s / rad]

S(w) [m2 s / rad]

15
10
5

4
2
0

0.4

0.6

0.8

fp1 = 0.94 [rad/s]

fp2 = 0.45 [rad/s]

1.2

0.4

0.6

Frequency [rad/s]
Fig. 1. Spectrum 1 for a swell dominated sea state (type: I; group: b) as a function of
radian frequency.

(d) that ranges between 0 and 1 according to the similarity law of

Buows et al. (1985):
"
S5 S4 d  S4

k; d3
k; d

"

k;
k; 3

S4

kd 3
kd

k 3
k

#
: 2

the above formula d is a dimensionless frequency dened by

pIn

d=g and kd is the wave number associated with the linear dispersion relation:
2

gkd tanhkd d

0.8

1.2

1.4

1.6

Frequency [rad/s]

where g and d are the acceleration of gravity and water depth, respectively. In formula (2), S5() represents the nite water depth dimensional spectrum, and S4() represents the innite water depth
dimensional spectrum. Fig. 6 shows the correction parameter (d)
calculated according to Eq. (2) with d = 30 m and in Fig. 7 the
solid blue line represents the obtained Spectrum 5 in our study.

Fig. 3. Spectrum 3 for a wind sea dominated sea state (type: II; group: b) as a function
of radian frequency.

time, and for each elementary sinusoidal wave An denotes its complex
valued amplitude (An is complex Gaussian), n the angular frequency,
and kn the wave number. Because l should be a real valued eld, we
need to assume that j = j, kj = kj. If l is assumed to be
stationary and Gaussian, then the complex amplitudes An are also
Gaussian distributed, that is, An = n(Un iVn), where Un and Vn
are independent zero mean and variance one Gaussian random vari2
ables, and n is the energy of waves with angular frequencies n
and n.
The mean square amplitudes are related to the mixed sea state
wave spectrum S() in Eq. (1) by:
h
i
2
E jAn j 2Sjn j

where = c/N and c is the upper cut-off frequency beyond

which the power spectral density function S() may be assumed to
be zero for either mathematical or physical reasons. The value of
upper cut-off frequency c can be established using the following formula (Shinozuka and Deodatis, 1991):

2.2. The second order non-linear wave model for mixed sea states

0 c Sd 10 Sd

The second order nonlinear wave model for mixed sea states can
be obtained by adding to the linear Gaussian sea model quadratic
terms allowing for interactions between the elementary cosine
waves. Here, the Gaussian sea model is obtained as a rst order
approximation of the solutions to differential equations based on
linear hydrodynamic theory of gravity waves. In this paper, we only
consider a long-crested and unidirectional sea where all the waves
travel along the x-axis with positive velocity. The rst order wave surface elevation l can then be approximated by the following Fourier
series based on the model rst proposed by Rice (1944, 1945)

with chosen to be a very small positive number (0 b 1,

e.g. = 0.00001, = 0.0001). At this point it should be noted that
when generating sample functions of the simulated stochastic process according to Eq. (4), the time step t separating the generated
values of l(x,t) in the time domain has to obey the Nyquist frequency
condition (Shinozuka and Deodatis, 1991):

N
X
An in tkn x
e
2
nN

l x; t Re

as N tends to innity. In Eq. (4), Re denotes the real part of the complex number, x stands for the distance along the x-axis, t denotes

t2=2c :

n gkn tanhkn d

S(w) [m2 s / rad]

S(w) [m2 s / rad]

The above condition is necessary in order to avoid aliasing

according to the sampling theorem (Shinozuka and Deodatis, 1991).
In Eq. (4), the individual frequencies, n and wave numbers, kn are
related through the linear dispersion relation:

15

10

0.4

0.6

0.8

Frequency [rad/s]
Fig. 2. Spectrum 2 for a wind sea dominated sea state (type: II; group: a) as a function
of radian frequency.

fp1 = 0.68 [rad/s]

fp2 = 0.45 [rad/s]

0.5

1.5

Frequency [rad/s]
Fig. 4. Spectrum 4 for a sea state of mixed wind sea and swell with comparable energy
(type: III; group: a) as a function of radian frequency.

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

S(w) [m2 s / rad]

S(w) [m2 s / rad]

5
4
fp1 = 0.45 [rad/s]
fp2 = 0.94 [rad/s]

3
2
1
0

6
4
2
0

0.5

1.5

2.5

0.5

1.5

Frequency [rad/s]

Frequency [rad/s]
Fig. 5. Spectrum 6 for a sea state of mixed wind sea and swell with comparable energy
(type: III; group: b) as a function of radian frequency.

where g and d are the acceleration of gravity and water depth, respectively. For deep water, Eq. (8) simplies to:
2

n gkn :

Real wave data does not follow the linear Gaussian model. The linear Gaussian sea model can be corrected by including quadratic terms.
Following Langley (1987) the quadratic correction q is given by
N
N
X
X
An Am
i tk x i tk x
En ; m e n n e m m
4
nN mN

q x; t Re

10

Fig. 7. Finite depth (d = 30 m) of Spectrum 5 (solid blue line) corresponding to innite water depth wave of Spectrum 4.

waves will become shallower and atter. Obviously, the Rayleigh distribution which is good for predicting the crests of linear Gaussian
waves will underestimate the crests of nonlinear random waves in
the mixed sea state. In the existing literature some empirical and heuristic distribution functions for wave crest heights have been proposed, and in Section 3 of this paper we will briey review several
of these empirical distributions. In Section 4 of this article the theoretical background of a Transformed Rayleigh method proposed for calculating the crest distributions of nonlinear random waves in a mixed
sea state will be elucidated. Finally in Section 5 some calculation examples utilizing the Transformed Rayleigh method will be given.

where the quadratic transfer function E(n,m) is given by:



 g i kj 2 j ki 2
ki kj
1  2
2


g

i j i j
i j 2g
2


i j
i
j
E i ; j

 
ki kj
11
1g 
2 tanh ki kj d
i j

ki kj
1  2
2

i j i j :
g
2i j 2g
For deep water waves the quadratic transfer function simplies to:



 

1  2
1 2
2
2
i j ; E i ; j i j
E i ; j
2g
2g

12

where i and j are positive and satisfy the same relation as in the
linear model. Finally, by combining Eqs. (4) and (10) the wave surface
elevations for the nonlinear mixed sea states can be written as:
x; t l x; t q x; t :

13

For nonlinear random waves in a mixed sea state, the wave crests
will become higher and steeper, and the troughs of the nonlinear

3. Some empirical wave crest distributions

For a linear sea in the narrow band limit, the wave crest height exceedance probabilities can be calculated according to the following
Rayleigh law (Chakrabarti, 1987; Longuet-Higgins, 1952):

 2 
h
P Ac > h exp 8
Hs

where h is the crest height, and Hs is the signicant wave height.

Tayfun (1980) and Huang et al. (1986) produced crest height
distributions from the Stokes model. There is some disagreement between these authors on the exact form of the resulting distribution.
Eq. (15) below is taken from the review by Forristall (2000) with
the original wave steepness R = kHs replaced by an effective wave
steepness R*:
2
"s
#2 3


8
2R h
P Ac > h exp4 2
1  1 5
Hs
R

15

where the wave effective steepness R* is given by:


R kHs f 2 kd kHs

14


coshkd2 cosh2kd
1

sinh2kd
2 sinh3 kd

16

(d)

0.8
where k is the wave number and d is the water depth.
In a seminal paper Forristall (2000) developed a two parameter
Weibull distribution for the wave crest heights based on second
order simulations:

0.6
0.4
0.2
0
0

0.5

1.5

Fig. 6. Correction factor (d) as a function of the dimensionless frequency d.

 
 
h
:
pAc > h exp
H s

17

The parameters and are given in terms of S1, which is a

measure of steepness and the Ursel number Ur, which is a measure

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

of the impact of water depth on the non-linearity of waves. These

quantities read:
S1

2 H s
g T 12

18

H
Ur 2s 3
k1 d

19

where T1 is the mean wave period calculated from the ratio of the
rst two moments of the wave spectrum, k1 is the wave number for
a frequency of 1/T1, and Hs is the signicant wave height. In the
case of a second order long-crested sea (the 2D case):
0:3536 0:2892S1 0:1060U r

20

22:1597S1 0:0968U r :

21

In the case of a second order short-crested sea (the 3D case), the

parameters and are given as:
0:3536 0:2568S1 0:0800U r

22
2

21:7912S1 0:5302U r 0:284U r :

23

At present the above Forristall distribution is considered to be the

most convenient surface model being available for routine work.

t ,
where 2 and 0 2 are the variances of t and the derivative
respectively. We notice that 2 1.
We turn now to the level up-crossing rate (u) of the non-Gaussian
process (t). For all G-functions satisfying the properties in Eq. (24), the
following relationship exists:
0 
2 1
1
 1

G
u
1
B
C
u G u
exp@
A:
2
2


26

The following equation then holds (Rychlik and Leadbetter, 1997):

0


2 1
1
G

u
B
C
exp@
A:
2
0

27

If the level up-crossing rate (u) of the non-Gaussian process (t)

is known, then the above equation can be used to obtain the inverse
transformation G 1(u) (Rychlik and Leadbetter, 1997):
8 s


>
u
>
>
if
> 2 ln
<
0
1
s
G u


>
>
u
>
>
if
: 2 ln
0

u0
:

28

ub0

Next, we turn to the relation between the level up-crossing rate

(u) and the probability distribution of the crest height F M u. As
shown in Rychlik and Leadbetter (1997), we have that:

4. Transformed Rayleigh method for wave crest distributions

1F M u min

From Section 2.2 we know that (0,t) (corresponding to x = 0 in

Eq. (13)) is the height of the sea level at a xed point as a function
of time t. In order to simplify the notation, we shall write (t) for
(0,t). For the denition of a wave, one often uses the so-called
mean down crossing wave, where the wave is considered as a part
of a function between the consecutive down crossings of the mean
sea level.
Assume (t) crosses a mean sea level u* (here also the level
most frequently crossed by ) nite many times. Denote by ti,
0 b t1 b t2 b , the times of down crossings of u*. The crest M i  , say,
of the ith wave is the global maximum of (t) during the interval
ti b t b ti + 1.
For a specic nonlinear mixed sea state, (t) will be a non-Gaussian
stochastic process. Here we will use a simple (but widely effective)
model for a non-Gaussian sea where (t) is expressed as a function
t with variance one
of a stationary zero mean Gaussian process


( V 0 1), i.e. (Rychlik and Leadbetter, 1997; Rychlik et al.,
1997)

dG
> 0; G0 0:
t G t ;
d

24

Note that, once the distributions of crests in t are computed,

then the corresponding wave crest distributions in (t) are obtained
by simple transformations involving only the inverse of G. Therefore,
in order to use the model it is necessary to estimate the transformation G. It is well known that, for a zero mean Gaussian process t ,
the level up-crossing rate u of the level u by t is given by the
celebrated Rice's formula:
!  
!

1
u2 2
1
u2

exp
exp
2
2
2
2


u

0zu 0

4.1. Theoretical background of the Transformed Rayleigh method

25

29

Combining Eqs. (27) and (29) we obtain the following relationship:

0


2 1
1
G

B
C
F M u1 exp@
A
2

30

for all u 0, and G1(u) is dened by Eq. (28). Eq. (30) can also be
written in a form of:
0


2 1
G1 u C
B
F M u1 exp@
A
2m0

31

where m0 is the zero-order spectral moment of the stationary zero

mean and variance one Gaussian process t . m0 2 1.
We notice that the exponent in the right part of Eq. (31) is the
Rayleigh probability that the linear crest exceeds the predened
threshold u. That is why this model is called a Transformed
Rayleigh method.
We can see that in order to calculate the wave crest distributions
(i.e. F M u) of the non-Gaussian process (t), the critical task is to calculate the level up-crossing rate (u) of (t). In the next subsection,
the principles of a numerical procedure for calculating this (u) will
be elucidated.
4.2. Saddle Point Approximation of the level up-crossing rates (u)
We rst rewrite the dening equation for the process (0,t)
(i.e. (t)). Assume that the angular frequencies j and average
energies j, j = 1,2,3,N, are chosen. Denote by the column vector

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

containing j while the column vector of j. Dene (Machado and

Rychlik, 2003):
h

i1 t

Zt U 1 iV 1 e

in t

U n iV n e

iT

Xt iYt

32

We utilize the following famous result from Cramr (1954)

pn




2
1 T
1 T 1
T
exp it Z Z AZ dZ 1 dZ n p exp t A t :
2
2
detA

45

where X(t) and Y(t) are real, and

Q qmn ; qmn Em ; n Em ; n m n ;

33

By combining Eqs. (43) and (45) we can now obtain the explicit
formula for the characteristic function of the vector ((0), _ 0):

R r mn ; rmn Em ; n Em ; n m n ;

34

W wmn ; wmm m and wmn 0 if mn

35



1
1 T
1
M1 ; 2 p exp t IA t :
2
detIA

S QWWR;

36

where m, n = 1, 2, 3 N, and


 g m kn 2 n km 2
km kn
1  2
2
g

m n m n
2 m n m n
m n 2g
E m ; n
km kn
37
tanhkm kn d
1g
m n 2

k k
1  2
2
m n m n
g m n
2m n 2g


 g m kn 2 n kn 2
km kn
1  2
2
m n m n
g

2 m n m n
m n 2g
Em ; n
k kn
38
1g m
tanh

kn d
m
m n 2

k k
1  2
2
m n m n :
g m n
2m n 2g

The joint probability density function of ((0), _ 0) can then be

computed by means of the inverse Fourier transform:
f u; y

1
1
T
T
T
t Xt Xt QXt Yt RYt
2
2

39

1
1
T
T
T T
_ t WYt Xt SYt Yt S Xt :
2
2

40

Please note that the relations in Eqs. (39) and (40) are only valid
for second order unidirectional random waves. We turn now to the
derivation of the formula for the characteristic function of ((0),
_ 0), denoted by:
M1 ; 2 E expfi1 0 2 _ 0g:

41

1

expfi1 u 2 ygM1 ; 2 d1 d2 :
22

47

Assume that (t) is non-Gaussian. For a xed level u, let (u) be

the expected number of times, in the interval [0, 1], the process (t)
crosses the u level in the upward direction. We then have the following extension of Rice's formula (Machado and Rychlik, 2003):
a:a:u

u 0 zf 0_ 0u; zdz

48

where a:a:u
means that the equality is valid for almost all u. We see
that the computation of (u) requires the estimation of the joint density of (0) and _ 0. Therefore, the level up-crossing rate (u) of (t)
can be calculated by combining Eqs. (47) and (48):
u

Then (Machado and Rychlik, 2003):

46

1

0 y expfi1 u 2 ygM1 ; 2 d1 d2 dy: 49
2 2

Because typically the matrix A is very large (it may have dimensions (500, 500) and more), and because each evaluation of the characteristic function requires the evaluation of the inverse (I A) 1,
the numerical integration in the above equation becomes extremely
slow. In order to improve the computational efciency, we will use
a Saddle Point method to approximate the joint density of ((0),
_ 0) in Eq. (47). The cumulant generating function, K(s1,s2) =
ln M( is1, is2) of ((0), _ 0) by Eq. (46) becomes:
K s1 ; s2

1
1 T
1
ln detIA t IA t
2
2

50

We notice that the variables X(0) and Y(0) are independent

standard Gaussian and their joint probability density function f(Z)
is given by:

where the matrix A = A(s1,s2) and the vector t = t(s1,s2) are calculated as follows:



1
1 T
f Z pn exp Z IZ
2
2

As1 ; s2
42

where I is a (2N, 2N)-dimensional identity matrix. Therefore, the

characteristic function of ((0), _ 0) is given by:
2 _ 0g
M 1 ; 2 E expfi1 0

1
1 T

T
pn exp it Z Z IAZ dZ 1 dZ n
2
2

43

where the matrix A = A(i1,i2) and the vector t = t(i1,i2) are

dened as follows:

Ai1 ; i2

i1 Q
i2 ST


i2 S
;
i1 R


ti1 ; i2


i1
:
i2 W

44

s1 Q
s2 ST




s2 S
s1
:
; ts1 ; s2
s2 W
s1 R

51

The Saddle Point Approximation f^u; y of the density f 0;_ 0u; y

is dened by (Machado and Rychlik, 2003):
1 =
1

2
expfK ^s 1 ; ^s 2 ^s 1 u^s 2 yg:
f^u; y
K ^s 1 ; ^s 2
2

52

In the above equation, the so-called Saddle Point, ^s 1 ; ^s 2 is the

unique solution of the following system of equations (Machado and
Rychlik, 2003):
8
K s1 ; s2
>
>
u
< K 1 s1 ; s2
s1
:
K s1 ; s2
>
>
: K 2 s1 ; s2
y
s2

53

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

Furthermore K is the Hessian matrix of the cumulant generating function K. By numerically implementing the procedures from Eqs. (49) to
(53), the level up-crossing rate (u) of (t) can then be calculated.
When applying the Transformed Rayleigh method and utilizing
the Saddle Point Approximation of the level up-crossing rates, some
approximations of the cumulant generating function of ((0), _ 0)
can further be made in order to increase the computational efciency
(for theory, see Appendix A where eigendecompositions have been
applied).

dominated sea state with Spectrum 1. In Fig. 8a, the blue solid line
represents the results of the wave crest height exceedance probabilities calculated using the theoretical Rayleigh probability distribution.
The continuous green line represents the Monte Carlo simulation
results of the wave crest height exceedance probabilities of the
nonlinear mixed sea state. In this nonlinear simulation, 2,000,000
wave elevation points (200 repetitions of a simulation of 10,000
wave elevation points) were generated in the simulated time series
in order to reduce the variance of the estimate. A wave elevation
point has two coordinates (The rst coordinate is time. The second
coordinate is the value of the wave elevation above the mean water
level.). The randomized second order non-linear waves were simulated from Spectrum 1 by summation of sinus functions with random
phase angles uniformly distributed in the range of [0, 2] while the
sampling interval is dened by the Nyquist frequency (i.e. by using
Eq. (7) in Section 2.2). The wave crest height time series were then
extracted from these 2,000,000 wave elevation points. Spline interpolation was rst done before extracting wave crest height time series.

5. Calculation examples and discussions

In this section, we demonstrate the accuracy and efciency of the
Transformed Rayleigh method by some example calculations. The
nonlinear mixed sea states with Spectrum 1, Spectrum 2, Spectrum
3, Spectrum 4, Spectrum 5 and Spectrum 6 specied in Section 2.1
are chosen for our calculations. Fig. 8a shows our calculation
results for the wave crest height exceedance probabilities for a swell

10

10

1-F(x)

10

10

10

10

The probability of X exceeding x

-1

-2

-3

Monte Carlo simulation

Transformed Rayleigh method
Theoretical Rayleigh method

-4

-5

x (m)

Surface elevation from mean water level (MWL).

b
4

Distance from MWL.(m)

3
2
1
0
-1
-2
linear simulation
nonlinear simulation
mean water level

-3
-4
60

70

80

90

100

110

120

130

140

150

Time (sec)
Fig. 8. a. Wave crest height exceedance probabilities for a sea state with Spectrum 1. b. Nonlinear simulated time series of wave surface elevations of Spectrum 1 for a mixed sea
state from t = 50 s to t = 150 s together with the linear simulation results.

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

After extracting these time series, exact kernel density estimates (by
using the Epanechnikov kernel density function) were performed in
order to obtain probability density function of the wave crest heights.
Then cumulative trapezoidal numerical integration was carried out
on the above probability density function for getting the probability
distribution (F) of the wave crest height. Finally, the wave crest
height exceedance probabilities were calculated based on the probability distribution by using the formula P = 1 F. The above Monte
Carlo simulation results are utilized as the standards against which
the accuracy of the results from the theoretical Rayleigh method
and the Transformed Rayleigh method is checked. We notice from
the upper, left tails in Fig. 8a that in a small region (about [0, 3 m])
of the wave crest heights the theoretical Rayleigh method still gives
predictions that t the simulation results well. However, as soon as
the wave crest is higher than about 3 m, the theoretical Rayleigh
method will predict overly nonconservative exceedance probabilities
of the wave crest heights in the nonlinear mixed sea states. In Fig. 8a,
the red dashed line represents the results of the wave crest height exceedance probabilities obtained from the Transformed Rayleigh
method. When applying the Transformed Rayleigh method and utilizing the Saddle Point Approximation of the level up-crossing rates,
some approximations of the cumulant generating function of ((0),
_ 0) were made in order to speed up the computations (for theory,
see Appendix A). We see from the gure that the Transformed
Rayleigh method gives more close predictions of the wave crest
height exceedance probabilities to the simulation results than the
original theoretical Rayleigh method does. The reason for the good
ts between the simulation results and the results from the
Transformed Rayleigh model is that the level up-crossing rates
obtained from the Saddle Point Approximation are quite accurate.
Grime and Langley (2003) also demonstrated that the Saddle Point
Approximation can predict very accurate crossing rates for determining extreme motions of moored offshore structures (see Fig. 1 in
Grime and Langley (2003)). The proposed Transformed Rayleigh
model whose accuracy is mainly affected by the Saddle Point Approximation can thus predict quite accurate results.
Fig. 8b shows our nonlinear simulated time series of wave surface
elevations of Spectrum 1 in a time range from t = 50 s to t = 150 s.
In order to exemplify its nonlinear characteristics, in Fig. 8b we have
also added a red wave linearly simulated from Spectrum 1 for comparison purpose. We notice that the crests of the nonlinear random
waves in the mixed sea state are higher and steeper, and the troughs
of the nonlinear waves are shallower and atter.
Fig. 9 shows our calculation results for the wave crest height exceedance probabilities for a wind sea dominated sea state with Spectrum 2.
In the gure, the Monte Carlo simulation results of the wave crest height
exceedance probabilities of the nonlinear mixed sea state are again
represented by the continuous green line. 2,000,000 wave elevation
points were generated in the simulated time series in order to reduce
the variance of the estimate, and the time series simulation and the
post statistical processing took about 42 s on a Dell OptiPlex 360 desktop computer. In the same gure, the red dashed line again represents
the calculation results of the wave crest height exceedance probabilities
of the mixed sea state from utilizing the Transformed Rayleigh method,
and in this example the calculation using the Transformed Rayleigh
method took only about 8 s. We can clearly see that the results from
the Transformed Rayleigh method are much better than those predicted
by the theoretical Rayleigh method, which are represented by a solid
blue line in the gure. Besides the high accuracy and efciency of the
Transformed Rayleigh method, we can also notice from the gure that
the method gave slightly conservative predictions in the region of
about [3.5 m, 7 m], and the design based on these predictions will result
in more safe marine structures. We have carried out similar calculations
for a wind sea dominated sea state with Spectrum 3, and our calculation
results are summarized in Fig. 10. We can see that the tendencies of the
three lines in Fig. 10 are similar to those of the three lines in Fig. 9.

If we look more closely at Figs. 8a, 9 and 10 and compare them, we

can nd that in Fig. 8a the differences between the results from the theoretical Rayleigh method and the Transformed Rayleigh method are the
smallest, while in Fig. 10 the corresponding differences are the biggest.
Spectrum 1 represents a swell dominated sea state whose steepness
parameter value is 0.0293 calculated using Eq. (18). The steepness parameters for the two wind sea dominated sea states Spectrum 2 and
Spectrum 3 are 0.0533 and 0.1016, respectively (these values are also
listed in the last column of Table 1). Steepness is a parameter that characterizes the degree of nonlinearity of the waves. The larger the value of
a steepness parameter is, the more nonlinear the corresponding waves
are. Therefore, we can see that it is more advantageous to apply the
Transformed Rayleigh method to predict the wave crest height exceedance probabilities of the more nonlinear mixed sea states. Finally we
should point out that the results in Figs. 8a, 9 and 10 are suitable to be
compared because Spectrum 1, Spectrum 2 and Spectrum 3 all have
an equivalent signicant wave height value of 6.8007 m which is
equal to four times the standard deviation of each spectrum.
The high efciency of the Transformed Rayleigh method can be
more clearly demonstrated by applying it to the prediction of the
crest height exceedance probabilities of waves in nite water depth.
Fig. 11 shows the calculation results for the wave crest height exceedance probabilities for Spectrum 5 with a water depth of 30 m. In this
case, the time series simulation with 2,000,000 wave elevation points
and the post statistical processing took about 5.5 min on a Dell
OptiPlex 360 desktop computer (the simulation results are represented by the continuous green line in Fig. 11). By comparison, it took less
than 13 s to obtain the results of the wave crest height exceedance
probabilities represented by the red dashed line in Fig. 11 by applying
the Transformed Rayleigh method. In Fig. 11, the solid pink line represents the results predicted by the theoretical Rayleigh method,
and the small black dots represent the wave crest height exceedance probabilities calculated using Forristall's 3D formulas (i.e. using
Eqs. ((17)(19)) and Eqs. ((22)(23))). In Fig. 11, the solid blue line
represents the wave crest height exceedance probabilities calculated
using Forristall's 2D formulas (i.e. using Eqs. ((17)(21))). We can
see that Forristall's 3D formulas predicted slightly higher wave crests
than Forristall's 2D formulas did. However, the two Forristall models
and the Transformed Rayleigh method all gave better predictions of
the wave crest height exceedance probabilities than the theoretical
Rayleigh method did. In Fig. 11, the small blue + represents a
wave crest height exceedance probability predicted by using the
Tayfun model (i.e. by using Eqs. ((15)(16))). We can notice that the
Tayfun model gave poorer predictions in the wave crest height region
of about [3 m, 5.5 m] than the Transformed Rayleigh method did.
As another example, the Transformed Rayleigh method was utilized to calculate the wave crest height exceedance probabilities for
a mixed swell and wind sea state with comparable energy (Spectrum
4 with an innite water depth), and the calculation results are shown
in Fig. 12 by the red dashed line. We spent only about 12 s to obtain
this red dashed line on a Dell OptiPlex 360 desktop computer. In the
same gure, the continuous green line again represents the Monte
Carlo simulation results of the wave crest height exceedance probabilities of the mixed sea state, and the simulation with 2,000,000
wave elevation points spent about 43 s this time. We can clearly see
from the gure that the results from the Transformed Rayleigh method are fairly good in this case, while the results obtained from using
the theoretical Rayleigh method (represented by the blue solid line)
are overly unconservative.
Finally, the Transformed Rayleigh method was applied to calculate
the wave crest height exceedance probabilities for an innite deep
nonlinear mixed sea state with Spectrum 6, and the calculation results are shown in Fig. 13 by the red dashed line. We spent only
about 12 s to obtain this red dashed line on a Dell OptiPlex 360 desktop computer. In the same gure, the continuous green line again
represents the Monte Carlo simulation results of the wave crest

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

10

10

1-F(x)

10

10

10

10

The probability of X exceeding x

-1

-2

Monte Carlo simulation

Transformed Rayleigh method
Theoretical Rayleigh method

-3

-4

-5

x (m)

Fig. 9. Wave crest height exceedance probabilities for a wind sea dominated sea state with Spectrum 2.

height exceedance probabilities of the mixed sea state, and the simulation with 2,000,000 wave elevation points spent about 46 s this
time. In Fig. 13, the small blue dots represent the wave crest height
exceedance probabilities calculated using Forristall's 3D formulas,
and the small blue + represents a wave crest height exceedance
probability calculated using Forristall's 2D formulas. We can see that
in the innite deep water Forristall's 3D formulas predicted lower
wave crests than Forristall's 2D formulas did, and the results calculated
by using Forristall's 3D model t more closely with the simulation results. However, the two Forristall models and the Transformed Rayleigh
method all gave much better predictions of the wave crest height exceedance probabilities than the theoretical Rayleigh method did.
6. Concluding remarks
The detailed mathematical procedures of a Transformed Rayleigh
method for calculating wave crest height exceedance probabilities

10

10

1-F(x)

10

10

10

10

in nonlinear mixed sea states are outlined in this article, and the
method has been applied in predicting the exceedance probabilities
of wave crest heights in six nonlinear mixed sea states. For the ve
nonlinear mixed sea states with innite water depth, the predicted
wave crest height exceedance probabilities are compared with those
calculated by using the Monte Carlo simulation method, and the accuracy and efciency of the Transformed Rayleigh method are convincingly validated. The high efciency of the Transformed Rayleigh
method is further demonstrated by applying it to calculate the wave
crest height exceedance probabilities of a nonlinear mixed sea state
with a nite water depth of 30 m. In all cases studied, the Transformed
Rayleigh method gave slightly conservative predictions of the wave
crest height exceedance probabilities, and the designs based on these
predictions will result in more safe marine structures. Finally, it is noticed that for all the nonlinear mixed sea states the theoretical Rayleigh
method gave overly unconservative predictions of the wave crest
height exceedance probabilities.

The probability of X exceeding x

-1

-2

Monte Carlo simulation

Tansformed Rayleigh method
Theoretical Rayleigh method

-3

-4

-5

x (m)
Fig. 10. Wave crest height exceedance probabilities for a wind sea dominated sea state with Spectrum 3.

10

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

10

10

1-F(x)

10

10

10

10

The probability of X exceeding x

-1

-2

Monte Carlo simulation

Transformed Rayleigh method
Forristall's 2D formula
Forristall's 3D formula
Theoretical Rayleigh method
Tayfun model

-3

-4

-5

0.5

1.5

2.5

3.5

4.5

5.5

x (m)
Fig. 11. Wave crest exceedance probabilities for Spectrum 5 with water depth of 30 m.

Acknowledgment
This research work is supported by the funding of an independent
research project from the Chinese State Key Laboratory of Ocean
Engineering (grant no. GKZD010038). We thank the two anonymous
reviewers for their useful comments that signicantly improved the
quality of this paper.
Appendix A

,N, and is a diagonal matrix with i as its elements. Because Q

and R are symmetric their eigenvalues are real. Therefore, we have
the following eigendecompositions:
T

Q ; R :

A  2

The sea surface and its derivative in Eqs. ((39)(40)) can now be
written as:
1
1
T
T
T
t Xt Xt Xt Yt Yt
2
2

We consider the following eigenvalue problems:

A  3

A  1

1
1
T
T
T
T T
_ t W Yt Xt SYt Yt S Xt : A  4
2
2

where is the (N, N) matrix whose rows are the eigenvectors of Q ordered according to increasing absolute value of their eigenvalues i,
i = 1, ,N, and is a diagonal matrix with i as its elements.
is the (N, N) matrix whose rows are the eigenvectors of R ordered
according to increasing absolute value of their eigenvalues i,i = 1,

By means of matrix algebra, the cumulant generating function

K(s1,s2) in Eq. (50) can be re-expressed as:

Q ; R

10

10

1-F(x)

10

10

10

10

K s1 ; s2

1
1 T
1
ln detIA t IA t
2
2

The probability of X exceeding x

-1

-2

-3

Monte Carlo simulation

Transformed Rayleigh method
Theoretical Rayleigh method

-4

-5

x (m)

Fig. 12. Wave crest height exceedance probabilities for a sea state with Spectrum 4.

Y. Wang, Y. Xia / Coastal Engineering 78 (2013) 112

10

10

1-F(x)

10

10

10

10

11

The probability of X exceeding x

-1

-2

Monte Carlo simulation

Transformed Rayleigh method
Forristall's 2D formula
Forristall's 3D formula
Theoretical Rayleigh method

-3

-4

-5

x (m)

Fig. 13. Wave crest height exceedance probabilities for a sea state with Spectrum 6.

where now

where now
2
As1 ; s2 4

s1


T
T
T
s2 W W


3
T
T
s2 W W
5
s1

2
s1 ; s2 4
A


s1
:
s2 W

A  6

For most of sea spectra, a considerable number of eigenvalues i

and i are very close to zero. We propose to replace the m smallest
eigenvalues i and i by zeros and use Eqs. (A-3) and (A-4) to dene
ap(t):
1
1
T
T
T
ap t Xt Xt X
t Yt Y
t A  7
2
2
T
T
T
t
_ ap t W Yt Xt SY


T
T

WT
s2 W


3
T

WT
s2 W
5:
s1
A  11

A  5
ts1 ; s2

s1

s1 ; s2 is (2N, 2N)-dimensional but it contains blocks

The matrix A
of zeros. Therefore the computation of the cumulant generating function can be speeded up.
Here we give a calculation example regarding the dimensionless
wave spectrum 1. By applying the criterion in Eq. (A-10) we can replace m = 244 (of 257) eigenvalues i in by zeros. Similarly, we can
replace m = 244 (of 257) eigenvalues i in by zeros. By doing these
the relative error of the ap-variance is less than 0.00001. The above
procedures reduced the dimension of the matrices, which has to be
inverted, from (514, 514) to (26, 26) without noticeably affecting
the accuracy of the Saddle Point method.
Therefore, the computational efciency can be increased.

A  8
References

and are the matrices and with the rst m rows replaced
where
T

WT .
by zeros, and S W
The positive integer m is decided by using the following relationship of the ratio of variances:


V 0V ap 0
V 0

0:00001

A  9

i.e. select m as the largest m such that

1 2 m 2 1 2 m 2
0:00001:
m 2 N 2 1 2 m 2 N 2
A  10

 Now dene Kap(s1,s2) to be the cumulant generating function of

ap 0; _ ap 0 , then
K ap s1 ; s2



 1 
1 
T
1 t

ln det I A
t I A
2
2

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