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Uncertainty
Jon C. Helton & Cédric J. Sallaberry
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Alternative Representations of Uncertainty
• Probability Theory
• Evidence Theory (Dempster-Shafer Theory)
• Possibility Theory
• Interval Analysis
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Probability
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Evidence Theory: Definition of Evidence Space
• Representation of uncertainty
– Belief
– Plausibility
• Belief:
– Definition: Bel ( ) = ∑ m( )
⊂
– Concept: Amount of “likelihood” that must be associated with .
• Plausibility:
– Definition: Pl ( ) = ∑ m( )
∩ ≠ ∅
– Concept: Amount of “likelihood” that could potentially be associated with .
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Evidence Theory: Simple Example
: 1 = [1,4], m( 1 ) = 1 / 5
: 2 = [3,7], m( 2 ) = 1 / 5
: 3 = [5,6], m( 3 ) = 1 / 5
: 4 = [5,10], m( 4 ) = 1 / 5
: 5 = [9,10], m( 5 ) = 1 / 5
: = [2,8]
1 2 3 4 5 6 7 8 9 10
= {x : x ∈ [1,10]}
= { 1 , 2 , 3 , 4 , 5 }
Bel ( ) = ∑ m( ) = m(
i ⊂
i 2 ) + m( 3 ) = 2 / 5
Pl ( ) = ∑ m( ) = m(
i ∩ ≠ ∅
i 1 ) + m( 2 ) + m( 3 ) + m( 4 ) = 4 / 5
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Evidence Theory: Properties
Bel ( ) + Pl ( C ) = 1
Bel ( ) + Bel ( C ) ≤ 1
Pl ( ) + Pl ( C ) ≥ 1
Bel ( ) ≤ Pl ( )
p ( ) + p ( C ) = 1
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Evidence Theory: Cumulative Representation
Analogous to CDF.
• Cumulative belief function (CBF) Plot of belief, plausibility of
being less than specified
• Cumulative plausibility function (CPF) values
Analogous to CCDF.
• Complementary cumulative belief function (CCBF) Plot of belief, plausibility of
• Complementary cumulative plausibility function (CCPF) being greater than specified
values
CBF, CCBF, CPF and CCPF for a variable v with values from the interval [1, 10] and each of the
following intervals assigned a BPA of 0.1:[1, 3], [1, 4], [1, 10], [2, 4], [2, 6], [5, 8], [5, 10], [7, 8],
[7, 10], [9, 10]. 8
Evidence Theory: Vector-valued Quantities
= 1 × 2 × × n ∈
m1 ( 1 ) m2 ( 2 )...mn ( n ) if �
• m( ) =
0 otherwise
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Evidence Theory: Function with Uncertain Arguments
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Evidence Theory: Example (1/3)
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Evidence Theory: Example (2/3)
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Evidence Theory: Example (3/3)
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Possibility Theory: Definition of Possibility Space
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Possibility Theory: Representation of Uncertainty
• Representation of uncertainty
– Possibility
– Necessity
• Possibility:
– Definition: Pos ( ) = sup{r ( x) : x ∈ }
– Concept: Measure of amount of information that does not refute the proposition that
contains the “correct” value for x.
• Necessity:
– Definition: {
Nec( ) = 1 − Pos ( ) = 1 − sup r ( x) : x ∈ }
– Concept: Measure of amount of uncontradicted information that supports the
proposition that contains the “correct” value for x.
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Possibility Theory: Simple Example
1 2 3 4 5 6 7 8 9 10
X
Nec( ) + Pos ( C ) = 1
Nec( ) + Nec( C ) ≤ 1
Pos ( ) + Pos ( C ) ≥ 1
Nec( ) ≤ Pos ( )
p ( ) + p ( C ) = 1
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Possibility Theory: Cumulative Representation
Analogous to CDF.
• Cumulative necessity function (CNF) Plot of necessity, possibility of
being less than specified
• Cumulative possibility function (CPoF) values
Analogous to CCDF.
• Complementary cumulative necessity function (CCNF) Plot of necessity, possibility of
• Complementary cumulative possibility function (CCPoF) being greater than specified
values
CNF, CCNF, CPoF and CCPoF for a variable v with values from the interval [1, 10] a possibility
distribution function rv defined as follows: rv(v) = i/5, for i = 1, 2, 3, 4, 5 and i ≤ v < i+1 and rv(v)
= (10-i)/4, for i = 6, 7, 8, 9, i ≤ v < i+1, and v ≤ i+1 used instead of v < i+1 for i = 9 18
Possibility Theory: Vector-valued Quantities
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Possibility Theory: Function with Uncertain Arguments
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Possibility Theory: Example (1/2)
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Possibility Theory: Example (2/2)
Values of distribution function rx for possibility Estimated CCNF, CCDF and CCPoF for y = f (a, b)
space (,rx) (e.g. rx([a,b]) = 1/2 for 0.2 ≤ a ≤ 0.7 = (a + b )a
and 0.1 ≤ b ≤0.4
Pos (> y = 0.8) = 1
Nec(> y = 0.8) = 1 − Pos (≤ y = 0.8) = 1.0 − 0.5 = 0.5
Pos (> y = 1.5) = 0.33
Nec(> y = 1.5) = 1 − Pos(≤ y = 1.5) = 1.0 − 1.0 = 0.0 22
Interval Analysis
where
Q(t ) = electrical charge (coulombs) at time t (s),
L = inductance (henrys),
R = resistance (ohms),
C = capacitance (farads),
E0 exp(−λt ) = electromotive force (volts),
dQ
= current(amperes).
dt
24
Notional Example: Only Epistemic Uncertainty (2/4)
1 / 4 if ∈ i
– BPA for subset of i: mi ( ) =
0 otherwise
– (i, i, mi) evidence space L,R,C,E0,λ
– Evidence space (, , m) for eM=[L,R,C,E0,λ] results as previously described
• Possibility space representation
– Sets i1, i2, i3, i4 same as above for i =1, 2, 3, 4, 5
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1 / 4 if e ∈ ij
– For e ∈i, ri (e) = ∑ δ i (e) / 4 with δ i (e) =
i =1 0 otherwise
– (i,ri) possibility spaces for L,R,C,E0,λ
– Possibility space (,r) for eM=[L,R,C,E0,λ ] results as previously described
• Interval analysis
– set of possible values for eM=[L,R,C,E0,λ]
– No uncertainty structure assumed for
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Notional Example: Only Epistemic Uncertainty (4/4)
0.20
0.15
Q ( t | a,eM )
0.10
0.05
0.00
0.00 0.05 0.10 0.15 0.20
t.: Time (s)
50 of 105 results
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Notional Example: Aleatory and Epistemic Uncertainty
(1/3)
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Notional Example: Aleatory and Epistemic Uncertainty
(2/3)
• Probability space (, , pE), evidence space (, , mE), possibility space
(, rE) and set for interval analysis defined in same manner as preceding
example
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Notional Example: Aleatory and Epistemic Uncertainty
(3/3)
• Aleatory and epistemic uncertainty
• Random sample of size 105 from = {e:e = [λ, a, m, b, r] }
• Random samples of size 10,000 from = {a:a = [n, t1, A1, t2, A2, …, tn, An]}
conditional on each ei
0
10
Frame 3.12a
10 -1
pA [ A(10|a, r ) < A|eA ]
10 -2
-3
10
10 -4
0
0 10 20 30 40
A: A(10|a, r )
50 of 105 CCDFs
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References
• Background references
1. Shafer G. A Mathematical Theory of Evidence. Princeton, NJ: Princeton Univ. Press 1976.
2. Klir GJ, Wierman MJ. Uncertainty-Based Information. New York, NY: Physica-Verlag 1999.
3. Klir GJ. Uncertainty and Information: Foundations of Generalized Information Theory. New York, NY:
Wiley-Interscience, 2006.
5. Ross TJ. Fuzzy Logic with Engineering Applications, 2nd edn. New York, NY: Wiley, 2004.
6. Ross TJ, Booker JM, W.J. Parkinson (eds.). Fuzzy Logic and Probability Applications: Bridging the
Gap. Philadelphia, PA: Society for Industrial and Applied Mathematics, 2002.
• Attached references:
7. Helton JC, Johnson JD, Oberkampf WL. An Exploration of Alternative Approaches to the
Representation of Uncertainty in Model Predictions. Reliability Engineering and System Safety 2004; 85(1-
3):39-71.
8. Helton JC, Johnson JD, Oberkampf WL, Storlie CB. A Sampling-Based Computational Strategy for
the Representation of Epistemic Uncertainty in Model Predictions with Evidence Theory. Computational
Methods in Applied Mechanics and Engineering 2007; 196(37-40):3980-3998. 31