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Laura Swiler

Sensitivity Analysis and Uncertainty Quantification

UNM Course 579, Spring 2010

Contact: Laura Swiler, lpswiler@msn.com

Lecture Outline

Uncertainty Propagation:

Output Y is a random variable

Quantities of Interest

Uncertainty Propagation: Methods

Sampling

Reliability Methods

Stochastic Expansion Methods

Response Surface (Meta-model) Methods

Differential Analysis

2

Involve generation and exploration of mapping from

analysis inputs to analysis results

Analysis input: x = [x

1

,x

2

,x

nX

]

Analysis results: y(x) = [y

1

(x),y

2

(x),,y

nY

(x)]

Two Questions

What is the uncertainty in y(x) given the uncertainty in x?

How important are the individual elements of x with

respect to the uncertainty in y(x)?

Sampling-Based Methods for Uncertainty

and Sensitivity Analysis

3

Uncertainty in Analysis Input

Uncertainty in y derives from uncertainty in x

Assumption: Appropriate value for y obtained if

appropriate value for x used

Problem: Impossible to specify appropriate value for x

unambiguously

Many possible values of x of varying levels of plausibility

Uncertainty with respect to x

Characterized by distributions D

1

,D

2

,,D

nX

assigned to

elements x

1

,x

2

,,x

nX

of x

4

Propagation of Uncertainty

Generate sample: x

k

, k = 1,2,,nS

Evaluate y: y(x

k

), k = 1,2,,nS

Resultant mapping: [x

k

, y

k

(x

k

)], k = 1,2,nS

Mapping forms basis for

Uncertainty analysis (distribution functions, output

moments, box plots)

Sensitivity analysis ( scatterplots, regression analysis,

variance based decomposition,)

5

Components of Sampling-Based

Uncertainty/Sensitivity Analysis

Characterization of uncertainty in x (i.e., definition of D

1

,D

2

,,D

nX

)

Generation of sample from x (i.e., generation of x

k

,

k = 1,2,,nS, in consistency with D

1

,D

2

,,D

nX

)

Propagation of sample through analysis (i.e., generation of

mapping [x

k

, y(x

k

)], k = 1,2,,nS)

Presentation of uncertainty analysis results (i.e., approximations

to the distributions of the elements of y obtained from y(x

k

),

k = 1,2,,nS)

Determination of sensitivity analysis results (i.e., exploration of

the mapping [x

k

, y(x

k

)], k = 1,2,,nS)

6

Sampling Procedures: Random Sampling

Random sample: x

k

= [x

1k

,x

2k

,,x

nX,k

], k = 1,2,,nR

Sample elements (i.e.,x

k

s) from different regions of sample

space occur in direct relationship to the probability of these

regions

Each sample element selected independently of all other

sample elements

7

Random Sampling

Assume certain distributions on the uncertain input values, sample from

those distributions, run the model with the sampled values, and do this

repeatedly to build up a distribution of the outputs.

8

Simulation

Model

Output

Distributions

N samples of X

Output 1

Output 2

Input

Distributions

N realizations of Y

Random Sampling

Simulation

Model 1

Output

Distributions

N samples of X

Measure 1

Measure 2

Input

Distributions

N realizations of X

Sampling is not the most efficient UQ method, but it is easy to

implement and is transparent in terms of tracing sample realizations

through multiple codes for complex UQ studies

Simulation

Model 2

Simulation

Model 3

Additional Inputs for Simulation 2

Additional Inputs for Simulation 3

9

10

EXAMPLE 1

Cantilever Beam Description

PP

x

y

Goal: understand how the deflection of the beam varies with

respect to the length, width, and height of the beam as well as

to applied load and elastic modulus of the beam

Variable Description Nominal Value

L Length 1 m

W Width 1 cm

H Height 2 cm

I Area Moment of Inertia 1/12 WH

3

P Load 100 N

E Elastic Modulus of

Aluminum6061-T6

69 GPa

11

Sampling Results

0

0.2

0.4

0.6

0.8

1

1.2

0 5 10 15 20 25

Displacement (cm)

C

D

F

Variable Distribution Distribution Parameters

L Normal Mean =1m

Std. Dev. =0.01 m

W Fixed 1 cm

H Fixed 2 cm

P Normal Mean =100 N

Std. Dev. =5 N

E Normal Mean =69 GPa

Std. Dev. =13.8 GPa

12

Sampling Results

0

5

10

15

20

25

0 20 40 60 80 100 120 140

Load (N)

D

i

s

p

l

a

c

e

m

e

n

t

(

c

m

)

0

5

10

15

20

25

0.00E+00 2.00E+10 4.00E+10 6.00E+10 8.00E+10 1.00E+11 1.20E+11

Modulus of Elasticity (GPa)

D

i

s

p

l

a

c

e

m

e

n

t

(

c

m

)

13

Example: Cantilever Beam

Sensitivity Analysis with Gradients

L = Length = 1 m

Width = 1 cm, Height = 2 cm

P = load = 100 N

Material = Aluminum 6061-T6:

E = Elastic Modulus = 69 GPa

Deflection = PL^3/(3EI)

Sensitivity Analysis of deflection

()vs. P, L, and E

P

Scaled Sensitivity Coefficients

x

*(/x)

P

*(/P) = 0.0724

L

*(/L) = 0.217

E

*(/E) = -0.0724

Notes:

1. Gradients typically computed via finite

difference estimates.

2. Be wary of extrapolating trends.

3. No interaction data from this approach,

but still useful.

4. For a follow-on UQ study, maybe Id

freeze P and E at nominal values, and focus

resources to study uncertainty in L.

14

Example: Cantilever Beam

Sensitivity Analysis with DAKOTA

L = Length = 1 m

Width = 1 cm, Height = 2 cm

P = load = 100 N

Material = Aluminum 6061-T6:

E = Elastic Modulus = 69 GPa

Deflection = PL^3/(3EI)

Sensitivity Analysis of deflection ()vs. P,

L, and E via random sampling over +/-

5% bounds around nominal values.

P

Correlation Analysis Method

1. Generated 20 random samples of L, P, E

within +/-5% bounds.

2. Compute deflection for each random sample.

3. Look at partial correlation results generated

by DAKOTA software.

4. Result: L most important parameter, but all

have about equal impact.

Load

Length

Modulus

Deflection

.

-0.1177

-0.0753

0.2624

-0.1177

.

0.2146

0.3251

-0.0753

0.2146

.

-0.3088

0.2624

0.3251

-0.3088

.

Load Length Modulus Deflection

Partial Correlation Table

15

Analytic Reliability Results

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0

Displacement (cm)

16

Polynomial Chaos Results

PCE - Sampling

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0

Displacement (cm)

PCE - Sampling

17

Epistemic Uncertainty Results

Cumulative Belief and Plausbility Functions

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

0.00 0.05 0.10 0.15 0.20 0.25

Displacement (m)

C

B

F

/

C

P

F

Plausibility Example 2

Belief Example 2

Belief Example 1

Plausiblity Example 1

18

Second-order Probability

Variable Epistemic Mean Distribution

L [0.98, 1.02] m Normal(epistemic mean, 0.01) m

P [90,110] N Normal(epistemic mean, 5) N

E [41.4,96,6] GPa Normal(epistemic mean, 13.8) GPa

Second-order Probability

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 45.0

Displacement (cm)

C

D

F

Lower Bound on CDF

Upper Bound on CDF

1 of 20 CDFs

Another of 20 CDFs

19

20

Overall Comparison

0

0.2

0.4

0.6

0.8

1

1.2

0 10 20 30 40

Displacement (cm)

C

D

F

Sampling

Reliability

Polynomial Chaos

Belief

Plausibility

Second-Order Prob - Lower

Second Order Prob Upper

21

Sensitivity Analysis (1/2)

Correlations (Raw, Partial, Rank)

Identifies monotonic relationships between input and output, graphical

data analysis (e.g. scatterplots) also useful

Stepwise Regression Analysis

Identifies important variables to add to a regression model to explain the

greatest amount of variability in the output

Variance-based Decomposition

Identifies the fraction of the variability in the output that can be attributed

to an individual variable alone or with interaction effects

Use of meta-models

Perform stepwise analysis or VBD on the surrogate model, not the full

model (reduce computational cost)

Morris One-At-A-Time Sampling

Take large derivative steps (e.g. more than half the domain). Average

over different starting points, different trajectories to get main effects

type analysis

Orthogonal Arrays

What happens to the mean response when you change variable 1 from

setting A to setting B (averaged over the other variables)? If a large change

significant main effect

22

Sensitivity Analysis (2/2)

Step 1 2 3

Constant 15.894 8.656 -11.433

E_scaled -1.205 -1.205 -1.206

T-Value -72.16 -83.2 -87.73

P-Value 0 0 0

P 0.0724 0.0725

T-Value 18.14 19.14

P-Value 0 0

L 20.1

T-Value 10.59

P-Value 0

R-Sq 83.91 87.91 89.13

L P E Disp

L 1.00

P 0.00 1.00

E 0.00 0.00 1.00

Disp 0.11 0.20 -0.92 1.00

Stepwise Regression

Simple Correlation Coefficients

Uncertainty Propagation: Output Measures

Cumulative Distribution Function

Complementary Cumulative Distribution

Function

Moments: Mean, Variance

Percentiles: Median, 5

th

, 95

th

percentiles

23

Uncertainty Analysis: Scalar Results

Single scalar result: y

k

= y(x

k

), k = 1,2,,nS

Mean and variance

[ ]

( ) / ,

( )

( ) ( ) E y y nS V y y E y nS

k k

k

nS

k

nS

= =

= =

2

1 1

1

24

Uncertainty Analysis: Scalar Results (cont)

Distribution function

25

Example Analysis: CDFs and CCDFs

26

Example Analysis: CDF and Density

Function

27

Example Analysis: Box Plots

28

Uncertainty Analysis: Functions

Analysis outcomes are often functions of one or more variables

Uncertain analysis inputs result in many possible values for such

functions

Example analysis: pressure as a function of time

29

Example Analysis: Pressure at Time t

30

Example Analysis: Replicated Samples and

Stability

31

32

Detour

Quick Overview on OTHER Uncertainty

Propagation methods

Differential Analysis

Calculate the derivative of the output with respect to all

of the inputs

ONLY gives local information

Need to exercise caution if you are taking the derivatives

at the mean of the inputs (for example)

Can be expensive if done repeatedly throughout the

space, using central finite-differencing

i

x

y

33

Response Surface Methods

Take an initial set of samples over the uncertain variables x,

then construct a response surface or meta-model from those

samples

Regression (e.g. linear, quadratic, rank)

MARS (splines)

Neural networks

Radial Basis Functions

Nonparametric regression

More advanced surrogates

Can be very useful in understanding sensitivities

Need to exercise caution if you sample the surrogate

extensively to perform UQ (inaccuracies, especially at the

boundaries)

34

Response Surface (Surrogate) Methods

Generate ~ 10D samples

of computer simulation

Create Surrogate Models:

Regression, Neural nets,

Splines (MARS)

Sample Surrogate

to obtain

CDF on output

Use Surrogate in

Sensitivity Analysis

UQ analyses often require thousands of runs, which is often not

feasible with an expensive simulation, requiring surrogates

You need to understand something about the goodness of your

surrogate. There are a variety of diagnostic metrics to help (R

2

, mean

absolute error, sum-squared error, cross-validation metrics, etc.)

Often the surrogate is less accurate at bounds or endpoints: use

caution

35

Reliability Analysis

Assume that the probability of failure is based on a specific

performance criterion which is a function of random variables, denoted

X

i

.

The performance function is described by Z:

Z = g(X

1

, X

2

, X

3

, , X

n

)

The failure surface or limit state is defined as Z = 0. It is a boundary

between safe and unsafe regions in a parameter space.

n n

g

X f

f

dx dx dx x x x f p

Z P failure P p

... ) ,..., , ( ...

) 0 ( ) (

2 1 2

0 ()

1

<

=

< = =

36

Reliability Analysis

Note that the failure integral has the joint probability density function,

f, for the random variables, and the integration is performed over the

failure region

If the variables are independent, we can replace this with the product

of the individual density functions

In general, this is a multi-dimensional integral and is difficult to

evaluate.

People use approximations. If the limit state is a linear function of the

inputs (or is approximated by one), first-order reliability methods

(FORM) are used.

If the nonlinear limit state is approximated by a second-order

representation, second-order reliability methods (SORM) are used.

n n

g

X f

dx dx dx x x x f p ... ) ,..., , ( ...

2 1 2

0 ()

1

<

=

37

Polynomial Chaos Expansions (PCE)

Represent a stochastic process (the uncertain output f(X)) as a

spectral expansion in terms of suitable orthonormal eigenfunctions

with weights associated with a particular density

The uncertain output f(X) is approximated by finite dimensional

series based on unit Gaussian distributions

In the expansion, the H terms are Hermite polynomials (multi-

dimensional orthogonal polynomials), the are standard normal

random variables, and the coefficients a

j

are deterministic but

unknown.

The job of PCE is to determine the coefficients a

j

. Then, one has an

approximation that can be sampled many times to calculate desired

statistics

) ( ) (

0

j

P

j

j

H a R X f

=

=

38

Polynomial Chaos Expansions (PCE)

Conceptually, the propagation of input uncertainty through a model using PCE in a

non-intrusive approach consists of the following steps:

(1) Transform input uncertainties X to unit Gaussian random variables: X

(2) Assume a particular form for the orthogonal polynomials such as Hermite

(3) Generate many samples of X and . These will generate a a set of linear

equations to solve for the spectral expansion coefficients

for i = 1N samples

(4) Once the coefficients a

j

are determined, take 1000s of samples of and run

them through the spectal expansion equation to obtain an approximation for

f(X) build up a CDF of f(X)

) ( ) (

0

i j

P

j

j i

H a R X f

=

=

39

Epistemic UQ

Second-order probability

Two levels: distributions/intervals on

distribution parameters

Outer level can be epistemic (e.g., interval)

Inner level can be aleatory (probability distrs)

Strong regulatory history (NRC, WIPP).

Dempster-Shafer theory of evidence

Basic probability assignment (interval-based)

Solve opt. problems (currently sampling-based)

to compute belief/plausibility for output intervals

40

Second-order Probability

0.00

0.25

0.50

0.75

1.00

C

u

m

P

r

o

b

response metric

epistemic

sampling

aleatory

sampling

simulation

50 outer loop samples

50 CDF traces

each discrete

(empirical)

CDF: 100

inner loop

samples

For each outer loop sample of epistemic (interval) variables, run

an inner loop UQ study over aleatory (probability) variables

Envelope of CDF traces represents response epistemic uncertainty

41

Dempster-Shafer Evidence Theory

Concept of Dempster-Shafer belief structures:

For each uncertain input variable, one specifies basic probability

assignment for each potential interval where this variable may exist.

Intervals may be contiguous, overlapping, or have gaps

Belief is a lower bound on the probability that is consistent with the

evidence

Plausibility is the upper bound on the probability that is consistent

with the evidence

BPA=0.5

BPA=0.2

BPA=0.3

Variable 1

BPA=0.5 BPA=0.2 BPA=0.3

Variable 2

42

Epistemic Uncertainty Quantification

Implementation: Look at various combinations of intervals.

In each joint interval box, one needs to find the maximum and

minimum value in that box

Can use sampling or optimization (local or global)

Computationally expensive

Variable 1

Variable 2

.5 .3 .2

0.1

0.2

0.7

Original LHS samples used

To generate a surrogate

Million sample points

generated from the

surrogate, used to

determine the max

and min in each cell

to calculate plausibility

and belief

43

Software tools

44

DAKOTA

Minitab statistics package

JMP statistics package

Mathematica

Matlab with Statistics Toolbox

R or S+ language

Simlab

Excel add-ins (@Risk, Crystal Ball)

Others

Additional Information

45

J.C. Helton and F.J. Davis, Sampling-based Methods, in Sensitivity Analysis, A. Saltelli,

C. Chan, and E.M. Scott, Eds. New York: Wiley, 2000, pp. 101-153.

J.C. Helton and F.J. Davis, Latin hypercube sampling and the propagation of

uncertainty in analyses of complex systems, Reliability Engineering and System Safety,

Vol. 81, pp. 23-69, 2003.

J.C. Helton, J.D. Johnson, C.J. Sallaberry, C.B. Storlie, Survey of sampling-based

methods for uncertainty and sensitivity analysis. Reliability Engineering & System

Safety, Volume 91, Issues 10-11, October-November 2006, Pages 1175-1209.

Swiler, L. P. and A. A. Giunta. Aleatory and Epistemic Uncertainty Quantification for

Engineering Applications. Sandia Technical Report, SAND2007-2670C, also in 2007

Proceedings of the Joint Statistical Meetings (JSM).

Measurement Uncertainty (Experimental): GUM report. Guidelines for Evaluating and

Expressing the Uncertainty of NIST Measurement Results, by Barry N. Taylor and Chris

E. Kuyatt. NIST Technical Note 1297, 1994 Edition,

http://physics.nist.gov/Pubs/guidelines/contents.html

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