Journal article
Uncertainty quantification under dependent random variables by a generalized polynomial dimensional decomposition
Computer methods in applied mechanics and engineering, Vol.344, pp.910-937
02/01/2019
DOI: 10.1016/j.cma.2018.09.026
Abstract
This paper is concerned with uncertainty quantification analysis of complex systems subject to dependent input random variables. The analysis focuses on a new, generalized version of polynomial dimensional decomposition (PDD), referred to as GPDD, entailing hierarchically ordered measure-consistent multivariate orthogonal polynomials in dependent variables. Under a few prescribed assumptions, GPDD exists for any square-integrable output random variable and converges in mean-square to the correct limit. New analytical formulae are proposed to calculate the mean and variance of a GPDD approximation of a general output variable in terms of the expansion coefficients and second-moment properties of multivariate orthogonal polynomials. However, unlike in PDD, calculating the coefficients of GPDD requires solving a coupled system of linear equations. Besides, the variance formula of GPDD contains extra terms due to statistical dependence among input variables. The extra terms disappear when the input variables are statistically independent, reverting GPDD to PDD. Two numerical examples, the one derived from a stochastic boundary-value problem and the other entailing a random eigenvalue problem, illustrate second-moment error analysis and estimation of the probabilistic characteristics of eigensolutions.
Details
- Title: Subtitle
- Uncertainty quantification under dependent random variables by a generalized polynomial dimensional decomposition
- Creators
- Sharif Rahman - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Computer methods in applied mechanics and engineering, Vol.344, pp.910-937
- Publisher
- Elsevier B.V
- DOI
- 10.1016/j.cma.2018.09.026
- ISSN
- 0045-7825
- eISSN
- 1879-2138
- Grant note
- CMMI-1462385 / U.S. National Science Foundation (http://dx.doi.org/10.13039/100000001)
- Language
- English
- Date published
- 02/01/2019
- Academic Unit
- Mechanical Engineering
- Record Identifier
- 9984196536402771
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