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Title of article :
An approximate sensitivity analysis of results from complex computer models in the presence of epistemic and aleatory uncertainties
Author/Authors :
Bernard Krzykacz-Hausmann، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
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Abstract :
This paper focuses on sensitivity analysis of results from computer models in which both epistemic and aleatory uncertainties are present. Sensitivity is defined in the sense of “uncertainty importance” in order to identify and to rank the principal sources of epistemic uncertainty. A natural and consistent way to arrive at sensitivity results in such cases would be a two-dimensional or double-loop nested Monte Carlo sampling strategy in which the epistemic parameters are sampled in the outer loop and the aleatory variables are sampled in the nested inner loop. However, the computational effort of this procedure may be prohibitive for complex and time-demanding codes. This paper therefore suggests an approximate method for sensitivity analysis based on particular one-dimensional or single-loop sampling procedures, which require substantially less computational effort. From the results of such sampling one can obtain approximate estimates of several standard uncertainty importance measures for the aleatory probability distributions and related probabilistic quantities of the model outcomes of interest. The reliability of the approximate sensitivity results depends on the effect of all epistemic uncertainties on the total joint epistemic and aleatory uncertainty of the outcome. The magnitude of this effect can be expressed quantitatively and estimated from the same single-loop samples. The higher it is the more accurate the approximate sensitivity results will be. A case study, which shows that the results from the proposed approximate method are comparable to those obtained with the full two-dimensional approach, is provided.
Keywords :
Sensitivity analysis , Conditional expectation , Aleatory and epistemic uncertainty , Uncertainty importance
Journal title :
Reliability Engineering and System Safety
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