Uncertain Input Data Problems and the Worst Scenario Method by Ivan Hlavacek, Jan Chleboun, and Ivo Babuska by Ivan Hlavacek, Jan Chleboun, and Ivo Babuska - Read Online

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Uncertain Input Data Problems and the Worst Scenario Method

First Edition

Dr.Ivan Hlaváěek

Mathematical Institute, Academy of Sciences of the Czech Republic, Prague, Czech Republic

Dr.Jan Chleboun

Mathematical Institute, Academy of Sciences of the Czech Republic, Prague, Czech Republic

Dr.Ivo Babuška

The University of Texas at Austin, Austin, Texas, USA





Table of Contents

Cover image

Title page

Copyright page


List of Figures

List of Tables



Chapter I: Reality, Mathematics, and Computation

1 Modeling, Uncertainty, Verification, and Validation

2 Various Approaches to Uncertainty

Chapter II: General Abstract Scheme and the Analysis of the Worst Scenario Method

3 Formulation, Solvability, Approximation, and Convergence

Chapter III: Quasilinear Elliptic Boundary Value Problems

4 Uncertain Thermal Conductivity Problem

5 Uncertain Nonlinear Newton BoundaryCondition

Chapter IV: Parabolic Problems

6 Linear Parabolic Problems

7 Parabolic Problems With a Unilateral Obstacle

Chapter V: Elastic and Thermoelastic Beams

8 Transverse Vibration of Timoshenko Beams with an Uncertain Shear Correction Factor

9 Buckling of a Timoshenko Beam on an Elastic Foundation

10 Bending of a Thermoelastic Beam with an Uncertain Coupling Coefficient

Bibliography and Comments on Chapter V

Chapter VI: Elastic Plates and Pseudoplates

11 Pseudoplates

12 Buckling of Elastic Plates

Bibliography and Comments on Chapter VI

Chapter VII: Contact Problems in Elasticity and Thermoelasticity

13 Signorini Contact Problem with Friction

14 Unilateral Frictional Contact of Several Bodies in Quasi-Coupled Thermoelasticity

Bibliography and Comments on Chapter VII

Chapter VIII: Hencky’s and Deformation Theories of Plasticity

15 Timoshenko Beam in Hencky’s Model with Uncertain Yield Function

16 Torsion in Hencky’s Model with Uncertain Stress-Strain Law and Uncertain Yield Function

17 Deformation Theory of Plasticity

Bibliography and Comments on Chapter VIII

Chapter IX: Flow Theories of Plasticity

18 Perfect Plasticity

19 Flow Theory with Isotropic Hardening

20 Flow Theory with Isotropic Hardening in Strain Space

21 Combined Linear Kinematic and Isotropic Hardening

22 Validation of an Elasto-Plastic Plane Stress Model

Bibliography and Comments on Chapter IX

Chapter X: Domains With Uncertain Boundary

23 Neumann Boundary Value Problem

24 Dirichlet Boundary Value Problem

Chapter XI: Essentials of Sensitivity and Functional Analysis

25 Essentials of Sensitivity Analysis

26 Essentials of Functional and Convex Analysis



Subject Index

List of Symbols



Ivan Hlaváček; Jan Chleboun; Ivo Babuška

All models are wrong, some are useful.

G. E. P. Box

I had come to an entirely erroneous conclusion which shows, my dear watson, how dangerous it always is to reason from insufficient data.

Sherlock Holmes¹

Modeling of real world phenomena is always accompanied by uncertainty. Uncertainty in the selection of an adequate mathematical model, uncertainty in the values of input data, uncertainty in the correctness of computer codes, uncertainty in the error of numerical results; to list a few instances.

The accent of this book is on the uncertainty in input data and its impact on the outputs of mathematical models. In pursuing this topic, we use the worst scenario method, which searches for the most unfavorable inputs among uncertain input data in the range of available information. The word unfavorable indicates that a gauge is available to distinguish between favorable and unfavorable data. Functionals evaluating outputs of mathematical models are perfect examples of such gauges.

A simple modification in the mathematical formulation of the worst scenario method leads to the best scenario method (optimal design) where the most favorable inputs are sought. The difference between functional values for the best and the worst scenario reflects the variety of model outputs caused by the uncertain model inputs.

Critics may say that the worst scenario approach is too pessimistic because it does not take into account that the inputs might not be equally distributed within the limits set by the amount of uncertainty. If this happens, then some input values are more frequent than others. Consequently, it may happen that the worst scenario coincides with very rare input values. This rarity is not reflected by the method so that the importance of worst scenario identification could be overrated. However, the worst scenario method can be pronounced pessimistic only if information about a data occurence is available, but not used.

Let us note that the rarity of data can be taken into account by coupling the worst scenario method with other approaches to uncertainty. Take fuzzy sets, for example. Among other things, this and other couplings are illustrated in Chapter I, which we consider to be an easily accessible familiarization with uncertainty in mathematical modeling.

From a mathematical point of view, the core of the worst scenario method is presented in Chapter II. Then chapters devoted to particular models follow. Let us only mention Timoshenko beams, pseudoplates, plates, and elastoplastic bodies in stability, thermal, and frictional contact problems. Generally, nonlinear problems are treated. The content of the book is outlined in more detail in the Introduction.

Prague and Austin, August 2004

¹ The Adventure of the Speckled Band by Sir Arthur Conan Doyle.

List of Figures

List of Tables


Ivan Hlaváěek, Dr., Mathematical Institute, Academy of Sciences of the Czech Republic, Prague, Czech Republic

Jan Chleboun, Dr., Mathematical Institute, Academy of Sciences of the Czech Republic, Prague, Czech Republic

Ivo Babuška, Dr., The University of Texas at Austin, Austin, Texas, USA

The immense progress in computational power and the promising perspective of its further evolution enable us to approach reality nearer and deeper through modeling and solving problems in technical, natural, and social sciences than one or two decades ago. More and more computational analysis is used in engineering predictions and decisions (Oden, 2002).

Regardless of many achievements, modeling the real world is accompanied with fairly general sorts of uncertainty. What mathematical model is the best compromise between complexity, solvability, accuracy, safety, and computational expenses? What is the relation between an exact solution and its numerical approximation? How can we verify the trustworthiness of the respective computer code?

These and other topics are briefly touched upon in the initial part of Chapter I. However, the rest of the book concentrates on particular subjects related to uncertain input data.

In contrast with the classical approach, where differential equations, integral equations, or variational inequalities are equipped with uniquely given input data (i.e., we have a complete knowledge of the input data as coefficients, boundary or initial conditions, right-hand sides, etc.), we take into account uncertainty in the data of the model.

A certain amount of uncertainty of this kind is more or less tacitly present in many (if not all) technical and scientific problems. In fact, the input data are usually obtained in two steps: first, experimental measurements are made, then the corresponding inverse (identification) problem is solved. Both these steps, however, are influenced by inaccuracy. Unavoidable noise in measurements is superimposed on errors of an approximate solution of the inverse problem. A typical example can be the determination of physical parameters in models of processes in the deep Earth core. Since the range of our technical research methods is limited, we have to resort to rather indirect identification approaches in this case. More direct means can be used in the identification of properties of available materials.

Another source of uncertainty is the difference between the laboratory environment, where tests of materials take place, and the harsh real world, where materials are produced and used. When designing a structure, designers are guided by handbooks of material coefficients. Do these tabular materials exactly represent the real materials supplied by a manufacturer? How do material properties change in time due to corrosion, for example? The answers are often disappointingly vague and weak in information.

In this book, a number of particular examples of problems with uncertain data will be explored.

Obviously, both the theory of problems with uncertain input data and appropriate numerical methods are considerably more complex than those of the classical approach with completely known inputs. Various methods exist to model uncertainty in input data. Let us mention only two: the stochastic (probabilistic) approach or the worst scenario method. Other possibilities as well as their combinations with the worst scenario method are discussed in Chapter I.

The theory of probability has proved extraordinarily useful in modeling uncertainty; see (Ghanem and Spanos, 1991), (Holden et al., 1996), (Deb et al., 2001), (Babuška et al., 2004b), or (Babuška et al., 2004c), for instance. However, the information content of a probabilistic model is often quite high and so it could be difficult to obtain relevant probabilistic data. Moreover, the data are frequently generated by methods which have their own additional uncertainties. In some cases, the resolution of an analysis can be influenced by those parts of the probabilistic model that are most difficult to establish precisely (Ben-Haim and Elishakoff, 1990). Also, the interpretation of probabilistic results is not simple (Salmon, 1967, Chapter 5).

In a sense, probabilistic models have deterministic features because the probability of input data is considered completely known.

In any case, the required data are obtained by experimentation or expert opinion, for instance, so that information about the probability of inputs has to be related to problems defined and solved in the realm of statistics. A powerful synthesis of many ideas surrounding uncertainty and the interpretation of probability is presented in (Savage, 1972); see also (Cooke, 1991).

Whereas the stochastic approach requires information about the statistical distribution of the data, the worst scenario method needs only bounds for the input data to define a set of admissible data. As a consequence, the worst scenario method is applicable to a broad variety of problems, even to those where the stochastic method has not yet been established. Also, if the probability distribution in a stochastic model is uncertain, the entire range of possible probabilistic outputs has to be determined, which is the goal of the worst scenario method.

In the worst scenario approach, a criterion that evaluates a feature of the solution to a state problem is defined in such a way that an increase in the criterion value indicates a deterioration in the feature, i.e., the higher the value, the worse the state. The goal is to maximize the criterion value over a set of uncertain data entering the model. In other words, one searches for the worst situation that can be determined by input data within the scope of uncertain inputs.

Although this approach is related to the safe side rule used in all sorts of engineering for centuries, the main idea of the worst scenario method was probably first suggested in (Bulgakov, 1940), (Bulgakov, 1946), and clearly formulated in (Ben-Haim and Elishakoff, 1990) as a convex modeling of uncertainty. In convex modeling, the authors suppose that uncertain data form a convex admissible set Un.

Other terms for the worst scenario concept include the unknown-but-bounded uncertainty approach or the guaranteed performance approach.

Also known as anti-optimization (Elishakoff, 1990), the idea of the worst scenario was incorporated into design and optimal design problems; see (Lombardi and Haftka, 1998), (Qiu and Elishakoff, 2001), and references therein.

Later, the concept of information-gap uncertainty was proposed and analyzed (Ben-Haim, 1996), (Ben-Haim, 1999a), (Ben-Haim, 1999b), (Ben-Haim, 2001a), (Ben-Haim, 2001b), (Ben-Haim, 2004), (Hemez and Ben-Haim, 2004). Directed towards design evaluation and decision making, info-gap models consider a continuum of nested sets Uad(α) controlled by a positive real parameter α, i.e., α1 ≤ α2 implies Uad(α1) ⊂ Uad(α2). An analogy to the cost (criterion) function is a reward function depending not only on the state solution, but also on the decision-maker’s action. Then the robustness function is defined as the greatest value of the uncertainty parameter α for which an acceptable performance (reward) is assured. Subsequently, the trade-off between immunity-to-uncertainty and demanded reward is at the center of attention. The worst scenario method represents a substantial part of the information-gap theory.

Particular sorts of the worst scenario approaches have been intensively investigated in linear algebra. Uncertain matrices are within the purview of the theory of interval matrices; see (Rohn, 1994) or (Nedoma, 1998) and the references therein. As the structure of uncertainty in these uncertain matrices not always matches the uncertainty in the matrices arising in design problems, further research is required to fill the gaps.

Interval arithmetic is another example of an approach motivated by the worst scenario approach. Concentrated on the inaccuracy of floating-point arithmetic, interval arithmetic can deliver guaranteed bounds for a numerical solution and it can help to control the accuracy of computation; see for instance (Alefeld and Herzberger, 1983), (Adams and Kulisch, 1993), (Hammer et al., 1995), (Kulisch, 1999).

Control theory also recognizes problems that lead to a sort of worst scenario (Dullerud and Paganini, 2000).

By comparison with the stochastic approach with completely known information, the worst scenario method is pessimistic because it does not consider information used in the stochastic model. Nevertheless, the method helps a designer to stay on the safe side. It emphasizes the worst, i.e., the most dangerous data, even if the probability of their occurrence may be low. It is possible, however, to couple the worst scenario approach with probability-, likelihood-, or possibility-based methods; see Chapter I.

If reliable probabilistic information is unavailable and, consequently, little is known about the input data distribution, then a stochastic approach should not be proposed. In such circumstances, a non-stochastic approach should be used; see relevant sections of (Ben-Haim and Elishakoff, 1990) and (Elishakoff et al., 2001). Even if probabilistic information is available to substantiate a stochastic analysis, one may prefer a simpler non-stochastic worst scenario method. This preference occurs if the distribution of uncertain data is close to uniform (with large deviation) because then the worst scenario approach yields results comparable with those of a stochastic approach; see (Elishakoff et al., 1994a), (Elishakoff et al., 2001, Section 5.2), or (Elishakoff and Zingales, 2003). For a survey of probabilistic techniques with an emphasis on environmental engineering, we refer to (Cullen and Frey, 1999), where a large list of references is given.

Various aspects of uncertainty modeling are treated in (Natke and Ben-Haim, 1997), (Haldar et al., 1997), and (Elishakoff, 1999), for instance.



with u = 0 on the boundary ∂Ω. Let the scalar function a(·) be uncertain. We will assume that a(·) belongs to a given set Uad of admissible functions. The above problem may represent a model of a steady heat flow if α(·) denotes a temperature dependent heat conductivity coefficient and u is the temperature.

Let a unique solution u(a) of problem (0.1) exist in a function space V for any data a Uad. The existence can be proved under relatively mild assumptions (Hlaváček et al., 1994). Let the quantity that we are interested in be the mean temperature over an a priori chosen small subdomain G ⊂ Ω (or G ⊂ ∂Ω). We wish to find the maximum value of the quantity of interest under the assumption a Uad. To this end, we identify the quantity of interest with a suitable criterion, i.e., a criterion-based functional (used here as a criterion-functional) Φ(v) : V is defined as the mean value of u(a) over G. Then we solve the problem


Problem (0.2) can have more than one solution. Each solution, i.e., each conductivity coefficient solving (0.2) consequently implies the maximum mean temperature in G. Either α⁰ or Φ(u(a⁰)) or even the pair (α⁰, Φ(u(α⁰)) can be called the worst scenario.

In practice, instead of a⁰ itself, the value of Φ(u(a⁰)) is more important. We get Φ(u(a⁰)) through a⁰.

Often, we are also interested in a minimization version of problem (0.2) and in the difference between the maximum and minimum value of the quantity of interest.

The worst scenario method is only one of the approaches to uncertain data. Moreover, uncertainty in input data is only one of the numerous facets of uncertainty in modeling. Although this latter, more general subject deserves much attention, a detailed treatment lies outside the scope of this book. Nevertheless, Chapter I is intended as an introduction to uncertainty in modeling. It touches various aspects of uncertainty, and briefly presents other approaches to uncertain data and their coupling with the worst scenario method. Certain topics, namely verification and validation, are further elucidated in the Appendix at the end of the book.

A general formulation of the worst scenario method is proposed in Chapter II, where both a general abstract scheme and an analysis of the method are presented. Also, conditions sufficient for the existence of a worst scenario are given. Then an approximate worst scenario problem is formulated. To this end, respective discretizations of V and Uad are necessary. A convergence analysis with respect to discretization parameters is also presented. This general framework is further applied to particular families of problems.

Chapter III is devoted to applications of the worst scenario method to elliptic boundary value problems. We consider a quasilinear nonpotential and nonmonotonous equation with combined nonlinear boundary conditions. The uncertainty may occur in the coefficients, the right-hand side, and the boundary conditions.

In Chapter IV, parabolic initial-boundary value problems formulated as variational equations or variational inequalities are studied. We deal with uncertain time-dependent coefficients and uncertain unilateral obstacles.

Chapters V–VII contain applications of the worst scenario method to elasticity and thermoelasticity. We study transversal vibrations and the buckling of Timoshenko beams with an uncertain shear correction factor and an uncertain stiffness of an elastic foundation. Then a classical bending model of a beam in coupled thermoelasticity is considered with an uncertain coupling coefficient. Examples of unilateral contact problems with friction in elasticity and quasi-coupled thermoelasticity are treated with uncertainties in all input data. We also study a pseudoplate with uncertain loading, uncertain stiffness of an elastic foundation, and uncertain friction on the boundary. Finally, the von Kármán model of a buckled plate with uncertain initial geometrical imperfections is analyzed on the basis of Galerkin approximations.

Different models of elasto-plastic bodies are dealt with in Chapter VIII and Chapter IX. We consider torsion problems in Hencky’s model with uncertain stress-strain law coefficients and an uncertain yield function. The Timoshenko model of a bending beam in Hencky’s plasticity is analyzed with respect to an uncertain yield function. Eight sections are devoted to models of two-dimensional and three-dimensional elasto-plastic bodies in the framework of the deformation theory, the Prandtl-Reuss model of perfect plasticity, the flow theory with isotropic hardening in stress or in strain space, and combined linear kinematic and isotropic hardening. We assume uncertainties in the stress-strain law coefficients and in a material or yield function.

Chapter X is oriented in a different direction. It addresses elliptic boundary value problems (BVP) with uncertain nonsmooth boundaries. It turns out that the Neumann boundary condition has to be completely reformulated to fit the nature of the uncertain boundary problem. A special problem is treated there: an estimate is made of the distance between the BVP solution in an uncertain domain and the BVP solution in a known domain close to the uncertain domain. Selected numerical results are included.

The essentials of sensitivity analysis needed for computing the derivative of a criterion-functional with respect to input data are presented in Chapter XI, Section 25. Attention is paid to both discretized and nondiscretized problems.

To assist the readers who need to brush up and complete their mathematical background, and to give them the basic mathematical tools used in the book, we incorporate Section 26 in Chapter XI. It contains relevant essentials of the theory of function spaces, convex and functional analysis, and variational methods.

Readers not interested in theoretical results may skip Chapter II and Subsections 4.3, 5.3, 6.4, 7.1, 11.2, 11.7, 13.4, 14.4, 14.5, 16.4, 17.3, 17.6, 20.3, 20.4, and 21.3.

For illustration of practical results, we recommend Subsections 4.5, 8.1, 8.2, 9.1, 9.2, 9.5, 11.1–11.3, 24.3, and Section 22.

Let us add a few comments on the worst scenario method.

Well-posedness. The method is significant for assessing the well-posedness of a state problem with respect to uncertain input data.

If applied to mathematical models reflecting reality by means of a well-posed state problem, the method gives the worst scenario that can be considered as reasonable or not beyond expected range. If, however, the state problem is not well-posed with respect to uncertainty, then the resulting worst scenario is strange or extremely bad.

The commonly formulated Neumann boundary value problem shows such ill-posedness with respect to an uncertain boundary of the domain of definition. As well-posedness is highly desirable and ill-posed problems should be avoided, the suggested remedy consists in taking the physical background into account and in a proper reformulation of the state problem; see Section 23 in Chapter X.

Relation to optimal design. The methods and algorithms of the theory of optimal design can be beneficially used in the worst scenario approach.

Indeed, the worst scenario approach can be viewed as an optimal design approach with the opposite sign, i.e., as an anti-optimization. The formulation of the maximization problem (0.2) coincides with the formulation used in optimal design; cf. (Haug and Arora, 1979), (Haug et al., 1986), (Haslinger and Neittaanmäki, 1996), (Neittaanmäki et al., 1996), (Litvinov, 2000), (Delfour and Zolésio, 2001), (Stanley and Stewart, 2002), and others.

A rich mathematical apparatus is available for optimal design and, consequently, for the worst scenario method. From a practical point of view, sensitivity analysis and nonlinear programming are of the greatest use.

Applicability and solvability. The worst scenario approach can be applied to any mathematical model with input data because any input can be uncertain.

In general, however, it can be quite difficult or even impossible to guarantee the existence of the worst scenario if functional Φ and the admissible set Uad are not properly chosen. To obtain the existence, we use Ud throughout the entire book. In other words, we employ a restricted set of admissible data to have compact Uad.

Another approach, also usable in the worst scenario method, would be based on relaxing restrictions that limit input data. It results in Uad compact in a topology different from that of continuous functions. Relaxation techniques are used in optimal topology and material design; see (Bendsøe, 1995), (Cherkaev, 2000), (Cherkaev and Kohn, 1997), or (Roubíček, 1997), for example.

Special circumstances can facilitate the search for a worst scenario. Take, for example, a boundary value problem defined through an invertible linear operator T and an uncertain right-hand side f, where the solution u = T‒1(f) is proportional to the input data f.

We can expect that the prediction of a worst scenario will not be easy if the behavior of a mapping a ) Φ(a, u(a)) is difficult to predict. This appears above all in nonlinear state problems.

Such a rule of thumb has its exceptions because the physical origin of a state problem can also suggest, under special circumstances, what the worst scenario looks like. This is demonstrated through nonlinear steady heat flow problems solved in Subsections 4.5 and 4.6.

Non-uniqueness of the state. The worst scenario method is applicable even if the state problem has more than one solution.

In fact, problem (0.2) is easy to recast. Let K(a) be the set of all state solutions corresponding to a particular parameter a Uad. Then, instead of (0.2), we solve the following modified worst scenario problem:

The approximate worst scenario problem can be formulated in a parallel way if the approximate state problem has more than one solution; see Subsection 4.2 or 12.2.


The material for this book originated from the products of various research projects funded by Czech and US grant agencies and foundations. Preparing and finalizing the manuscript was made possible through grants no. 201/01/1200 and no. 201/02/1058 from the Grant Agency of the Czech Republic. We gratefully acknowledge this funding.

The book incorporates original or modified portions of the textual and pictorial material already published in various journals. We thank:

(1) the Mathematical Institute of the Academy of Sciences of the Czech Republic for permission to use (Chleboun, 2003) in Section 2 (including Figure 2.9), (Hlaváček, 1996) in Section 17, (Hlaváček, 1998) in Section 15, (Hlaváček, 2002a) in Section 12 (including Figures 12.1-12.8), and (Lovíšek, 2003) in Section 7;

(2) the Institute of Mathematics of the Polish Academy of Sciences for permission to use (Hlaváček and Lovíšek, 2001) and (Hlaváček and Lovíšek, 2002) in Section 11;

(3) the Society for Industrial and Applied Mathematics for permission to use (Hlaváček, 2001a) in Section 18;

(4) the American Mathematical Society for permission to use (Babuška and Chleboun, 2002) in Section 23;

(5) Springer-Verlag for permission to use (Babuška and Chleboun, 2003) in Section 24 (including Figure 24.1 and Figure 24.2);

(6) Elsevier for permission to use (Hlaváček, 1997b) in Section 3 and Section 4, (Hlaváček, 1997a), (Chleboun, 1999), and (Chleboun, 2001) in Section 4 (including Figures 4.1–4.3), (Hlaváček and Chleboun, 2000) in Section 8 (including Figure 8.1 and Figure 8.2), (Hlaváček and Nedoma, 2004) in Section 14, (Hlaváček et al., 2004) in Section 22 (including Figures 22.1–22.4), and for permission to reprint (Babuška and Oden, 2004) as the Appendix;

(7) John Wiley & Sons, Inc., for permission to use (Hlaváček, 1999b) in Section 6, (Hlaváček, 1999a) in Section 13, (Hlaváček, 2001c) in Section 16, and (Hlaváček, 2002c) in Section 19;

(8) the World Scientific Publishing Company for permission to use (Hlaváček, 2001b) in Section 16 and (Hlaváček, 2002b) in Section 20;

(9) Oxford University Press for permission to use (Hlaváček, 2003a) in Section 9.

We thank Professor J. T. Oden for his kind permission to include (Babuška and Oden, 2004) as the Appendix, and also Professor J. Lovíšek, Dr. M. Tužilová, and Mr. V. Krištof for allowing us to use some parts of their respective works (Lovíšek, 2003), (Tužilová, 2003), and (Krištof, 2004).

We are grateful to Ms. J. Bakker of Elsevier Science and Professor J. D. Achenbach, the editor of Applied Mathematics and Mechanics, for their kind assistance in the preparation of this book.

We wish to thank Dr. T. Vejchodský, Ms. E. Ritterová, and Ms. K. Radová from the Mathematical Institute of the Academy of Sciences of the Czech Republic for their cooperation in typing the LATEX-files, and Dr. K. Horák for his expert advice on LATEX typesetting. We are indebted to Dr. R. Haas, also from the Academy, for his help in editing the language of the manuscript.

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