Design Sensitivity Analysis: Overview and Review

Daniel A. Tortorelli
Department of Mechanical and Industrial Engineering and
Department of Theoretical and Applied Mechanics
University of Illinois at Champaign-Urbana
and
Panagiotis Michaleris
Department of Theoretical and Applied Mechanics
University of Illinois at Champaign-Urbana
Abstract
Design sensitivity analysis plays a critical role in inverse and identication studies, as well as
numerical optimization, and reliability analyses. Herein, we review the state of design sensitivity
analysis as it applies to linear elliptic systems. Both rst- and second-order sensitivities are
derived as well as rst-order sensitivities for symmetric positive denite eigenvalue systems.
Although these results are not new, some of the derivations oer a dierent perspective than
those previously presented. This article is meant as a tutorial, and as such, a simple two-
degree-of-freedom spring system is employed to exemplify the sensitivity analyses. However, the
concepts presented in this trivial example may be readily extended to compute sensitivities for
complex systems via numerical techniques such as the nite element, boundary element, and
nite dierence methods.
1 Introduction
Design sensitivity analysis plays a critical role in inverse and identication studies, as
well as numerical optimization, and reliability analyses. For inverse and identication
analyses, error functions quantify the discrepancy between experimentally measured and
analytically predicted response data. Sensitivity analyses are then preformed to evaluate the
gradients of the error functions with respect to the model parameters used in the analysis.
The sensitivities are then used to modify the unknown model parameters to correlate the
predicted and experimental response data. For example, the stiness parameters in a
structural model are modied through sensitivity analysis to correlate the frequency data.
Sensitivity information is also valuable in its own right. Indeed, we may determine how
the value of a given response function, say F, changes with respect to a given change in
the model parameters, say x. For small perturbations |x|, this information is obtained
1
In: Inverse Problems in Engineering, 1: 71-103, 1994 2
through a rst-order Taylor series expansion,
F(x + x) = F(x) +F(x) x + o(|x|)
where x is the vector of the model parameters. If the response function F, e.g. the stress at a
point of a structural system, is evaluated through a numerical analysis such as a nite element
method, then we may predict how the response function value varies for small perturbations
in the model parameters without performing a re-analysis (see [1] for structural mechanic and
[2] for nuclear reactor design applications). Thus, the sensitivities oer an ecient means to
predict the performance of modied models.
Much work has been performed in the eld of design sensitivity analysis. Most notably,
perhaps, is the work in structural mechanics with applications to structural optimization.
For example see the books [3, 4, 5, 6, 7, 8, 9], the journal [10] and the NATO ASI proceedings
[11, 12, 13] for a wide range of sensitivity derivations with applications to numerous structural
systems. Some of the pioneering work in this eld traces back to the analytical optimization
of simple structures via adjoint approaches and variational principles, [14, 15, 16, 17, 18].
Numerical evaluation of the sensitivities appeared sporadically prior to the eighties after
which it became commonplace.
Sensitivities are derived for numerous structural systems. For example, in linear
elastostatics, we cite derivations for continuum systems [1, 19, 20, 21, 22, 23, 24, 25, 26,
27, 28, 29, 30, 31, 32, 33, 34, 35, 36] and structural systems (i.e. beams, plates, and
shells) [37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50]. Sensitivities are derived
with respect to material parameters which may be used, for example in the design of
composite materials [24, 39, 43, 47, 48, 49], sectional parameters which describe beams,
plates, and shells [38, 40, 41, 45], and shape parameters which describe the bodys geometry
[1, 21, 22, 23, 25, 26, 27, 28, 29, 30, 31, 32, 33, 34, 35, 36, 42, 44, 46, 50]. Sensitivities
have also been derived for nonlinear structural systems. Nonlinear elastic formulations
may be found in [51, 52, 53, 54, 55, 56, 57, 58] viscoelastic formulations appear in
[59, 60, 61] and history dependent material response (e.g. plasticity) formulations appear in
[62, 63, 64, 65, 66, 67, 68, 69]. Eigenvalue and frequency response sensitivity formulations
are investigated in [70, 71, 72, 73, 74]. Finally, sensitivities for elastodynamic systems appear
in [75, 76, 77, 78] and for contact problems see [79, 80]
Sensitivities have also been derived for other classes of problems. For example,
sensitivities for thermal systems are derived in [81, 82, 83, 84, 85, 86, 87, 88]. These results
are combined with structural sensitivity analyses to formulate sensitivities for thermoelastic
systems in [89, 90, 91, 92, 93]. Meanwhile, sensitivity formulations for uid dynamic systems
appear in the proceedings [94, 95]. In the area of rigid body mechanics, see [96, 97, 98, 99] for
In: Inverse Problems in Engineering, 1: 71-103, 1994 3
sensitivity results. In regard to piezoelectric structures, magnetics, groundwater ow, general
eld problems, and chemical reaction rates, sensitivities are computed in [100], [101, 102],
[103, 104, 105], [106] and [107, 108, 109, 110], respectively. Sensitivity analyses have also
been used to solve the various problems encountered in the design of nuclear reactors, see
[2, 111, 112, 113]. General formulations for the sensitivity analyses of coupled systems appear
in [114, 115, 116, 117]. Finally, sensitivity analyses appear in the control arena [118].
Sensitivity applications are numerous. In addition to their application in structural
optimization, we cite optimization applications for various other systems, for example
see the proceedings Multi-Disciplinary Optimization Conferences [95]. Sensitivities are
also embedded in inverse conduction [119, 120, 121, 122, 123, 124] and inverse elasticity
[125, 126] analyses. Likewise, sensitivities appear in nondestrucive evaluation [127, 128],
modal identication [129, 130] chaos prediction [131], nonlinear programming [132, 133, 134]
and reliability, probability and stochastic analyses [135, 136, 137, 138, 139, 140].
In the sequel, both rst- and second-order sensitivities are derived for linear elliptic
systems while rst-order sensitivities are derived for symmetric positive denite eigenvalue
systems. Although these results are not new, some of the derivations, oer a dierent
perspective than those previously presented. This article is meant as a tutorial, and as
such, a simple two-degree-of-freedom spring system is employed to exemplify the sensitivity
analyses. However, the concepts presented in this trivial example may be readily extended
to compute sensitivities for complex systems via numerical techniques such as the nite
element, boundary element, and nite dierence methods.
2 Linear Elliptic Systems
Presently, we focus our attention on linear elliptic systems. For such systems, we may
evaluate the response u at any point in the body through the following equation
K(x)u(x) = P(x) (1)
subject to the appropriate boundary conditions. Here K is a linear dierential operator
in space and is an explicit function of the n-dimensional design vector x. The elements of
x comprise the set of design parameters and are used to describe the material response,
sectional properties, load data, and geometry of the domain.
1
The load data F, is also
an explicit function of the design x. Finally, the response u, is an implicit function of the
1
Here we use the terminology design parameters rather than model parameters in regard to their application to
optimization. These parameters could just as easily be those unknown model parameters in an inverse or identication
study.
In: Inverse Problems in Engineering, 1: 71-103, 1994 4
design x as seen through the above equation. The above system governs many problems, for
example linear elastostatics and linear steady-state conduction.
Without loss of generality, we discretize the above system for the numerical evaluation of
u, e.g. by the nite element, boundary element, or nite dierence methods.
2
Then K, F,
and u are the mm stiness matrix, the m-dimensional load vector, and the m-dimensional
displacement vector, respectively, where m is the number of degrees of freedom.
3
One
performs a nite element (or similar) analysis to evaluate the system response u and then
uses this system response to evaluate the response function F which we dene through
F(x) = G(u(x), x) (2)
The objective of the sensitivity problem, then, is to compute the derivative, or sensitivity,
of the above, i.e.
DF
Dx
(x) =
G
u
(u(x), x)
Du
Dx
(x) +
G
x
(u(x), x) (3)
where we invoked the chain rule. The diculty of evaluating the above is due to the presence
of the derivative
Du
Dx
which is implicitly dened through equation 1, and therefore it is
generally unknown.
Example 1 Consider the spring system illustrated in gure 1. We may compute the deection
u by solving the system
Ku = P
where
K =
_
k
1
+k
2
k
2
k
2
k
2
_
, and P =
_
P
1
P
2
_
The result is seen to be u = [3, 4] for the case in which k
1
= 1, k
2
= 2, P
1
= 1, and P
2
= 2. We
can also evaluate this result symbolically as
u
1
=
(P
1
+P
2
)
k
1
u
2
=
(k
2
P
1
+ (k
1
+k
2
)P
2
)
k
1
k
2
In regard to the sensitivity analysis, we consider u as the system response and x = [k
1
, k
2
, P
1
, P
2
]

4
as the design parameter vector.
2
There has been considerable discussion regarding the equivalence of sensitivity analyses performed before and
after the discretization of the system equation (c.f. equation 1). However, as noted and exemplied in [69, 141] and
in section 2.5, the analyses are entirely equivalent if the proper care is taken.
3
Here we use the entrenched terminology of the structural community.
In: Inverse Problems in Engineering, 1: 71-103, 1994 5
Figure 1: Loaded springs k
1
= 1, k
2
= 2, P
1
= 1, and P
2
= 2.
Now suppose we treat the load as xed, i.e. P
1
and P
2
are not allowed to vary. This seems
reasonable for design problems, for we could otherwise reduce to zero the structural weight by merely
eliminating the load. At any rate, the design then reduces to the spring constants, x = [k
1
, k
2
]
2
,
which is specied by the engineer who designs the system.
Suppose we wish to determine how the compliance of the design is aected by a change in the
spring constants. The compliance is computed from
F(x) = G(u(x), u) = P
1
u
1
(x) +P
2
u
2
(x) =
P
1
(P
1
+P
2
)
k
1
+
P
2
(k
2
P
1
+ (k
1
+k
2
)P
2
)
k
1
k
2
from which we obtain
F(x) =
_
_

(P
1
+P
2
)
2
k
1
2

P
2
2
k
2
2
_
_
=
_
9
1
_
Thus, an increase in the stiness of spring 1 would decrease the compliance nine times greater than
an equal increase of spring 2.
From the above, we also nd that
Du(x) =
_
Du
1
Dk
1
Du
1
Dk
2
Du
2
Dk
1
Du
2
Dk
2
_
=
_

P
1
+P
2
k
1
2
0

P
1
+P
2
k
1
2

P
2
k
2
2
_
=
_
3 0
3 0.5
_
In the previous example, we evaluated the response symbolically so that the response u
and response function F are explicit in the design x. In general this is not possible, so we
devise means to evaluate the sensitivities when u and hence F are not explicit functions
of x. In following, we describe three such methods, the nite dierence method, the direct
dierentiation method, and the adjoint method.
In: Inverse Problems in Engineering, 1: 71-103, 1994 6
2.1 Finite Dierence Method
The nite dierence method is undoubtedly the easiest method to implement, however, it
suers from computational ineciency and possible errors.
2.1.1 General nite dierence computations
In the nite dierence method, we utilize the Taylor series expansion to approximate to the
derivative. Consider our function, F and the expansion
F(x + x
i
) = F(x) +
i
F(x) x
i
+ o(x
2
i
)
where
i
F is the i-th component of the gradient F and
x
i
= [0, 0, ..., 0,
i-th component
..
x
i
, 0, ..., 0]
represents the design perturbation. The above is solved for F
i
(x) to obtain the forward-
dierence approximation

i
F(x) =
(F(x + x
i
) F(x))
x
i
+ o(x
i
)
where we see that the truncation error of the approximation is of order o(x
i
). Thus,
a smaller x
i
yields a more accurate approximation. However, if x
i
is too small, then
numerical round-o error will erode the accuracy of the computations.
The backward dierence approximation is similarly obtained as

i
F(x) =
(F(x) F(x x
i
))
x
i
+ o(x
i
)
To obtain a second-order accurate approximation we subtract the following expansions
F(x + x
i
) = F(x) +
i
F(x) x
i
+
1
2
x
i
D
2
F(x)x
i
+ o(x
3
i
)
F(x x
i
) = F(x)
i
F(x) x
i
+
1
2
x
i
D
2
F(x)x
i
o(x
3
i
)
The resulting central dierence approximation

i
F(x) =
(F(x + x
i
) F(x x
i
))
2x
i
+ o(x
2
i
)
is second-order accurate.
In: Inverse Problems in Engineering, 1: 71-103, 1994 7
2.1.2 Finite dierence sensitivities
We may use the nite dierence method to compute the sensitivities for our general response
function. For example, the forward dierence method gives

i
F(x) =
(F(x + x
i
) F(x))
x
i
+ o(x
i
)
=
(G(u(x + x
i
), x + x
i
) G(u(x), x))
x
i
+ o(x
i
)
where we obtain u(x + x
i
) by solving
K(x + x
i
)u(x + x
i
) = P(x + x
i
)
Thus, for each parameter in x we must perform a complete re-analysis. This is an extremely
costly proposition. Further, as seen in the following example, the results are not exact and
may experience truncation and round-o errors, so that several perturbation sizes i.e. x
i
,
may be necessary to verify that reliable results are obtained.
For these reasons, the nite dierence method is viewed as a last resort for computing
sensitivities.
Example 2 Refer to example 1. Here, nite dierence computations are performed to evaluate
the sensitivities of the compliance F for the various perturbation values denoted in tables 1 and 2.
Results are tabulated for the forward, and central nite dierences and are seen to agree with the
results of example 1 for the appropriate perturbation sizes. The rst two columns for each table
list sensitivities with respect to x
1
and the last two columns list sensitivities with respect to x
2
.
The two tables denote results for double and single precision computations, respectively. As seen
from the tables when x is too large truncation errors aect the result whereas round-o errors
aect the results when x is too small. Further note that the higher-order approximation yields a
more accurate result and that the double precision computations are more reliable, as expected.
2.2 Direct Dierentiation Method
In the direct dierentiation method, we evaluate the derivative
Du
Dx
and then compute the
sensitivities from equation 3, which is shown here in component form
DF
Dx
i
(x) =
G
u
(u(x), x)
Du
Dx
i
(x) +
G
x
i
(u(x), x) (4)
for the i = 1, 2, ..., n components of x.
In: Inverse Problems in Engineering, 1: 71-103, 1994 8
Perturbation size component x
1
component x
2
Forward Central Forward Central
0.1E+00 -8.18181818 -9.09090909 -.952380952 -1.00250627
0.1E-01 -8.91089109 -9.00090009 -.995024876 -1.00002500
0.1E-02 -8.99100899 -9.00000900 -.999500250 -1.00000025
0.1E-03 -8.99910009 -9.00000009 -.999950002 -1.00000000
0.1E-04 -8.99991000 -9.00000000 -.999995000 -1.00000000
0.1E-05 -8.99999100 -9.00000000 -.999999500 -1.00000000
0.1E-06 -8.99999911 -9.00000000 -.999999941 -.999999994
0.1E-07 -8.99999986 -9.00000003 -.999999905 -.999999994
0.1E-08 -9.00000074 -8.99999986 -1.00000008 -1.00000008
0.1E-09 -9.00000074 -9.00000074 -1.00000008 -1.00000008
0.1E-10 -9.00008956 -9.00008956 -1.00008890 -1.00008890
0.1E-11 -9.00080011 -8.99991193 -1.00008890 -1.00008890
0.1E-12 -8.98836561 -8.99724739 -.994759830 -.994759830
0.1E-13 -9.05941988 -9.05941988 -1.06581410 -1.06581410
0.1E-14 -10.6581410 -9.76996262 0.000000000 -.888178420
0.1E-15 0.000000000 -8.88178420 0.000000000 0.000000000
0.1E-16 0.000000000 0.000000000 0.000000000 0.000000000
Table 1: Finite dierence computations in double precision.
Perturbation size component x
1
component x
2
Forward Central Forward Central
0.1E+00 -8.18181992 -9.09090996 -.952386856 -1.00250721
0.1E-01 -8.91094208 -9.00092125 -.995063782 -1.00002289
0.1E-02 -8.99124146 -8.99982452 -.999450624 -.999927461
0.1E-03 -9.00268555 -9.00268555 -1.00135803 -1.00135803
0.1E-04 -8.96453857 -8.96453857 -1.04904175 -1.04904175
0.1E-05 -8.58306885 -8.58306885 -.953674316 -.953674316
0.1E-06 -9.53674316 -14.3051147 0.000000000 0.000000000
0.1E-07 0.000000000 0.000000000 0.000000000 0.000000000
Table 2: Finite dierence computations in single precision.
In: Inverse Problems in Engineering, 1: 71-103, 1994 9
To compute the derivative
Du
Dx
, we dierentiate the system equation (c.f. equation 1)
with respect to the individual design parameters, i.e.
DK
Dx
i
(x)u(x) +K(x)
Du
Dx
i
(x) =
DP
Dx
i
(x)
which is rearranged to give
K(x)
Du
Dx
i
(x) =
DP
Dx
i
(x)
DK
Dx
i
(x)u(x) (5)
The above pseudo problem may be solved for the pseudo response
Du
Dx
i
(x). Note that this
equation resembles the original primal analysis K(x)u(x) = P(x). So if the decomposed
stiness matrix, K
1
(x)
4
has been stored, then the derivatives
Du
Dx
i
(x) may be eciently
computed by merely forming the pseudo load
DP
Dx
i
(x)
DK
Dx
i
(x)u(x) and then performing a
back substitution. This process is repeated for each of the n parameters in x, whereupon
the sensitivities may be evaluated from equation 4 for any number of response functions
(c.f. equation 2).
In contrast to the nite dierence method, these results are exact (for the numerical
solution) and cost ecient as they do not require additional stiness matrix assemblies and
decompositions for each design parameter perturbation.
Example 3 Refer to example 1. Here we use the direct dierentiation method to evaluate the
sensitivities. Using equation 4 then gives
DF
Dx
i
(x) =
G
u
(u(x), x)
Du
Dx
i
(x) +
G
x
i
(u(x), x)
=
_
P
1
P
2
_
_
Du
1
Dx
i
(x)
Du
2
Dx
i
(x)
_
+ 0
where we note that
G
x
(u(x), x) = 0. The objective now is to evaluate the
Du
Dx
i
(x). Toward this
end, we use equation 5
Du
Dx
i
(x) = K
1
(x)
_
DP
Dx
i
(x)
DK
Dx
i
(x)u(x)
_
where, from the primal analysis of equation 1, we have determined
u(x) =
_
3
4
_
K
1
(x) =
_
1 1
1 1.5
_
with x = [1, 2]. We also recall that
K(x) =
_
k
1
+k
2
k
2
k
2
k
2
_
, and P(x) =
_
P
1
P
2
_
4
The inverse is shown for symbolic reasons.
In: Inverse Problems in Engineering, 1: 71-103, 1994 10
For i = 1 with x
1
= k
1
: we have
DP
Dx
1
(x) = 0
DK
Dx
1
(x)u(x) =
_
1 0
0 0
_ _
3
4
_
=
_
3
0
_
so that
Du
Dx
1
(x) =
_
1 1
1 1.5
_ __
0
0
_

_
3
0
__
=
_
3
3
_
The compliance sensitivity may now be computed from equation 4
DF
Dx
1
(x) =
_
1 2
_
_
3
3
_
= 9
which agrees with the result of example 1.
For i = 2 with x
2
= k
2
: we have
DP
Dx
2
(x) = 0
DK
Dx
2
(x)u(x) =
_
1 1
1 1
_ _
3
4
_
=
_
1
1
_
so that
Du
Dx
2
(x) =
_
1 1
1 1.5
_ __
0
0
_

_
1
1
__
=
_
0
0.5
_
The compliance sensitivity is then given from
DF
Dx
2
(x) =
_
1 2
_
_
0
0.5
_
= 1
which also agrees with the result of example 1.
Finally, the sensitivity components are combined to give
F(x) =
_
9
1
_
which again agrees with the result of example 1.
In: Inverse Problems in Engineering, 1: 71-103, 1994 11
2.3 Adjoint Method
In the adjoint method, we eliminate the derivative
Du
Dx
from equation 3. This is accomplished
via the Lagrange multiplier method where we combine equations 2 and 1 to dene the
augmented function

F(x) = G(u(x), x) (x) (K(x)u(x) P(x)) (6)

Here acts as the Lagrange multiplier and is an arbitrary m dimensional vector. Note that

F(x) = F(x) since the augmented term K(x)u(x) P(x) equals zero (c.f. equation 1).
Dierentiation of the above gives
D

F
Dx
i
(x) =
G
u
(u(x), x)
u
x
i
(x) +
G
x
i
(u(x), x)
D
Dx
i
(x) (K(x)u(x) P(x))
(x)
_
DK
Dx
i
(x)u(x) +K(x)
Du
Dx
i
(x)
DP
Dx
i
(x)
_
(7)
where again we note that
D

F
Dx
i
(x) =
DF
Dx
i
(x) because the last two quantities in parentheses,
K(x)u(x) P(x) and
D(KuP)
Dx
i
(x), equal zero (c.f. equations 1 and 5).
Rearranging equation 7 gives
D

F
Dx
i
(x) =
_
G
x
i
(u(x), x) (x)
_
DK
Dx
i
(x)u(x)
DP
Dx
i
(x)
__
+
Du
Dx
i
(x)
_
G
u
(u(x), x) K
T
(x)(x)
_
(8)
where we used equation 1 to eliminate the
D
Dx
i
(x) (K(x)u(x) P(x)) term and ()
T
denotes
the transpose operator. Since is arbitrary, we may select it to annihilate the coecient
of the
Du
Dx
i
(x) term. Then the unknown derivative
Du
Dx
i
is eliminated from the sensitivity
expression and we may compute the sensitivities from the rst bracketed quantity in equation
8.
In light of the previous comments and equation 8, we solve the following adjoint problem
K
T
(x)(x) =
G
u
(u(x), x) (9)
to determine the adjoint response . Once the adjoint response is evaluated, the implicit
response derivative
Du
Dx
i
(x) is annihilated and equation 8 reduces to
D

F
Dx
i
(x) =
_
G
x
i
(u(x), x) (x)
_
DK
Dx
i
(x)u(x)
DP
Dx
i
(x)
__
(10)
In: Inverse Problems in Engineering, 1: 71-103, 1994 12
which is the desired sensitivity.
The adjoint method requires the solution of one adjoint problem (c.f. equation 9),
for each response function. This problem is of the same form of the system equation (c.f.
equation 1), where we replace the primal load P with the adjoint load
G
u
. Note that we use
the transpose (or adjoint) stiness matrix, however the system is often symmetric so that
K = K
T
. Therefore, like the direct dierentiation method, the adjoint response is eciently
computed by forming the adjoint load and performing a back substitution into the existing
stiness matrix.
5
Thus, this method also yields exact (for the numerical solution) and
ecient results when compared to the nite dierence method.
Example 4 Refer to examples 1 and 3. Here we use the adjoint method to evaluate the
sensitivities. Using equation 9 and the results of example 3 gives
(x) = K
T
(x)
G
u
(u(x), x)
=
_
1 1
1 1.5
_ _
1
2
_
=
_
3
4
_
For this particular example, (x) = u(x).
Now we use equation 10 and the results of example 3 to obtain
For i = 1:
D

F
Dx
1
(x) =
_
G
x
1
(u(x), x) (x)
_
DK
Dx
1
(x)u(x)
DP
Dx
1
(x)
__
= 0
_
3
4
_

_
3
0
_
= 9
And for i = 2:
D

F
Dx
2
(x) =
_
G
x
2
(u(x), x) (x)
_
DK
Dx
2
(x)u(x)
DP
Dx
2
(x)
__
= 0
_
3
4
_

_
1
1
_
= 1
so that
F(x) =
_
9
1
_
which agrees with the previous results
5
If K = K
T
then the system may still be eciently solved using the standard LU decomposition techniques [142].
In: Inverse Problems in Engineering, 1: 71-103, 1994 13
2.4 Comparison of the Direct Dierentiation and Adjoint methods
The terms computed in the direct and adjoint methods are identical, however they serve
dierent purposes. Both analyses require computation of the explicit design derivative
G
x
i
(u(x), x). The
G
u
(u(x), x) term is used as the dual to the pseudo response in the direct
method and as the adjoint load in the adjoint method. Likewise the,
_
DK
Dx
i
(x)u(x)
DP
Dx
i
(x)
_
quantity serves as the pseudo load in the direct method and as the dual to the adjoint
response in the adjoint method. In contrasting the two methods, the adjoint method
requires the solution of one adjoint problem for each response function F, whereas the direct
dierentiation method requires the solution of one pseudo problem for each of the n design
parameters in x. Thus, if the number of response functions q exceeds the number of design
parameters n, the direct method is preferable, and vice versa.
2.5 Analytical vs. Numerical Sensitivity Analysis
The sensitivity results obtained here are derived after the system has been discretized for the
numerical analysis. Alternatively, we could have derived the sensitivities by dierentiating
the necessary quantities prior to the numerical discretization. The two techniques yield
identical results if the numerical discretizations are performed in a consistent manner
[69, 141]. For example, in the nite element method, this requires that identical numerical
quadratures be used to perform all integrations. Obviously, the numerical technique must be
able to perform the requested pseudo or adjoint analyses. For example, in the displacement
based nite element method, it is impossible to apply discontinuous essential boundary
conditions, therefore, it is not possible to simulate the pseudo or adjoint problems which
require such loadings so that the resulting sensitivity analyses cannot be performed.
2.6 Semi-analytical Method
In the semi-analytical method, some or all of the derivatives,
G
u
,
G
x
,
DK
Dx
, and
DP
Dx
are
evaluated via the nite dierence method. Then either the direct or adjoint methods may
be used to compute the sensitivities. This method oers the simplicity of the nite dierence
method and enjoys the eciency of the analytical direct and adjoint methods. Caution must
be exercised here, as truncation and round-o errors may aect the results [143, 144].
2.7 Logarithmic Sensitivity Analysis
When comparing explicitly computed, i.e. direct or adjoint, sensitivities to nite dierence
sensitivities, discrepancies may appear when the logarithmic sensitivity is small. The
In: Inverse Problems in Engineering, 1: 71-103, 1994 14
logarithmic sensitivity [9] is dened as
D
l
F
Dx
i

Dlog(F)
Dlog(x
i
)
=
DF
Dx
i
x
i
F
(11)
where
D
l
F
Dx
i
is the logarithmic sensitivity, x
i
is the i-th component of the design perameter
vector x. The logarithmic sensitivity quanties the relative eect between design and
response changes, as seen through
F
F
=
1
F
DF
Dx
i
x
i
=
D
l
F
Dx
i
x
i
x
i
(12)
Therefore, if the logarithmic sensitivity is small, then relatively large design perturbations
will not signicantly aect the response value. In such instances, round-o errors erode the
accuracy of the nite dierence sensitivity computations.
2.8 Second-order Sensitivity Analysis
In a second-order sensitivity analysis we evaluate the second-order derivatives of the
generalized response function F(x) = G(u(x), x). Recall that in the rst-order sensitivity
analysis the sensitivity of the functional F is computed from equation 4
DF
Dx
i
(x) =
G
u
(u(x), x)
Du
Dx
i
(x) +
G
x
i
(u(x), x)
for the i = 1, 2, ..., n components of x.
To form the second-order sensitivities we dierentiate the above equation with respect to
the j = 1, 2, ..., n components of x
D
2
F
Dx
i
Dx
j
=

2
G
ux
j
Du
Dx
i
+
Du
Dx
j

2
G

2
u
Du
Dx
i
+
G
u
D
2
u
Dx
i
Dx
j
+

2
G
x
i
x
j
+

2
G
x
i
u
Du
Dx
j
(13)
where we invoked the chain rule and the arguments have been omitted for conciseness, a
practice we continue throughout this section.
Example 5 Here we evaluate second-order sensitivities of the problem posed in example 1
analytically. The compliance was computed as
F(x) = G(x) = P
1
u
1
+P
2
u
2
=
P
1
(P
1
+P
2
)
k
1
+
P
2
(k
2
P
1
+ (k
1
+k
2
)P
2
)
k
1
k
2
In: Inverse Problems in Engineering, 1: 71-103, 1994 15
from which we obtain
D
2
F(x) =
_
_
2(P
1
+P
2
)
2
k
1
3
0
0
2P
2
2
k
2
3
_
_
=
_
18 0
0 1
_
From the results of example 1 we may also compute the second-order derivatives of the deection
u and response functional G
D
2
u
1
(x) =
_
2(P
1
+P
2
)
k
1
3
0
0 0
_
=
_
6 0
0 0
_
and
D
2
u
2
(x) =
_
2(P
1
+P
2
)
k
1
3
0
0
2P
2
k
2
3
_
=
_
6 0
0
1
2
_
and recalling that
G
u
(u(x), x) =
_
P
1
P
2
_
=
_
1 2
_
we obtain the results

2
G

2
u
(x) = 0,

2
G
ux
(x) = 0, and

2
G

2
x
(x) = 0
Recall that, u and F are generally not explicit in x, so that
Du
Dx
i
,
Du
Dx
j
and
D
2
u
Dx
i
Dx
j
are
implicitly dened quantities. For such cases, explicit methods are devised to compute the
sensitivities. In the following we describe the direct dierentiation method, the adjoint
method and the hybrid method for a second-order sensitivity analysis.
2.8.1 Direct Dierentiation Method
As in the rst-order sensitivity analysis, with the direct dierentiation method we evaluate
the implicit terms
Du
Dx
i
,
Du
Dx
j
and
D
2
u
Dx
i
Dx
j
. The derivatives
Du
Dx
i
and
Du
Dx
j
are evaluated in rst-
order sensitivity analysis from equation 5
K(x)
Du
Dx
i
(x) =
DP
Dx
i
(x)
DK
Dx
i
(x)u(x)
To evaluate
D
2
u
Dx
i
Dx
j
we dierentiate the above with respect to x
j
, which, after re-arranging
becomes
K
D
2
u
Dx
i
Dx
j
=
D
2
P
Dx
i
Dx
j

D
2
K
Dx
i
Dx
j
u
DK
Dx
i
Du
Dx
j

DK
Dx
j
Du
Dx
i
(14)
The above pseudo problem may be solved for the pseudo response
D
2
u
Dx
i
Dx
j
. As in the rst-
order sensitivity analysis, equation 14 resembles the original primal analysis Ku = P.
In: Inverse Problems in Engineering, 1: 71-103, 1994 16
Assuming that the decomposed stiness matrix K
1
has been stored, then the derivatives
D
2
u
Dx
i
Dx
j
are eciently computed by forming the pseudo load
D
2
P
Dx
i
Dx
j

D
2
K
Dx
i
Dx
j

DK
Dx
i
Du
Dx
j

DK
Dx
j
Du
Dx
i
and then performing a back substitution. After computing the pseudo response
D
2
u
Dx
i
Dx
j
, the
sensitivities
D
2
F
Dx
i
Dx
j
are computed from equation 13.
Example 6 Refer to examples 1, 3 and 5. Here we evaluate second-order sensitivities using the
direct dierentiation method. We use equation 14 to solve for the unknown derivatives
D
2
u
Dx
i
Dx
j
and equation 13 to compute the sensitivities. The derivatives
Du
Dx
i
were computed in example 3
and as seen in example 5, D
2
P(x) = 0 and D
2
K(x) = 0 so that equation 14 reduces to
K(x)
D
2
u
Dx
i
Dx
j
(x) =
DK
Dx
i
(x)
Du
Dx
j
(x)
DK
Dx
j
(x)
Du
Dx
i
(x)
and equation 13 gives
D
2
F
Dx
i
Dx
j
(x) =
G
u
(u(x), x)
D
2
u
Dx
i
Dx
j
(x)
For i = 1 and j = 1: we form the pseudo load
K(x)
D
2
u
Dx
2
1
(x) = 2
DK
Dx
1
(x)
Du
Dx
1
(x) = 2
_
1 0
0 0
_ _
3
3
_
=
_
6
0
_
so that
D
2
u
Dx
2
1
becomes
D
2
u
Dx
2
1
(x) = 2K
1
(x)
DK
Dx
1
(x)
Du
Dx
1
(x) =
_
1 1
1 1.5
_ _
6
0
_
=
_
6
6
_
and the sensitivity is computed from equation 13
D
2
F
Dx
2
1
(x) =
G
u
(u(x), x)
D
2
u
Dx
2
1
(x) =
_
1 2
_
_
6
6
_
= 18
For i = 1 and j = 2: likewise we form the pseudo load
K(x)
D
2
u
Dx
1
Dx
2
(x) =
DK
Dx
1
(x)
Du
Dx
2
(x)
DK
Dx
2
(x)
Du
Dx
1
(x) =
_
0
0
_
so that
D
2
u
Dx
1
Dx
2
(x) =
_
0
0
_
and
D
2
F
Dx
1
Dx
2
(x) = 0
For i = 2 and j = 2: we similarly obtain
K(x)
D
2
u
Dx
2
(x) = 2
DK
Dx
2
(x)
Du
Dx
2
(x) =
_
1.
1.
_
so that
D
2
u
Dx
2
2
(x) =
_
0
0.5
_
and
D
2
F
Dx
2
2
(x) = 1
In: Inverse Problems in Engineering, 1: 71-103, 1994 17
Note that the results in this example agree with the results of example 5
2.8.2 Adjoint Method
As in the rst-order adjoint sensitivity analysis, in the second-order adjoint sensitivity
analysis we eliminate all of the implicit response derivatives. We begin from equation 10
for the evaluation of rst-order adjoint sensitivities
D

F
Dx
i
=
_
G
x
i

_
DK
Dx
i
u
DP
Dx
i
__
where the adjoint response is determined through equation 9
K
T
=
G
u
To evaluate second-order sensitivities with the adjoint method we dene the augmented
functional
D

F
Dx
i
as
D

F
Dx
i
=
_
D

F
Dx
i

i
(Ku F)
i

_
K
T

G
u
__
(15)
We note here that
D

F
Dx
i
(x) =
D

F
Dx
i
(x) =
DF
Dx
i
(x) since the augmented terms equal zero (c.f.
equations 1 and 9). Likewise,
D
2

F
Dx
i
Dx
j
(x) =
D
2
F
Dx
i
Dx
j
(x) =
D
2
F
Dx
i
Dx
j
(x) since the derivatives of
the augmented terms equal zero (c.f. equation 5).
Dierentiating equation 15 with respect to x
j
and grouping the explicit,
Du
Dx
j
and
D
Dx
j
terms yields
D
2

F
Dx
i
Dx
j
=

2
G
x
i
x
j

_
D
2
K
Dx
i
Dx
j
u
D
2
P
Dx
i
Dx
j
_

_
DK
Dx
j
u
DP
Dx
j
_

_
DK
Dx
j
T


2
G
ux
j
_
+
Du
Dx
j

_

2
G
x
i
u

DK
Dx
i
T
K
T

i
+

2
G

2
u

i
_
+
D
Dx
j

__
DK
Dx
i
u
DP
Dx
i
_
K
i
_
(16)
where we used equations 1, 9 and 10 and the chain rule.
Now we dene
i
to annihilate the coecient of the
D
Dx
j
term in equation 16, i.e. we
solve the following adjoint problem.
K
i
=
_
DK
Dx
i
u
DP
Dx
i
_
(17)
In: Inverse Problems in Engineering, 1: 71-103, 1994 18
which, upon comparison to equation 5 is identical to the pseudo problem used in the direct
dierentiation method, i.e.
i
=
Du
Dx
i
. Next, we dene
i
to annihilate the coecient of the
Du
Dx
j
term in equation 16 which results in second adjoint problem
K
T

i
=

2
G
x
i
u

DK
Dx
i
T
+

2
G

2
u

i
(18)
where
i
is computed from equation 17.
Upon eliminating the unknown derivatives
D
Dx
j
and
Du
Dx
j
through equations 17 and 18
via
i
and
i
, equation 16 reduces to
D
2

F
Dx
i
Dx
j
=

2
G
x
i
x
j

_
D
2
K
Dx
i
Dx
j
u
D
2
P
Dx
i
Dx
j
_

_
DK
Dx
j
u
DP
Dx
j
_

_
DK
Dx
j
T


2
G
ux
j
_
(19)
which is the explicit computation of second-order sensitivity expression.
Example 7 Refer to examples 1, 3, 4, 5 and 6. Here we evaluate second-order sensitivities
using the adjoint method. Using equation 19 the sensitivities are computed from
D
2

F
Dx
i
Dx
j
(x) =
i
(x)
DK
Dx
j
(x)u(x)
i
(x)
DK
Dx
j
(x)(x)
To compute the adjoint responses
i
,
i
and we use equations 17, 18 and 9 so that
K(x)
i
(x) =
DK
Dx
i
(x)u(x)
Where we note that
i
=
Du
Dx
i
so that the results of example 3 may be applied. To obtain
i
we
solve
K(x)
i
(x) =
DK
Dx
i
(x)(x)
Finally, we use the results of example 4 to obtain =
_
3
4
_
.
For i = 1 and j = 1: we obtain

1
(x) =
Du
Dx
1
=
_
3
3
_
K(x)
1
(x) =
_
1 0
0 0
_ _
3
4
_
=
_
3
0
_
In: Inverse Problems in Engineering, 1: 71-103, 1994 19
so that

1
(x) =
_
1 1
1 1.5
_ _
3
0
_
=
_
3
3
_
and from equation 19 we obtain
D
2

F
Dx
2
1
(x) =
1
(x)
DK
Dx
1
(x)u(x)
1
(x)
DK
Dx
1
(x)(x)
=
_
3 3
_
_
1 0
0 0
_ _
3
4
_

_
3 3
_
_
1 0
0 0
_ _
3
4
_
= 18
For i = 1 and j = 2: from equation 19 we obtain
D
2

F
Dx
1
Dx
2
(x) =
1
(x)
DK
Dx
2
(x)u(x)
1
(x)
DK
Dx
2
(x)(x) = 0
For i = 2 and j = 2: we similarly obtain

2
(x) =
Du
Dx
2
=
_
0
0.5
_
and
2
(x) =
_
0
.5
_
and from equation 19 we obtain
D
2

F
Dx
2
2
(x) =
2
(x)
DK
Dx
2
(x)u(x)
2
(x)
DK
Dx
2
(x)(x) = 1
All results agree with the previous examples.
2.8.3 Hybrid Method
In the hybrid method [145] we use the direct dierentiation technique to compute the
unknown derivatives
Du
Dx
i
and the adjoint technique to eliminate the unknown derivatives
D
2
u
Dx
j
Dx
i
in equation 13.
First, we use the direct dierentiation approach where we compute the derivatives
Du
Dx
i
from equation 5 and then we use equation 4 to compute the rst-order sensitivities
DF
Dx
i
=
G
u
Du
Dx
i
+
G
x
i
Next, we augment the above with equation 5
D

F
Dx
i
=
G
u
Du
Dx
i
+
G
x
i

_
K
Du
Dx
i
+
DK
Dx
i
u
DP
Dx
i
_
(20)
In: Inverse Problems in Engineering, 1: 71-103, 1994 20
here, again note
D

F
Dx
i
(x) =
DF
Dx
i
(x) as the augmented term equals zero (c.f. equation 5).
Likewise,
D
2
F
Dx
i
Dx
j
(x) =
D
2
F
Dx
i
Dx
j
(x) since the derivative of the augmented term equals zero (c.f.
equation 14).
Dierentiating equation 20 with respect to j = 1, 2, ..., n components of x and collecting
the
D
2
u
Dx
j
Dx
i
terms we obtain
D
2

F
Dx
i
Dx
j
=

2
G

2
u
Du
Dx
i
Du
Dx
j
+

2
G
ux
j
Du
Dx
i
+

2
G
x
i
x
j
+

2
G
x
i
u
Du
Dx
j
+

_
DK
Dx
j
Du
Dx
i
+
D
2
K
Dx
j
Dx
i
u +
DK
Dx
i
Du
Dx
j

D
2
P
Dx
i
Dx
j
_

D
2
u
Dx
i
Dx
j

_
K
T

G
u
_
(21)
Next, we select to annihilate the coecient of
D
2
u
Dx
j
Dx
i
which gives the following adjoint
problem
K
T
=
G
u
(22)
which upon comparison to equation 9 is identical to the adjoint problem of the rst-order
sensitivity analysis, i.e. = . Upon solving the above problem for equation 21 reduces
to
D
2

F
Dx
i
Dx
j
=

2
G

2
u
Du
Dx
i
Du
Dx
j
+

2
G
ux
j
Du
Dx
i
+

2
G
x
i
x
j
+

2
G
x
i
u
Du
Dx
j
+

_
DK
Dx
j
Du
Dx
i
+
D
2
K
Dx
j
Dx
i
u +
DK
Dx
i
Du
Dx
j

D
2
P
Dx
i
Dx
j
_
(23)
which is the desired second-order sensitivity expression.
Example 8 Refer to examples 1, 3, 4, 5, 6 and 7. Here we evaluate second-order sensitivities
using the hybrid method. First, we use the results of example 4 to obtain = . Next, we use
equation 22 to compute the sensitivities, where the derivatives
Du
Dx
i
are obtained from example 3.
Equation 23 reduces to
D
2

F
Dx
i
Dx
j
(x) = (x)
_
DK
Dx
i
(x)
Du
Dx
j
(x) +
DK
Dx
j
(x)
Du
Dx
i
(x)
_
For i = 1 and j = 1:
D
2

F
Dx
2
1
(x) = (x) 2
_
DK
Dx
1
(x)
Du
Dx
1
(x)
_
=
_
3 4
_
_
6
0
_
= 18
In: Inverse Problems in Engineering, 1: 71-103, 1994 21
For i = 1 and j = 2:
D
2

F
Dx
1
Dx
2
(x) = (x)
_
DK
Dx
1
(x)
Du
Dx
2
(x) +
DK
Dx
2
(x)
Du
Dx
1
(x)
_
=
_
3 4
_
_
0
0
_
= 0
For i = 2 and j = 2:
D
2

F
Dx
2
2
(x) = (x) 2
_
DK
Dx
2
(x)
Du
Dx
1
(x)
_
=
_
3 4
_
_
1
1
_
= 1
All results agree with the previous examples.
2.9 Comparison of the Second-Order sensitivity Methods
The second-order sensitivity methods, require the computation of similar terms.
D
2
P
Dx
i
Dx
j

D
2
K
Dx
i
Dx
j

DK
Dx
i
Du
Dx
j

DK
Dx
j
Du
Dx
i
serves as pseudo load in the direct dierentiation method,
while in the hybrid method it serves as the dual to the adjoint response. The term

2
G

2
u
Du
Dx
i
Du
Dx
j
+

2
G
ux
j
Du
Dx
i
+

2
G
x
i
x
j
+

2
G
x
i
u
Du
Dx
j
also appears in both direct dierentiation and
hybrid method. All of these terms also arise in the adjoint method analysis in someway or
another. In contrasting the second-order methods, we note that for a system of n design
parameters and q response functionals, the direct dierentiation method requires 1+
3n
2
+
n
2
2
backsubstitutions, the adjoint method requires 1 + q + n + qn backsubstitutions and the
hybrid method requires 1 + n + q backsubstitutions. Consequently, it appears that the
hybrid technique is the most ecient.
3 Generalized Eigenproblems
Here, we consider the symmetric positive denite eigenproblem. These problems appear in
structural design in regard to dynamic response and buckling behavior. Initially, we review
the eigenproblem and then derive the sensitivities.
The generalized positive denite symmetric eigenproblem is represented as
[K(x) (
I
(x))
2
M(x)]
I
(x) = 0 (24)
In: Inverse Problems in Engineering, 1: 71-103, 1994 22
where K(x) and M(x) are the mm dimensional positive denite symmetric stiness and
mass matrices
6
, respectively and (
I
(x),
I
(x)) are the m eigenpairs. Again, note the
dependence of the problem on the design x. Without loss of generality, the eigenvectors

I
are scaled such that the maximum component equals one, i.e. max(
I
1
(x),
I
2
(x),
...,
I
m
(x)) = 1. Additionally, normalized eigenvectors

I
are dened through

I
(x) M(x)

I
(x) = 1 (25)
and are computed by evaluating the scale factor
s
I
(x) =
I
(x) M(x)
I
(x) (26)
so that

I
(x) =
1

s
I
(x)

I
(x) (27)
3.1 Sensitivity analysis
To determine the sensitivities of the eigenpairs, we could use the nite dierence
method. However, as previously discussed, this method may yield erroneous results and
is computationally expensive since it requires a complete re-analysis of the eigenproblem for
each of the n design parameters. To this end, we explore an analytical approach which is
both accurate and computationally ecient [70].
Note that the following results are valid for systems without repeated eignevalues.
Systems with repeated eigenvalues are not continuously dierentiable however, one may
evaluate the directional derivative (variation) (c.f. [6]). Indeed, one can appreciate this fact
by recalling that the eigenvectors for a system with repeated eigenvalues are not uniquely
dened.
Example 9 Find the sensitivity of the eigenpairs for the spring mass system illustrated in gure
2 with respect to k
1
and m
1
, i.e. x = [k
1
, m
1
]
2
.
For the system, the eigenproblem is stated as nd the eigenpairs ((
I
)
2
,
I
) of the system
_
KM(
I
)
2
_

I
=
__
k
1
+k
2
k
2
k
2
k
2
_

_
m
1
0
0 m
2
_
(
I
)
2
_ _

I
1

I
2
_
= 0
where the superscript delineates the eigenpair.
6
Again we use the terminology of the structures community. Further, we note that for a buckling analysis, M
represents the geometric stiness matrix
In: Inverse Problems in Engineering, 1: 71-103, 1994 23
For the parameter values of k
1
= 1, k
2
= 2, m
1
= 1, and m
2
= 2 we may solve the eigenproblem
both symbolically and numerically to obtain
(
1
)
2
(x) =
k
1
2m
1
+
k
2
2m
1

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
2
+
k
2
2m
2
= 0.267949
(
2
)
2
(x) =
k
1
2m
1
+
k
2
2m
1
+

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
2
+
k
2
2m
2
= 3.73205
and their respective eigenvectors

1
(x) =
_

_
k
2
k
1
2
+
k
2
2
+
m
1

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
2

k
2
m
1
2m
2
1
_

_
=
_
0.732051
1.
_

2
(x) =
_

_
k
2
k
1
2
+
k
2
2

m
1

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
2

k
2
m
1
2m
2
1
_

_
=
_
2.73205
1.
_
From equation 26 we have
s
1
(x) =
1
(x) M(x)
1
(x)
=
k
2
2
m
1
_
_
_
_
k
1
+k
2
m
1

k
1
m
1
+
k
2
m
1

k
1
m
1

k
2
m
1

k
2
m
2
_
2

4k
1
k
2
m
1
m
2
+
k
2
m
2
2
_
_
_
_
2
+ m
2
= 2.5359
s
2
(x) =
2
(x) M(x)
2
(x)
=
k
2
2
m
1
_
_
_
_
k
1
+k
2
m
1

k
1
m
1
+
k
2
m
1
+

k
1
m
1

k
2
m
1

k
2
m
2
_
2

4k
1
k
2
m
1
m
2
+
k
2
m
2
2
_
_
_
_
2
+ m
2
= 9.4641
which allows us to evaluate the normalized eigenvectors from equation 27 as

1
(x) =
_
0.459701
0.627963
_

2
(x) =
_
0.888074
0.325058
_
In: Inverse Problems in Engineering, 1: 71-103, 1994 24
The sensitivities with respect to k
1
may be found by dierentiation of the above whereupon we
obtain
D(
1
)
2
Dx
1
(x) =
1
2m
1

k
1
2m
1
2

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2

k
2
2m
1
2

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
+
k
2
2m
1

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
m
2
= 0.211325
D(
2
)
2
Dx
1
(x) =
1
2m
1
+
k
1
2m
1
2

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
+
k
2
2m
1
2

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2

k
2
2m
1

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
m
2
= 0.788675
D
1
Dx
1
(x) =
_
0.211325
0
_
and
D
2
Dx
1
(x) =
_
0.788675
0.
_
where the symbolic results for the eigenvector derivatives have been omitted for conciseness.
Furthermore, we nd
Ds
1
Dx
1
(x) = 0.309401 and
Ds
2
Dx
1
(x) = 4.3094
D

1
Dx
1
(x) =
_
0.104661
0.0383084
_
and
D

2
Dx
1
(x) =
_
0.0541763
0.0740062
_
Likewise, for m
1
we obtain
D(
1
)
2
Dx
2
(x) = 0.0566243 and
D(
2
)
2
Dx
2
(x) = 2.94338
D
1
Dx
2
(x) =
_
0.0566243
0.
_
and
D
2
Dx
2
(x) =
_
2.94338
0.
_
In addition, we have
Ds
1
Dx
2
(x) = 0.618802 and
Ds
2
Dx
2
(x) = 8.6188
D

1
Dx
2
(x) =
_
0.0205294
0.0766168
_
and
D

2
Dx
2
(x) =
_
0.552389
0.148012
_
In: Inverse Problems in Engineering, 1: 71-103, 1994 25
Figure 2: Spring mass system. k
1
= 1, k
2
= 2, m
1
= 1, m
2
= 2
As expected, an increase in stiness increases the natural frequency and an increase in mass
decreases the natural frequency.
To see the diculty encountered with repeated eigenvalues, suppose that
1
=
2
which implies
that

k
1
2
m
1
2
+
2k
1
k
2
m
1
2
+
k
2
2
m
1
2
+
k
2
2
m
2
2

2k
1
k
2
m
1
m
2
+
2k
2
2
m
1
m
2
= 0 (although this is not physically possible). If
this equality holds, then it may be seen above that the design derivatives are undened.
For the previous simple example, it is possible to derive explicit relations for the eigenpairs
and then directly dierentiate them to compute the sensitivities. Unfortunately, this is not
a viable option for most problems. Fortunately, however, we may use the ecient analytical
method which we now describe.
The analytical method is similar to the direct dierentiation method. Initially, we
dierentiate equation 24 with respect to each of the n design parameters
[
DK
Dx
i
(x) (
I
(x))
2
DM
Dx
i
(x)]
I
(x)
D(
I
)
2
Dx
i
(x)M(x)
I
(x) +
[K(x) (
I
(x))
2
M(x)]
D
I
Dx
i
(x) = 0 (28)
Premultiplying by an arbitrary vector and rearranging the above we obtain
M(x)
I
(x)
D(
I
)
2
Dx
i
(x) = [
DK
Dx
i
(x) (
I
(x))
2
DM
Dx
i
(x)]
I
(x)
[K(x) (
I
(x))
2
M(x)]
D
I
Dx
i
(x) (29)
Now we replace
I
with

I
since the latter is just a scalar multiple of the former; and we
replace with

I
since is arbitrary, so that

I
(x) M(x)

I
(x)
D(
I
)
2
Dx
i
(x) =

I
(x) [
DK
Dx
i
(x) (
I
(x))
2
DM
Dx
i
(x)]

I
(x)

I
(x) [K(x) (
I
(x))
2
M(x)]
D

I
Dx
i
(x) (30)
In: Inverse Problems in Engineering, 1: 71-103, 1994 26
Finally, we substitute equation 25 on the left hand side of the above. In addition, we apply
the identity c Ab = b A
T
c [142], the symmetry of [K(x) (
I
(x))
2
M(x)], and equation
24 to the last term on the right hand side to reduce the above to
D(
I
)
2
Dx
i
(x) =

I
(x) [
DK
Dx
i
(x) (
I
(x))
2
DM
Dx
i
(x)]

I
(x) (31)
which is the desired explicit sensitivity expression for the eigenvalues. Note that the above
requires only matrix multiplications, and not the solution of additional computationally
expensive eigenproblems. Additionally, we may elect to use the semi-analytical method
to approximate the derivatives
DK
Dx
i
(x) and
DM
Dx
i
(x) and then use equation 31 to eciently
evaluate the sensitivities.
Example 10 Here we use the analytical sensitivity approach to obtain the sensitivity of the
eigenvalues of the spring mass system of example 9 with respect to x = [k
1
, m
1
].
For k
1
:
DK
Dx
1
(x) =
_
1 0
0 0
_
and
DM
Dx
1
(x) = 0
so that equation 31 yields
D(
1
)
2
Dx
1
(x) =

1
(x)
_
DK
Dx
1
(x)
DM
Dx
1
(x)(
1
)
2
(x)
_

1
(x)
=
_
0.459701 0.627963
_
_
1 0
0 0
_ _
0.459701
0.627963
_
= 0.211325
similarly
D(
2
)
2
Dx
1
(x) =

2
(x)
_
DK
Dx
1
(x)
DM
Dx
1
(x)(
2
)
2
(x)
_

2
(x) = 0.788675
For m
1
:
DK
Dx
1
(x) = 0 and
DM
Dx
1
(x) =
_
1 0
0 0
_
so that
D(
1
)
2
Dx
2
(x) =

1
(x)
_
DK
Dx
2
(x)
DM
Dx
2
(x)(
1
)
2
(x)
_

1
(x)
=
_
0.459701 0.627963
_
_
1 0
0 0
_
0.267949
_
0.459701
0.627963
_
= 0.0566243
and
D(
2
)
2
Dx
2
(x) =

2
(x)
_
DK
Dx
2
(x)
DM
Dx
2
(x)(
2
)
2
(x)
_

2
(x) = 2.94338
In: Inverse Problems in Engineering, 1: 71-103, 1994 27
These results are consistent with those of example 9.
To evaluate the sensitivity of the eigenvector we may use equation 28, now that we know
D(
I
)
2
Dx
i
(x). Equation 28 may be rearranged to give
[K(x) (
I
(x))
2
M(x)]
D
I
Dx
i
(x) = [
DK
Dx
i
(x) (
I
(x))
2
DM
Dx
i
(x)]
I
(x)
D(
I
)
2
Dx
i
(x)M(x)
I
(x) (32)
Unfortunately, the above may not be solved for
D
I
Dx
i
(x) since [K(x) (
I
(x))
2
M(x)] is
singular by denition (c.f. [142]). To remedy this situation, we make use of the restriction
that the maximum component value of the eigenvector equals one. Indeed, assuming that
the s-th component of
I
(x) equals one, i.e.
I
s
(x) = 1, then our restriction requires that

I
s
(x) remains equal to one for all innitesimal design perturbations, i.e.
D
I
s
Dx
i
(x) = 0. Thus,
we may reduce the above system by eliminating the s-th equation. The reduced system is of
full rank and we may solve for [
D
I
1
Dx
i
(x),
D
I
2
Dx
i
(x), ...,
D
I
s1
Dx
i
(x),
D
I
s+1
Dx
i
(x), ...,
D
I
m
Dx
i
(x)]. Note that
the reduced coecient matrix must be decomposed only once to evaluate the sensitivities
with respect to all n components of x.
To evaluate the sensitivities of the normalized eigenvectors we dierentiate equation 27,
i.e.
D

I
Dx
i
(x) =
1
2(s
I
(x))
3
2
Ds
I
Dx
i
(x)
I
(x) +
1
(s
I
(x))
1
2
D
I
Dx
i
(x) (33)
where
D
I
Dx
i
(x) is evaluated above and we determine
Ds
I
Dx
i
by dierentiating equation 26
Ds
I
Dx
i
(x) = 2
I
(x) M(x)
D
I
Dx
i
(x) +
I
(x)
DM
Dx
i
(x)
I
(x) (34)
Example 11 Here we use the analytical sensitivity approach and the results of example 10 to
obtain the sensitivity of the eigenvectors of the spring mass system of example 9 with respect to
x = [k
1
, m
1
].
Initially, we compute the derivatives of the non-normalized eigenvectors, i.e.
D
I
Dx
j
. Note that
for each eigenvector, the second component equals one. Therefore, we eliminate the second row
and column from equation 32 to obtain the reduced system
[K
11
M
11
(
I
)
2
]
D
I
1
Dx
j
= [
DK
11
Dx
j

DM
11
Dx
j
(
I
)
2
M
11
D(
I
)
2
Dx
j
]
I
1
In: Inverse Problems in Engineering, 1: 71-103, 1994 28
which is one-dimensional for this case and is trivially solved via
D
I
1
Dx
j
= [K
11
M
11
(
I
)
2
]
1
(
DK
11
Dx
j

DM
11
Dx
j
(
I
)
2
M
11
D(
I
)
2
Dx
j
)
I
1
For k
1
: We have
D
1
1
Dx
1
= [K
11
M
11
(
1
)
2
]
1
(
DK
11
Dx
1

DM
11
Dx
1
(
1
)
2
M
11
D(
1
)
2
Dx
1
)
1
1
= [3 1 0.267949]
1
(1 0 0.267949 1 0.211325) 0.732051
= 0.211325
so that
D
1
Dx
1
=
_
0.211325
0
_
similarly
D
2
Dx
1
=
_
0.788675
0
_
For m
1
: We have
D
1
1
Dx
2
= [K
11
M
11
(
1
)
2
]
1
(
DK
11
Dx
2

DM
11
Dx
2
(
1
)
2
M
11
D(
1
)
2
Dx
2
)
1
1
= [3 1 0.267949]
1
(0 1 0.267949 1 0.0566243) 0.732051
= 0.0566243
so that
D
1
Dx
2
=
_
0.0566243
0
_
Similarly we obtain
D
2
Dx
2
=
_
2.94338
0
_
Next, we compute the derivatives of the normalization scaling factor (c.f. equation 34), i.e.
Ds
I
Dx
j
.
For k
1
: We have
Ds
1
Dx
1
= 2
1
M
D
1
Dx
1
+
1
DM
Dx
1

1
= 2
_
0.732051 1.
_
_
1 0
0 2
_ _
0.211325
0
_
+
_
0.732051 1.
__
0
_
_
0.732051
1.
_
= 0.309401
In: Inverse Problems in Engineering, 1: 71-103, 1994 29
Likewise we compute
Ds
2
Dx
1
= 4.3094
For m
1
: We similarly have
Ds
1
Dx
2
= 0.618802 and
Ds
2
Dx
2
= 8.6188
Finally, we compute the derivatives of the normalized eigenvectors (c.f. equation 33), i.e.
D
I
Dx
j
.
For k
1
: We have
D

1
Dx
1
=
1
2(s
1
)
3
2
Ds
1
Dx
1

1
+
1
(s
1
)
1
2
D
1
Dx
1
=
1
2 2.5359
3
2
(0.309401)
_
0.732051
1.
_
+
1
2.5359
1
2
_
0.211325
0
_
=
_
0.104661
0.0383084
_
and
D

2
Dx
1
=
_
0.0541763
0.0740062
_
For m
1
:
D

1
Dx
2
=
_
0.0205294
0.0766168
_
and
D

2
Dx
2
=
_
0.552389
0.148012
_
Again, the results are consistent with those of example 9.
4 Summary
Sensitivity analyses play an integral role in many engineering design problems. Here, we
attempted to present the sensitivity formulations in a straightforward manner. Several
simplistic examples were used to demonstrate the eciency of the analyses. These same
concepts are used to formulate sensitivities for numerous other problems; please see the
citations for specic details.
In: Inverse Problems in Engineering, 1: 71-103, 1994 30
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