Progress on Uncertainty Quantification

Arpan Mukherjee
Mechanical and Aerospace Engineering Department

October 19, 2014

Arpan Mukherjee

Progress on Uncertainty Quantification

Overview

The theory of Statistical Linearization and applying Unscented

Linearization
Reproducing the results from published work

Arpan Mukherjee

Progress on Uncertainty Quantification

Statistical Linearization
= f (X) with X N(, ), we need to
Given dynamical system X
find the best possible linear model A(X ) + b, such that E (2 ) is
minimized, where
 = ||f (x) A(x ) b||
Z
For x R x N(, 2 ), J = (f (z) a(z ) b)2 px (z)dz
R

Taking

J
a

= 0, we get

Z
2

[a(z )2 + b(z ) f (x)(x )]px (z)dz = 0

a=

E [(x )f (x)]
2

Arpan Mukherjee

Progress on Uncertainty Quantification

Statistical Linearization

Taking

J
b

= 0, we get
Z
2 [a(z ) + b f (x)]px (z)dz = 0
R

b = E [f (x)]
With unscented linearization, the expectations are calculated using
sigma points

Arpan Mukherjee

Progress on Uncertainty Quantification

Statistical Linearization

From Spanos book, when f (x) = x 3 , a = 3 2 (1 + 2 ) and

b = 3 (3 + 3 ), where = /. With = 2, 2 = 5,
a = 27, b = 38
My results asl = 27.0847, bsl = 37.9577 with N = 10, 000 sample
points and ausl = 27, busl = 38
From Spanos book, when f (x) = x 2 , a = 2 and b = 2 (1 + 2 ),
where = /. With = 2, 2 = 5, a = 4, b = 9
My results asl = 4.0877, bsl = 8.9566 and ausl = 4, busl = 9
With f (x) = x 4 , a = 4(2 + 3 2 ) and
b = sigma4 (lambda4 + 6 lambda2 + 3)

Arpan Mukherjee

Progress on Uncertainty Quantification