© All Rights Reserved

9 views

© All Rights Reserved

- Holt Algebra 1_Chapter 01_Standardized Test
- 10-Reliability-based Sensitivity Analysis for Prestressed Concrete Girder Bridges
- NR-420501 Simulation and Modelling
- Structural Reliability and Risk Analysis Book
- How to Determine Amperage of Circuit Breaker_ 5 Steps - WikiHow
- Kira Kira Solar Mesh
- Introduction to Random Vibration and Stochastic Analysis
- Statistics
- Transmission line parameters.pdf
- Distribution Theory
- tugas 2 metolid
- 2016-CME620 Stochastic
- Lite C Workshops 10
- Applied Statistics for Social and Management Sciences-Springer Singapore (2016)
- Probability
- Probability Theory 2013
- mayhs
- Jherleen's Solution (Math)
- ITER.pdf
- 2.1 Chicco

You are on page 1of 31

Uncertainty

Jon C. Helton & Cédric J. Sallaberry

1

Alternative Representations of Uncertainty

• Probability Theory

• Evidence Theory (Dempster-Shafer Theory)

• Possibility Theory

• Interval Analysis

2

Probability

– A set that contains everything that could occur in the particular “universe” under

consideration

– A set of subsets of with the properties that (i) if ∈, then C ∈ and (ii) if {i}is a

countable collection of elements of , then Uii and ii are elements of

– A function p defined for elements of such that (i) p()=1, (ii) if ∈ , then 0≤p() ≤ 1,

and (iii) if {i} is a countable collection of disjoint elements of , then p(Ui)=Σip(i)

• Triple (, , p) is called a probability space

• Terminology

– called the sample space or universal set

– Elements of are called elementary events

– Elements of are called events

– p called a probability measure

3

Evidence Theory: Definition of Evidence Space

involves 3 components

– A set that contains everything that could occur in the particular “universe” under

consideration

– A (countable) set of subsets of

– A function m defined for subsets of such that (i) m()>0 if ∈ , (ii) m()=0 if ∉

and (iii) Σ ∈ m()=1

• Triple (, , m) is called an evidence space

• Terminology

– called the sample space or universal set

– Elements of are called elementary events

– Elements of are called focal elements

– m called a basic probability assignment (BPA)

• Nature of m(): Amount of “likelihood” that is associated with but

cannot be further partitioned to subsets of .

4

Evidence Theory: Representation of Uncertainty

• Representation of uncertainty

– Belief

– Plausibility

• Belief:

– Definition: Bel ( ) = ∑ m( )

⊂

– Concept: Amount of “likelihood” that must be associated with .

• Plausibility:

– Definition: Pl ( ) = ∑ m( )

∩ ≠ ∅

– Concept: Amount of “likelihood” that could potentially be associated with .

5

Evidence Theory: Simple Example

: 1 = [1,4], m( 1 ) = 1 / 5

: 2 = [3,7], m( 2 ) = 1 / 5

: 3 = [5,6], m( 3 ) = 1 / 5

: 4 = [5,10], m( 4 ) = 1 / 5

: 5 = [9,10], m( 5 ) = 1 / 5

: = [2,8]

1 2 3 4 5 6 7 8 9 10

= {x : x ∈ [1,10]}

= { 1 , 2 , 3 , 4 , 5 }

Bel ( ) = ∑ m( ) = m(

i ⊂

i 2 ) + m( 3 ) = 2 / 5

Pl ( ) = ∑ m( ) = m(

i ∩ ≠ ∅

i 1 ) + m( 2 ) + m( 3 ) + m( 4 ) = 4 / 5

6

Evidence Theory: Properties

Bel ( ) + Pl ( C ) = 1

Bel ( ) + Bel ( C ) ≤ 1

Pl ( ) + Pl ( C ) ≥ 1

Bel ( ) ≤ Pl ( )

p ( ) + p ( C ) = 1

7

Evidence Theory: Cumulative Representation

Analogous to CDF.

• Cumulative belief function (CBF) Plot of belief, plausibility of

being less than specified

• Cumulative plausibility function (CPF) values

Analogous to CCDF.

• Complementary cumulative belief function (CCBF) Plot of belief, plausibility of

• Complementary cumulative plausibility function (CCPF) being greater than specified

values

CBF, CCBF, CPF and CCPF for a variable v with values from the interval [1, 10] and each of the

following intervals assigned a BPA of 0.1:[1, 3], [1, 4], [1, 10], [2, 4], [2, 6], [5, 8], [5, 10], [7, 8],

[7, 10], [9, 10]. 8

Evidence Theory: Vector-valued Quantities

i=1,2,…,n

• Evidence space (,,m) for x=[x1 , x2 ,…, xn]

• = 1 × 2 ×… × n

• ∈ iff = 1 × 2 ×… × n for i∈i

= 1 × 2 × × n ∈

m1 ( 1 ) m2 ( 2 )...mn ( n ) if �

• m( ) =

0 otherwise

9

Evidence Theory: Function with Uncertain Arguments

• Resultant evidence space (,,my) for y=f(x)

• = {y : y=f(x) , x ∈}

• = { : =f(), ∈ }

m ( ) = f ( ), ∈

if �

• m y ( ) = x

0 otherwise

• In concept, belief and plausibility defined from and my

• In computational practice, belief and plausibility obtained by mapping back to

evidence space (,,mx) for x

– Bel y ( ) = Bel x ({x : f (x ) ∈ })

– Pl y ( ) = Pl x ({x : f (x ) ∈ })

• Cumulative and complementary cumulative results for y ∈

– CBF : [ y, Bel x ({x : y (x ) ≤ y})] , CPF : [ y, Pl x ({x : y (x ) ≤ y})]

– CCBF : [ y, Bel x ({x : y < y (x )})] , CCPF : [ y, Pl x ({x : y < y (x )})]

10

Evidence Theory: Example (1/3)

• Evidence space (,,mA ) for a

= [0.1, 1.0], = { 1 , 2 , 3 }, m A ( i ) = 1 / 3

1 = [0.5, 1.0], 2 = [0.2, 0.7], 3 = [0.1, 0.6]

• Evidence space (,,mB) for b

= [0.0, 1.0], = { 1 , 2 , 3 , 4 }, mB ( i ) = 1 / 4

1 = [0.6], 2 = [0.4, 0.8], 3 = [0.1, 0.7], 4 = [0.0, 1.0]

• Evidence space (,,mX ) for x = [a, b]

= × , = { 1 × 1 , 1 × 2 , , 3 × 4 }, m X ( i × j ) = (1 / 3)(1 / 4) = 1 / 12

• Probability space (,,pX ) for x = [a, b]: Uniform distribution on each rectangle i × j

weighted by 1/12

11

Evidence Theory: Example (2/3)

12

Evidence Theory: Example (3/3)

Bel (> y = 0.8) = 6(1 / 12) = 0.5

Pl (> y = 1.5) = 4(1 / 12) = 0.33

Bel (> y = 1.5) = 0(1 / 12) = 0.0

13

Possibility Theory: Definition of Possibility Space

involves 2 components

– A set that contains everything that could occur in the particular “universe” under

consideration

– A function r such that (i) 0 ≤ r(x) ≤ 1 for x ∈ and (ii) sup{ r(x): x ∈ } = 1

• Doublet (, r) is called an possibility space

• Terminology

– called the sample space or universal set

– r is referred to a possibility distribution function

• Nature of r: Amount of “likelihood” or “credence” that can be assigned to

each element of . Analogous to membership value for elements of a

fuzzy set.

14

Possibility Theory: Representation of Uncertainty

• Representation of uncertainty

– Possibility

– Necessity

• Possibility:

– Definition: Pos ( ) = sup{r ( x) : x ∈ }

– Concept: Measure of amount of information that does not refute the proposition that

contains the “correct” value for x.

• Necessity:

– Definition: {

Nec( ) = 1 − Pos ( ) = 1 − sup r ( x) : x ∈ }

– Concept: Measure of amount of uncontradicted information that supports the

proposition that contains the “correct” value for x.

15

Possibility Theory: Simple Example

1 2 3 4 5 6 7 8 9 10

X

Pos([5,10]) = sup{r ( x) : x ∈ [5,10]} = 1

Nec([5,10]) = 1 − sup{r ( x) : x ∈ [1,5)} = 1 − 4 / 5 = 1 / 5

Pos([7,10]) = sup{r ( x) : x ∈ [7,10]} = 3 / 4

Nec([7,10]) = 1 − sup{r ( x) : x ∈ [1,7)} = 1 − 1 = 0

16

Possibility Theory: Properties

Nec( ) + Pos ( C ) = 1

Nec( ) + Nec( C ) ≤ 1

Pos ( ) + Pos ( C ) ≥ 1

Nec( ) ≤ Pos ( )

p ( ) + p ( C ) = 1

17

Possibility Theory: Cumulative Representation

Analogous to CDF.

• Cumulative necessity function (CNF) Plot of necessity, possibility of

being less than specified

• Cumulative possibility function (CPoF) values

Analogous to CCDF.

• Complementary cumulative necessity function (CCNF) Plot of necessity, possibility of

• Complementary cumulative possibility function (CCPoF) being greater than specified

values

CNF, CCNF, CPoF and CCPoF for a variable v with values from the interval [1, 10] a possibility

distribution function rv defined as follows: rv(v) = i/5, for i = 1, 2, 3, 4, 5 and i ≤ v < i+1 and rv(v)

= (10-i)/4, for i = 6, 7, 8, 9, i ≤ v < i+1, and v ≤ i+1 used instead of v < i+1 for i = 9 18

Possibility Theory: Vector-valued Quantities

i=1,2,…,n

• Possibility space (, r) for x=[x1 , x2 ,…, xn]

• = 1 × 2 ×… × n

• r(x) = min {r1(x1), r2(x2), …, rn(xn) } for x=[x1 , x2 ,…, xn]

19

Possibility Theory: Function with Uncertain Arguments

• Resultant possibility space (, ry) for y=f(x)

• = {y : y=f(x) , x ∈}

• ry(y) = sup{rx(x): y=f(x), x ∈ }

• In concept, necessity and possibility defined from and ry

• In computational practice, necessity and possibility obtained by mapping back to

possibility space (, rx) for x

– Nec y ( ) = Nec x ({x : f (x ) ∈ })

– Pos y ( ) = Pos x ({x : f (x ) ∈ })

• Cumulative and complementary cumulative results for y ∈

– CNF : [ y, Nec x ({x : y (x ) ≤ y})] , CPoF : [ y, Pos x ({x : y (x ) ≤ y})]

– CCNF : [ y, Nec x ({x : y < y (x )})] , CCPoF : [ y, Pos x ({x : y < y (x )})]

20

Possibility Theory: Example (1/2)

= [0.1, 1.0], 1 = [0.5, 1.0], 2 = [0.2, 0.7], 3 = [0.1, 0.6]

3

1 if a ∈ i

rA (a ) = ∑ δ i (a ) / 3where δ i (a ) =

i =1 0 otherwise

• Possibility space (, rB) for b

= [0.0, 1.0], 1 = [0.6], 2 = [0.4, 0.8], 3 = [0.1, 0.7], 4 = [0.0, 1.0]

4

1 if b ∈ i

rB (b) = ∑ δ i (b) / 4 where δ i (b) =

i =1 0 otherwise

• Possibility space (, rX ) for x = [a, b]

• Probability space (,,pX ) for x = [a, b]: Uniform distribution on each rectangle i × j

weighted by 1/12

21

Possibility Theory: Example (2/2)

Values of distribution function rx for possibility Estimated CCNF, CCDF and CCPoF for y = f (a, b)

space (,rx) (e.g. rx([a,b]) = 1/2 for 0.2 ≤ a ≤ 0.7 = (a + b )a

and 0.1 ≤ b ≤0.4

Pos (> y = 0.8) = 1

Nec(> y = 0.8) = 1 − Pos (≤ y = 0.8) = 1.0 − 0.5 = 0.5

Pos (> y = 1.5) = 0.33

Nec(> y = 1.5) = 1 − Pos(≤ y = 1.5) = 1.0 − 1.0 = 0.0 22

Interval Analysis

theory representation of uncertainty

representation of uncertainty

– Evidence theory: sample space has BPA of 1

– Possibility theory: Possibility distribution function identically equal to 1

23

Notional Example: Only Epistemic Uncertainty (1/4)

d 2Q dQ Q dQ

L 2 +R + = E0 exp(−λt ), Q(0) = 0, (0) = 0

dt dt C dt

where

Q(t ) = electrical charge (coulombs) at time t (s),

L = inductance (henrys),

R = resistance (ohms),

C = capacitance (farads),

E0 exp(−λt ) = electromotive force (volts),

dQ

= current(amperes).

dt

24

Notional Example: Only Epistemic Uncertainty (2/4)

eM=[eM1,eM2,eM3,eM4,eM5]=[L,R,C,E0,λ]

1 = {L: 0.8 ≤ L ≤ 1.2 henrys }, 2= {R: 50 ≤ R ≤ 100 ohms },

3= {C: 0.9x10-4 ≤ C ≤ 1.1x10-4 farads }, 4= {E0: 900 ≤ E0 ≤ 1100 volts },

5= {λ: 0.4 ≤ λ ≤ 0.8 s-1 },

= 1 x 2 x 3 x 4 x 5 0 1 2 3 4 5 6 7 8

• Four subintervals are considered for each

of the intervals i, i=1,2,…,5, defined above

i1 :

i1=[ a , b – (b – a)/4 ], i2 :

i2=[ a + (b – a)/4, b ],

i3 :

i3 =[ a + (b – a)/8, b – 3(b – a)/8 ],

i4 :

i4 = [ a + 3(b – a)/8, b – (b – a)/8 ], Illustration of sets i1, i2, i3 and i4 defined

with the interval [a,b] normalized to the

interval [0,8] for representational simplicity

1 if eMi ∈ ij

[ ]

4

d i (eMi ) = ∑ δ ij (eMi ) 4 max( ij ) − min( ij ) with δ ij (eMi ) = In effect, defines dEM(e) and pEM()

i =1 0 otherwise

Under the assumption that the four sources that provided the 25

intervals for an element eMi of eM are equally credible

Notional Example: Only Epistemic Uncertainty (3/4)

– For each uncertain variable, set i of possible values divided into subsets i1, i2, i3, i4 as

indicated on preceding slide with i =1, 2, 3, 4, 5 corresponding L,R,C,E0,λ, respectively

– i = {i1, i2, i3, i4 }

1 / 4 if ∈ i

– BPA for subset of i: mi ( ) =

0 otherwise

– (i, i, mi) evidence space L,R,C,E0,λ

– Evidence space (, , m) for eM=[L,R,C,E0,λ] results as previously described

• Possibility space representation

– Sets i1, i2, i3, i4 same as above for i =1, 2, 3, 4, 5

4

1 / 4 if e ∈ ij

– For e ∈i, ri (e) = ∑ δ i (e) / 4 with δ i (e) =

i =1 0 otherwise

– (i,ri) possibility spaces for L,R,C,E0,λ

– Possibility space (,r) for eM=[L,R,C,E0,λ ] results as previously described

• Interval analysis

– set of possible values for eM=[L,R,C,E0,λ]

– No uncertainty structure assumed for

26

Notional Example: Only Epistemic Uncertainty (4/4)

0.20

0.15

Q ( t | a,eM )

0.10

0.05

0.00

0.00 0.05 0.10 0.15 0.20

t.: Time (s)

50 of 105 results

27

Notional Example: Aleatory and Epistemic Uncertainty

(1/3)

follows a stationary Poisson process with each perturbation decaying

exponentially with time after its occurrence.

• EN1: probability space (, , pA) for aleatory uncertainty for time interval [0,

10 s]

– a = [n,t1,A1,t2,A2,…,tn,An]

where

n = number of perturbations in time interval [0,10 s]

ti = occurrence time for perturbation i with t1 < t2 < … < tn

Ai = amplitude of occurrence i

– Occurrence times characterized by a Poisson process with rate λ

– Amplitude A has triangular distribution on [a,b] with mode m

– = {a: a = [n,t1,A1,t2,A2,…,tn,An]}

– λ and distribution for A in effect define (, , pA) and dA(a)

– λ, a, m, b epistemically uncertain dA(a|eA), eA=[λ, a, m, b]

28

Notional Example: Aleatory and Epistemic Uncertainty

(2/3)

0 for t < t1

~

A( t | a, r ) = n

∑ Ak exp[− r (t − t k )] for t1 ≤ t and n~ = max{k : t k ≤ t}

k =1

Where r = epistemically uncertain perturbation decay rate (i.e., eM = [r])

• EN3: Probability space (, , pE) for epistemic uncertainty

e = [eA,eM] = [λ, a, m, b, r] , eA = [λ, a, m, b], eM = [r]

1= {λ: 0.5 ≤ λ ≤ 1.5 s-1 }, 2= {a: 1.0 ≤ a ≤ 2.0 kg m/s2 },

3 = {m: 2.0 ≤ m ≤ 4.0 kg m/s2 }, 4= {b: 4.0 ≤ b ≤ 5.0 kg m/s2 },

1= {r: 0.2 ≤ r ≤ 1.2 s-1 }, = 1 x 2 x 3 x 4 x 1

• Probability space (, , pE), evidence space (, , mE), possibility space

(, rE) and set for interval analysis defined in same manner as preceding

example

29

Notional Example: Aleatory and Epistemic Uncertainty

(3/3)

• Aleatory and epistemic uncertainty

• Random sample of size 105 from = {e:e = [λ, a, m, b, r] }

• Random samples of size 10,000 from = {a:a = [n, t1, A1, t2, A2, …, tn, An]}

conditional on each ei

0

10

Frame 3.12a

10 -1

pA [ A(10|a, r ) < A|eA ]

10 -2

-3

10

10 -4

0

0 10 20 30 40

A: A(10|a, r )

50 of 105 CCDFs

30

References

• Background references

1. Shafer G. A Mathematical Theory of Evidence. Princeton, NJ: Princeton Univ. Press 1976.

2. Klir GJ, Wierman MJ. Uncertainty-Based Information. New York, NY: Physica-Verlag 1999.

3. Klir GJ. Uncertainty and Information: Foundations of Generalized Information Theory. New York, NY:

Wiley-Interscience, 2006.

New York, NY: Plenum 1988.

5. Ross TJ. Fuzzy Logic with Engineering Applications, 2nd edn. New York, NY: Wiley, 2004.

6. Ross TJ, Booker JM, W.J. Parkinson (eds.). Fuzzy Logic and Probability Applications: Bridging the

Gap. Philadelphia, PA: Society for Industrial and Applied Mathematics, 2002.

• Attached references:

7. Helton JC, Johnson JD, Oberkampf WL. An Exploration of Alternative Approaches to the

Representation of Uncertainty in Model Predictions. Reliability Engineering and System Safety 2004; 85(1-

3):39-71.

8. Helton JC, Johnson JD, Oberkampf WL, Storlie CB. A Sampling-Based Computational Strategy for

the Representation of Epistemic Uncertainty in Model Predictions with Evidence Theory. Computational

Methods in Applied Mechanics and Engineering 2007; 196(37-40):3980-3998. 31

- Holt Algebra 1_Chapter 01_Standardized TestUploaded byStanley
- 10-Reliability-based Sensitivity Analysis for Prestressed Concrete Girder BridgesUploaded bymghu70
- NR-420501 Simulation and ModellingUploaded bySrinivasa Rao G
- Structural Reliability and Risk Analysis BookUploaded byAndreea Călin
- How to Determine Amperage of Circuit Breaker_ 5 Steps - WikiHowUploaded bysteam100deg1658
- Kira Kira Solar MeshUploaded byAzam Cahaya Matahari
- Introduction to Random Vibration and Stochastic AnalysisUploaded byPongpasin Kamolchavarat
- StatisticsUploaded byRonal Salvatierra
- tugas 2 metolidUploaded byalya
- Distribution TheoryUploaded byTom Hen
- 2016-CME620 StochasticUploaded byDyaji Charles Bala
- Applied Statistics for Social and Management Sciences-Springer Singapore (2016)Uploaded byPaulo Correia
- Transmission line parameters.pdfUploaded byPaulo H Tavares
- Lite C Workshops 10Uploaded by95412547
- ProbabilityUploaded byJoshua Danquah
- Probability Theory 2013Uploaded byKaren Baguhin
- mayhsUploaded byNorbert Lim
- Jherleen's Solution (Math)Uploaded byMikeKenly Guiroy-Tungal
- ITER.pdfUploaded byHilton Fernandes
- 2.1 ChiccoUploaded byBiruk Temesgen
- Assignment3_solnUploaded byAdil Ali
- Frequency Analysis Lecture26Uploaded byChandra Upadhyaya
- MIT6_041F10_L05.pdfUploaded bySanaullah Khan
- 151026L5.pdfUploaded bywangmian
- ch02Uploaded bynidhalsaada
- Chapter 4Uploaded byPoonam Naidu
- Vivek SportsUploaded byVivek Narayanan
- ProbabilityUploaded byTHuy Dv
- Materi Ajar UAS Bahasa Inggris.pptxUploaded bySarkia Thalib
- Review NormalUploaded byElena Pinka

- Transverse Vibration of a Cantilever BeamUploaded byGeraldo Rossoni Sisquini
- VTT P775 Licentiate Thesis ORC Dec2011Uploaded byOtso Cronvall
- Slides - Complete Variance Decomposition MethodsUploaded byGeraldo Rossoni Sisquini
- Slides - Uncertainty_Propagation - IntrodutionUploaded byGeraldo Rossoni Sisquini
- ansys-example0240Uploaded byGeraldo Rossoni Sisquini
- Slides - Introduction to Sensitivity AnalysisUploaded byGeraldo Rossoni Sisquini
- Slides - Key Steps to Implementing Condition-Based MaintenanceUploaded byGeraldo Rossoni Sisquini
- ANSYS Example 3DSolidUploaded byGeraldo Rossoni Sisquini
- Crack Propagation of Rolling Contact Fatigue - 2007Uploaded byGeraldo Rossoni Sisquini

- Site SelectionUploaded byswapnil kotwal
- Mba 116 Cplc Grp 3 Sdlc Summer2017Uploaded byYang Muffins
- Math Kangaroo 2002 Gr 05-06Uploaded bypilakaya
- Degas SingUploaded byDebasish Chatterjee Chatterjee
- Dynamic_Block_tutorial[1].pdfUploaded bybsathish83
- 76l05Uploaded byPablo Ciravegna
- Task LogUploaded byNemanja Momić
- RFM analysis for Customer IntelligenceUploaded byAmrita Singh
- JDSU Mobile UserGuideUploaded bysneelamr
- ASE 15.7 ESD 2 Reference Manual Building Blocks Sybase IncUploaded byfracebpe
- Impulsive Control SystemsUploaded byTran Tra Giang
- Development and Evaluation of an Auto-tuning and AdaptivePID ControllerUploaded byDante Antonio Zarco Miranda
- The Little Mongodb BookUploaded bynurv5373
- Question C12Uploaded byapi-26399985
- Pericyclic Reactionns MyUploaded byPraveen T M
- GML-3.1Uploaded byChristophe Cruz
- Lesson 5 ProblemsUploaded byaula8045040
- ch8aaaaaaaaaaaaaaaaaaaaaaaaaaUploaded bybbteenager
- neatroffUploaded byscribdir
- 9701_s10_qp_22Uploaded byHubbak Khan
- A Framework for Multimedia Data Mining in Information Technology EnvironmentUploaded byijcsis
- Hydrophilic Coatings for CoilsUploaded bylakshminarayanan
- Shipunov Visual Statistics.pdfUploaded byJosip Kovac
- Ezra, Abraham Ibn - NUMBERSUploaded byPetro Vouris
- Chapter5 CircleUploaded bylhadymhalditah_03
- 06361-HSBZ-CA-22353-1.-0019 & Coal Bunker Frame Beam Connection to Column WebUploaded byVasanthakumar
- E0 Training Material JMeterUploaded byaustinfru
- hot working cold workingUploaded byBivas Panigrahi
- cable and harnessUploaded byLucky Chinna
- milk species identificationUploaded byIoana Filimon