MSGT-Decision in Face of Uncertainty

Instituto Superior de Estatística e Gestão de Informação
Universidade Nova de Lisboa
Master of Science in Geospatial

Technologies
Geostatistics
Decision Making in the face of Uncertainty
Carlos Alberto Felgueiras
cfelgueiras@isegi.unl.pt
1
Master of Science in Geoespatial Technologies
Decision making in the face of Uncertainty
Contents
Introduction
Uncertainty Propagation on Spatial Modeling
Constraints applied to the estimates
Exceeding a probability threshold
Exceeding a physical threshold (Risk Analyses)
Minimization of expected loss
Advanced topics
Summary and Conclusions
References
2

Introduction
• Uncertainties of data modeling can be accomplished by

geostatistics approaches
• Standard Kriging – kriging variance for multiGaussian models
• Indicator Kriging – local uncertainties (local cdf or pdf)
•Indicator Simulation – global uncertainties (global cdf or pdf)
• Uncertainties (cdfs or pdfs) qualify estimates
• Uncertainties should be accounted in decision making
processes because the estimates are uncertain.
• How to use the uncertainties in GIS Analysis and

Decision Makings ?
3

Unc(Z1)
Z1
Unc(Z2)
Z2
Unc(Z3)
Z3
Y Unc(Y)
Spatial Modeling: Y(u) = g(Z1(u),...,Zn(u)) for n inputs
The Uncertainties of the Input representations propagate

to the Uncertainty of the Output representation. 4

Heuvelink, 1998, presents 4 methods to assess the

problem of “Error Propagation in Environmental
Modelling with GIS”.
1. First Order Taylor Method

2. Second Order Taylor Method
3. Rosenblueth’s Method
4. Monte Carlo’s Method
5

1. First Order Taylor Method (Heuvelink, 1998)

The first order expansion
r ⎛ of the Taylor series, around the mean vector of the n
input variables, µ = ⎜⎝ µ ,..., µ ⎞⎟⎠ , is given by:
Z Z1 Zn
r r
(µ ) ⎧ ⎛∂g
+ ∑ ⎨⎛⎜ Z i − µ ⎞⎟ ⋅ ⎜⎜ (µ )⎞⎟⎟⎫⎬ + residue
n
Y = g( Z ) = g
i =1 ⎩⎝
Zi ⎠
⎝ ∂z i ⎠⎭
Z Z
• From this expansion, and not considering the residue, one can obtain the
following approximations for the mean and variance values of the output R.V. Y:
µ Y
= E (Y ) ≈ g (µr )
Z
⎡∂ g
(µr )⋅ ∂∂zg (µr )⋅σ ⋅σ ⎤
n n
σ ∑∑ ⋅ ρ
2
≈. ⎢ ij ⎥
⎢ ∂zi
Y Zi Zj
⎦⎥
Z Z
i =1 j=1 ⎣ j
r
( )
2
⎡∂ g ⎤
µ Z ⎥ σ Zi when ρij = 0 for i ≠ j
n
σ ≈ ∑⎢ ⋅
2 2
i =1 ⎣ ∂zi
Y
⎦ 6

Considerations about the First Order Taylor Method

• Used only for operations with continuous attributes
• Aplicável somente à operações com atributos qualitativos.
• The mean value of the output Y is depends only of the means of the input
values. The standard deviations do not affect the output mean value.
• The output variances depend on the standard deviations and correlations of
the inputs. Also there is a dependency related to the partial derivatives over
the input mean vectors. This method is applicable only to g functions
continually differentiable.
• For independent input variables the correlation coefficient ρij is equal 0 for
i≠j and is equal 1 for i=j. In this case the formulation of the variance is
simplified to:
⎡∂ g r ⎤
(µ ) σ
2
n
σ = ∑⎢ ⋅
2 2
Y
∂ Z ⎥ Zi
i =1 ⎣ z i ⎦ 7

Uncertainty Propagation on Spatial Modeling (Heuvelink, 1998)

• Extension of the First Order Taylor method, including the term of the second
order of the Taylor series.
r r
(µ ) ⎧⎛ ⎛∂g
+ ∑ ⎨⎜ Z i − µ ⎞⎟ ⋅ ⎜⎜ (µ ) ⎞⎫
n
Y = g( Z ) = g ⎟⎟ ⎬
i =1 ⎩⎝
Zi ⎠
⎝ ∂z i ⎠⎭
Z Z
r
1 n n ⎧⎪⎛
2 i =1 j=1 ⎪⎩⎝
⎡
Zi ⎠ ⎢
⎣
⎤
+ ∑ ∑ ⎨⎜ Z i − µ ⎟ ⋅ Z j − µ ⋅ ⎜
⎞ ⎛ ∂2 g
⎦ ⎜⎝ ∂z iδz j
Zj⎥
(µ ) Z
⎞ ⎫⎪
⎟ ⎬ + resídue
⎟⎪
⎠⎭
• In this case the approximation for the output mean value is assessed by:
r 1 n n ⎧⎪ ⎫⎪
(µ ) ∂
2
µ + ∑ ∑ ⎨ρ σ
g
= E (Y ) ≈ g zi σ ∂ ∂
zj ⎬
Y Z 2 i =1 j =1 ⎪ zi z j zj ⎪
⎩ zi ⎭
• Important: The output mean value can differ of the g value applied to the
input mean values.
8


• The approximation for the variance of Y is given by:
⎧∂g r ∂g r
( ) ( ) ⎫
n n
σ ∑∑ µ µ σ σ ⎬ ρ
2
≈ ⎨
∂z ∂z
Y Zk Zl kl
k =1 l =1 ⎩ k
Z
l
Z
⎭
r ∂ g r ⎫⎪
⎧⎪
(
+ ∑∑∑ ⎨ E [(z k − µ k )(zi − µ i )(z j − µ j )] − σZ σZ ρ ij
∂g
) (µ ) ∂ z δ z (µ )⎬⎪
n n n 2
k =1 i =1 j =1 ⎪⎩
k l
∂ zk Z
i j
Z
⎭
( σ) (µr ) ∂ ∂z (µr )⎫⎪⎬⎪

1 n n n n ⎧⎪ ∂2 g
+ ∑∑∑∑ ⎨ E [(zi − µ i )(z j − µ j )(z k − µ k )(zl − µ l )] − ρ ij σZ σZ ρ kl
2
g
4 i =1 j =1 k =1 l =1 ⎪⎩ σ Zk Zl
∂ zi δ z j Z δ zl Z
⎭
i j
k
• The evaluation of the variance value requires the calculation of the 1o, 2o, 3o e 4o
moments and the partial derivatives of first and second orders.
• Comparing with the first order method:
• Approximations close to µz are better than those far from µz. Therefore the
variance can be worst.
• Second order method is better when the g is quadratic. 9

• It is equivalent to the first order Taylor method.
• Must be used when g is not continually differentiable over µz
• The output mean is evaluated by the relation:
2m
µ Y
= E (Y ) ≈ ∑ rk g (d k ),
k =1
onde d k = (d k ,..., d m ) e d i = µ i + σ i ou d i = µ i − σ i
⎛ m −1 m ⎞
⎜ ∑ ∑ δ ij (k )ρ ij + 1⎟
1
rk = m ⎜ ⎟
2 ⎝ i =1 j=i +1 ⎠
δ ij (k ) = +1 quando d i = µ i + σ i e d j = µ j + σ j
δ ij (k ) = +1 quando d i = µ i − σ i e d j = µ j − σ j
δ ij (k ) = −1 quando d i = µ i + σ i e d j = µ j − σ j
δ ij (k ) = −1 quando d i = µ i − σ i e d j = µ j + σ j
10

• The variance of Y is given by:
2m ⎧⎪ ⎡ 2m ⎤ ⎫⎪
2
≈ ∑ ⎨rk ⎢ g (d k ) − ∑ rl g (d k ) ⎥ ⎬
σ
2
Y l
k =1 ⎪ ⎣ ⎦ ⎪⎭
⎩ l =1
• When m=1:
µ (g (µ z + σ ) + g (µ z − σ ))
1
≈
Y 2
≈ (g (µ z + σ ) + g (µ z − σ ))
1
σ
2 2
Y
4
• Comparing with the first order Taylor method, this method uses a
smoothed approximation of the first partial derivative over µz.
11

4. Monte Carlo’s method
• Compute Y repeatedly from zi input values randomly sampled from its joint
distribution (requires as joint simulation if inputs are not independent).
• The method follows the below steps:
• At each spatial location u
• Repeat n time:
• Draw a set of R realizations zi, i=1,...,R.
• Evaluate and store the output value y=g(z1,...zm) .
• Define the cdf, or pdf, model from the n output values. Evaluate
statistics, µ e σ2 for ex., from the output values as:
µ Y (u ) = n ∑
1 n
yi (u ) and
1 n
σ Y (u ) = n − 1 ∑
2
( Y
)
yi (u ) − µ (u )
i =1 i =1 12

• Deriving estimate maps taken into account uncertainties: Uncertainty constraints
can be applied to estimates for categorical and continuous attributes.
• Continuous attribute
• Maps with constrained areas: derived map keeps only the locations where the
probability of the estimates are greater (or smaller) than a given probability
value. A dummy value is set to the other locations.
• Classified maps: derived map can be a classified map taken into account user
defined probability intervals.
• Categorical attribute
• Maps with constrained areas: derived map keeps only the locations where the
probability of the estimates are greater (or smaller) than a given z value. A
dummy z value is set to the other locations.
• Classified maps: derived map can be a reclassified map taken into account
user defined probability intervals.
13

Example of Maps of Estimates and Uncertainties of categorical
attributes from realizations.
0.71 1.37
Arenoso
Médio Argiloso
Argiloso
Muito Argiloso
0.0 0.0
14

Uncertainty constraints applied to estimates for categorical variables (example)
Sandy Sandy
Medium Clay Medium Clay
Clay Clay
Clayey Clayey
No class 38% No class 50%
15

Exceeding a probability threshold
• Defining a critical z value, zc, of a continuous or a categorical
attribute, it is possible to create probability maps from the pc
uncertainty models of the RVs.

• For continuous variables: probabilities of your attribute value
Figures ???
be lower (or greater) than the threshold z value. zc
• For categorical variables: probabilities of your attribute value

be equal to the z value (user defined class).
pc
• The probability values of the probability maps can be ranked or

classified (safe areas, hazardous areas, suitable regions, …)
zc
• The results are taken into account in decision making processes.
• Goovaerts example: Areas contaminated by Cadmium + + + + +
• Consider cleaning all the locations where the probability of + + + + +
exceeding the tolerable maximum 0.8 ppm is larger than a
marginal probability threshold. + + + + +
16

Exceeding a probability threshold - Example
Figure 7.47 - Goovaerts, 1998
Classification of locations as contamined by cadmium on the basis that the probability

of exceeding the critical threshold 0.8 ppm is larger than the marginal probability of
contamination (0.625)
17

Exceeding a physical threshold (Risk Analyses)
Given a map of optimal estimates ZL* , a critical value zc and the cdf F(u;z|(n)) at u
Two misclassification risks can be assessed
1. The risk α(u) of wrongly classifying a location u as hazardous (false
positive) is:
α (u ) = Prob {Z (u ) ≤ z c | z *L > z c , (n )} = F (u; z c | (n ))
for all locations u such that the estimate zL*(u) > zc
2. The risk β(u) of wrongly classifying a location u as safe (false

negative) is:
β (u ) = Prob {Z (u ) > z c | z L* ≤ z c , (n )} = 1 − F (u; z c | (n ))
for all locations u such that the estimate zL*(u) ≤ zc

18

Exceeding a physical threshold
Example Risk analyses - risk α(u) and risk β(u) for zc = .8
Map of estimates Map of Risks - Probabilities
+.81 +.87 +.91 +.79 +.75 +.11 +.27 +.31 +.19 +.25
pc
+.85 +.86 +.79 +.66 +.72 +.25 +.36 +.79 +.46 +.22
zc
+.92 +.89 +.81 +.80 +.77 +.42 +.29 +.81 +.40 +.47
zc = .8
+.95 +.85 +.82 +.75 +.77 +.55 +.35 +.22 +.35 +.27
Risk α Risk β Risk α Risk β

Not
Safe Safe
Misclassification risks can be used to rank locations candidates to additional sampling

19

Exceeding a physical threshold - Example
Figure 7.48 - Goovaerts, 1998
Classification of locations as contamined by cadmium on the basis that the E-type estimate
exceeds the critical threshold 0.8 ppm. Bottom graphs show the corresponding risks of wrongly
declaring that a location is hazardous (risk α) or safe (risk β ) 20

Minimization of the expected losses
Based on the specification of two economic functions that measure the
impact of the two types of misclassification: safe and contaminated, for
example.
The loss associated with classifying a location u as safe could be modeled

as:
⎧0 if z (u ) ≤ z c
L1 ( z (u )) = ⎨
⎩ w1 [z (u ) − z c ] otherwise
The loss associated with classifying a location u as contaminated

(remediation cost) could be modeled as:
⎧0 if z (u ) > z c
L2 ( z (u )) = ⎨
⎩ w2 otherwise
where w1 and w2 are constants 21

Minimization of the expected losses
• The conditional cdf model F(u; z|(n)) allows one to determine the expected loss
attached to the two type of classifications
ϕ i (u ) = E [Li (Z [u ]) | (n )] = ∫ Li (z (u ))dF (u; z | (n )) i = 1,2

∞
−∞
• which are in practice approximated as:

K +1
ϕ i (u ) ≅ ∑ Li (z k )[F (u; z k | (n )) − F (u; z k −1 | (n ))] i = 1,2
k =1
• the location u is then declared safe or contaminated so as to minimize the

resulting expected loss:
ϕ1 (u ) > ϕ 2 (u ) ⇒ u is classified as contamined

ϕ1 (u ) ≤ ϕ 2 (u ) ⇒ u is classified as safe
22

Minimization of the expected losses - Example
Figure 7.49 – Goovaerts, 1998
Classification of locations as contamined by cadmium on the basis that the resulting expected
cost (unecessary cleaning) is smaller than the cost associated with wrongly classifying a
location as safe. 23
Assessment of Global Uncertainty

Advanced Topics
• Researches in decision making processes using GIS information
• Non Parametrical Geostatistics (Baysean Approaches)
• Exploration of Binomial models (Suzana-Eduardo-Miguel) to risk analysis
• Spatio-Temporal Analysis using geostatistic (Suzana-Rodrigo)
See also: Short Course on Geostatistical Analysis of Environmental Data
(Goovaerts) http://www.ai-geostats.org/index.php?id=206 and
http://conference.ifas.ufl.edu/soils/geostats/index.html
From Goovaerts short course
Space-time Geostatistics - Approaches available
1. Space-rich Time-poor information
2. Space-poor Time-rich information
3. Space-rich Time-rich information
• A space-time model (Sulfate in Europe)
• Comparison of space-time interpolation methods
24
Summary and Conclusions
• The spatial data must be modeled considering the uncertainties related to

these representations.
• The uncertainties of individual attributes propagates to the results obtained
with spatial modeling. The correlation between the attributes must be
considered in spatial modeling and in uncertainty propagation procedures.
• The uncertainty models of spatial information should be used in decision make
processes in order to get more reliable answers for spatial problems.
• GISs and their tools should be used to perform complex spatial analysis,
considering uncertainties in data, instead of being used only to create nice
colored maps.
25
Basic References
Burrough, P. A., 1986. Principles of Geographical Information Systems for Land

Resources Assessment. Clarendon Press – Oxford – London.
Burrough, P. A.; McDonnell, R. A.,1998. Principles of Geographical Information
Systems. Oxford University Press, Inc, New York, USA.
Bussab, W. O.; Morettin, P. A.. 1987. Estatística Básica. Atual Editora Ltda, Sao
Paulo, Brasil.
Deutsch, C. V.; Journel, A. G., 1998. Geostatistical Software Library and User’s
Guide. Oxford University Press, New York, USA.
Heuvelink, G. B. M., 1998. Error Propagation in Environmental Modelling with
GIS. Taylor and Francis Inc, Bristol, USA.
Isaaks, E. H.; Srivastava, R. M., 1989. An Introduction to Applied Geostatistics.
Oxford University Press, Inc, New York, USA.
26
END
of the Course
27

MSGT-Decision in Face of Uncertainty

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Instituto Superior de Estatística e Gestão de Informação

Universidade Nova de Lisboa

Master of Science in Geospatial

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

• Uncertainties of data modeling can be accomplished by

• How to use the uncertainties in GIS Analysis and

Decision making in the face of Uncertainty

Spatial Modeling: Y(u) = g(Z1(u),...,Zn(u)) for n inputs

The Uncertainties of the Input representations propagate

Decision making in the face of Uncertainty

Heuvelink, 1998, presents 4 methods to assess the

1. First Order Taylor Method

Decision making in the face of Uncertainty

1. First Order Taylor Method (Heuvelink, 1998)

Decision making in the face of Uncertainty

Considerations about the First Order Taylor Method

Decision making in the face of Uncertainty

2. Second Order Taylor Method

Decision making in the face of Uncertainty

2. Second Order Taylor Method

( σ) (µr ) ∂ ∂z (µr )⎫⎪⎬⎪

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

No class 38% No class 50%

Decision making in the face of Uncertainty

uncertainty models of the RVs.

• For categorical variables: probabilities of your attribute value

• The probability values of the probability maps can be ranked or

Decision making in the face of Uncertainty

Classification of locations as contamined by cadmium on the basis that the probability

Decision making in the face of Uncertainty

for all locations u such that the estimate zL*(u) > zc

2. The risk β(u) of wrongly classifying a location u as safe (false

β (u ) = Prob {Z (u ) > z c | z L* ≤ z c , (n )} = 1 − F (u; z c | (n ))

for all locations u such that the estimate zL*(u) ≤ zc

Decision making in the face of Uncertainty

Risk α Risk β Risk α Risk β

Misclassification risks can be used to rank locations candidates to additional sampling

Decision making in the face of Uncertainty

Decision making in the face of Uncertainty

The loss associated with classifying a location u as safe could be modeled

The loss associated with classifying a location u as contaminated

Decision making in the face of Uncertainty

ϕ i (u ) = E [Li (Z [u ]) | (n )] = ∫ Li (z (u ))dF (u; z | (n )) i = 1,2

• which are in practice approximated as:

• the location u is then declared safe or contaminated so as to minimize the

ϕ1 (u ) > ϕ 2 (u ) ⇒ u is classified as contamined

Decision making in the face of Uncertainty

Assessment of Global Uncertainty

Decision making in the face of Uncertainty

Summary and Conclusions

• The spatial data must be modeled considering the uncertainties related to

Decision making in the face of Uncertainty

Burrough, P. A., 1986. Principles of Geographical Information Systems for Land

Decision making in the face of Uncertainty

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