Abstract
This paper proposes an efficient interval moment method (IMM) for uncertainty propagation analysis with non-parameterized probability-box (p-box), where the bounds of statistical moments and cumulative distribution function (CDF) of output response can be simultaneously obtained. Firstly, two output response bounds are defined based on the equivalent probability transformation, which converts the original imprecise uncertainty propagation problem into two precise uncertainty propagation problems. Then, sparse grid numerical integration (SGNI) is employed to estimate the statistical moments of output response bounds. To improve computational efficiency, a multi-interval efficient global optimization (MI-EGO) algorithm is developed to capture the minimum and maximum responses on all collocation intervals of SGNI. By reconstructing the distributions of output response bounds using the maximum entropy method, the CDF bounds of output response can be acquired accordingly. Furthermore, by reusing the previous functional evaluations in the interval multiplication, the bounds of the statistical moments of output response can be estimated by SGNI again. Three numerical examples are investigated to verify the accuracy and efficiency of the proposed method.
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Acknowledgements
The study is partially supported by the National Natural Science Foundation of China (Grant No.: 51820105014, 51738001), China Scholarship Council (Grant No. 202006370005), and the 111 Project (Grant No. D21001). The supports are gratefully acknowledged.
Funding
The study was funded by the National Natural Science Foundation of China (Grant Nos. 51820105014, 51738001), China Scholarship Council (Grant No. 202006370005).
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Appendix: Interval Monte Carlo simulation for estimating the bounds of statistical moments and CDF
Appendix: Interval Monte Carlo simulation for estimating the bounds of statistical moments and CDF
The IMCS method [22, 23] is substantially a double-loop strategy, and its detailed procedures are as follows:
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Step 1: Generate NIMCS standard Uniform distribution sample points ri, i = 1, 2, …, NIMCS, in the outer loop.
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Step 2: For each sample point ri, generate an interval sample point xi, whose lower and upper bounds \(\underline{{\mathbf{x}}}_{i}\) and \(\overline{{\mathbf{x}}}_{i}\) are obtained by the following inverse probability transformation operators:
$$ \underline{{{\mathbf{x}}_{i} }} = \overline{F}_{{\mathbf{X}}}^{ - 1} ({\mathbf{r}}_{i} ), $$(61)$$ \overline{{{\mathbf{x}}_{i} }} = \underline{F}_{{\mathbf{X}}}^{ - 1} ({\mathbf{r}}_{i} ). $$(62)where \(\overline{F}_{{\mathbf{X}}}^{ - 1} ( \cdot )\) and \(\underline{F}_{{\mathbf{X}}}^{ - 1} ( \cdot )\) are the inverse functions of \(\overline{F}_{{\mathbf{X}}} ( \cdot )\) and \(\underline{F}_{{\mathbf{X}}} ( \cdot )\), respectively.
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Step 3: For each interval sample point xi, compute the minimum and maximum of G(xi) in the inner loop:
$$ \underline{G} ({\mathbf{x}}_{i} ) = \mathop {\min }\limits_{{{\mathbf{x}}_{i} \in [\underline{{{\mathbf{x}}_{i} }} ,\overline{{{\mathbf{x}}_{i} }} ]}} G({\mathbf{x}}_{i} ), $$(63)$$ \overline{G} ({\mathbf{x}}_{i} ) = \mathop {\max }\limits_{{{\mathbf{x}}_{i} \in [\underline{{{\mathbf{x}}_{i} }} ,\overline{{{\mathbf{x}}_{i} }} ]}} G({\mathbf{x}}_{i} ). $$(64) -
Step 4: Estimate two bounds of FY(y) by:
$$ \underline{F}_{Y} (y) = \frac{1}{{N_{IMCS} }}\sum\limits_{i = 1}^{{N_{IMCS} }} {I[\overline{G} ({\mathbf{x}}_{i} ) \le y]} , $$(65)$$ \overline{F}_{Y} (y) = \frac{1}{{N_{IMCS} }}\sum\limits_{i = 1}^{{N_{IMCS} }} {I[\underline{G} ({\mathbf{x}}_{i} ) \le y]} . $$(66)where I[·] is the indicator function, whose value is equal to one when the event in brackets occurs.
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Step 5: Estimate two bounds of vkY by:
$$ \underline{v}_{kY} = \frac{1}{{N_{IMCS} }}\sum\limits_{i = 1}^{{N_{IMCS} }} {\underline{{G({\mathbf{x}}_{i} )^{k} }} } , $$(67)$$ \overline{v}_{kY} = \frac{1}{{N_{IMCS} }}\sum\limits_{i = 1}^{{N_{IMCS} }} {\overline{{G({\mathbf{x}}_{i} )^{k} }} } . $$(68)where \(\underline{{G({\mathbf{x}}_{i} )^{k} }}\) and \(\overline{{G({\mathbf{x}}_{i} )^{k} }}\) for each specific interval sample point xi are obtained by the interval multiplication proposed in Sect. 3.4 such that the evaluations of \(\underline{G} ({\mathbf{x}}_{i} )\) and \(\overline{G} ({\mathbf{x}}_{i} )\) can be reused.
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Zhao, Z., Lu, ZH. & Zhao, YG. An efficient interval moment method for uncertainty propagation analysis with non-parameterized probability-box. Acta Mech 234, 3321–3336 (2023). https://doi.org/10.1007/s00707-023-03563-w
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DOI: https://doi.org/10.1007/s00707-023-03563-w