Uncertainty Quantification

Dakota provides a variety of methods for propagating both aleatory and epistemic uncertainty.

At a high level, uncertainty quantification (UQ) or nondeterministic analysis is the process of characterizing input uncertainties, forward propagating these uncertainties through a computational model, and performing statistical or interval assessments on the resulting responses. This process determines the effect of uncertainties and assumptions on model outputs or results. In Dakota, uncertainty quantification methods specifically focus on the forward propagation part of the process, where probabilistic or interval information on parametric inputs are mapped through the computational model to assess statistics or intervals on outputs. For an overview of these approaches for engineering applications, consult [HM00].

UQ is related to sensitivity analysis in that the common goal is to gain an understanding of how variations in the parameters affect the response functions of the engineering design problem. However, for UQ, some or all of the components of the parameter vector, are considered to be uncertain as specified by particular probability distributions (e.g., normal, exponential, extreme value), or other uncertainty structures. By assigning specific distributional structure to the inputs, distributional structure for the outputs (i.e, response statistics) can be inferred. This migrates from an analysis that is more {em qualitative} in nature, in the case of sensitivity analysis, to an analysis that is more rigorously {em quantitative}.

UQ methods are often distinguished by their ability to propagate aleatory or epistemic input uncertainty characterizations, where aleatory uncertainties are irreducible variabilities inherent in nature and epistemic uncertainties are reducible uncertainties resulting from a lack of knowledge. Since sufficient data is generally available for aleatory uncertainties, probabilistic methods are commonly used for computing response distribution statistics based on input probability distribution specifications. Conversely, for epistemic uncertainties, any use of probability distributions is based on subjective knowledge rather than objective data, and we may alternatively explore nonprobabilistic methods based on interval specifications.

Dakota contains capabilities for performing nondeterministic analysis with both types of input uncertainty. These UQ methods have been developed by Sandia Labs, in conjunction with collaborators in academia [EAP+07, GRH99, GS91, TSE10].

The aleatory UQ methods in Dakota include various sampling-based approaches (e.g., Monte Carlo and Latin Hypercube sampling), local and global reliability methods, and stochastic expansion (polynomial chaos expansions and stochastic collocation) approaches. The epistemic UQ methods include local and global interval analysis and Dempster-Shafer evidence theory. These are summarized below and then described in more depth in subsequent sections of this chapter. Dakota additionally supports mixed aleatory/epistemic UQ via interval-valued probability, second-order probability, and Dempster-Shafer theory of evidence. These involve advanced model recursions and are described in Section<!– TODO ~{adv_models:mixed_uq}–>.

The choice of uncertainty quantification method depends on how the input uncertainty is characterized, the computational budget, and the desired output accuracy. The recommendations for UQ methods are summarized in a UQ Guidelines Table are discussed in the remainder of the section.

TODO: Put table in Doxygen if still needed