Ensemble for Deterministic Sampling with positive weights : Uncertainty quantification with deterministically chosen samples
Knowing the uncertainty of a calculated result is always important, but especially so when performing calculations for safety analysis. A traditional way of propagating the uncertainty of input parameters is Monte Carlo (MC) methods. A quicker alternative to MC, especially useful when computations are heavy, is Deterministic Sampling (DS).
DS works by hand-picking a small set of samples, rather than randomizing a large set as in MC methods. The samples and its corresponding weights are chosen to represent the uncertainty one wants to propagate by encoding the first few statistical moments of the parameters' distributions.
Finding a suitable ensemble for DS in not easy, however. Given a large enough set of samples, one can always calculate weights to encode the first couple of moments, but there is good reason to want an ensemble with only positive weights. How to choose the ensemble for DS so that all weights are positive is the problem investigated in this project.
Several methods for generating such ensembles have been derived, and an algorithm for calculating weights while forcing them to be positive has been found. The methods and generated ensembles have been tested for use in uncertainty propagation in many different cases and the ensemble sizes have been compared.
In general, encoding two or four moments in an ensemble seems to be enough to get a good result for the propagated mean value and standard deviation. Regarding size, the most favorable case is when the parameters are independent and have symmetrical distributions.
In short, DS can work as a quicker alternative to MC methods in uncertainty propagation as well as in other applications.
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