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Sensitivity analysis using anchored ANOVA expansion and high order moments computation

hal.structure.identifierParallel tools for Numerical Algorithms and Resolution of essentially Hyperbolic problems [BACCHUS]
dc.contributor.authorTANG, Kunkun
hal.structure.identifierParallel tools for Numerical Algorithms and Resolution of essentially Hyperbolic problems [BACCHUS]
dc.contributor.authorCONGEDO, Pietro Marco
hal.structure.identifierParallel tools for Numerical Algorithms and Resolution of essentially Hyperbolic problems [BACCHUS]
dc.contributor.authorABGRALL, Rémi
dc.date.accessioned2024-04-15T09:41:28Z
dc.date.available2024-04-15T09:41:28Z
dc.date.created2013
dc.date.issued2014-01-29
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/197600
dc.description.abstractEnAn anchored ANOVA method is proposed in this paper to decompose statistical moments. Compared to standard ANOVA with mutually orthogonal components, anchored ANOVA, with arbitrary anchor point, loses orthogonality if employing the same measure. However, an advantage consists in the considerably reduced number of deterministic solver's computations, which renders uncertainty quantification of real engineering problems much easier. Different from existing methods, covariance decomposition of output variance is used in this paper to take account of interactions between non-orthogonal components, yielding an exact variance expansion, and thus, with a suitable numerical integration method, provides a strategy that converges. This convergence is verified by studying academic tests. In particular, sensitivity problem of existing method to anchor point is analyzed via Ishigami case, and we point out covariance decomposition survives from it. Covariance-based sensitivity indices (SI) are also used, compared to variance-based SI. Furthermore, we emphasize covariance decomposition can be generalized in a straightforward way to decompose high order moments. For academic problems, results show the method converges to exact solution regarding both skewness and kurtosis. Finally, the proposed method is applied on a realistic case, i.e. estimating chemical reactions uncertainties in a hypersonic flow around a space vehicle during an atmospheric reentry.
dc.language.isoen
dc.title.enSensitivity analysis using anchored ANOVA expansion and high order moments computation
dc.typeRapport
dc.subject.halPhysique [physics]/Physique [physics]/Physique Numérique [physics.comp-ph]
dc.subject.halStatistiques [stat]/Applications [stat.AP]
dc.subject.halMathématiques [math]/Analyse numérique [math.NA]
bordeaux.hal.laboratoriesLaboratoire Bordelais de Recherche en Informatique (LaBRI) - UMR 5800*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.type.reportrr
hal.identifierhal-00987189
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00987189v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2014-01-29&rft.au=TANG,%20Kunkun&CONGEDO,%20Pietro%20Marco&ABGRALL,%20R%C3%A9mi&rft.genre=unknown


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