Copula-based methods for global sensitivity analysis with correlated random variables and stochastic processes under incomplete probability information

Shufang Song; Zhiwei Bai; Hongkui WeiYingying Xiao

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Copula-based methods for global sensitivity analysis with correlated random variables and stochastic processes under incomplete probability information

机译：Copula-based methods for global sensitivity analysis with correlated random variables and stochastic processes under incomplete probability information

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摘要

Global sensitivity analysis (GSA) plays an important role in uncertainty analysis and quantification. Conventional GSA for structures requires tackling two main challenges: (1) the incomplete probability information of inputs and (2) the effects caused by the static/dynamic correlation of random variables or stochastic processes. In this paper, two kinds of novel copula-based methods for variance-based GSA are proposed to address these challenges. Based on the known samples, the proposed methods can choose the optimal copula function to construct the joint distribution of inputs, and compute the global sensitivity indices combined with Monte Carlo (MC) simulation. Time-variant copula function is used to generate the samples of time series which are both auto-correlated and cross-correlated, and the proposed methods are extended to develop time-variant GSA of dynamic structures with correlated random variables and stochastic processes. Four engineering examples are given to illustrate the good applicability and capability of the proposed methods for the dependent model functions under incomplete probability information.

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来源
《Aerospace science and technology》 |2022年第10期|107811.1-107811.20|共20页
作者
Shufang Song; Zhiwei Bai; Hongkui WeiYingying Xiao;
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作者单位

State Key Laboratory of Intelligent Manufacturing System Technology, Beijing Institute of Electronic System Engineering, Beijing, 100854, China;

School of Aeronautics, Northwestern Polytechnical University, Xi'an, Shaanxi, 710072, China;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种英语
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关键词
Global sensitivity analysis; Copula function; Correlation analysis; Stochastic process; Monte Carlo simulation; Time-variant reliability;

Copula-based methods for global sensitivity analysis with correlated random variables and stochastic processes under incomplete probability information

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