Authors: S H Lee W Chen
Publish Date: 2008/05/09
Volume: 37, Issue: 3, Pages: 239-
Abstract
A wide variety of uncertainty propagation methods exist in literature however there is a lack of good understanding of their relative merits In this paper a comparative study on the performances of several representative uncertainty propagation methods including a few newly developed methods that have received growing attention is performed The full factorial numerical integration the univariate dimension reduction method and the polynomial chaos expansion method are implemented and applied to several test problems They are tested under different settings of the performance nonlinearity distribution types of input random variables and the magnitude of input uncertainty The performances of those methods are compared in moment estimation tail probability calculation and the probability density function construction corresponding to a wide variety of scenarios of design under uncertainty such as robust design and reliabilitybased design optimization The insights gained are expected to direct designers for choosing the most applicable uncertainty propagation technique in design under uncertainty
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