Sensitivity analysis of random linear dynamical systems using quadratic outputs

DOI10.1016/J.CAM.2019.112491zbMATH Open1458.93238arXiv1812.07366OpenAlexW2975454045WikidataQ127215028 ScholiaQ127215028MaRDI QIDQ2223804FDOQ2223804

Authors: Roland Pulch, Akil C. Narayan 

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: In uncertainty quantification, a stochastic modelling is often applied, where parameters are substituted by random variables. We investigate linear dynamical systems of ordinary differential equations with a quantity of interest as output. Our objective is to analyse the sensitivity of the output with respect to the random variables. A variance-based approach generates partial variances and sensitivity indices. We expand the random output using the generalised polynomial chaos. The stochastic Galerkin method yields a larger system of ordinary differential equations. The partial variances represent quadratic outputs of this system. We examine system norms of the stochastic Galerkin formulation to obtain sensitivity measures. Furthermore, we apply model order reduction by balanced truncation, which allows for an efficient computation of the system norms with guaranteed error bounds. Numerical results are shown for a test example.

Full work available at URL: https://arxiv.org/abs/1812.07366

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zbMATH Keywords

uncertainty quantificationbalanced truncationpolynomial chaoslinear dynamical systemsensitivity indicesHankel norm

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

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Cited In (3)

• Sensitivity analysis of random linear differential-algebraic equations using system norms
• Path-space information bounds for uncertainty quantification and sensitivity analysis of stochastic dynamics
• Sensitivity of linear systems to input orientation and novelty

Uses Software

• Matlab
• sssMOR

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