A generalized ANOVA dimensional decomposition for dependent probability measures

DOI10.1137/120904378zbMATH Open1311.62106arXiv1408.0722OpenAlexW2963495830MaRDI QIDQ2938464FDOQ2938464

Authors: Sharif Rahman 

Publication date: 14 January 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: This article explores the generalized analysis-of-variance or ANOVA dimensional decomposition (ADD) for multivariate functions of dependent random variables. Two notable properties, stemming from weakened annihilating conditions, reveal that the component functions of the generalized ADD have emph{zero} means and are hierarchically orthogonal. By exploiting these properties, a simple, alternative approach is presented to derive a coupled system of equations that the generalized ADD component functions satisfy. The coupled equations, which subsume as a special case the classical ADD, reproduce the component functions for independent probability measures. To determine the component functions of the generalized ADD, a new constructive method is proposed by employing measure-consistent, multivariate orthogonal polynomials as bases and calculating the expansion coefficients involved from the solution of linear algebraic equations. New generalized formulae are presented for the second-moment characteristics, including triplets of global sensitivity indices, for dependent probability distributions. Furthermore, the generalized ADD leads to extended definitions of effective dimensions, reported in the current literature for the classical ADD. Numerical results demonstrate that the correlation structure of random variables can significantly alter the composition of component functions, producing widely varying global sensitivity indices and, therefore, distinct rankings of random variables. An application to random eigenvalue analysis demonstrates the usefulness of the proposed approximation.

Full work available at URL: https://arxiv.org/abs/1408.0722

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zbMATH Keywords

ANOVAuncertainty quantificationmultivariate orthogonal polynomialsglobal sensitivity analysisADDdimensional decomposition

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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