Uncertainty Quantification by Alternative Decompositions of Multivariate Functions

DOI10.1137/12089168XMaRDI QIDQ5404624zbMATH OpenOpenAlexFDO

Authors Sharif Rahman

Publication date 28 March 2014

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.6770

zbMATH Keywords

ANOVAstochastic analysisFDDHDDADDdimensional decomposition

Mathematics Subject Classification ID

Multidimensional problems (41A63) Calculus of vector functions (26B12) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: This article advocates factorized and hybrid dimensional decompositions (FDD/HDD), as alternatives to analysis-of-variance dimensional decomposition (ADD), for second-moment statistical analysis of multivariate functions. New formulae revealing the relationships between component functions of FDD and ADD are proposed. While ADD or FDD is relevant when a function is strongly additive or strongly multiplicative, HDD, whether formed linearly or nonlinearly, requires no specific dimensional hierarchies. Furthermore, FDD and HDD lead to alternative definitions of effective dimension, reported in the current literature only for ADD. New closed-form or analytical expressions are derived for univariate truncations of all three decompositions, followed by mean-squared error analysis of univariate ADD, FDD, and HDD approximations. The analysis finds appropriate conditions when one approximation is better than the other. Numerical results affirm the theoretical finding that HDD is ideally suited to a general function approximation that may otherwise require higher-variate ADD or FDD truncations for rendering acceptable accuracy in stochastic solutions.

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Cited in

(7)

• Uncertainty quantification for functional dependent random variables
• Mathematical properties of polynomial dimensional decomposition
• On decompositions of multivariate functions
• Uncertainty quantification by optimal spline dimensional decomposition
• Uncertainty quantification of high-dimensional complex systems by multiplicative polynomial dimensional decompositions
• A generalized ANOVA dimensional decomposition for dependent probability measures
• Approximation errors in truncated dimensional decompositions

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