Propagation of

Uncertainty
Jake Blanchard
Spring 2010

Uncertainty Analysis for Engineers

Introduction
Weve

discussed single-variable
probability distributions
This lets us represent uncertain
inputs
But what of variables that
depend on these inputs? How do
we represent their uncertainty?
Some problems can be done
analytically; others can only be
done numerically
Uncertainty Analysis for Engineers

Functions of 1 Random
Variable
Suppose

we have Y=g(X) where

X is a random input variable
Assume the pdf of X is
represented by fx.
If

this pdf is discrete, then we can

just map pdf of X onto Y
In other words X=g-1(Y)
So fy(Y)=fx[g-1(y)]
Uncertainty Analysis for Engineers

Example
Consider

Y=X2.
Also, assume discrete pdf of X is
as shown below
When X=1, Y=1; X=2, Y=4; X=3,
Y=9

0.4

0.4

0.35

0.35

0.3

0.3

0.25

0.25

0.2

0.2

0.15

0.15

0.1

0.1

0.05

0.05

0
0.5

0
1

1.5

2.5

3.5

4.5

5.5

10

15

20

25

Uncertainty Analysis for Engineers

30

Discrete Variables
Example:

Manufacturer incurs warranty charges for

system breakdowns
Charge is C for the first breakdown, C2 for
the second failure, and Cx for the xth
breakdown (C>1)
Time between failures is exponentially
distributed (parameter ), so number of
failures in period T is Poisson variate with
parameter T
What is distribution for warranty cost for
T=1 year
Uncertainty Analysis for Engineers

e x
f ( x)
x 0,1, 2, ...
x!
x0
0
w h( x ) x
x 1, 2, ...
C

Formulation

w0

ln( w)
ln(C )

w C , C 2 , ...

p ( w)

ln( w )

w0

ln( C )

e
2
w

C
,
C
, ...
ln( w)
!

ln(C )

Uncertainty Analysis for Engineers

Plots
0.4
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0

0.4

1.5

2.5

3.5

4.5

0.35
0.3
0.25

C=2
=1

0.2
0.15
0.1
0.05
0

10

15

20

25

30

Uncertainty Analysis for Engineers

35

CDF For Discrete

Distributions
If

g(x) monotonically increases,

then P(Y<y)=P[X<g-1(y)]
If g(x) monotonically decreases,
then P(Y<y)=P[X>g-1(y)]
and, formally,
F ( y ) F g 1 ( y )
p
Y

xi g 1 ( y )

( xi )

Uncertainty Analysis for Engineers

Another Example
Suppose

Y=X2 and X is Poisson

with parameter
Y X g( X )
2

g (Y ) X Y
px

py

x!

e t
y

y !

x 0,1,2,3,...
y 0,1,4,9,...
Uncertainty Analysis for Engineers

Continuous Distributions
If

fx is continuous, it takes a bit

g ( y)
more
FY ( y ) work
f x ( x)dx
f x ( x)dx
1

x g ( y )

x g 1 y
dg 1 ( y )
dx
dy
dy
y

1
dg
( y)
1
FY ( y ) f x g y
dy
dy

or
1
dF
dg
f y ( y)
f x g 1
dy
dy

Uncertainty Analysis for Engineers

10

X
Y

Example
X g 1 ( y ) Y
dg 1

dy
imagine

Normal
distribution
Mean=0, =1

1 X
1
fx
exp

2
2

y2
1

fy
exp
2
2
y2
1

fy
exp
2
2
Uncertainty Analysis for Engineers

11

Y ln( X )
Example

X g 1 ( y ) exp(Y )

is
dg 1
exp(Y )
lognormal dy
imagine

Normal
distributi
on

1 ln( x)
1

fx
exp

2 x
2

1 y
1

fy
exp
2 exp( y )
2
1 y
1

fy
exp
2
2

exp( y )

Uncertainty Analysis for Engineers

12

If g-1(y) is multi-valued
k

fY ( y ) f x g i1
i 1

dg 1
dy

Example
U cS 2
u
S
c
dS
1

du 2 cu

u
u 1
fs

f u f s

2 cu
c
c

S l ognormal ( , )

Uncertainty Analysis for Engineers

13

Example (continued)
1 ln(s )
1

fs
exp

2 s
2

fu

1
2

lognorma
l

u
c

exp

ln
1

u

c
1

2 cu


2

1 ln u ln c 2
1

fu
exp
2
2 2 u
2

u ln c 2
u 2

Uncertainty Analysis for Engineers

14

Example

FV 2
Z
aV 2
1400d
imagine
v
1

f v exp
v0
v0
v

v0

Z
a

dV
1

dz
2 az

f z f v

z
z 1
fv

f v

a
a 2 az

z 1

a 2 az

1 1
a

exp
v0
2 az v0

Uncertainty Analysis for Engineers

15

A second example
Suppose

we are making strips of

sheet metal
If there is a flaw in the sheet, we
must discard some material
We want an assessment of how much
waste we expect
Assume flaws lie in line segments (of
constant length L) making an angle
with the sides of the sheet
is uniformly distributed from 0 to
Uncertainty Analysis for Engineers

16

Schematic

Uncertainty Analysis for Engineers

17

Example (continued)
Whenever

a flaw is found, we
must cut out a segment of width
w
w h L sin
f U 0,

w
w sin
L
1

d 1
w
1
dw L
L

L2 w2

1 / 2

Uncertainty Analysis for Engineers

18

Example (continued)
g-1

is multivalued

f1 w
f 2 w

</2

L w
1
2

L w
2

f w f1 w f 2 w

0w L
>/
2

0w L
2

L2 w2
Uncertainty Analysis for Engineers

19

Results

5
4.5
4
3.5

pd
f

3
2.5
2
1.5
1
0.5

L=1

0.1

0.2

0.3

0.4

0.5
w

0.6

0.7

0.8

0.9

1
0.9
0.8
0.7

cdf

0.6
0.5
0.4
0.3
0.2
0.1
0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

w
Uncertainty
Analysis for Engineers

20

Functions of Multiple Random

Variables
Z=g(X,Y)
For

discrete variables
fz

x, y
g ( xi , y j ) z

( xi , y j )

If

we have the sum of random

variables
Z=X+Y
fz

xi y j z

x, y

( xi , y j )

f x ,z x
x, y

all xi

Uncertainty Analysis for Engineers

21

Example
Z=X+Y
0.7
0.6
0.5
0.4

fx

0.3
0.2
0.1
0
0.5

0.45
1

1.5

2.5

3.5

0.4
0.35
0.3

x
fy

0.25
0.2
0.15
0.1
0.05
0
5

10

15

20

25

30

35

y
Uncertainty Analysis for Engineers

22

Analysis
X

Z-rank

10

11

.08

20

21

.04

30

31

.08

10

12

.24

20

22

.12

30

32

.24

10

13

.08

20

23

.04

30

33

.08

Uncertainty Analysis for Engineers

23

Result
0.3
0.25
0.2

fz

0.15
0.1
0.05
0
5

10

15

20

25

30

35

Uncertainty Analysis for Engineers

24

Example
Z=X+Y
0.7
0.6
0.5
0.4

fx

0.3
0.2
0.1
0
0.5

fy
1

1.5

2.5

3.5 0.5
0.4
0.3
0.2
0.1
0
1.5

2.5

3.5

4.5

Uncertainty Analysis for Engineers

25

Analysis
X

Z-rank

.08

.04

.08

.24

.12

.24

.08

.04

.08

Uncertainty Analysis for Engineers

26

Compiled Data
z

fz

.08

.28

.28

.28

.08
fz
0.3
0.25
0.2
0.15
0.1
0.05
0
2.5

3.5

4.5

5.5

6.5

7.5

Uncertainty Analysis for Engineers

27

Example
Z X Y
fx

vt

exp(vt )

x!
y

t
fy
exp( t )
y!

x and y are
integers

f z f x ( x) f y ( z x)
all x

vt t
x

x!( z x)!

allx

v
exp v t
x

fz t

allx

zx

exp v t

zx

x!( z x)!
Uncertainty Analysis for Engineers

28

Example (continued)

v
x

zx

allx

x!( z x)!

fz

vt

z!

z!

exp v t

The sum of n
independent Poisson
processes is Poisson

Uncertainty Analysis for Engineers

29

Continuous Variables
Z g( X ,Y )
Fz ( z )
Fz ( z )

x, y
g ( x , y ) z

( x, y )dxdy

1
g

x, y

( x, y )dxdy

x g 1 ( z , y ) g 1
z

dg 1
Fz ( z ) f x , y ( g , y )
dzdy
dz

1

1
dg
Fz ( z ) f x , y ( g 1 , y )
dydz
dz

Uncertainty Analysis for Engineers

30

Continuous Variables

1
dg
f z ( z ) f x , y ( g 1 , Y )
dY
dz

dg 1
f x, y ( X , g )
dX
dz

if
Z aX bY
Z bY
a
dg 1 1

dz
a

fz

1
Z bY
f
(
a x, y a , Y )dY
Uncertainty Analysis for Engineers

31

Continuous Variables
(cont.)

1
Z bY
f z f x, y (
, Y )dY
a
a

1
Z aX
f z f x, y ( X ,
)dX
b
b

x, y independent

1
Z bY
fz fx (
) f y (Y )dy
a
a

Uncertainty Analysis for Engineers

32

Example
W U V ; U ,V 0
1
u
fu
exp

2 mu
2m
1
v
fv
exp

2 mv
2m
fw

f u (u ) f v ( w u )du

1
w
fw
exp

2m
2m
1
w
fw
exp

2 m
2
m

fw

1
w
exp

2m
2
m

1
u

1
u
exp

2 mu
2m

1
(w u)
exp
du
2m
2 m( w u )

1
du
wu

du
u(w u)

Uncertainty Analysis for Engineers

33

In General
If
fz

Z=X+Y and X and Y are normal dist.

( z y ) f y ( y ) dy

fz

1 z y
1
x

exp
x
2 x
2

1
exp 2

1
fz
exp

2 x2 y2

1
fz
2 x y

Then

1
1 y y

exp
2 y
2 y

2
2

z y x
1
y
dy

x
2 y

1
x
y
2
2
2

x
y

dy

z x y
Z is also normal with
2
2
2

Uncertainty
z Analysis
x for Engineers
y

34

Products

Z XY
Z
X
Y
X 1

Z Y

1
z
f z ( Z ) f X ,Y ( , y )dy
Y
y

imagine X i all l ognormal and

n

Z Xi
i 1

ln( Z ) ln( X i )
i 1

Z X i
i 1
n

X2 i
2
Z

i 1

Uncertainty Analysis for Engineers

35

Example
W,

F, E are lognormal
WF
C
E
1
ln(C ) ln(W ) ln( F ) ln( E )
2
1
C W F E
2
1
E
2
2
C

2
W

2
F

Uncertainty Analysis for Engineers

36

Central Limit Theorem

The

sum of a large number of

individual random components,
none of which is dominant, tends
to the Gaussian distribution (for
large n)

Uncertainty Analysis for Engineers

37

Generalization
More

than two variables

Z g ( x1 , x2 , x3 ,..., xn )

f Z ( z ) ... f x1 ,..., xn

g
g 1 , x2 , x3 ,..., xn
dx2 dx3 ...dxn
z

Uncertainty Analysis for Engineers

38

Moments
Suppose

Z=g(X1, X2, ,Xn)

E ( Z ) ... z f X 1 , X 2 ,..., X n ( X 1 , X 2 ,..., X n )dX 1dX 2 ...dX n

E ( Z ) ... g ( X 1 , X 2 ,..., X n ) f X 1 , X 2 ,..., X n ( X 1 , X 2 ,..., X n )dX 1dX 2 ...dX n
imagine
Y aX b

E (Y ) Y f y ( y )dy (ax b) f x ( x)dx

E (Y ) a x f x ( x)dx b f x ( x)dx aE ( X ) b
Uncertainty Analysis for Engineers

39

Moments

ax b

Var (Y ) E Y Y
Var (Y )

f x ( x)dx
Y

ax

aE
(
x
)

b
f x ( x)dx

Var (Y ) a 2

E
(
x
)
f x ( x)dx

Var (Y ) a 2Var ( X )

Uncertainty Analysis for Engineers

40

imagine

Moments

Y aX 1 bX 2

E (Y ) aE ( X 1 ) bE ( X 2 )
Var (Y )

f x1 , x2 ( x1 , x2 )dx1dx2

Var (Y )

ax bx
1

2 a x1 b x2

f x1 , x2 ( x1 , x2 )dx1dx2

Var (Y ) a 2

x
1

x1

f x1 , x2 ( x1 , x2 )dx1dx2

b2

2 x2

f x1 , x2 ( x1 , x2 )dx1dx2

2ab

x1 x2 x2 f x1 , x2 ( x1 , x2 )dx1dx2

Var (Y ) a 2Var ( X 1 ) b 2Var ( X 2 ) 2abCov ( X 1 , X 2 )

Cov ( X 1 , X 2 ) E X 1 X 1 X 2 X 2 E (Uncertainty
X 1 X 2 ) Analysis
E ( X 1 )for
E (Engineers
X2)

41

Approximation
Y g( X )
E (Y )

g( X ) f

( X )dX

dg
g ( X ) g ( x ) X x
dx
E (Y )

dg

g
(

f x ( X )dX
x
x

dx

dg
E (Y ) g ( x ) f x ( X )dX X x
f x ( X )dX
dx

dg
X x f x ( X )dX
E (Y ) g ( x ) f x ( X )dX

dx

E (Y ) g ( x )

Uncertainty Analysis for Engineers

42

Approximation

g( X )

Var (Y )

f x ( X )dX

dg
g ( X ) g ( x ) X x
dx

dg

g
(

x
y
x
dx

Var (Y )

dg

dx

Var (Y )

f x ( X )dX

dg

Var (Y )

dx

f x ( X )dX

f x ( X )dX
x

dg
Var (Y ) Var X
dx

x x

Uncertainty Analysis for Engineers

43

Second Order
Approximation
Y g( X )
E (Y )

g( X ) f

( X )dX

2
dg 1
d
g
2
g ( X ) g ( x ) X x
X x
dx 2
dx 2

1
d
g
2
E (Y ) g ( x ) X x
f x ( X )dX
2
2
dx

1 d 2g
2

E (Y ) g ( x )
X

f x ( X )dX
x
2
2 dx
1 d 2g
E (Y ) g ( x )
2 dx 2

Var ( x)
xx

Uncertainty Analysis for Engineers

44

Approximation for Multiple Inputs

Y g ( X 1 , X 2 , X 3 ,..., X n )

E (Y ) g X 1 , X 2 , X 3 ,..., X n
g

Var (Y )
i 1
X i
n

1 n 2 2g

xi
2
2 i 1 xi

2
Xi

Uncertainty Analysis for Engineers

45

Example

WF
C
E

Example

4.13
Do exact and then use
approximation and compare
Waste Treatment Plant C=cost,
W=weight of waste, F=unit cost
factor, E=efficiency coefficient
median

cov

2000 ton/y

.2

$20/ton

.15

1.6

.125
Uncertainty Analysis for Engineers

46

Solving

W lnWmedian 7.6009
F ln Fmedian 2.9957
E ln Emedian 0.4700

W ln 1 covW2 0.19804

F ln 1 cov 2F 0.149166
E ln 1 cov 2E 0.124516

1
ln C ln W ln F ln E
2
1
C E ln C W F E 10.36
2
1 2
2
2
C W F E 0.25563
4
1 2

C exp C C 32,620
2

C C exp C2 1 8477

Uncertainty Analysis for Engineers

47

Approximation

1 2 2 g 1 2 2 g 1 2 2 g
E (C ) g W , F , E W
F
E
2
W 2 2
F 2 2
E 2

g W , F , E W F
E

W 2039.6; F 20.223; E 1.6124

W 407.915; F 3.033; E 0.2016
W F
32620 32483
32,483; error
0.4%
32620
E
2g 2g

0
W 2 F 2
2 g 3W F

2
E
4 E5 / 2

W F 1 2 2 g
E
32673
2
E
E 2
error

32673 32620
0.16%
32620
Uncertainty Analysis for Engineers

48

Variance
2

2 g
2 g
2 g
Var (C ) W
F
E

W
F
E

F
2
Var (C ) W

E

W
2
F

E2 W F
2 3 / 2

C 8370
8477 8370
error
1.3%
8477

Uncertainty Analysis for Engineers

49