Bayesian EBDO Savannah Mourelatos Feb2008 V2

REC 2008; Zissimos P.
Mourelatos
Design under Uncertainty using
Evidence Theory and a Bayesian
Approach

Jun Zhou
Zissimos P. Mourelatos
Mechanical Engineering Department
Oakland University
Rochester, MI 48309, USA
mourelat@oakland.edu

REC 2008; Zissimos P. Mourelatos
2
Overview
Introduction
Design under uncertainty
Uncertainty theories
Evidence Based Design Optimization (EBDO)
Fundamentals of Bayesian Approach
Bayesian Approach to Design Optimization (BADO)
A Combined Bayesian and EBDO Approach
Example
General conclusions
Design Under Uncertainty
Analysis /
Simulation
Input Output
Uncertainty
(Quantified)
Uncertainty
(Calculated)
Propagation
Design
1. Quantification
2. Propagation
3. Design
Aleatory Uncertainty (Irreducible, Stochastic)
Probabilistic distributions
Bayesian updating
Epistemic Uncertainty (Reducible, Subjective,
Ignorance, Lack of Information)
Fuzzy Sets; Possibility methods (non-conflicting information)
Evidence theory (conflicting information)

Uncertainty Types
25% 30% 45%
Probability distribution
Expert Opinion Finite samples Interval
Decreasing level of information
5
Evidence Theory
Possibility Theory
Probability
Theory
Uncertainty Theories
Evidence-Based Design
Optimization (EBDO)
7
Set Notation
Universe
(X)
Power Set
(All sets)
Element
A
B C
c A B
( ) ( ) A Pl A P A Bel s s ) ( Evidence Theory
8
Evidence-Based Design Optimization (EBDO)
Basic Probability Assignment (BPA): m(A)
( ) X Ae If m(A)>0 for then A is a focal element
0.2 0.1 0.4 0.3
Y
5
6.2 8 9.5
11
Expert A
5
0.3
0.3 0.4
Y
7 8.7
11
Expert B
Y
0.x1
7 8.7
11
9.5 8 6.2
0.x2
0.x3
0.x6
0.x5
0.x4
5
Combining Rule
(Dempster Shafer)
9
S
a
b
BPA
S
a
b
S
a
b
BPA
BPA structure for a two-input problem
10
If we define,
( ) ( ) | | { } C b a c c b a y b a f g g G
c c
c = e > = = , , , , 0 , :
0
then
( ) ( ) G Pl G P G Bel s s ) (
where
( ) 0 ) ( > = g P G P
and
( ) ( )
_
=
G B
B m G Bel
( ) ( )
=
=
0 G B
B m G Pl
11
min
g
max
g
0 g >
0 g <
0 g =
min
g
max
g
0 g >
0 g <
0 g =
min
g
max
g
0 g >
0 g <
0 g =
| | ( ) ( ) | | X X
X X
g g g g max , min ,
max min
=
Position of a focal element w.r.t. limit state
Contributes to
Belief
( ) ( ) 0 ) 0 ( 0 > s > s > g Pl g P g Bel
Contributes to
Plausibility
12
Design Principle
Therefore,
( )
f
p g P s < 0 ( )
f
p g Pl s < 0
is satisfied if
( ) R g P > > 0 ( ) R g Bel > > 0 is satisfied if
OR
If non-negative null form is used for feasibility, 0 > g
( ) ( ) 0 ) 0 ( 0 > s > s > g Pl g P g Bel
( ) ( ) 0 ) 0 ( 0 < s < s < g Pl g P g Bel
failure
13

( )
N N
f
N
p , x d,
x d,
min
( ) ( )
i
f i
p g Pl s < 0 , , P X d ,
n i ,..., 1 =
U L
d d d s s
N
U
N N
L
x x x s s
Formulation
14
0 > g
0 < g
0 = g
Calculation of ( )
f
p g Pl s < 0
15
Feasible Region
x
2

x
1

g
1
(x
1
,x
2
)=0
g
2
(x
1
,x
2
)=0
Objective
Reduces
initial design
point
frame of
discernment
EBDO optimum
deterministic
optimum
Implementation
16
25% 30% 45%
Probability distribution
Expert Opinion Finite samples Interval
Decreasing level of information
Available Information
Fundamentals of Bayesian
Approach
18

( ) ( ) ( ) 1 120 / 12 30 / 5 ,
2
2 1
2
2 1 2 1
+ + = x x x x x x g
Example
( ) 0 ,
2 1
> x x g : Success
( ) 0 ,
2 1
< x x g : Failure
|
.
|
\
|
3 . 0 , 0 . 3 ~
1
N X
2
X
: Bayesian uncertain variable
19
Example
( )
(
> 0 ,
2 2 1
X X X g P Want to calculate :
Number of sample points

20
Probabilistic Constraint :
( ) | |
f
p R g P = > > 1 0 , , , , P X Z Y d
Determ.
Random
Bayesian
f
p R g P = >
(
> |
.
|
\
|
1 0 , , , P X Z Y d

(
> |
.
|
\
|
0 , , , P X Z Y d g
R=0.78
Confidence Percentile = 85%
Probability = 0.78
21
Probabilistic Constraint :
( ) = >
(
> |
.
|
\
|
V R g P 0 , , , P X Z Y d
0.78
0.85
Confidence Percentile

(
> |
.
|
\
|
0 , , , P X Z Y d g
Confidence Percentile = 85%
Probability = 0.78
R = 0.78
22
Confidence Percentile Using Extreme
Distribution of Smallest Value

( )
(
> 0 ,
2 2 1
X X X g P
R=0.465
Confidence Percentile using
Beta Distribution = 99.87%
Confidence Percentile using
Extreme Distribution = 57.3%
Beta
Extreme Value
Bayesian Approach to Design
Optimization (BADO)
24
BADO Formulation
( )
N N
Y
N
min p , x d,
Z Y
x d,
, , f
,
o R ) g ( P
i i
>
|
|
.
|
\
|
> > |
.
|
\
|
V 0 , , , P X Z Y d n i ,..., 1 =
U L
d d d s s
U L
Y Y Y
s s
U
N
L
x x x s s
s.t.
Target Confidence Percentile
Confidence
Percentile
25
Thin-Walled Pressure Vessel Example

R
t
g
t R
g
t R L
g
Y t Rt
SF t Rt R P
g
tY
SF t R P
g
5
0 . 1 ) (
12
0 . 1 ) (
60
2 2
0 . 1 ) (
) 2 (
) 2 2 (
0 . 1 ) (
2
) 5 . 0 (
0 . 1 ) (
5
4
3
2
2 2
2
1
=
+
=
+ +
=
+
+ +
=
+
=
X
X
X
X
X
48 10
24 0 . 6
0 . 2 25 . 0
s s
s s
s s
L
R
t
L N N
R
R R f
t L N
t t

2 3
, ,
3
4
max + =
( ) ( ) | | 5 ,..., 1 0 , = > > > V j R g P
i i
o X Z Y
s.t.
yielding
{ } t L, = Y
{ } Y P, = Z
{ } R = X
26
Thin-Walled Pressure Vessel Example

Design Variables Objective

N
R
L

t

f(X)
Det. Opt. 11.75
36
0.25 22400
Reliability
Optimum
(p=0.85/=1.036)
10.1926 34.7147 0.25 15757
Bayesian Uncertainty (N=50)
=0.6, p=0.85 9.50 33.2099 0.4306 13100
=0.6, p=0.75 10.2778 34.4444 0.2639 15970

=0.8, p=0.85 9.50 31.4815 0.4853 12511
=0.8, p=0.75 10.50 31.4815 0.3750 15745

Possibilistic Uncertainty
8.0464 33.0912 0.25 8908

A Combined Bayesian and
EBDO Approach
28
Illustration with the Thin-Walled
Pressure Vessel Example
Figure 6. Histogram of sample points.
0
1
49
2
#

o
f

s
a
m
p
l
e
s
45
3
Variables
#

o
f

s
a
m
p
l
e
s
6 R
N
5 . 4 R
N

3 R
N

N
R
3 R
N
+ 4.5 R
N
+ 6 R
N
+
Figure 6. Histogram of sample points.
0
1
49
2
#

o
f

s
a
m
p
l
e
s
45
3
Variables
#

o
f

s
a
m
p
l
e
s
6 R
N
5 . 4 R
N

3 R
N

N
R
3 R
N
+ 4.5 R
N
+ 6 R
N
+
100 Sample Points
P=3/100=0.03
??
29
Define random variable X where,
X is # of sample points in | | 3 , 5 . 4
N N
R R segment.
X ~ Beta(3+1, 100-3+1) = Beta(4, 98)
Then:
Using extreme distribution of smallest value with 8 . 0 = o :
| | | | 0054 . 0 8 . 0 1 8 . 0 3 5 . 4
100
1
= = = < <

X N N
F R R R P o
30
2.2e-5
6 R
N
5 . 4 R
N
3 R
N

N
R 3 +
N
R 4.5 R
N
+ 6 R
N
+
0.0054 0.3155 0.3523 0.0025 0.00068
0.3236
2.2e-5
6 R
N
5 . 4 R
N
3 R
N

N
R 3 +
N
R 4.5 R
N
+ 6 R
N
+
0.0054 0.3155 0.3523 0.0025 0.00068
0.3236
R
# of Sample
Points
BPA(Extreme
Value)
[
N
R - 6.0 ,
N
R - 4.5] 0 2.2e-5
[
N
R - 4.5 ,
N
R - 3.0] 3 0.0054
[
N
R - 3.0 ,
N
R ] 45 0.3155
[
N
R ,
N
R + 3.0] 49 0.3523
[
N
R + 3.0 ,
N
R + 4.5] 2 0.0025
[
N
R + 4.5 ,
N
R + 6.0] 1 0.00068
[
N
R - 6.0 ,
N
R + 6.0] --- 0.3236

31
32
General Conclusions
There are formal design optimization tools depending on
amount and form of available information; e.g. RBDO,
EBDO, PBDO, BADO, Bayesian + Evidence.
There is a trade-off between conservative designs (loss of
optimality) and available information.
Deterministic
RBDO EBDO BADO
Less Information
More Conservative Design
PBDO
Bayesian + Evidence
33
Q & A
34
Implementation
Feasible Region
x
2

x
1

g
1
(x
1
,x
2
)=0
g
2
(x
1
,x
2
)=0
Objective
Reduces
hyper-ellipse
initial design
point
frame of
discernment
B
MPP for g
1
=0
deterministic
optimum
35

Implementation
Feasible Region
x
2

x
1

g
1
(x
1
,x
2
)=0
g
2
(x
1
,x
2
)=0
Objective
Reduces
hyper-ellipse
initial design
point
frame of
discernment
EBDO optimum
B
MPP for g
1
=0
deterministic
optimum
Bayesian Approach Design Optimization (BADO)
1. Uncertainty is in the form of sample points.
2. The probability distribution is Beta distribution.
0.1 0.3 0.5 0.7 0.9
x
0
1
2
3
4
5
Beta(5,5)
Beta(22,12)
Prior and posterior distributions Confidence percentile
Extreme value and Beta distribution
( )
N N
f
Y
N
p , x d,
Z Y
x d,
, , min
,
( ) ( ) o | ) P X d ( > > > V
t i
g P 0 , , n i ,..., 1 = s.t.
U L
d d d s s
U L
Y Y Y
s s
U
N
L
x x x s s
,
,
3. BADO formulation

Bayesian EBDO Savannah Mourelatos Feb2008 V2

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