A probabilistic approach for representation of interval uncertainty

A probabilistic approach for representation of interval uncertainty

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Article ID: iaor20108508
Volume: 96
Issue: 1
Start Page Number: 117
End Page Number: 130
Publication Date: Jan 2011
Journal: Reliability Engineering and System Safety
Authors: , , ,
Keywords: interval arithmetic, p-box
Abstract:

In this paper, we propose a probabilistic approach to represent interval data for input variables in reliability and uncertainty analysis problems, using flexible families of continuous Johnson distributions. Such a probabilistic representation of interval data facilitates a unified framework for handling aleatory and epistemic uncertainty. For fitting probability distributions, methods such as moment matching are commonly used in the literature. However, unlike point data where single estimates for the moments of data can be calculated, moments of interval data can only be computed in terms of upper and lower bounds. Finding bounds on the moments of interval data has been generally considered an NP‐hard problem because it includes a search among the combinations of multiple values of the variables, including interval endpoints. In this paper, we present efficient algorithms based on continuous optimization to find the bounds on second and higher moments of interval data. With numerical examples, we show that the proposed bounding algorithms are scalable in polynomial time with respect to increasing number of intervals. Using the bounds on moments computed using the proposed approach, we fit a family of Johnson distributions to interval data. Furthermore, using an optimization approach based on percentiles, we find the bounding envelopes of the family of distributions, termed as a Johnson p‐box. The idea of bounding envelopes for the family of Johnson distributions is analogous to the notion of empirical p‐box in the literature. Several sets of interval data with different numbers of intervals and type of overlap are presented to demonstrate the proposed methods. As against the computationally expensive nested analysis that is typically required in the presence of interval variables, the proposed probabilistic representation enables inexpensive optimization‐based strategies to estimate bounds on an output quantity of interest.

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