Section: New Software and Platforms

Cut-ANOVA

Keywords: Stochastic models - Uncertainty quantification

• Participants: Pietro-Marco Congedo

• Contact: Pietro-Marco Congedo

Scientific Description

An anchored analysis of variance (ANOVA) method is proposed to decompose the statistical moments. Compared to the standard ANOVA with mutually orthogonal component functions, the anchored ANOVA, with an arbitrary choice of the anchor point, loses the orthogonality if employing the same measure. However, an advantage of the anchored ANOVA consists in the considerably reduced number of deterministic solver's computations, which renders the uncertainty quantification of real engineering problems much easier. Different from existing methods, the covariance decomposition of the output variance is used in this work to take account of the interactions between non-orthogonal components, yielding an exact variance expansion and thus, with a suitable numerical integration method, provides a strategy that converges. This convergence is verified by studying academic tests. In particular, the sensitivity problem of existing methods to the choice of anchor point is analyzed via the Ishigami case, and we point out that covariance decomposition survives from this issue. Also, with a truncated anchored ANOVA expansion, numerical results prove that the proposed approach is less sensitive to the anchor point. The covariance-based sensitivity indices (SI) are also used, compared to the variance-based SI. Furthermore, we emphasize that the covariance decomposition can be generalized in a straightforward way to decompose higher-order moments. For academic problems, results show the method converges to exact solution regarding both the skewness and kurtosis. The proposed method can indeed be applied to a large number of engineering problems.

Functional Description

The Cut-ANOVA code (Fortran 90, MPI + OpenMP) is devoted to the stochastic analysis of numerical simulations. The method implemented is based on the spectral expansion of "anchored ANOVA", allowing the covariance-based sensitivity analysis. Compared to the conventional Sobol method, "Cut-ANOVA" provides three sensitivity indices instead of one, which allows a better analysis of the reliability of the numerical prediction. On the other hand, "Cut-ANOVA" is able to compute the higher order statistical moments such as the Skewness (3-rd order moment) and Kurtosis (4-th order moment). Several dimension reduction techniques have also been implemented to reduce the computational cost. Finally, thanks to the innovative method implemented into the Code Cut-ANOVA, one can obtain a similar accuracy for stochastic quantities by using a considerably less number of deterministic model evaluations, compared with the classical Monte Carlo method.