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arXiv · 1812.07366

Sensitivity analysis of random linear dynamical systems using quadratic outputs

Roland Pulch·Akil Narayan
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Abstract

In uncertainty quantification, a stochastic modelling is often applied, where parameters are substituted by random variables. We investigate linear dynamical systems of ordinary differential equations with a quantity of interest as output. Our objective is to analyse the sensitivity of the output with respect to the random variables. A variance-based approach generates partial variances and sensitivity indices. We expand the random output using the generalised polynomial chaos. The stochastic Galerkin method yields a larger system of ordinary differential equations. The partial variances represent quadratic outputs of this system. We examine system norms of the stochastic Galerkin formulation to obtain sensitivity measures. Furthermore, we apply model order reduction by balanced truncation, which allows for an efficient computation of the system norms with guaranteed error bounds. Numerical results are shown for a test example.

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Roland Pulch, Akil Narayan. 2018-12-18. Sensitivity analysis of random linear dynamical systems using quadratic outputs. https://arxiv.org/abs/1812.07366

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