A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas
Résumé
Systems subject to uncertain inputs produce uncertain responses. Uncertainty quantification
(UQ) deals with the estimation of statistics of the system response, given a computational
model of the system and a probabilistic model of its inputs. In engineering applications
it is common to assume that the inputs are mutually independent or coupled by a Gaussian
or elliptical dependence structure (copula).
In this paper we overcome such limitations by modelling the dependence structure of
multivariate inputs as vine copulas. Vine copulas are models of multivariate dependence
built from simpler pair-copulas. The vine representation is flexible enough to capture complex
dependencies. This paper formalises the framework needed to build vine copula models
of multivariate inputs and to combine them with virtually any UQ method. The framework
allows for a fully automated, data-driven inference of the probabilistic input model on
available input data.
The procedure is exemplified on two finite element models of truss structures, both subject
to inputs with non-Gaussian dependence structures. For each case, we analyse the moments
of the model response (using polynomial chaos expansions), and perform a structural reliability
analysis to calculate the probability of failure of the system (using the first order
reliability method and importance sampling). Reference solutions are obtained by Monte
Carlo simulation. The results show that, while the Gaussian assumption yields biased statistics,
the vine copula representation achieves significantly more precise estimates, even when
its structure needs to be fully inferred from a limited amount of observations.
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