Dakota Reference Manual: interval_estimation

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interval_estimation

## Description

In interval analysis, one assumes that nothing is known about an epistemic uncertain variable except that its value lies somewhere within an interval. In this situation, it is NOT assumed that the value has a uniform probability of occuring within the interval. Instead, the interpretation is that any value within the interval is a possible value or a potential realization of that variable. In interval analysis, the uncertainty quantification problem is one of determining the resulting bounds on the output (defining the output interval) given interval bounds on the inputs. Again, any output response that falls within the output interval is a possible output with no frequency information assigned to it.

We have the capability to perform interval analysis using either `global_interval_est` or `local_interval_est`. In the global approach, one uses either a global optimization method or a sampling method to assess the bounds. `global_interval_est` allows the user to specify either `lhs`, which performs Latin Hypercube Sampling and takes the minimum and maximum of the samples as the bounds (no optimization is performed) or `ego`. In the case of `ego`, the efficient global optimization method is used to calculate bounds. The ego method is described in Section . If the problem is amenable to local optimization methods (e.g. can provide derivatives or use finite difference method to calculate derivatives), then one can use local methods to calculate these bounds. `local_interval_est` allows the user to specify either `sqp` which is sequential quadratic programming, or `nip` which is a nonlinear interior point method.

Note that when performing interval analysis, it is necessary to define interval uncertain variables as described in Section . For interval analysis, one must define only one interval per input variable, in contrast with Dempster-Shafer evidence theory, where an input can have several possible intervals. Interval analysis can be considered a special case of Dempster-Shafer evidence theory where each input is defined by one input interval with a basic probability assignment of one. In Dakota, however, the methods are separate and semantic differences exist in the output presentation. If you are performing a pure interval analysis, we recommend using either `global_interval_est` or `local_interval_est` instead of `global_evidence` or `local_evidence`, for reasons of simplicity. An example of interval estimation is found in the `dakota/share/dakota/examples/users/cantilever_uq_global_interval.in`, and also in Section .

Note that we have kept separate implementations of interval analysis and Dempster-Shafer evidence theory because our users often want to couple interval analysis on an `outer loop'' with an aleatory, probabilistic analysis on an`inner loop'' for nested, second-order probability calculations. See Section for additional details on these nested approaches. These interval methods can also be used as the outer loop within an interval-valued probability analysis for propagating mixed aleatory and epistemic uncertainty – refer to Section for additional details.

Interval analysis is often used to model epistemic uncertainty. In interval analysis, the uncertainty quantification problem is one of determining the resulting bounds on the output (defining the output interval) given interval bounds on the inputs.

We can do interval analysis using either %`global_interval_est` or `local_interval_est`. In the global approach, one uses either a global optimization method or a sampling method to assess the bounds, whereas the local method uses gradient information in a derivative-based optimization approach.

An example of interval estimation is shown in Figure , with example results in Figure . This example is a demonstration of calculating interval bounds for three outputs of the cantilever beam problem. The cantilever beam problem is described in detail in Section . Given input intervals of [1,10] on beam width and beam thickness, we can see that the interval estimate of beam weight is approximately [1,100].

:examples:interval_out

    ------------------------------------------------------------------
    Min and Max estimated values for each response function:
    weight:  Min = 1.0000169352e+00  Max = 9.9999491948e+01
    stress:  Min = -9.7749994284e-01  Max = 2.1499428450e+01
    displ:  Min = -9.9315672724e-01  Max = 6.7429714485e+01
    -----------------------------------------------------------------

## Related Topics

## Related Keywords

- global_interval_est : Interval analysis using global optimization methods
- local_interval_est : Interval analysis using local optimization