FREQ: A computational package for multivariable system loop-shaping procedures

Many approaches in the field of linear, multivariable time-invariant systems analysis and controller synthesis employ loop-sharing procedures wherein design parameters are chosen to shape frequency-response singular value plots of selected transfer matrices. A software package, FREQ, is documented for computing within on unified framework many of the most used multivariable transfer matrices for both continuous and discrete systems. The matrices are evaluated at user-selected frequency-response values, and singular values against frequency. Example computations are presented to demonstrate the use of the FREQ code

Approximation of Failure Probability Using Conditional Sampling

In analyzing systems which depend on uncertain parameters, one technique is to partition the uncertain parameter domain into a failure set and its complement, and judge the quality of the system by estimating the probability of failure. If this is done by a sampling technique such as Monte Carlo and the probability of failure is small, accurate approximation can require so many sample points that the computational expense is prohibitive. Previous work of the authors has shown how to bound the failure event by sets of such simple geometry that their probabilities can be calculated analytically. In this paper, it is shown how to make use of these failure bounding sets and conditional sampling within them to substantially reduce the computational burden of approximating failure probability. It is also shown how the use of these sampling techniques improves the confidence intervals for the failure probability estimate for a given number of sample points and how they reduce the number of sample point analyses needed to achieve a given level of confidence

Uncertainty Analysis via Failure Domain Characterization: Unrestricted Requirement Functions

This paper proposes an uncertainty analysis framework based on the characterization of the uncertain parameter space. This characterization enables the identification of worst-case uncertainty combinations and the approximation of the failure and safe domains with a high level of accuracy. Because these approximations are comprised of subsets of readily computable probability, they enable the calculation of arbitrarily tight upper and lower bounds to the failure probability. The methods developed herein, which are based on nonlinear constrained optimization, are applicable to requirement functions whose functional dependency on the uncertainty is arbitrary and whose explicit form may even be unknown. Some of the most prominent features of the methodology are the substantial desensitization of the calculations from the assumed uncertainty model (i.e., the probability distribution describing the uncertainty) as well as the accommodation for changes in such a model with a practically insignificant amount of computational effort

A Verification-Driven Approach to Control Analysis and Tuning

This paper proposes a methodology for the analysis and tuning of controllers using control verification metrics. These metrics, which are introduced in a companion paper, measure the size of the largest uncertainty set of a given class for which the closed-loop specifications are satisfied. This framework integrates deterministic and probabilistic uncertainty models into a setting that enables the deformation of sets in the parameter space, the control design space, and in the union of these two spaces. In regard to control analysis, we propose strategies that enable bounding regions of the design space where the specifications are satisfied by all the closed-loop systems associated with a prescribed uncertainty set. When this is unfeasible, we bound regions where the probability of satisfying the requirements exceeds a prescribed value. In regard to control tuning, we propose strategies for the improvement of the robust characteristics of a baseline controller. Some of these strategies use multi-point approximations to the control verification metrics in order to alleviate the numerical burden of solving a min-max problem. Since this methodology targets non-linear systems having an arbitrary, possibly implicit, functional dependency on the uncertain parameters and for which high-fidelity simulations are available, they are applicable to realistic engineering problems.

Bounding the Failure Probability Range of Polynomial Systems Subject to P-box Uncertainties

This paper proposes a reliability analysis framework for systems subject to multiple design requirements that depend polynomially on the uncertainty. Uncertainty is prescribed by probability boxes, also known as p-boxes, whose distribution functions have free or fixed functional forms. An approach based on the Bernstein expansion of polynomials and optimization is proposed. In particular, we search for the elements of a multi-dimensional p-box that minimize (i.e., the best-case) and maximize (i.e., the worst-case) the probability of inner and outer bounding sets of the failure domain. This technique yields intervals that bound the range of failure probabilities. The offset between this bounding interval and the actual failure probability range can be made arbitrarily tight with additional computational effort

Uncertainty Quantification for Polynomial Systems via Bernstein Expansions

This paper presents a unifying framework to uncertainty quantification for systems having polynomial response metrics that depend on both aleatory and epistemic uncertainties. The approach proposed, which is based on the Bernstein expansions of polynomials, enables bounding the range of moments and failure probabilities of response metrics as well as finding supersets of the extreme epistemic realizations where the limits of such ranges occur. These bounds and supersets, whose analytical structure renders them free of approximation error, can be made arbitrarily tight with additional computational effort. Furthermore, this framework enables determining the importance of particular uncertain parameters according to the extent to which they affect the first two moments of response metrics and failure probabilities. This analysis enables determining the parameters that should be considered uncertain as well as those that can be assumed to be constants without incurring significant error. The analytical nature of the approach eliminates the numerical error that characterizes the sampling-based techniques commonly used to propagate aleatory uncertainties as well as the possibility of under predicting the range of the statistic of interest that may result from searching for the best- and worstcase epistemic values via nonlinear optimization or sampling

UQTools: The Uncertainty Quantification Toolbox - Introduction and Tutorial

UQTools is the short name for the Uncertainty Quantification Toolbox, a software package designed to efficiently quantify the impact of parametric uncertainty on engineering systems. UQTools is a MATLAB-based software package and was designed to be discipline independent, employing very generic representations of the system models and uncertainty. Specifically, UQTools accepts linear and nonlinear system models and permits arbitrary functional dependencies between the system s measures of interest and the probabilistic or non-probabilistic parametric uncertainty. One of the most significant features incorporated into UQTools is the theoretical development centered on homothetic deformations and their application to set bounding and approximating failure probabilities. Beyond the set bounding technique, UQTools provides a wide range of probabilistic and uncertainty-based tools to solve key problems in science and engineering

A Comparison of Metamodeling Techniques via Numerical Experiments

This paper presents a comparative analysis of a few metamodeling techniques using numerical experiments for the single input-single output case. These experiments enable comparing the models' predictions with the phenomenon they are aiming to describe as more data is made available. These techniques include (i) prediction intervals associated with a least squares parameter estimate, (ii) Bayesian credible intervals, (iii) Gaussian process models, and (iv) interval predictor models. Aspects being compared are computational complexity, accuracy (i.e., the degree to which the resulting prediction conforms to the actual Data Generating Mechanism), reliability (i.e., the probability that new observations will fall inside the predicted interval), sensitivity to outliers, extrapolation properties, ease of use, and asymptotic behavior. The numerical experiments describe typical application scenarios that challenge the underlying assumptions supporting most metamodeling techniques

Calibration of Predictor Models Using Multiple Validation Experiments

This paper presents a framework for calibrating computational models using data from several and possibly dissimilar validation experiments. The offset between model predictions and observations, which might be caused by measurement noise, model-form uncertainty, and numerical error, drives the process by which uncertainty in the models parameters is characterized. The resulting description of uncertainty along with the computational model constitute a predictor model. Two types of predictor models are studied: Interval Predictor Models (IPMs) and Random Predictor Models (RPMs). IPMs use sets to characterize uncertainty, whereas RPMs use random vectors. The propagation of a set through a model makes the response an interval valued function of the state, whereas the propagation of a random vector yields a random process. Optimization-based strategies for calculating both types of predictor models are proposed. Whereas the formulations used to calculate IPMs target solutions leading to the interval value function of minimal spread containing all observations, those for RPMs seek to maximize the models' ability to reproduce the distribution of observations. Regarding RPMs, we choose a structure for the random vector (i.e., the assignment of probability to points in the parameter space) solely dependent on the prediction error. As such, the probabilistic description of uncertainty is not a subjective assignment of belief, nor is it expected to asymptotically converge to a fixed value, but instead it casts the model's ability to reproduce the experimental data. This framework enables evaluating the spread and distribution of the predicted response of target applications depending on the same parameters beyond the validation domain

The NASA Langley Multidisciplinary Uncertainty Quantification Challenge

This paper presents the formulation of an uncertainty quantification challenge problem consisting of five subproblems. These problems focus on key aspects of uncertainty characterization, sensitivity analysis, uncertainty propagation, extreme-case analysis, and robust design