On Taylor Series Expansion for Statistical Moments of Functions of Correlated Random Variables dagger

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F20%3APU137276" target="_blank" >RIV/00216305:26110/20:PU137276 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.mdpi.com/2073-8994/12/8/1379" target="_blank" >https://www.mdpi.com/2073-8994/12/8/1379</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/sym12081379" target="_blank" >10.3390/sym12081379</a>

Jazyk výsledku

angličtina

Název v původním jazyce

On Taylor Series Expansion for Statistical Moments of Functions of Correlated Random Variables dagger

Popis výsledku v původním jazyce

The paper is focused on Taylor series expansion for statistical analysis of functions of random variables with special attention to correlated input random variables. It is shown that the standard approach leads to significant deviations in estimated variance of non-linear functions. Moreover, input random variables are often correlated in industrial applications; thus, it is crucial to obtain accurate estimations of partial derivatives by a numerical differencing scheme. Therefore, a novel methodology for construction of Taylor series expansion of increasing complexity of differencing schemes is proposed and applied on several analytical examples. The methodology is adapted for engineering applications by proposed asymmetric difference quotients in combination with a specific step-size parameter. It is shown that proposed differencing schemes are suitable for functions of correlated random variables. Finally, the accuracy, efficiency, and limitations of the proposed methodology are discussed.

Název v anglickém jazyce

On Taylor Series Expansion for Statistical Moments of Functions of Correlated Random Variables dagger

Popis výsledku anglicky

The paper is focused on Taylor series expansion for statistical analysis of functions of random variables with special attention to correlated input random variables. It is shown that the standard approach leads to significant deviations in estimated variance of non-linear functions. Moreover, input random variables are often correlated in industrial applications; thus, it is crucial to obtain accurate estimations of partial derivatives by a numerical differencing scheme. Therefore, a novel methodology for construction of Taylor series expansion of increasing complexity of differencing schemes is proposed and applied on several analytical examples. The methodology is adapted for engineering applications by proposed asymmetric difference quotients in combination with a specific step-size parameter. It is shown that proposed differencing schemes are suitable for functions of correlated random variables. Finally, the accuracy, efficiency, and limitations of the proposed methodology are discussed.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

20101 - Civil engineering

Projekt

<a href="/cs/project/GA18-13212S" target="_blank" >GA18-13212S: Metody plochy odezvy a citlivostní analýzy ve stochastické výpočtové mechanice (RESUS)</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Symmetry

ISSN

2073-8994

e-ISSN

—

Svazek periodika

12

Číslo periodika v rámci svazku

8

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

14

Strana od-do

1-14

Kód UT WoS článku

000564671300001

EID výsledku v databázi Scopus

2-s2.0-85090276408