Search NASA⌕ Search

SEARCH · Search NASA

Results for “random variables”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

Quote a phrase for an exact phrase match. Source license links do not imply unrestricted reuse.

At least 19 records
All sourcesNASA NTRSDOE OSTI
DOE OSTI2019

Polynomial chaos expansions for dependent random variables

Polynomial chaos expansions (PCE) are well-suited to quantifying uncertainty in models parameterized by independent random variables. The assumption of independence leads to simple strategies for building multivariate orthonormal bases and for sampling strategies to evaluate PCE coefficients. In contrast, the application of PCE to models of dependent variables is much more challenging. Three approaches can be used to construct PCE of models of dependent variables. The first approach uses mapping methods where measure transformations, such as the Nataf and Rosenblatt transformation, can be used to map dependent random variables to independent ones; however we show that this can significantly degrade performance since the Jacobian of the map must be approximated. A second strategy is the class of dominating support methods. In these approaches a PCE is built using independent random variables whose distributional support dominates the support of the true dependent joint density; we provide evidence that this approach appears to produce approximations with suboptimal accuracy. A third approach, the novel method proposed here, uses Gram-Schmidt orthogonalization (GSO) to numerically compute orthonormal polynomials for the dependent random variables. This approach has been used successfully when solving differential equations using the intrusive stochastic Galerkin method, and in this paper we use GSO to build PCE using a non-intrusive stochastic collocation method. The stochastic collocation method treats the model as a black box and builds approximations of the input-output map from a set of samples. Building PCE from samples can introduce ill-conditioning which does not plague stochastic Galerkin methods. To mitigate this ill-conditioning we generate weighted Leja sequences, which are nested sample sets, to build accurate polynomial interpolants. We show that our proposed approach, GSO with weighted Leja sequences, produces PCE which are orders of magnitude more accurate than PCE constructed using mapping or dominating support methods.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2018

Characteristic Functions and Compactness of Distributions of Sums of Independent Random Variables

The sequences of distributions of centered sums of independent random variables are considered within the framework of the series scheme, without assuming the classical conditions for uniform asymptotic smallness and uniform limit constancy. Necessary and sufficient conditions are obtained for relative and stochastic compactness of such sequences in terms of the characteristic functions of summable random variables and with using their τ-centers.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2018

Benford’s law and continuous dependent random variables

Many mathematical, man-made and natural systems exhibit a leading-digit bias, where a first digit (base 10) of 1 occurs not 11% of the time, as one would expect if all digits were equally likely, but rather 30%. This phenomenon is known as Benford’s Law. Analyzing which datasets adhere to Benford’s Law and how quickly Benford behavior sets in are the two most important problems in the field. Most previous work studied systems of independent random variables, and relied on the independence in their analyses. Inspired by natural processes such as particle decay, we study the dependent random variables that emerge from models of decomposition of conserved quantities. We prove that in many instances the distribution of lengths of the resulting pieces converges to Benford behavior as the number of divisions grow, and give several conjectures for other fragmentation processes. The main difficulty is that the resulting random variables are dependent. We handle this by using tools from Fourier analysis and irrationality exponents to obtain quantified convergence rates as well as introducing and developing techniques to measure and control the dependencies. The construction of these tools is one of the major motivations of this work, as our approach can be applied to many other dependent systems. As an example, we show that the n! entries in the determinant expansions of n×n matrices with entries independently drawn from nice random variables converges to Benford’s Law.

72 PHYSICS OF ELEMENTARY PARTICLES AND FIELDS↗
NASA NTRS1994

On the minimum of independent geometrically distributed random variables

The expectations E(X(sub 1)), E(Z(sub 1)), and E(Y(sub 1)) of the minimum of n independent geometric, modifies geometric, or exponential random variables with matching expectations differ. We show how this is accounted for by stochastic variability and how E(X(sub 1))/E(Y(sub 1)) equals the expected number of ties at the minimum for the geometric random variables. We then introduce the 'shifted geometric distribution' and show that there is a unique value of the shift for which the individual shifted geometric and exponential random variables match expectations both individually and in the minimums.

Ciardo, Gianfranco↗
NASA NTRS1981

Computer simulation of random variables and vectors with arbitrary probability distribution laws

Assume that there is given an arbitrary n-dimensional probability distribution F. A recursive construction is found for a sequence of functions x sub 1 = f sub 1 (U sub 1, ..., U sub n), ..., x sub n = f sub n (U sub 1, ..., U sub n) such that if U sub 1, ..., U sub n are independent random variables having uniform distribution over the open interval (0,1), then the joint distribution of the variables x sub 1, ..., x sub n coincides with the distribution F. Since uniform independent random variables can be well simulated by means of a computer, this result allows one to simulate arbitrary n-random variables if their joint probability distribution is known.

Bogdan, V. M.↗
NASA NTRS1997

A New Approach to Extreme Value Estimation Applicable to a Wide Variety of Random Variables

Designing reliable structures requires an estimate of the maximum and minimum values (i.e., strength and load) that may be encountered in service. Yet designs based on very extreme values (to insure safety) can result in extra material usage and hence, uneconomic systems. In aerospace applications, severe over-design cannot be tolerated making it almost mandatory to design closer to the assumed limits of the design random variables. The issue then is predicting extreme values that are practical, i.e. neither too conservative or non-conservative. Obtaining design values by employing safety factors is well known to often result in overly conservative designs and. Safety factor values have historically been selected rather arbitrarily, often lacking a sound rational basis. To answer the question of how safe a design needs to be has lead design theorists to probabilistic and statistical methods. The so-called three-sigma approach is one such method and has been described as the first step in utilizing information about the data dispersion. However, this method is based on the assumption that the random variable is dispersed symmetrically about the mean and is essentially limited to normally distributed random variables. Use of this method can therefore result in unsafe or overly conservative design allowables if the common assumption of normality is incorrect.

Holland, Frederic A., Jr.↗
NASA NTRS2017

[Random Variable Read Me File]

Readme for the Random Variable Toolbox usable manner. is a Web-based Git version control repository hosting service. It is mostly used for computer code. It offers all of the distributed version control and source code management (SCM) functionality of Git as well as adding its own features. It provides access control and several collaboration features such as bug tracking, feature requests, task management, and wikis for every project.[3] GitHub offers both plans for private and free repositories on the same account[4] which are commonly used to host open-source software projects.[5] As of April 2017, GitHub reports having almost 20 million users and 57 million repositories,[6] making it the largest host of source code in the world.[7] GitHub has a mascot called Octocat, a cat with five tentacles and a human-like face

Teubert, Christopher↗
DOE OSTI2017

Evaluation of a Class of Simple and Effective Uncertainty Methods for Sparse Samples of Random Variables and Functions

When very few samples of a random quantity are available from a source distribution of unknown shape, it is usually not possible to accurately infer the exact distribution from which the data samples come. Under-estimation of important quantities such as response variance and failure probabilities can result. For many engineering purposes, including design and risk analysis, we attempt to avoid under-estimation with a strategy to conservatively estimate (bound) these types of quantities -- without being overly conservative -- when only a few samples of a random quantity are available from model predictions or replicate experiments. This report examines a class of related sparse-data uncertainty representation and inference approaches that are relatively simple, inexpensive, and effective. Tradeoffs between the methods' conservatism, reliability, and risk versus number of data samples (cost) are quantified with multi-attribute metrics use d to assess method performance for conservative estimation of two representative quantities: central 95% of response; and 10 -4 probability of exceeding a response threshold in a tail of the distribution. Each method's performance is characterized with 10,000 random trials on a large number of diverse and challenging distributions. The best method and number of samples to use in a given circumstance depends on the uncertainty quantity to be estimated, the PDF character, and the desired reliability of bounding the true value. On the basis of this large data base and study, a strategy is proposed for selecting the method and number of samples for attaining reasonable credibility levels in bounding these types of quantities when sparse samples of random variables or functions are available from experiments or simulations.

97 MATHEMATICS AND COMPUTING↗
NASA NTRS2018

Random Variables with Moment-Matching Staircase Density Functions

This paper proposes a family of random variables for uncertainty modeling. The variables of interest have a bounded support set, and prescribed values for the first four moments. We present the feasibility conditions for the existence of any of such variables, and propose a class of variables that conforms to such constraints. This class is called staircase because the density of its members is a piecewise constant function. Convex optimization is used to calculate their distributions according to several optimality criteria, including maximal entropy and maximal log-likelihood. The flexibility and efficiency of staircases enable modeling phenomena having a possibly skewed and/or multimodal response at a low computational cost. Furthermore, we provide a means to account for the uncertainty in the distribution caused by estimating staircases from data. These ideas are illustrated by generating empirical staircase predictor models. We consider the case in which the predictor matches the sample moments exactly (a setting applicable to large datasets), as well as the case in which the predictor accounts for the sampling error in such moments (a setting applicable to sparse datasets). A predictor model for the dynamics of an aeroelastic airfoil subject to flutter instability is used as an example. The resulting predictor not only describes the system's response accurately, but also enables carrying out a risk analysis for safe flight.

Luis G. Crespo↗