Show simple item record

dc.contributor.author
Torre, Emiliano
dc.contributor.author
Marelli, Stefano
dc.contributor.author
Embrechts, Paul
dc.contributor.author
Sudret, Bruno
dc.date.accessioned
2019-07-15T09:08:54Z
dc.date.available
2019-07-15T08:50:54Z
dc.date.available
2019-07-15T09:08:54Z
dc.date.issued
2019-07-08
dc.identifier.uri
http://hdl.handle.net/20.500.11850/353198
dc.identifier.doi
10.3929/ethz-b-000353198
dc.description.abstract
Systems subject to uncertain inputs produce uncertain responses. Uncertainty quantification (UQ) deals with the estimation of the response statistics of systems for which a runnable computational model is available. Problems of interest are those where the computational model is expensive, making Monte Carlo approaches unfeasible and thus calling for cheaper solutions that require fewer runs. In these settings, an accurate representation of the input statistics, including their mutual dependencies, is critical to obtain accurate output estimates. For instance, tail dependencies among the inputs may strongly affect failure probabilities in reliability analysis. Failing to capture such forms of correlations may render accurate estimation of the output statistics hopeless, regardless of the UQ method used to carry out the analysis. The last decade saw a remarkable extension of copula models that can be effectively used to describe multivariate dependence. Among these models, copulas built by tensor product of simple pair copulas (so-called vine copulas) enable a very flexible representation of high-order dependencies [1,2]. In parallel, novel methods have been proposed to perform inference on these copula models. Here we illustrate how these relatively recent advances in copula modeling can be easily combined with virtually any UQ analysis [3], including those methods that assume the input to have a specific multivariate distribution (such as independent inputs). We showcase the approach on a variety of examples, spanning different simulated problems as well as different UQ techniques used to solve them. The analyses are fully carried out with the UQLab toolbox [4], whose simple syntax is also illustrated. [1] T. Bedford and R.M. Cooke (2002) Vines - A new graphical model for dependent random variables. The Annals of Statistics 30(4): 1031-1068. [2] K. Aas, C. Czado, A. Frigessi and H. Bakken (2009) Pair-Copula constructions of multiple dependence. Insurance, Mathematics and Economics 44:182-198. [3] E. Torre, S. Marelli, P. Embrechts and B. Sudret (2019). A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas. Probabilistic Engineering Mechanics (55): 1-16. [4] S. Marelli and B. Sudret (2014) UQLab: A framework for uncertainty quantification in Matlab. In: Vulnerability, Uncertainty, and Risk (Proc. 2nd Int. Conf. on Vulnerability, Risk Analysis and Management {(ICVRAM2014), Liverpool, United Kingdom)}, chapter 257: 2554-2563
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
uncertainty quantification
en_US
dc.subject
dependencies
en_US
dc.subject
copulas
en_US
dc.title
Vine copulas for uncertainty quantification: why and how
en_US
dc.type
Other Conference Item
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.size
27 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.event
Vine Copulas and their Applications. Workshop at the Technical University of Munich (2019)
en_US
ethz.event.location
Garching, Germany
en_US
ethz.event.date
July 8-9, 2019
en_US
ethz.notes
Conference lecture held on 8 July 2019
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02115 - Dep. Bau, Umwelt und Geomatik / Dep. of Civil, Env. and Geomatic Eng.::02605 - Institut für Baustatik u. Konstruktion / Institute of Structural Engineering::03962 - Sudret, Bruno / Sudret, Bruno
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02204 - RiskLab / RiskLab
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02115 - Dep. Bau, Umwelt und Geomatik / Dep. of Civil, Env. and Geomatic Eng.::02605 - Institut für Baustatik u. Konstruktion / Institute of Structural Engineering::03962 - Sudret, Bruno / Sudret, Bruno
en_US
ethz.date.deposited
2019-07-15T08:51:00Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2019-07-15T09:09:06Z
ethz.rosetta.lastUpdated
2020-02-15T20:13:24Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Vine%20copulas%20for%20uncertainty%20quantification:%20why%20and%20how&rft.date=2019-07-08&rft.au=Torre,%20Emiliano&Marelli,%20Stefano&Embrechts,%20Paul&Sudret,%20Bruno&rft.genre=unknown&rft.btitle=Vine%20copulas%20for%20uncertainty%20quantification:%20why%20and%20how
 Search via SFX

Files in this item

Thumbnail

Publication type

Show simple item record