한국산업정보학회논문지 (Journal of Korea Society of Industrial Information Systems)

한국산업정보학회 (Korea Society of Industrial Information Systems)
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단조함수에 대한 불확실성 중요도 측도의 평가

Evaluation of Uncertainty Importance Measure for Monotonic Function

  • 발행 : 2010.12.30
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⟨ 이전 논문 다음 논문 ⟩

초록

시스템의 민감도 분석을 위한 불확실성 중요도 측도란 어떠한 입력변수의 불확실성이 반응변수의 불확실성에 미치는 영향의 정도를 평가하여, 반응변수의 불확실성을 감소시키기 위해서는 어떤 입력변수들의 불확실성을 감소시키는 것이 효과적인지를 밝히는데 사용된다. 본 논문에서는 입력변수와 반응변수 간의 관계식이 단조함수일 때, 어떤 입력변수의 불확실성이 제거될 때 반응변수 분산의 기대되는 감소량을 백분율로 측정하는 측도를 평가하기 위한 방법을 제안한다. 제안된 평가 방법은 입력변수와 반응변수 간의 관계식이 선형 및 비선형 단조함수 모두에 적용될 수 있으며 입력변수의 분포에 제한이 없으며, 입력변수의 분포를 이산형 분포로 근사화하는 기법을 사용함으로써 불확실성 중요도 측도의 안정적인 추정치를 얻을 수 있다 반면에 제안된 평가 방법은 몬테칼로 시뮬레이션을 기반으로 하기 때문에 계산량이 많은 단점이 있다.

In a sensitivity analysis, an uncertainty importance measure is often used to assess how much uncertainty of an output is attributable to the uncertainty of an input, and thus, to identify those inputs whose uncertainties need to be reduced to effectively reduce the uncertainty of output. A function is called monotonic if the output is either increasing or decreasing with respect to any of the inputs. In this paper, for a monotonic function, we propose a method for evaluating the measure which assesses the expected percentage reduction in the variance of output due to ascertaining the value of input. The proposed method can be applied to the case that the output is expressed as linear and nonlinear monotonic functions of inputs, and that the input follows symmetric and asymmetric distributions. In addition, the proposed method provides a stable uncertainty importance of each input by discretizing the distribution of input to the discrete distribution. However, the proposed method is computationally demanding since it is based on Monte Carlo simulation.

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과제정보

연구 과제 주관 기관 : 동의대학교

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