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基于活跃子空间的Sobol主效应灵敏度分析

SOBOL’ MAIN EFFECT SENSITIVITY ANALYSIS BASED ON ACTIVE SUBSPACE

  • 摘要: 实际工程中存在大量不确定性, 量化系统响应对各种不确定性因素的灵敏度对指导设计优化具有重要意义. 基于方差分解的灵敏度分析是一类工程常见的整体灵敏度分析方法, 但其Sobol主效应指标的计算通常面临“维数灾难”的问题. 例如, 经典单循环Monte Carlo (MC) 方法的计算成本与输入变量的维度呈线性相关. 近期, 本文作者提出了一种与维度无关的单循环MC方法, 可以显著降低确定性模型分析次数. 不过, 在高维强非线性情况下, 其估计结果对样本的依赖性较强, 且通常需要较大样本量来减小结果的变异性. 本文首先回顾了基于方差分解的整体灵敏度分析理论、求解Sobol主效应指标的经典单循环MC方法与维度无关单循环MC方法. 在此基础上, 提出了一种将活跃子空间与K近邻算法相结合的Sobol主效应指标求解方法. 该方法首先利用少量样本计算梯度协方差矩阵以提取活跃子空间, 通过保留系统不确定性响应的最大梯度变化, 将高维输入参数空间投影到低维流形. 随后, 在低维流形上利用K近邻算法加密点集, 从而实现在小样本条件下估计Sobol主效应指标. 通过四则算例验证了所提方法的分析效率与准确性, 包括经典的Sobol非线性函数、钻孔内地下水流模型、爆压标定不确定性模型以及Golinski减速器模型. 结果表明, 在保证合理计算精度前提下, 所提方法能够有效提升非线性系统整体灵敏度分析的计算效率.

     

    Abstract: Numerous uncertainties exist in practical engineering problems. Quantifying the sensitivity of system responses to various uncertain factors is of great significance for guiding design optimization. Variance decomposition-based sensitivity analysis is a widely used global sensitivity analysis method in engineering. Nevertheless, the calculation of Sobol’ main effect indices frequently suffers from the “curse of dimensionality”. For instance, the computational cost of the conventional single-loop Monte Carlo (MC) method is linearly correlated with the dimensionality of input variables. Recently, the authors proposed the dimension-independent single-loop MC method, which can drastically reduce the number of deterministic model evaluations. However, for high-dimensional and strongly nonlinear cases, the estimation results are highly dependent on samples, and a large sample size is generally required to mitigate results’ variability. This paper first reviews the theory of variance decomposition-based sensitivity analysis, as well as the conventional single-loop MC method and the dimension-independent single-loop MC method for calculating Sobol’ main effect indices. On this basis, a novel method combining the active subspace and k-nearest neighbor (KNN) algorithm is proposed to compute Sobol’ main effect indices. In this method, a small number of samples are first adopted to calculate the gradient covariance matrix for extracting the active subspace. Based on retaining the fastest variation of the gradient of system responses with respect to uncertain inputs, the high-dimensional input space is projected onto a low-dimensional manifold. Subsequently, the KNN algorithm is employed to enrich sample points within regions on the low-dimensional manifold, enabling the estimation of Sobol’ main effect indices with a small sample size. Four numerical examples are utilized to verify the computational efficiency and accuracy of the proposed method, including the classical Sobol’ nonlinear function, water flow model through the borehole, detonation pressure calibration uncertainty model and Golinski gear reducer model. The results demonstrate that the proposed method can effectively improve the computational efficiency of global sensitivity analysis for nonlinear systems while maintaining acceptable accuracy.

     

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