Assessment of the transition-rates importance of Markovian systems at steady state using the unscented transformation

Claudio M. Rocco S. and Emmanuel Ramirez-Marquez, José

Reliability Engineering and System Safety, 2015, vol. 142, issue C, 212-220

Abstract: The Unscented Transformation (UT) is a technique to understand and compute how the uncertainty of a set of random variables, with known mean and variance is propagated on the outputs of a model, through a reduced set of model evaluations as compared with other approaches (e.g., Monte Carlo). This computational effort reduction along with the definition of a proper UT model allows proposing an alternative approach to quantify the transition rates (TR) having the highest contribution to the variance of the steady-state probability, for each possible state of a system represented by a Markov model. The so called “main effects†of each transition rate, as well as high order component interactions are efficiently derived from the solution of only (2n+1) linear system of simultaneous equations, being n the number of transition rates in the model.

Keywords: Parameter uncertainty; Sensitivity analysis; State reduction method; Markov steady-state probability; Unscented Transformation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:142:y:2015:i:c:p:212-220

DOI: 10.1016/j.ress.2015.05.019

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