A Stochastic Algorithm for Sensitivity Analysis |
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Authors: | Rowland JR Pastrick HL |
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Institution: | Oklahoma State University Stillwater, Okla. 74074; |
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Abstract: | A direct stochastic sensitivity analysis algorithm is developed for linear dynamical systems having incompletely known input statistics. The new algorithm extends previous results by applying covariance propagation concepts which utilize as a forcing function the sensitivity covariance matrix associated with the uncertainty in the elements of the system input covariance matrix itself. The developed algorithm is evaluated in the context of a generalized sensitivity analysis formulation involving nonlinear transformations on the input signals. Numerical results are provided to demonstrate the usefulness of the new algorithm. |
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