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Distinguishing and integrating aleatoric and epistemic variation in uncertainty quantification

Kamaljit ChowdharyPaul Dupuis — 2013

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the system when the distributions of some variables are known exactly, others are known only approximately, and perhaps others are not modeled as random variables at all.The main tool used is the duality between risk-sensitive integrals and relative entropy, and we...

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