Introduction to a UQ Software Library: PSUADE
PSUADE is a acronym for Problem Solving environment for Uncertainty Analysis and Design Exploration. It is a software toolkit to facilitate the UQ tasks described above. PSUADE has a rich set of tools for performing uncertainty analysis, global sensitivity analysis, design optimization, model calibration, etc. In particular, PSUADE supports a global sensitivity methodology for models with large number of parameters and complex constraints.
PSUADE has 3 major components:
I. Sampling Methods
Monte Carlo, quasi-Monte Carlo, Latin hypercube and variants, orthogonal arrays, factorial and fractional factorial, Morris method, Fourier Amplitude Sampling Test (FAST), Box-Behnken, Plackett-Burman, central composite, and methods based on spatial decomposition. In addition, a few uniform and adaptive sampling refinements are supported. Basic probability distributions such as uniform, normal, lognormal, and triangular are available.
II. An Simulator Execution Environment
Once a sample design has been created, the sample points are propagated through the simulator to generate the corresponding outputs of interest. Since PSUADE supports an integrated design and analysis environment, it also provides an automated system for launching the simulators and collecting results. There are several parallel simulation modes supported by PSUADE. Details can be found in the PSUADE user manual.
III. Analysis Methods
- basic statistical analysis (moments and correlations)
- many methods for main, second-order, and total-order effect analyses
- several dimension reduction analysis methods
- Markov Chain Monte Carlo for parameter estimation
- principal component analysis and some hypothesis testing
- response surface analysis (many different types of response surfaces)
PSUADE is a free software with a LGPL license.