Detecting and modeling worst-case dependence structures between random inputs of computational reliability models

Nazih Benoumechiara (1, 2) , Bertrand Michel (3) , Philippe Saint-Pierre (4) , Nicolas Bousquet (1, 5)

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation
2 EDF R&D PRISME - Performance, Risque Industriel, Surveillance pour la Maintenance et l’Exploitation
3 LMJL - Laboratoire de Mathématiques Jean Leray
4 IMT - Institut de Mathématiques de Toulouse UMR5219
5 Quantmetry

Uncertain information on input parameters of reliability models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables. In numerous real-world applications, while information is mainly provided by marginal distributions, typically from samples , little is really known on the dependence structure itself. Faced with this problem of incomplete or missing information, risk studies are often conducted by considering independence of input variables, at the risk of including irrelevant situations. This approach is especially used when reliability functions are considered as black-box computational models. Such analyses remain weakened in absence of in-depth model exploration, at the possible price of a strong risk misestimation. Considering the frequent case where the reliability output is a quantile, this article provides a methodology to improve risk assessment, by exploring a set of pessimistic dependencies using a copula-based strategy. In dimension greater than two, a greedy algorithm is provided to build input regular vine copulas reaching a minimum quantile to which a reliability admissible limit value can be compared, by selecting pairwise components of sensitive influence on the result. The strategy is tested over toy models and a real industrial case-study. The results highlight that current approaches can provide non-conservative results, and that a nontrivial dependence structure can be exhibited to define a worst-case scenario.

Domaines: Applications [stat.AP]; Méthodologie [stat.ME]

Nazih Benoumechiara, Bertrand Michel, Philippe Saint-Pierre, Nicolas Bousquet. Detecting and modeling worst-case dependence structures between random inputs of computational reliability models. 2018. ⟨hal-01779484⟩