Analytical HDMR formulas for functions expressed as quadratic polynomials with a multivariate normal distribution
2014
High Dimensional Model Representation (HDMR) is a general set of quan- titative model assessment and analysis tools for systems with many variables. A gen- eral formulation for the HDMR component functions with independent and correlated variables was obtained previously. Since the HDMR component functions generally are coupled to one another and involve multi-dimensional integrals, explicit formu- las for the component functions are not available for an arbitrary function with an arbitrary probability distribution amongst their variables. This paper presents analyt- ical formulas for the HDMR component functions and the corresponding sensitivity indexes for the common case of a function expressed as a quadratic polynomial with a multivariate normal distribution over its variables. This advance is important for practical applications of HDMR with correlated variables.
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