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Introduction to Uncertainty Analysis

Howard Castrup, Ph.D. Suzanne Castrup, MSME

Integrated Sciences Group


Bakersfield, CA 93306 www.isgmax.com

Introduction to Uncertainty Analysis

Topic Outline
Basic Concepts Direct Measurements Uncertainty Sidekick Recap

Introduction to Uncertainty Analysis

Integrated Sciences Group

Introduction to Uncertainty Analysis

Basic Concepts
Fundamental Measurement Model Error Distribution Uncertainty Definition Variance and Uncertainty Variance Addition Rule Correlation Coefficients Uncertainty Sidekick Distributions Type A and Type B Estimates
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Basic Concepts

Fundamental Measurement Model


The difference between a measured value and the true value is the measurement error

xmeasured = xtrue + x
The true value is a fixed quantity The measurement error is a variable
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Basic Concepts

Error Distribution
A relationship between the value of a measurement error and its probability of occurrence
f(x)

0
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x
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Basic Concepts

Uncertainty Definition
Measurement Uncertainty quantifies the spread of the measurement error distribution
Small Uncertainty Large Uncertainty

0
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0
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Basic Concepts

Uncertainty Definition (cont.)


The spread of an error distribution is the distribution standard deviation The standard deviation is the square root of the distribution variance
var( xmeasured ) = var( x ) =
2 x

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Basic Concepts

Variance and Uncertainty


Distribution Variance
var( xmeasured ) = var( xtrue + x ) = var( x )

Distribution Standard Deviation


x = = var( x )
x

Measurement Uncertainty
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u x = x = x = u x
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Basic Concepts

Variance Addition Rule


Suppose we have a variable z composed of variables x and y

z = ax + by
The variance of z is given by
var( z ) = var( ax + by ) = a 2 var( x ) + b2 var( y ) + 2ab cov( x, y )
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Basic Concepts

Variance Addition Rule (cont.)


Variances and Covariance
var( x ) = var( x ) = u2x var( y ) = var( y ) = u2y cov( x, y ) = cov( x , y )

The Variance Addition Rule


var( z ) = a 2 var( x ) + b 2 var( y ) + 2ab cov( x , x )
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Basic Concepts

Correlation Coefficients
Covariances can be expressed in terms of Correlation Coefficients

x , y

cov( x , y ) u x u y

The Variance Addition Rule Becomes

var( ax + by ) = a 2 u2x + b 2 u2y + 2ab x y u x u y


Correlation Coefficients range from 1 to +1
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Basic Concepts

Uncertainty Sidekick Distributions


Normal Uniform Students t

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Uncertainty Sidekick Distributions

The Normal Distribution


f()
2 2 1 ( ) / 2 u f ( ) = e 2 u

-a

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The Normal Distribution

Comments
The workhorse of statistics and probability. Usually assumed to be the underlying distribution for errors. Most uncertainty analysis tools are based on the assumption that measurement errors are normally distributed, regardless of the distributions used to estimate the uncertainties themselves.
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The Normal Distribution

Uncertainty Estimates
Type A Estimates: Compute mean and standard deviation from a sample. Nearly always assume a normal distribution
1 u = n 1

i =1

( xi x )

Type B Estimates: Work with error containment limits a and containment a probability p u =
p 2
1 1 +
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Uncertainty Sidekick Distributions

The Uniform Distribution


f ()

1 , a a f ( ) = 2a 0, otherwise ,

a u = 3

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The Uniform Distribution

Applicability
Applicable to
Digital Resolution Error Quantization Error RF Phase Angle

Criteria for use


Need minimum bounding limits Uniform probability within the limits 100% containment probability

Very limited applicability


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The Uniform Distribution

Comments
Arguments for Use
Lack of Knowledge Use in case you know nothing about the error other than its bounding limits. Easy Out Divide bounding limits by root 3
Equivalent to assuming a normal distribution with 91.67% in-tolerance probability. GUM, Sec 4.3.7: When a component of uncertainty is determined in this manner contributes significantly to the uncertainty of a measurement result, it is prudent to obtain additional data for its further evaluation.

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Uncertainty Sidekick Distributions

Students t Distribution
f ()

+1 2 (1 + x 2 / ) ( +1) / 2 f ( x) = 2

= Degrees of Freedom

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Students t Distribution

Applicability
Computation of Confidence Limits for Normally Distributed Errors with Known Degrees of Freedom ( ) Statistical testing of hypotheses
Equivalence of laboratories (MAPs) Significance of curve fit linear slope etc.

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Basic Concepts

Type A and Type B Estimates


Type A
Estimate the standard deviation from a sample of data

Type B

1 n 2 ux = ( xi x ) 2 n 1 i =1

Estimate heuristically from Error Limits and a Containment Probability (Confidence Level) Choose the appropriate error distribution
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Introduction to Uncertainty Analysis

Direct Measurements
Definition Error Sources The Error Model Combined Uncertainty Error Source Correlations Degrees of Freedom Error Source Uncertainties
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Direct Measurements

Definition
The value of an attribute is measured directly by comparison with a measurement reference (device)

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Direct Measurements

Error Sources
Parameter Bias Random Error (Repeatability) Resolution Error Operator Bias (Reproducibility) Environmental Factors

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Direct Measurements

The Error Model


For a Direct Measurement, the measurement error is the sum of the error sources:

x = x ,bias + x ,ran + x ,res + x ,op + x ,env +

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Direct Measurements

Combined Uncertainty
The Uncertainty in x
u x = var( x )

By the Variance Addition Rule


var( x ) = var( x ,bias + x ,ran + x ,res + x ,op + x ,env + ) = u2x ,bias + u2x ,ran + u2x ,res + u2x ,op + u2x ,env + +2 x ,bias , x ,ran u x ,bias u x ,ran + 2 x ,bias , x ,res u x ,bias u x ,res +
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Direct Measurements

Error Source Uncertainties


Error Source Variances:
u2x ,bias = var( x ,bias ) u2x ,res = var( x ,res ) u2x ,ran = var( x ,ran ) u2x ,env = var( x ,env ) u2x ,op = var( x ,op )

Error Source Correlations:


Nearly always zero for direct measurements May be present in making environmental corrections May appear in the analysis of operator bias
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Direct Measurements

Degrees of Freedom
The amount of information used in obtaining an uncertainty estimate Determined for each error source E.g., bias degrees of freedom =
=
x

x ,bias

Estimated for the combined uncertainty


u4x

u x ,i
x ,i

, i = bias, ran, res,

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Introduction to Uncertainty Analysis

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Introduction to Uncertainty Analysis

Uncertainty Sidekick
Interactive Tool for Estimating Uncertainty in Measurement
Uncertainty Estimated for Direct Measurements Uncertainty Estimated from Technical Data and User Knowledge Data and Technical Knowledge Entered in Special Formats Statistics and other Math Performed in Background Built-in Interface to Measurement Units Database Includes Bayesian Analysis of Measurement Results Report Preview, Export and Printing Analysis File Save / Open
Files can be opened in Sidekick, Sidekick Pro and UncertaintyAnalyzer
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Uncertainty Sidekick
Measurement Configuration Measurement Area and Units Nominal Value Measurement Reference

Analysis Setup

Whats Being Measured?

Subject Parameter

Whats Measuring It?

Whos Measuring It? Wheres it Being Measured?


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Operator

Environment

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Uncertainty Sidekick

Example
HP 973A Digital Multimeter Calibration
Accuracy: 0.1% of reading Resolution: 1 mV

Measurement Reference: Fluke 732B DC Voltage Reference


Accuracy: 0.1 ppm Linear Stability: 2.0 ppm / year

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Uncertainty Sidekick Example

Error Sources
Bias in the Fluke 732B Reference Error in Stability of the Fluke 732B Repeatability Error HP732A DMM Resolution Error

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Uncertainty Sidekick Example

Analysis Procedure
Setup the Analysis Define the Subject Parameter (DMM)
Bias Uncertainty Resolution Repeatability

Define the Measurement Reference


Bias Uncertainty

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Uncertainty Sidekick Example

Setup the Analysis


Measurement Configuration
Subject Parameter Measures the Value of the Measurement Reference Passive Reference Configuration

Measurement Area: DC Voltage Nominal Value: 10 V Tolerance Units: mV

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Uncertainty Sidekick Example

The Subject Parameter


HP 973A DMM 10 V DC Nominal Value
Output by the Fluke 732B

Specs:
Accuracy: 0.1% of reading Resolution: 1 mV

In-Tolerance Probability: 90% Measurement Sample


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Uncertainty Sidekick Example

The Subject Parameter (cont.)


Measurement Sample
Reading 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Introduction to Uncertainty Analysis 37 Voltage 10.001 10.003 9.999 10.003 10.001 10.000 9.999 10.001 10.001 10.002 9.998 9.999 10.002 9.998 10.001 Integrated Sciences Group

Uncertainty Sidekick Example

The Subject Parameter (cont.)


Parameter Resolution
1 mV Digital Display

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Uncertainty Sidekick Example

The Reference Parameter


Fluke 732B Voltage Reference 10 V DC Nominal Value Specs:
Accuracy: 0.1 ppm of reading Stability: 2 ppm / year

In-Tolerance Probability: 99% Measured by the Subject Parameter


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Uncertainty Sidekick Example

The Analysis Results


Measured Mean Value
10.0005 V 0.5 mV Above Nominal Within 10 mV Tolerance

Total Standard Uncertainty: 0.402 mV


Degrees of Freedom: 15

Bayesian Analysis:
0.5333 mV Estimated Bias 6.1074 mV Bias Uncertainty 100% In-Tolerance Probability
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Introduction to Uncertainty Analysis

Recap
Uncertainty = Error Standard Deviation Error Sources
bias, random, resolution, operator, environment, etc.

Direct Measurements
The value of an attribute is measured directly by comparison with a measurement reference (device)

Correlations
Dependence of error sources on one another

Type A Analysis
Mean, Standard Deviation and Degrees of Freedom estimated from Measured Values

Type B Analysis
Standard Deviation computed from Error Limits and Containment Probability Estimate Degrees of Freedom Select Appropriate Distribution
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