Multiscale Variability and Uncertainty Quantification Based on a Generalized Multiscale Markov Model

Abstract

Variability is inherent randomness in systems, whereas uncertainty is due to lack of knowledge. In this paper, a generalized multiscale Markov (GMM) model is proposed to quantify variability and uncertainty simultaneously in multiscale system analysis. The GMM model is based on a new imprecise probability theory that has the form of generalized interval, which is a Kaucher or modal extension of classical set-based intervals to represent uncertainties. The properties of the new definitions of independence and Bayesian inference are studied. Based on a new Bayes’ rule with generalized intervals, three cross-scale validation approaches that incorporate variability and uncertainty propagation are also developed.