SOERP, Statistics and 2. Order Error Propagation for Function of Random Variables

1 - Description of problem or function: SOERP computes second-order error propagation equations for the first four moments of a function of independently distributed random variables. SOERP was written for a rigorous second-order error propagation of any function which may be expanded in a multivariable Taylor series, the input variables being independently distributed. The required input consists of numbers directly related to the partial derivatives of the function, evaluated at the nominal values of the input variables and the central moments of the input variables from the second through the eighth. 2 - Method of solution: The development of equations for computing the propagation of errors begins by expressing the function of random variables in a multivariable Taylor series expansion. The Taylor series expansion is then truncated, and statistical operations are applied to the series in order to obtain equations for the moments (about the origin) of the distribution of the computed value. If the Taylor series is truncated after powers of two, the procedure produces second-order error propagation equations. 3 - Restrictions on the complexity of the problem: The maximum number of component variables allowed is 30. The IBM version will only process one set of input data per run