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NESC0764 SOERP

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

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1. NAME OR DESIGNATION OF PROGRAM:  SOERP
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2. COMPUTERS
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Program name Package id Status Status date
SOERP NESC0764/01 Tested 01-MAY-1979
SOERP NESC0764/02 Arrived 25-JUL-1985

Machines used:

Package ID Orig. computer Test computer
NESC0764/01 IBM 370 series IBM 370 series
NESC0764/02 CDC 7600
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3. 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.
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4. 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.
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5. 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.
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6. TYPICAL RUNNING TIME

NESC executed  the sample  problems of  the
IBM  version in  15  CPU seconds  on  an  IBM370/165.  The  sample
problems of  the CDC version  were executed in  3 CP seconds  on a
CDC7600.
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7. UNUSUAL FEATURES OF THE PROGRAM:
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8. RELATED AND AUXILIARY PROGRAMS:
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9. STATUS
Package ID Status date Status
NESC0764/01 01-MAY-1979 Tested at NEADB
NESC0764/02 25-JUL-1985 Masterfiled Arrived
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10. REFERENCES

N. D.  Cox and  C. F.  Miller, User's  Description of
Second-Order   Error  Propagation   (SOERP)   Computer  Code   for
Statistically Independent Variables, TREE-1216, February 1978.
             NESC Note  78-27, SOERP  NESC No.  764.7600, June  5,
1978.
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11. MACHINE REQUIREMENTS

A card reader, tape unit, line printer, and
80K bytes  of storage  are required  for the  IBM version;  14,000
(octal) words of SCM are required for the CDC version.
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12. PROGRAMMING LANGUAGE(S) USED
Package ID Computer language
NESC0764/01 FORTRAN-IV
NESC0764/02 FORTRAN-IV
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13. OPERATING SYSTEM UNDER WHICH PROGRAM IS EXECUTED:       OS/360,370
(IBM360,370) and SCOPE (CDC7600).
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14. OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS

  300K
bytes were required for NESC compilation  and execution of the IBM
version on the Model 165.
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15. NAME AND ESTABLISHMENT OF AUTHORS

                 N. D. Cox and C. F. Miller
                 EG&G Idaho, Inc.
                 P. O. Box 1625
                 Idaho Falls, Idaho  83401
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16. MATERIAL AVAILABLE
NESC0764/02
source program   mag tape                                           SRCTP
test-case data   mag tape                                           DATTP
test-case output mag tape                                           OUTTP
report                                                              REPPT
NESC0764/01
File name File description Records
NESC0764_01.001 SOURCE PROGRAM (F4,EBCDIC) 496
NESC0764_01.002 SAMPLE PROBLEM INPUT DATA (CASE 1) 27
NESC0764_01.003 SAMPLE PROBLEM INPUT DATA (CASE 2) 27
NESC0764_01.004 SAMPLE PROBLEM PRINTED OUTPUT (CASE 1) 137
NESC0764_01.005 SAMPLE PROBLEM PRINTED OUTPUT (CASE 2) 137
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17. CATEGORIES
  • P. General Mathematical and Computing System Routines

Keywords: errors, series expansion, statistics.