Propagation of uncertainty

In statistics, propagation of uncertainty (or propagation of error) is the effect of variables' uncertainties (or errors, more
specifically random errors) on the uncertainty of a function based on them. When the variables are the values of experimental
measurements they have uncertainties due to measurement limitations (e.g., instrument precision) which propagate due to the
combination of variables in the function.

The uncertainty u can be expressed in a number of ways. It may be defined by the absolute error Δx. Uncertainties can also be
defined by the relative error (Δx)/x, which is usually written as a percentage. Most commonly, the uncertainty on a quantity is
quantified in terms of the standard deviation, σ, which is the positive square root of the variance. The value of a quantity and its
error are then expressed as an interval x ± u . However, the most general way of characterizing uncertainty is by specifying its
probability distribution. If the probability distribution of the variable is known or can be assumed, in theory it is possible to get any
of its statistics. In particular, it is possible to derive confidence limits to describe the region within which the true value of the
variable may be found. For example, the 68% confidence limits for a one-dimensional variable belonging to a normal distribution
are approximately ± one standard deviation σ from the central value x, which means that the region x ± σ will cover the true
value in roughly 68% of cases.

If the uncertainties are correlated then covariance must be taken into account. Correlation can arise from two different sources.
First, the measurement errors may be correlated. Second, when the underlying values are correlated across a population, the
uncertainties in the group averages will be correlated.[1]

In a general context where a nonlinear function modifies the uncertain parameters (correlated or not), the standard tools to
propagate uncertainty, and infer resulting quantity probability distribution/statistics, are sampling techniques from the Monte Carlo
method family.[2] For very expansive data or complex functions, the calculation of the error propagation may be very expansive
so that a surrogate model[3] or a parallel computing strategy[4][5][6] may be necessary.

In some particular cases, the uncertainty propagation calculation can be done through simplistic algebraic procedures. Some of
these scenarios are described below.

Linear combinations
Let be a set of m functions, which are linear combinations of variables with
combination coefficients :

or in matrix notation,

Also let the variance–covariance matrix of x = (x1 , ..., xn ) be denoted by and let the mean value be denoted by :

is the outer product.

Then, the variance–covariance matrix of f is given by

In component notation, the equation

This is the most general expression for the propagation of error from one set of variables onto another. When the errors on x are
uncorrelated, the general expression simplifies to

where is the variance of k-th element of the x vector. Note that even though the errors on x may be uncorrelated, the
errors on f are in general correlated; in other words, even if is a diagonal matrix, is in general a full matrix.

The general expressions for a scalar-valued function f are a little simpler (here a is a row vector):

Each covariance term can be expressed in terms of the correlation coefficient by , so that an alternative
expression for the variance of f is

In the case that the variables in x are uncorrelated, this simplifies further to

In the simple case of identical coefficients and variances, we find

For the arithmetic mean, , the result is the standard error of the mean:

Non-linear combinations
When f is a set of non-linear combination of the variables x, an interval propagation could be performed in order to compute
intervals which contain all consistent values for the variables. In a probabilistic approach, the function f must usually be linearised
by approximation to a first-order Taylor series expansion, though in some cases, exact formulae can be derived that do not depend
on the expansion as is the case for the exact variance of products.[7] The Taylor expansion would be:

where denotes the partial derivative of fk with respect to the i-th variable, evaluated at the mean value of all components
of vector x. Or in matrix notation,
where J is the Jacobian matrix. Since f0 is a constant it does not contribute to the error on f. Therefore, the propagation of error
follows the linear case, above, but replacing the linear coefficients, Aki and Akj by the partial derivatives, and . In

matrix notation,[8]

That is, the Jacobian of the function is used to transform the rows and columns of the variance-covariance matrix of the argument.
Note this is equivalent to the matrix expression for the linear case with .

Simplification

Neglecting correlations or assuming independent variables yields a common formula among engineers and experimental scientists
to calculate error propagation, the variance formula:[9]

where represents the standard deviation of the function , represents the standard deviation of , represents the standard
deviation of , and so forth.

It is important to note that this formula is based on the linear characteristics of the gradient of and therefore it is a good
estimation for the standard deviation of as long as are small enough. Specifically, the linear approximation of
has to be close to inside a neighbourhood of radius . [10]

Example

Any non-linear differentiable function, , of two variables, and , can be expanded as

now, taking variance on both sides, and using the formula[11] for variance of a linear combination of variables:

hence:

where is the standard deviation of the function , is the standard deviation of , is the standard deviation of and
is the covariance between and .

In the particular case that , . Then

or

where is the correlation between and .

When the variables and are uncorrelated, . Then

Error estimates for non-linear functions are biased on account of using a truncated series expansion. The extent of this bias
depends on the nature of the function. For example, the bias on the error calculated for log(1+x) increases as x increases, since the
expansion to x is a good approximation only when x is near zero.

For highly non-linear functions, there exist five categories of probabilistic approaches for uncertainty propagation;[12] see
Uncertainty quantification for details.

Reciprocal and shifted reciprocal

In the special case of the inverse or reciprocal , where follows a standard normal distribution, the resulting
distribution is a reciprocal standard normal distribution, and there is no definable variance.[13]

However, in the slightly more general case of a shifted reciprocal function for following a general
normal distribution, then mean and variance statistics do exist in a principal value sense, if the difference between the pole and
the mean is real-valued.[14]

Ratios

Ratios are also problematic; normal approximations exist under certain conditions.

Example formulae
This table shows the variances and standard deviations of simple functions of the real variables , with standard deviations
covariance , and correlation . The real-valued coefficients and are assumed exactly known
(deterministic), i.e., .

In the columns "Variance" and "Standard Deviation", A and B should be understood as expectation values (i.e. values around
which we're estimating the uncertainty), and should be understood as the value of the function calculated at the expectation
value of .
 Function Variance Standard Deviation

[15][16]

[17]

[18]

[18]

[19]

For uncorrelated variables ( , ) expressions for more complicated functions can be derived by combining
simpler functions. For example, repeated multiplication, assuming no correlation, gives

For the case we also have Goodman's expression[7] for the exact variance: for the uncorrelated case it is

and therefore we have:

Effect of correlation on differences

If A and B are uncorrelated, their difference A-B will have more variance than either of them. An increasing positive correlation (
) will decrease the variance of the difference, converging to zero variance for perfectly correlated variables with the
same variance. On the other hand, a negative correlation ( ) will further increase the variance of the difference,
compared to the uncorrelated case.

For example, the self-subtraction f=A-A has zero variance only if the variate is perfectly autocorrelated ( ). If A is
uncorrelated, , then the output variance is twice the input variance, . And if A is perfectly anticorrelated,
, then the input variance is quadrupled in the output, (notice for f = aA - aA in the table above).

Example calculations

Inverse tangent function

We can calculate the uncertainty propagation for the inverse tangent function as an example of using partial derivatives to
propagate error.

Define

where is the absolute uncertainty on our measurement of x. The derivative of f(x) with respect to x is

Therefore, our propagated uncertainty is

where is the absolute propagated uncertainty.

Resistance measurement

A practical application is an experiment in which one measures current, I, and voltage, V, on a resistor in order to determine the
resistance, R, using Ohm's law, R = V / I.

Given the measured variables with uncertainties, I ± σI and V ± σV, and neglecting their possible correlation, the uncertainty in
the computed quantity, σR, is:

See also
Accuracy and precision
Automatic differentiation
Bienaymé's identity
Delta method
Dilution of precision (navigation)
Errors and residuals in statistics
Experimental uncertainty analysis
Interval finite element
Measurement uncertainty
Numerical stability
Probability bounds analysis
Significance arithmetic
Uncertainty quantification
Random-fuzzy variable
 Variance#Propagation

References
1. Kirchner, James. "Data Analysis Toolkit #5: Uncertainty Analysis and Error Propagation" (http://seismo.berkeley.e
du/~kirchner/eps_120/Toolkits/Toolkit_05.pdf) (PDF). Berkeley Seismology Laboratory. University of California.
Retrieved 22 April 2016.
2. Kroese, D. P.; Taimre, T.; Botev, Z. I. (2011). Handbook of Monte Carlo Methods. John Wiley & Sons.
3. Ranftl, Sascha; von der Linden, Wolfgang (2021-11-13). "Bayesian Surrogate Analysis and Uncertainty
Propagation" (https://doi.org/10.3390%2Fpsf2021003006). Physical Sciences Forum. 3 (1): 6.
doi:10.3390/psf2021003006 (https://doi.org/10.3390%2Fpsf2021003006). ISSN 2673-9984 (https://www.worldca
t.org/issn/2673-9984).
4. Atanassova, E.; Gurov, T.; Karaivanova, A.; Ivanovska, S.; Durchova, M.; Dimitrov, D. (2016). "On the
parallelization approaches for Intel MIC architecture". AIP Conference Proceedings. 1773 (1): 070001.
Bibcode:2016AIPC.1773g0001A (https://ui.adsabs.harvard.edu/abs/2016AIPC.1773g0001A).
doi:10.1063/1.4964983 (https://doi.org/10.1063%2F1.4964983).
5. Cunha Jr, A.; Nasser, R.; Sampaio, R.; Lopes, H.; Breitman, K. (2014). "Uncertainty quantification through the
Monte Carlo method in a cloud computing setting". Computer Physics Communications. 185 (5): 1355–1363.
arXiv:2105.09512 (https://arxiv.org/abs/2105.09512). Bibcode:2014CoPhC.185.1355C (https://ui.adsabs.harvar
d.edu/abs/2014CoPhC.185.1355C). doi:10.1016/j.cpc.2014.01.006 (https://doi.org/10.1016%2Fj.cpc.2014.01.00
6). S2CID 32376269 (https://api.semanticscholar.org/CorpusID:32376269).
6. Lin, Y.; Wang, F.; Liu, B. (2018). "Random number generators for large-scale parallel Monte Carlo simulations on
FPGA". Journal of Computational Physics. 360: 93–103. Bibcode:2018JCoPh.360...93L (https://ui.adsabs.harvar
d.edu/abs/2018JCoPh.360...93L). doi:10.1016/j.jcp.2018.01.029 (https://doi.org/10.1016%2Fj.jcp.2018.01.029).
7. Goodman, Leo (1960). "On the Exact Variance of Products". Journal of the American Statistical Association. 55
(292): 708–713. doi:10.2307/2281592 (https://doi.org/10.2307%2F2281592). JSTOR 2281592 (https://www.jstor.
org/stable/2281592).
8. Ochoa1,Benjamin; Belongie, Serge "Covariance Propagation for Guided Matching" (http://vision.ucsd.edu/sites/
default/files/ochoa06.pdf) Archived (https://web.archive.org/web/20110720080130/http://vision.ucsd.edu/sites/def
ault/files/ochoa06.pdf) 2011-07-20 at the Wayback Machine
9. Ku, H. H. (October 1966). "Notes on the use of propagation of error formulas" (http://nistdigitalarchives.contentd
m.oclc.org/cdm/compoundobject/collection/p16009coll6/id/99848/rec/1). Journal of Research of the National
Bureau of Standards. 70C (4): 262. doi:10.6028/jres.070c.025 (https://doi.org/10.6028%2Fjres.070c.025).
ISSN 0022-4316 (https://www.worldcat.org/issn/0022-4316). Retrieved 3 October 2012.
10. Clifford, A. A. (1973). Multivariate error analysis: a handbook of error propagation and calculation in many-
parameter systems. John Wiley & Sons. ISBN 978-0470160558.
11. Soch, Joram (2020-07-07). "Variance of the linear combination of two random variables" (https://statproofbook.git
hub.io/P/var-lincomb.html). The Book of Statistical Proofs. Retrieved 2022-01-29.
12. Lee, S. H.; Chen, W. (2009). "A comparative study of uncertainty propagation methods for black-box-type
problems". Structural and Multidisciplinary Optimization. 37 (3): 239–253. doi:10.1007/s00158-008-0234-7 (http
s://doi.org/10.1007%2Fs00158-008-0234-7). S2CID 119988015 (https://api.semanticscholar.org/CorpusID:1199
88015).
13. Johnson, Norman L.; Kotz, Samuel; Balakrishnan, Narayanaswamy (1994). Continuous Univariate Distributions,
Volume 1. Wiley. p. 171. ISBN 0-471-58495-9.
14. Lecomte, Christophe (May 2013). "Exact statistics of systems with uncertainties: an analytical theory of rank-one
stochastic dynamic systems". Journal of Sound and Vibration. 332 (11): 2750–2776.
doi:10.1016/j.jsv.2012.12.009 (https://doi.org/10.1016%2Fj.jsv.2012.12.009).
15. "A Summary of Error Propagation" (https://web.archive.org/web/20161213135602/http://ipl.physics.harvard.edu/
wp-uploads/2013/03/PS3_Error_Propagation_sp13.pdf) (PDF). p. 2. Archived from the original (http://ipl.physics.
harvard.edu/wp-uploads/2013/03/PS3_Error_Propagation_sp13.pdf) (PDF) on 2016-12-13. Retrieved
2016-04-04.
16. "Propagation of Uncertainty through Mathematical Operations" (http://web.mit.edu/fluids-modules/www/exper_te
chniques/2.Propagation_of_Uncertaint.pdf) (PDF). p. 5. Retrieved 2016-04-04.
17. "Strategies for Variance Estimation" (http://www.sagepub.com/upm-data/6427_Chapter_4__Lee_%28Analyzin
g%29_I_PDF_6.pdf) (PDF). p. 37. Retrieved 2013-01-18.
18. Harris, Daniel C. (2003), Quantitative chemical analysis (https://books.google.com/books?id=csTsQr-v0d0C&pg
=PA56) (6th ed.), Macmillan, p. 56, ISBN 978-0-7167-4464-1
19. "Error Propagation tutorial" (http://www.foothill.edu/psme/daley/tutorials_files/10.%20Error%20Propagation.pdf)
(PDF). Foothill College. October 9, 2009. Retrieved 2012-03-01.
Further reading
Bevington, Philip R.; Robinson, D. Keith (2002), Data Reduction and Error Analysis for the Physical Sciences
(3rd ed.), McGraw-Hill, ISBN 978-0-07-119926-1
Fornasini, Paolo (2008), The uncertainty in physical measurements: an introduction to data analysis in the
physics laboratory (https://books.google.com/books?id=PBJgvPgf2NkC&pg=PA161), Springer, p. 161,
ISBN 978-0-387-78649-0
Meyer, Stuart L. (1975), Data Analysis for Scientists and Engineers, Wiley, ISBN 978-0-471-59995-1
Peralta, M. (2012), Propagation Of Errors: How To Mathematically Predict Measurement Errors, CreateSpace
Rouaud, M. (2013), Probability, Statistics and Estimation: Propagation of Uncertainties in Experimental
Measurement (http://www.incertitudes.fr/book.pdf) (PDF) (short ed.)
Taylor, J. R. (1997), An Introduction to Error Analysis: The Study of Uncertainties in Physical Measurements
(2nd ed.), University Science Books
Wang, C M; Iyer, Hari K (2005-09-07). "On higher-order corrections for propagating uncertainties". Metrologia. 42
(5): 406–410. doi:10.1088/0026-1394/42/5/011 (https://doi.org/10.1088%2F0026-1394%2F42%2F5%2F011).
ISSN 0026-1394 (https://www.worldcat.org/issn/0026-1394).

External links
A detailed discussion of measurements and the propagation of uncertainty (http://www.av8n.com/physics/uncerta
inty.htm) explaining the benefits of using error propagation formulas and Monte Carlo simulations instead of
simple significance arithmetic
GUM (https://www.bipm.org/documents/20126/2071204/JCGM_100_2008_E.pdf/cb0ef43f-baa5-11cf-3f85-4dcd8
6f77bd6), Guide to the Expression of Uncertainty in Measurement
EPFL An Introduction to Error Propagation (http://srl.informatik.uni-freiburg.de/papers/arrasTR98.pdf), Derivation,
Meaning and Examples of Cy = Fx Cx Fx'
uncertainties package (https://pythonhosted.org/uncertainties/), a program/library for transparently performing
calculations with uncertainties (and error correlations).
soerp package (https://pypi.org/project/soerp/), a Python program/library for transparently performing *second-
order* calculations with uncertainties (and error correlations).
Joint Committee for Guides in Metrology (2011). JCGM 102: Evaluation of Measurement Data - Supplement 2 to
the "Guide to the Expression of Uncertainty in Measurement" - Extension to Any Number of Output Quantities (htt
p://www.bipm.org/utils/common/documents/jcgm/JCGM_102_2011_E.pdf) (PDF) (Technical report). JCGM.
Retrieved 13 February 2013.
Uncertainty Calculator (https://uncertaintycalculator.com/) Propagate uncertainty for any expression

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