Dakota Reference Manual  Version 6.4
Large-Scale Engineering Optimization and Uncertainty Analysis
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Aleatory uncertain variable - gumbel


This keyword is related to the topics:


Alias: none

Argument(s): INTEGER

Default: no gumbel uncertain variables

Required/Optional Description of Group Dakota Keyword Dakota Keyword Description
Required alphas First parameter of the gumbel distribution
Required betas Second parameter of the gumbel distribution
Optional initial_point

Initial values

Optional descriptors

Labels for the variables


The Gumbel distribution is also referred to as the Type I Largest Extreme Value distribution. The distribution of maxima in sample sets from a population with a normal distribution will asymptotically converge to this distribution. It is commonly used to model demand variables such as wind loads and flood levels.

The density function for the Gumbel distribution is given by:

\[f(x) = \alpha e^{-\alpha(x-\beta)} exp(-e^{-\alpha(x-\beta)})\]

where $\mu_{GU} = \beta + \frac{0.5772}{\alpha}$ and $\sigma_{GU} = \frac{\pi}{\sqrt{6}\alpha}$.


When used with design of experiments and multidimensional parameter studies, distribution bounds are inferred. These bounds are [ $\mu - 3 \sigma$, $\mu + 3 \sigma$]

For vector and centered parameter studies, an inferred initial starting point is needed for the uncertain variables. These variables are initialized to their means for these studies.