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Using an approximation of the three-point Gauss–Hermite quadrature

formula for model prediction and quantification of uncertainty

Jonathan Levy 7 Murray K. Clayton
Gordon Chesters

Abstract Computer models are commonly used by Résumé Des modèles mathématiques sont couram-
regulators and managers to make predictions regarding ment utilisés par les gestionnaires pour effectuer des
groundwater flow and contaminant concentrations at prévisions concernant l’écoulement souterrain et les
various locations and times. However, the uncertainty concentrations de polluant en des points et des instants
associated with those predictions is often overlooked, variés. Cependant les incertitudes liées à ces prédic-
despite the fact that an assessment of such uncertainty tions sont souvent négligées bien que l’hypothèse d’une
is critical in the formulation of policy decisions. One telle incertitude soit prise en compte dans la formula-
method of quantifying the uncertainty of model predic- tion de la réglementation. Une méthode pour quanti-
tions, based on the collective uncertainties of the model fier l’incertitude sur les prédictions du modèle, basée
parameter input values, is to use an approximation of sur les incertitudes collectives sur les valeurs d’entrée
the three-point Gauss–Hermite quadrature formula. des paramètres du modèle, recourt à une approxima-
The Gauss–Hermite approximation is a convenient tion par la formule de quadrature de Gauss–Hermite.
substitute for simple Monte Carlo sampling, because it L’approximation de Gauss–Hermite est un substitut ac-
requires fewer model runs and provides an immediate ceptable d’un simple tirage de Monte Carlo, parce qu’il
sensitivity analysis of parameter main effects and two- nécessite de faire peu tourner le modèle et fournit une
way interactions. For example, a model with four pa- analyse immédiate de sensibilité des effets principaux
rameters, each with its own associated uncertainty, des paramètres et des interactions deux à deux. Par
needs to be run only 33 times to complete the exemple, un modèle à quatre paramètres, avec une in-
Gauss–Hermite analysis. For an application to a con- certitude liée à chacun d’eux, doit tourner seulement 33
taminant-transport model, the Gauss–Hermite approxi- fois pour réaliser l’analyse de Gauss–Hermite. Pour
mation compares well to the full method, with consid- une application à un modèle de transport de polluant,
erable savings in computing effort. By comparison, La- l’approximation de Gauss–Hermite soutient bien la
tin hypercube sampling can be more flexible, but it is comparaison avec la méthode complète, tout en écono-
more complex to use in some circumstances and cannot misant un temps de traitement considérable. Par com-
as easily generate the detailed sensitivity analysis that paraison, un échantillonnage hypercube peut être plus
the Gauss–Hermite approach offers. souple, mais il est plus complexe à utiliser dans cer-
taines conditions et ne peut pas fournir aussi facilement
l’analyse de sensibilité détaillée que fournit l’approche
de Gauss–Hermite.

Resumen Los modelos numéricos son herramientas

habituales de gestión utilizadas para realizar predic-
ciones sobre la evolución en espacio y tiempo del flujo
Received, October 1997 de agua subterránea y la concentración de contami-
Revised, August 1998 nantes. Sin embargo, la incertidumbre asociada a estas
Accepted, August 1998
predicciones suele pasarse por alto, a pesar de que una
Jonathan Levy (Y) evaluación de esta incertidumbre es crítica para la toma
Department of Geology, Miami University, Oxford, OH 45056, de decisiones. Un método para cuantificar la incerti-
Fax: c1-513-529-1542 dumbre en las predicciones de los modelos numéricos,
e-mail: levyj6muohio.edu basado en la incertidumbre asociada a los parámetros
de entrada al modelo, consiste en usar una aproxima-
Murray K. Clayton
Departments of Statistics and Plant Pathology, University of ción de la fórmula de la cuadratura de Gauss–Hermite
Wisconsin-Madison, Madison, WI 53706, USA de tres puntos. La aproximación de Gauss–Hermite es
Gordon Chesters
un buen sustituto para las simulaciones de Monte Car-
Water Resources Center, University of Wisconsin-Madison, lo, porque requiere un número menor de ejecuciones
Madison, WI 53706, USA del modelo y proporciona de manera inmediata un

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


análisis de sensibilidad de cada parámetro y de sus in- methods are demonstrated for estimating these func-
teracciones dos a dos. Por ejemplo, un modelo con cua- tions for the model parameters used in the example.
tro parámetros, cada uno con una incertidumbre aso- Latin hypercube sampling and the Gauss–Hermite
ciada, debe ejecutarse sólo un total de 33 veces para approach have potential advantages over the other
completar un análisis de Gauss–Hermite. Para una apli- methods listed above. They are easily applied and allow
cación de un modelo de transporte de contaminantes, for the possibility of making relatively few model runs
la aproximación de Gauss–Hermite da resultados com- while permitting uncertainty and sensitivity analyses
parables con los del método habitual, con una reduc- and examination of interactions. The advantages and
ción considerable en tiempo de ordenador. Como com- disadvantages of both methods are described. In some
paración, la simulación por Hipercubo Latino puede circumstances, the Gauss–Hermite approach has some
ser más flexible, pero en muchos casos su uso es más particular strengths that are explored.
complejo y no puede generar de manera tan simple un
análisis de sensibilidad tan detallado como el que el
método de Gauss–Hermite permite. Analysis of Prediction Uncertainty
Key words contamination 7 groundwater statistics 7 The Gauss–Hermite approach stems from Bayesian
numerical modeling 7 statistical modeling methodology (Press 1989), whose concepts are briefly
reviewed here. The fundamental notion of the Bayesian
approach is that parameters and model predictions are
uncertain, and this uncertainty can be characterized for
Introduction each quantity by a probability density function (PDF).
Assuming that the PDFs are Gaussian, they can be
Many models are available to simulate the transport completely described by their expected values and var-
and fate of groundwater contaminants and to make iances. Suppose g(u) represents a model function de-
predictions regarding contaminant concentrations at pendent on the single parameter u and that values of u
various locations and times. Predicted answers to mod- are determined by collection and analysis of field and/
eling questions can be obtained using the best estimates or laboratory data. The expected value of a model pre-
of model input-parameter values and running the mod- diction, given the data, is defined as
el once. Missing from such an analysis is a measure of
the uncertainty of the model predictions needed to E [g(u)Fdata]p# g(u) f (uFdata) du (1)
make intelligent policy decisions. Assuming that the where f (uFdata) represents the PDF of the model pa-
proper model is employed with appropriate boundary rameter given the data. The prediction variance is de-
conditions, the uncertainty of the model predictions fined as
stems primarily from the uncertainty of the model in-
put-parameter values. Var [g(u)Fdata]p# g(u) 2f (uFdata) duP(E [g(u)Fdata]) 2
Numerous methods for assessing model uncertainty (2)
have been described in the past. Notable among these
In a formal Bayesian approach, f(uFdata) is a poste-
are simple Monte Carlo random sampling, stratified
rior PDF of the model parameter that depends on in-
sampling, response surface methods, differential meth-
formation prior to the experiment and on the distribu-
ods, and variants of Latin hypercube sampling. A com-
tion of collected data. The formal tool for calculating
parison of some of these approaches is in McKay et al.
the posterior PDF is Bayes’ rule (Press 1989). Woodbu-
(1979) and Iman and Helton (1988). In this paper, an
ry and Sudicky (1992), for example, use Monte Carlo
alternative approach is presented based on the work of
integration to apply this formal rule in their inverse sto-
Raftery and Zeh (1993), who discuss the use of the
chastic simulation of plume migration at the Borden
Gauss–Hermite three-point quadrature formula in the
tracer test site in Ontario, Canada. The Monte Carlo
context of estimating the bowhead whale population
approach to Eq. (1), for example, approximates the in-
off Point Barrow, Alaska. The Gauss–Hermite approach
tegral with
is described, expanding on the prescription provided
by Raftery and Zeh (1993). Also presented are simplifi- 1 N
cations that facilitate future applications of the method. A g(ui) (3)
N ip1
A method is outlined for applying the Gauss–Hermite
results in a detailed sensitivity analysis, and example where the ui are randomly sampled values from
model predictions are given with associated uncertain- f(uFdata). The approach used here differs from that of
ties and sensitivities to model parameters. For the ex- Woodbury and Sudicky (1992) by the use of two simpli-
ample predictions, the full and approximate fications. The first is to sidestep the formal use of
Gauss–Hermite methods are compared to demonstrate Bayes’ rule and instead assume that the estimates of pa-
the accuracy of the approximation. Estimating parame- rameter values derived from the literature can be used
ter probability-density functions is an important part of to approximate posterior distributions. This is similar
the Gauss–Hermite method. Therefore, three basic to the approach of Raftery and Zeh (1993) before ap-

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


3 3
plying the Gauss–Hermite method. The second simpli-
fication is to approximate the integrals in Eqs. (1) and E [g(u)Fdata] ; A A wi wj g(ui, fj) (8)
ip1 jp1
(2) using the three-point Gauss–Hermite quadrature
formula (Raftery and Zeh 1993; Smith et al. 1985). In where w1pw3p1/6, w2p2/3. The variance is calculated
the Gauss–Hermite method, the integral is approxi- similarly by summing the weighted squares of the mod-
mated by carefully selecting specific ui values from el run results and subtracting the square of the ex-
f(uFdata) and taking an appropriately weighted sum of pected value.
the model results using those values. The Gauss–Her- For the general case of N parameters, using the no-
mite approach to approximating the integrals can rep- tation of Raftery and Zeh (1993), let u represent the set
resent a substantial saving over simple Monte Carlo of all the model parameters with uijk...n indicating the
random sampling, which typically requires hundreds to quantile level assigned to the individual parameters; n
thousands of simulations. In a later section, the applies to the N th parameter. For example, u122...3 repre-
Gauss–Hermite approach is compared to other meth- sents the first parameter at the 0.042 quantile, the sec-
ods of assessing uncertainty. The following presenta- ond and third parameters at the 0.5 quantile, and so on
tion of the Gauss–Hermite approximation is expanded up to the N th parameter at the 0.958 quantile. For the
and simplified compared to the presentation in Raftery case of N parameters
and Zeh (1993). 3
If u represents a single parameter, the Gauss–Her- E [g(u)Fdata] ; A wi wj wk ... wn g(ui,j,k ... n) (9)
mite formula is i,j,k, ... np1

1 and
E [g(u)Fdata]p# g(u) f (uFdata) du ; g(u1)
6 3

2 1 Var [g(u)Fdata] ; A wi wj wk ... wn g(ui,j,k ... n) 2

c g(u2) c g(u3) (4) i,j,k, ... np1
3 6 P(E [g(u)Fdata]) 2 (10)
where u1, u2, and u3 are the 0.042, 0.5, and 0.958 quan- Calculation of the expected value and variance re-
tiles of f(uFdata). The Gauss–Hermite formula is exact quires 3 N model runs. With more than four model pa-
if f(uFdata) is equal to a normal density function and rameters, application of Eqs. (9) and (10) may be com-
g(u) is a polynomial of degree^5; the error will be putationally demanding because of the time needed to
small if g(u) can be well approximated by a polynomial perform each model run.
of degree^5 (Smith et al. 1985). With only one model To save this considerable effort, Raftery and Zeh
parameter, the Gauss–Hermite method requires only (1993) adopt a further simplification. In their treat-
three model runs to estimate the expected value of the ment, running the model at the three quantile values of
model prediction. Similarly, estimating variance re- a parameter is akin to investigating the effect of that
quires only three model runs: parameter by considering model runs at the low, mean,
and high values. For more than one parameter, running
1 2 1
Var [g(u)Fdata] ; g(u1) 2 c g(u2) 2 c g(u3) 2 the model at all quantile combinations investigates pa-
6 3 6 rameter main effects and all possible parameter interac-
3 4
1 2 1 tions. To reduce the number of total model runs, Rafte-
P g(u1) c g(u2) c g(u3) (5)
6 3 6 ry and Zeh (1993) assume that g(u) can be approxi-
mated by a linear model consisting of the “grand
In the case of two parameters, u and ø, mean,” and only the “main effects” and the “two-way
E [g(u)Fdata]p# g(u, f) f (uFdata) f (fFdata) du df (6) interactions” of the parameters.
To exemplify the approximation of the Gauss–Her-
which is evaluated using all nine possible combinations mite method and explain these terms, the case of three
of the three specific quantile values and the appropriate parameters is presented. Using the notation of Raftery
coefficients: and Zeh (1993), let gijk equal g(uijk) and let u be the
“grand mean” equal to g222, i.e., g evaluated with all the
E [g(u)Fdata] parameters at the 0.5 quantile value. The main effect
1 1 1 2 1 1 of, for example, the first parameter at the i th level is
; 7 g(u1, f1) c 7 g(u1, f2) c 7 g(u1, f3)
6 6 6 3 6 6 u1(i)pgi22–u, i.e., the model result with the first parame-
2 1 2 2 2 1 ter at the i th level (ip1, 2, or 3) and the other parame-
c 7 g(u2, f1) c 7 g(u2, f2) c 7 g(u2, f3) (7)
3 6 3 3 3 6 ters at the 0.5 quantile level minus the grand mean. The
1 1 1 2 1 1 main effect of the second parameter at the j th level is
c 7 g(u3, f1) c 7 g(u3, f2) c 7 g(u3, f3) u2(j)pg2j2–u. Two-way interactions are represented by u
6 6 6 3 6 6
terms with two subscripts. For example, the two-way in-
where the parameter subscripts 1, 2, and 3 refer to the teraction of the first and second parameters at the i th
0.042, 0.5, and 0.958 quantiles, respectively. Eq. (7) can and j th levels, respectively, is u12(ij)pgij2–u1(i)–u2(j)–u.
be written more simply as The two-way interaction of the first and third parame-

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


ters at the i and k values, respectively, is pected value can be expressed as a weighted average of
u13(ik)pgi2k–u1(i)–u3(k)–u. The model result for any par- the results from each of the 19 required model runs:
ticular combination of levels for the three parameters
can be approximated by the sum of the grand mean, the 1 1 1 1
E [g(u)Fdata] ; g222 c g122 c g322 c g212
main effects and the two-way interactions (Raftery and 3 18 18 18
Zeh 1993): 1 1 1
c g232 c g221 c g223
gijk;ucu1(i)cu2(j)cu3(k)cu12(ij)cu13(ik)cu23(jk) (11) 18 18 18
1 1 1 1
Interactions of higher order than two are ignored c g112 c g312 c g132 c g332
36 36 36 36
because they are likely to be small and have low 1 1 1 1
weights in Eq. (9) (Raftery and Zeh 1993). The simpli- c g121 c g321 c g123 c g323
fication inherent in the approximation becomes appar- 36 36 36 36
ent when Eq. (11) is expanded and simplified to show 1 1 1 1
c g211 c g231 c g213 c g233 (16)
that gijk can be expressed as the sum of other model 36 36 36 36
and the weights sum to 1. The variance can once again
gijk;g222c(gi22Pg222)c(g2j2Pg222)c(g22kPg222) be expressed as the weighted sum of the squares of the
cgij2P(gi22Pg222)P(g2j2Pg222)Pg222 model run results represented in Eq. (16) minus the
cgi2kP(gi22Pg222)P(g22kPg222)Pg222 (12) square of the expected value. Note that model runs rep-
cg2jkP(g2j2Pg222)P(g22kPg222)Pg222 resented in Eq. (16) with equal numbers of parameters
pg222Pgi22Pg2j2Pg22kcgij2cgi2kcg2jk at the 0.5 quantile level (i.e., i, j or kp2) have equal
The implication of Eq. (12) is that model results weights: all runs with exactly 2 parameters not at the
such as g111 or g333 can each be approximated from sev- 0.5 quantile level have weights of 1/36; runs with exact-
en other model results and do not themselves require a ly one parameter not at the 0.5 quantile level have
separate simulation. weights of 1/18; the only run with all three parameters
By substituting Eq. (11) into Eq. (9), the expected at the 0.5 quantile level (the grand mean) has a weight
value of the model function can be calculated by per- of 1/3.
forming the sums in Eq. (9) on each of the terms from For one or two parameters, the application of the
the right-hand side of Eq. (11). Because Gauss–Hermite approximation is exactly equal to the
w1cw2cw3p1, the substitution of Eq. (11) into application of the full Gauss–Hermite formulas in
Eq. (9) can be simplified. For example: Eqs. (9) and (10), because there are no interactions of
order three or higher; there is, therefore, no benefit to
the approximation. As the number of parameters in-
A wi wj wk upu (13) creases above two, the savings in required model runs
offered by approximating the Gauss–Hermite formula
and: increase dramatically. For N parameters, one run is re-
3 3 quired for the grand mean and 2N additional runs are
A wi wj wk u1(i)p A wi u1(i) (14) required for the main effects, i.e., each parameter eval-
i,j,kp1 ip1 uated at the 0.042 and 0.958 quantiles. (Each parameter
For all the terms in Eq. (11), Eq. (9) simplifies to: evaluated at the 0.5 quantile has already been made in
the model run for the grand mean.) For the two-way
3 3 3
interactions, four additional runs are required for each
E [g(u)Fdata];uc A wi u1(i)c A wj u2(j)c A wk u3(k)
ip1 jp1 kp1 pair of parameters, i.e., evaluation of each parameter in
3 3 3 a pair at the 0.042 and 0.958 quantiles. For N parame-
c A wi wj u12(ij)c A wi wk u13(ik)c A wj wk u23(jk) (15) ters, there are N(N–1)/2 pairs to consider requiring
i,jp1 i,kp1 j,kp1
2 N(N–1) two-way interaction runs in all. The total
Eq. (15) represents the approximation of the number of required model runs for N parameters is
Gauss–Hermite method for three parameters and re- 1c2N 2. In Table 1, the savings in required model runs
quires fewer model runs than the full method in with increasing numbers of parameters is shown.
Eq. (9). The full Gauss–Hermite approach would re- As was done for the case of three parameters, apply-
quire 27 model runs to account for all possible combi- ing the Gauss–Hermite approximation to any number
nations of parameters at the three quantile levels. The of parameters can be simplified algebraically by ex-
approximation requires only those 19 model runs that pressing the expected value and the variance in terms
are components of the grand mean (g222), the main ef- of the weighted sums of the model predictions from
fects (additionally g122, g322, g212, g232, g221, and g223) and each of the required model runs rather than the
the two-way interactions (additionally g112, g312, g132, weighted sums of the main effects and interactions. For
g332, g121, g321, g123, g323, g211, g231, g213, g233). a given number of model parameters, the weight of a
Each term in Eq. (15) is expanded and the equation specific model run depends on the number of parame-
is simplified, as was done in Eq. (12), so that the ex- ter values that are not at the 0.5 quantile level. Herein,

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


Table 1 Number of model runs required for the Gauss–Hermite sults. The variance is calculated by applying the same
full method and approximation procedure to the squares of the model-run results and
Number of Required number of model runs then subtracting the square of the expected value.
Full Gauss– Gauss–Hermite
Hermite approximation Application to MT3D Simulations
1 3 3
2 9 9 The use of the Gauss–Hermite approximation method
3 27 19 is illustrated with an example application to predictions
4 81 33 made using the three-dimensional, solute-transport
5 243 51 model MT3D (Zheng 1990). The predictions were part
6 729 73
7 2 187 99 of a more extensive field and modeling study of atra-
8 6 561 129 zine transport and fate in groundwater beneath agricul-
9 19 683 163 tural fields in south-central Wisconsin, USA, presented
10 59 049 201 in a companion paper (Levy et al. 1998). In this section,
a portion of that work is described to illustrate applica-
tion of the Gauss–Hermite approximation method with
emphasis on selecting the necessary parameter quantile
the algebraic simplifications and the appropriate values.
weights have been performed for up to ten parameters,
and these are presented in Table 2. The “class” of a
model run referred to in Table 2 is defined by the num- Description of Field Study
ber of parameter values not equal to the 0.5 quantile. The field study, described in detail in Levy et al. (1998),
The only class-0 run is the grand mean. Main effects was conducted on a 4.1-km 2 area near Waunakee, Wis-
involve class-0 and class-1 runs; two-way interactions consin, USA, to evaluate the sources and distribution
involve all three classes. For a given number of model of atrazine and its metabolites in a shallow sandy-till
parameters, the number of required runs falling into aquifer overlying a Cambrian sandstone aquifer from
each class is shown in Table 2. The total number of which area residents get their drinking water. Due to
model runs for a given number of parameters equals the greater hydraulic conductivity of the sandstone,
the number of runs shown in Table 1. For example, for vertical groundwater flow dominates in the till.
three parameters, there are 1, 6, and 12 model runs that Throughout most of the study area, groundwater flows
are of class-0, class-1, and class-2, respectively (Ta- mainly downward until reaching the sandstone, at
ble 2), totaling 19 runs (Table 1). Equation (16) demon- which time it joins the regional flow toward the south-
strates the application of Table 2 to the case of three east. The long-term impact of atrazine use on ground-
parameters. Note also from Table 2 that, for a given water quality was evaluated at the field scale. For such
number of parameters, the sum of all the weights multi- an assessment, three-dimensional modeling is necessary
plied by the number of associated runs equals 1. to incorporate the spatial variability of depth to bed-
To evaluate the expected value of a model predic- rock and the vertical flow regime in the till, and to
tion using the Gauss–Hermite approximation, one account for the hydrologic effects of local surface-water
needs only to multiply each required model-run result bodies. A groundwater-flow model was constructed us-
by the appropriate weight in Table 2 and sum the re- ing MODFLOW (McDonald and Harbaugh 1984) and

Table 2 Weights for each class of model run given the number of model parameters

Number of Model-run class: no. of parameter values ( 0.5 quantile level

Class 0 Class 1 Class 2

Weight No. of runs Weight No. of runs Weight No. of runs

1 2/3 1 1/6 2 Not applicable

2 4/9 1 1/9 4 1/36 4
3 1/3 1 1/18 6 1/36 12
4 1/3 1 0 8 1/36 24
5 4/9 1 P1/18 10 1/36 40
6 2/3 1 P1/9 12 1/36 60
7 1 1 P1/6 14 1/36 84
8 13/9 1 P2/9 16 1/36 112
9 2 1 P5/18 18 1/36 144
10 8/3 1 P1/3 20 1/36 180

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


available hydrogeologic information (Levy 1993). Parameter Value and PDF Estimation
Chemical and transport parameter values were esti- Seven MT3D parameters were included in the
mated, as described below, and used with the calibrated Gauss–Hermite analysis: Kf, a, l1, l2, aL, the ratio of
groundwater flow model in solute-transport simulations longitudinal to transverse dispersivity (aL: aT), and u.
using MT3D (Zheng 1990) to make predictions regard- The aquifer is assumed to be homogeneous with re-
ing long-term atrazine fate in the groundwater system. spect to these parameters. Groundwater velocities were
The Gauss–Hermite approach was used to assess the calculated from hydraulic conductivities and hydraulic
uncertainty of the model predictions. gradients from the MODFLOW solution. Selection of
those values and calibration of the MODFLOW model
are described in Levy (1993). The aquifer was assumed
Description of MT3D to be isotropic in the horizontal direction, thereby re-
MT3D is a modular computer model that uses a mixed quiring only one longitudinal:transverse dispersivity ra-
Eulerian–Lagrangian approach to the solution of the tio. Because the dominant flow direction in the till is
three-dimensional advection–dispersion equation vertical, the assumption of isotropy in the orthogonal,
(Zheng 1990): horizontal directions is reasonable.
For each of the seven parameters, a PDF is defined
iC i iC i
ixi 1 Dij
(ni C) that depends on the parameter-estimate uncertainty
based on a mean (the 0.5 quantile value) and an appro-
qs rb priate 95% confidence interval (CI). Knowing the 95%
c CsPl1 CPl2 C̄ (17)
u u CI of a normal distribution then allows computation of
the 0.042 and 0.958 quantile values. The extreme values
where C is the dissolved contaminant concentration
of the 95% CI are 1.96 standard deviations from the
(ML –3) in groundwater; C̄ is the sorbed contaminant
mean value, whereas the 0.042 and 0.958 quantiles are
concentration (MM –1); t is time (T); xi is the distance
approximately 1.73 standard deviations from the mean.
along the respective Cartesian coordinate axis (L); Dij
Therefore, the differences between the mean and the
is the hydrodynamic dispersion coefficient (L 2T –1); vi is
limits of the 95% CI are multiplied by 1.73/1.96. The
the linear pore-water velocity (LT –1); qs is the volumet-
0.042 and 0.958 quantile values are obtained by sub-
ric flux of water per unit volume representing sources
tracting and adding the adjusted differences from and
or sinks (T –1); Cs is the concentration of the sources or
to the mean, respectively. Three methods are shown for
sinks (ML –3); u is the porosity of the medium (dimen-
determining PDFs and the appropriate quantile values.
sionless); rb is the bulk density of the medium (ML –3);
The method applied depends on the way in which the
and l1 and l2 are the first-order degradation rate con-
parameters values are estimated: regression models,
stants of the dissolved and sorbed phases, respectively
used with parameters Kf and aL; a simple collection of
(T –1). R is the retardation factor (dimensionless) that
values from either literature or field data, used with a
depends on the assumed sorption isotherm. For this
and aL: aT; or an estimate of a probable range in lieu of
study, a Freundlich isotherm was used based on its abil-
other information, used with u, l1, and l2. The 0.042,
ity to fit herbicide sorption data (Wauchope and Kos-
0.5, and 0.958 quantile values for the seven transport
kinen 1983), and therefore
parameters involved in the MT3D Gauss–Hermite
rb analysis are summarized in Table 3.
Rp1 c a Kf C aP1 (18)
u The PDF for Kf is based on a multiple regression
analysis of literature data. A complete list of the 35 ref-
where Kf is the Freundlich constant (L 3 aM –a) and a is erences used for the regression analysis is given in Levy
the Freundlich exponent (dimensionless). Both Kf and (1993). The dependence of the reported sorption coeffi-
a are empirical curve-fitting constants (Zheng 1990), cients on soil and aquifer characteristics was examined
whose units have no physical meaning. The modular using multiple linear and log-transformed linear regres-
structure of MT3D is similar to that of MODFLOW, sion models with the computer software package Mini-
with separate packages for simulating advection, dis- tab (Ryan et al. 1985). Using a stepwise method (Chat-
persion, sources and sinks, and chemical reactions. terjee and Price 1977), a regression model was chosen
MT3D can use the finite-difference grid and simulated in which Kf depended on pH and percent organic mat-
flow field (in this case a steady-state flow field) from a ter and clay content. The site characteristics from this
MODFLOW simulation. The velocity term in MT3D is study were used to estimate the Kf value (Levy and
calculated based on the input hydraulic conductivities Chesters 1995). The regression-model estimate repre-
and output hydraulic gradients from the MODFLOW sents the mean of the Kf PDF.
simulation. MT3D calculates the hydrodynamic disper- The uncertainty in the regression model estimate
sion tensor based on groundwater velocities and esti- stems from the uncertainty of the regression model and
mates of longitudinal (aL) and transverse (aT) disper- the uncertainty of the site characteristics used in the re-
sivities and the molecular diffusion coefficient. gression model. Both sources of uncertainty were incor-
porated in the design of the MT3D-parameter PDF.
For a given set of site characteristics, Minitab calculates

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


Table 3 Summary of parame-

Parameter Units Quantile value
ter quantile values used in the
MT3D/Gauss–Hermite analy-
0.042 0.5 0.958
Kf mL g P1 (with ap1) 0.043 0.37 0.69
a Unitless 0.87 0.89 0.92
aL m 0.19 1.4 9.8
aL : aT Unitless 4.0 8.0 16
u Unitless 0.088 0.15 0.21
l1 d P1 8.5!10 P5 3.5!10 P4 1.4!10 P3
l2 d P1 8.5!10 P5 3.5!10 P4 1.4!10 P3

the regression estimate and the 95% CI associated with (1993) for a complete list. For 43 mineral soils with clay
that estimate, quantifying the uncertainty associated contents ~27%, the mean Freundlich exponent is 0.894
with the regression model itself. The site-characteristic with a 95% CI of 0.865–0.922. The 0.042 and 0.958
value estimates are themselves uncertain and are based quantile values of this PDF are 0.868 and 0.920, respec-
on field measurements. The site-characteristic value un- tively.
certainty was combined with the regression-model un- The PDF for aL was designed similarly to that for
certainty by using the CI extreme values of each site Kf. The regression model was developed on the basis of
characteristic to generate the widest possible range of the collection of literature values in Gelhar et al.
plausible estimates. For example, in the regression (1992), using only those they considered to be of high
model for the Kf of atrazine, Kf depends on three site and moderate reliability. In this regression model, the
characteristics: pH, organic-matter (OM) content, and logarithm of aL depends on the porosity of the medium
clay content of the medium. Based on field measure- and the logarithm of the scale of the experiment. Based
ments, OM and clay contents and pH have 95% CIs of on the uncertainty of the regression model and the in-
0.17–0.21%, 7.3–9.3%, and 7.14–7.32, respectively. put-parameter values, a PDF was calculated (Table 3).
Their average values of 0.19%, 8.3%, and 7.23 produce Several dispersivity studies summarized by Gelhar et
an estimated Kf of 0.37 mL g –1 with a 95% CI of al. (1992) provide estimates of transverse horizontal
0.054–0.68 mL g –1. (For unit consistency during the re- and transverse vertical dispersivity along with longitu-
gression analysis, it was assumed that the Freundlich dinal (in these cases horizontal) dispersivity. Bedding is
exponent, a, equals 1.) Using the 95% CIs of the site minimal or nonexistent in the Horicon till; flow is pre-
characteristics, the lowest Kf value plausible with the dominantly vertical and isotropy in the horizontal di-
regression model is with 0.17% OM, 7.3% clay, and a rection was assumed. Therefore, the appropriate esti-
pH of 7.32. These values produce a mean estimate of mate of transverse dispersivity was made from the ra-
0.30 with a 95% CI of –0.026 (assumedp0 because Kf tios of longitudinal-to-horizontal transverse dispersivi-
cannot be negative) to 0.63 mL g –1. The highest plausi- ties provided by Gelhar et al. (1992). The mean and
ble Kf estimate is with 0.21% OM, 9.3% clay, and a pH 95% CI of ten such estimates of high or intermediate
of 7.14, which produces a mean estimate of 0.44 mL g –1 reliability, as defined by Gelhar et al. (1992), were used
and a 95% CI of 0.13–0.74 mL g –1. The final PDF for Kf to determine the PDF of aL: aT. Because the reported
was constructed using the mean site-characteristic val- ratios are approximately log-normally distributed, the
ues, which yield a mean Kf of 0.37, and the extreme val- PDF was based on the log-transformed values (Ta-
ues of the site-characteristic 95% CIs, which produce ble 3).
an assumed 95% CI of 0–0.74 mL g –1. This final PDF Pumping-test data were used to calculate the specific
reflects the total uncertainty associated with Kf. As yield of the aquifer (Levy 1993) and based on that esti-
mentioned, the 0.042 and 0.958 quantile values are de- mate, u was assumed to be 0.15 with a plausible range
termined using the 95% CI extremes. The 0.042 quan- subjectively judged to be 0.07–0.25. In lieu of other in-
tile valuep0.37–(1.73/1.96)(0.37–0)p0.043 mL g –1; the formation, that range was assumed to be the 95% CI,
0.958 quantile value p 0.37c(1.73/1.96)(0.74–0.37) p leading to a PDF estimation with 0.042 and 0.958 quan-
0.69 mL g –1 (Table 3). The method chosen for estima- tile values of 0.088 and 0.21.
tion of the Kf PDF is conservative and results in a wider The parameter values with the most associated un-
PDF than may result using other methods. Although certainty are dissolved- and sorbed-phase atrazine de-
more complex methods could be applied for estimating gradation rates (l1 and l2). Mean values are based on
the PDF, the procedure presented here is a simple one calibration of the one-dimensional transport model
that ensures that the uncertainty associated with Kf will presented by Levy and Chesters (1995). Because little
not be underestimated. information exists with which to assign a CI, it was as-
Because no significant regression model was found sumed that the calibrated pseudo-first-order degrada-
that relates the Freundlich exponent, a, to sorbent char- tion rates of 0.00035 d –1 (corresponding to half-lives of
acteristics, its PDF estimation was based on the mean 2000 d) are good to within one-half an order of magni-
and 95% CI of values from 15 investigations; see Levy tude. The corresponding 95% CI would be based on a

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


log-normal distribution with a standard deviation of Assuming that the model predictions approximate
0.821. The resulting 0.042 and 0.958 quantile values are normal distributions, 95% CIs can be estimated. The
0.0000846 and 0.00145 d –1, corresponding to half-lives 95% CI for the Layer 1 prediction is quite large, reflect-
of 8200 and 480 d (Table 3). ing the large uncertainty in the parameter input values.
The coefficient of molecular diffusion was estimated The large 95% CI for the maximum Layer 1 concentra-
to be 1!10 –5 cm 2 s –1 (Freeze and Cherry 1979) but was tion covers the majority of the possible range of con-
not included in the Gauss–Hermite analysis because centrations. However, the 95% CI for the Layer-4 pre-
the effect of diffusion was negligible compared to me- diction is narrower. In Layer 4 and below, concentra-
chanical dispersion. Bulk density of the till was esti- tions are unlikely ever to exceed 0.9 mg L –1, no matter
mated to be 1.6 g cm –3 (Foth 1984) but was not in- how enduring the contamination.
cluded in the Gauss–Hermite analysis because its range
of plausible values was small.
Sensitivity Analysis
MT3D Simulation Scenario A benefit of the Gauss–Hermite procedure is that the
The objective of the MT3D modeling was to simulate sensitivity of model predictions to the parameters is
atrazine movement and fate within an area of focus giv- easily quantified. A method for such an analysis is pre-
en various contamination scenarios described in Levy sented here. The measure of sensitivity applies not to
et al. (1998). To demonstrate the Gauss–Hermite ap- an arbitrary percent change in parameter value, but to
proach, only two of those predictions and their uncer- the parameter PDF as defined by the 0.042 and 0.958
tainties are presented here. The predictions are based quantile values. Also quantifiable is a measure of the
on a nonpoint-source contamination scenario in which interactive effects of any two parameters. In some
leachate with an atrazine concentration of 3.0 mg L –1 cases, a single parameter may not have a large impact
continually reaches the water table for a period of on model predictions, but its interaction with another
35 yr. This scenario is simulated by adding a constant parameter may be dramatic. Quantifying the two-way
source term to the uppermost model layer. The predic- interactions is difficult using a deterministic, simple
tion exemplified is the expected 35-yr concentration in Monte Carlo or Latin hypercube sampling modeling
the location with the maximum simulated concentra- approach. This difficulty is elaborated further in a later
tion. The model has six layers; throughout most of the section.
study area, Layers 1 to 3 represent the Horicon till, Prediction sensitivity to model parameters and pa-
whereas Layers 4 to 6 represent Cambrian sandstone. rameter-pair interactions is quantified using the defini-
Presented here are the concentration predictions for tions of parameter main effects and interactions pre-
the shallowest model layer (Layer 1, 0–3.1 m below the sented above. For example, the main effect of the first
water table) and the layer corresponding to the upper- of seven parameters at the i th level is u1(i)pgi222222–u,
most bedrock layer throughout most of the area of fo- where u is the grand mean. To evaluate the total main
cus (Layer 4, 17.8–26 m below the water table). effect of the first parameter throughout its PDF, this
quantity is evaluated by summing the component main
effects at the 0.042, 0.5, and 0.958 quantile values. The
Model Predictions: Expected Values, Variances, and Grand main effect at the 0.5 quantile value is always 0. Be-
Means cause the sign of each component main effect is not rel-
The approximation of the Gauss–Hermite method was evant in assessing sensitivity, the sum of squares is
applied to MT3D model predictions using the quantile used. The sum-of-squares main effect (SSME) is de-
values presented in Table 3. Estimating the expected fined as the sum of the squares of the 0.042 and 0.958
values and variances of the MT3D predictions requires quantile components, so for the M th model parameter
99 model runs when seven parameters are involved
SSME of M th parameter p u 2M(1)cu 2M(3) (19)
(Table 1). Example results are presented in Table 4.
The “grand mean” results (i.e., the conventional deter- where uM(1) and uM(3) are the 0.042 and 0.958 quantile
ministic prediction based on the best parameter-value component main effects. To compare the relative sensi-
estimates) are included for comparison. tivity of various predictions to the model parameters,

Table 4 Prediction of the maximum atrazine concentrations at two depths given nonpoint-source contamination

Prediction Expected value Variance 2!Standard error 95% confidence Grand mean
(mg L –1) (mg L –1) 2 (mg L –1) interval (mg L –1) (mg L –1)

Layer 1 1.68 2.93!10 –1 1.08 0.601–2.77 1.75

Layer 4 0.188 1.12!10 –1 0.670 0–0.857 a 0.0518
Negative concentrations were replaced by 0 mg L –1

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


the quantity derived in Eq. (19) is standardized by tak- Table 5 Sensitivity of maximum concentration predictions to
ing the square root and dividing by the expected value single parameters
of the prediction. Layer 1 Layer 4
As defined above, two-way interactions are the
model predictions minus the individual main effects Parameter Standardized Parameter Standardized
minus the grand mean. For example, the interaction be- SSME SSME
tween the first two of seven parameters, both at level 1 l2 8.2!10 –1 Kf 4.9
(the 0.042 quantile value) is Kf 7.5!10 –1 l2 1.2
aL 3.0!10 –1 aL 2.2!10 –1
u12(11)pg1122222Pu1(1)Pu2(1)Pu (20) l1 1.7!10 –1 a 1.5!10 –1
a 1.1!10 –1 l1 8.4!10 –2
which simplifies to: u 3.8!10 –2 u 2.3!10 –2
aL : aT 2.4!10 –2 aL : aT 9.5!10 –3
u12(11)pg1122222Pg1222222Pg2122222cu (21)
For evaluation of the complete interactive effect of
the first two parameters, the value in Eq. (21) is one of rate is low. Similarly, when sorption is low, dispersivity
nine components representing all combinations of the plays a relatively minor role.
three quantile values [i.e., (11), (12), (13), (21), (22),
etc.]. All components with combinations involving the
second quantile level equal 0, leaving four components:
(11), (13), (31), and (33). As in the case of the SSME,
Comparison of the Full and Approximate
the sum-of-squares two-way interactions (SSTWI) are
Gauss–Hermite Analyses
evaluated by taking the sum of the squares of the indi- As in Raftery and Zeh (1993), one of the simplifica-
vidual components. For the first two parameters, the tions made in this study was to ignore all interactions of
SSTWI is: order three or higher. The effect of higher-order inter-
SSTWI 1,2p(g1122222Pg1222222Pg2122222cu) 2 actions on expected values and variances was assumed
c(g1322222Pg1222222Pg2322222cu) 2 to be negligible, because the interactions are likely to
c(g3122222Pg3222222Pg2122222cu) 2 be small and their weights are small in Eqs. (9) and
c(g3322222Pg3222222Pg2322222cu) 2 (22) (10). A limited test of this assumption was performed
using the case of three parameters. With three parame-
Again, this quantity is standardized by taking its ters (in this case, Kf, l2, and a), the full Gauss–Hermite
square root and dividing by the expected value of the analysis, Eqs. (9) and (10), requires only eight addition-
prediction. al runs over the approximation, Eq. (15); these eight
runs are part of the three-way interactions. In each ad-
ditional run, all three parameters involved are at either
Application of the Gauss–Hermite Sensitivity Analysis to the 0.042 or 0.958 quantile levels. For this test, 96 con-
the MT3D Simulations centration predictions were made spanning four hori-
The model sensitivity was evaluated to single or paired zontal locations, four layers, and six times assuming one
parameters using Eqs. (19) and (22) for various model scenario; assuming a second scenario, 30 concentration
predictions. Table 5 presents the standardized SSME predictions were made spanning five locations and six
for the two model predictions presented in Table 4. In times. For the 96 predictions, the expected values and
general, model predictions are most sensitive to Kf and
l2. Generally, the parameters with the third and fourth
largest SSME are l1 and aL. A more complete sensitiv-
Table 6 Sensitivity of maximum concentration predictions to pa-
ity analysis for many model predictions and their rela- rameter-pair interactions
tionship to simulated time is discussed in Levy et al.
(1998). Layer 1 Layer 4
With seven model parameters, 21 possible parame-
Parameter Standardized Parameter Standardized
ter pairs and associated SSTWI exist for every model pair SSTWI pair SSTWI
prediction. Table 6 presents the 10 largest interactions
for the predictions presented in Table 4. The most Kf, a 6.8!10 –1 Kf, l1 5.8
prominent interactions are between Kf and l2, Kf and Kf, l2 4.8!10 –1 Kf, a 4.9
aL : aT, u 3.2!10 –1 Kf, l2 4.8
l1, l1 and l2, and Kf and a. The relative importance of Kf, l 3.0!10 –1 Kf, u 2.2
the degradation rate of a phase depends on how much l 2, a L 2.8!10 –1 l 1, l 2 9.0!10 –1
compound is sorbed and how much is dissolved, which l 2, l 1 2.2!10 –1 l 2, a L 7.8!10 –1
explains the strong interactions between sorption and Kf, aL 1.6!10 –1 a, l2 6.4!10 –1
degradation. The interaction between degradation rates Kf, u 7.8!10 –2 Kf, aL 5.7!10 –1
l 1, u 7.7!10 –2 l 2, u 4.1!10 –1
arises because the dissolved-phase degradation rate is aL, u 6.8!10 –2 aL : aT, u 2.2!10 –1
only important when the sorbed-phase degradation

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


variances of the full and approximate analyses were range of plausible input values, although they do not
nearly identical. The ratios of approximate:full analysis necessarily ensure even coverage over the whole space
expected values range from 0.957–1.007 and average of input-parameter combinations. With Latin hyper-
0.985. Ratios for the variances range from 0.967–1.02 cube sampling, once the N values are selected, for k pa-
and average 0.995. For the second scenario, expected rameters, there are (N!) k–1 possible realizations, each
value ratios range from 0.997–1.006 and average 1.000. of which may yield a different estimate of the mean and
Variance ratios range from 0.996–1.017 and average variance. The variation of the estimates made from Lat-
1.005. Based on this analysis, for the case of three pa- in hypercube sampling is generally less than, and the
rameters, third-order interactions can safely be ignore. stability of the estimates generally more than, those
This example lends credence to the suggestion by Raf- generated with simple random sampling (Iman and
tery and Zeh (1993) that for simulations involving more Helton 1988). The approach used in the Gauss–Her-
than three parameters, interactions of order higher mite approximation method, however, is fundamentally
than two can be neglected. different from and somewhat less complex than Latin
hypercube sampling. The chosen parameter values are
not random, but are theoretically determined, and only
Qualitative Comparison of the Gauss–Hermite three values are required per parameter. The absence
Method and Latin Hypercube Sampling of random selection in the Gauss–Hermite method
means that there is no random variation in the resulting
Many other approaches toward quantifying model- estimates.
prediction uncertainty have been investigated (e.g., A further consequence of Latin hypercube sam-
McKay et al. 1979; Iman and Helton 1988). Latin hy- pling, as for simple random sampling, is that it is possi-
percube sampling offers advantages over other com- ble to induce undesired pairwise correlations between
monly used techniques because it requires fewer runs input parameters. Again, because the Gauss–Hermite
and is therefore more efficient than simple random approach does not depend on random sampling, unde-
(Monte Carlo) sampling (Iman and Helton 1988). For sired correlations in the input parameters are not a con-
monotonic functions, it has the added advantage of im- cern. The undesired correlations in Latin hypercube
proving the estimates of the mean and population dis- sampling are less likely to occur if N is large; however,
tribution function over those from simple random sam- increasing N reduces the efficiency of the method. Al-
pling (McKay et al. 1979). Its probabilistic quality ternatively, a computer program is available that avoids
makes it easy to estimate a prediction variance, and its the problem by implementing a method based on rank
ease of use, flexibility, and applicability to many types correlations to restrict the possible pairings (Iman and
of models makes it a better choice in most circum- Conover 1982). This procedure represents a layer of
stances than response surface replacement or differen- complication that is not required in the Gauss–Hermite
tial analysis (Iman and Helton 1988). The Gauss–Her- approach.
mite approximation shares many of the advantages of Although the Gauss–Hermite method is simpler to
Latin hypercube sampling over other methods. There- implement than Latin hypercube sampling, it can be
fore, a qualitative comparison was made of Latin hy- somewhat less flexible. In the Gauss–Hermite ap-
percube sampling and the Gauss–Hermite approxima- proach, the parameter distributions must be equal to a
tion in order to help determine under what circum- normal density function. Whether or not this constraint
stances each method should be used. represents a problem in practice depends on the appli-
As with the Gauss–Hermite approximation, the first cation. In many cases, such a distribution assumption
step in Latin hypercube sampling, originally proposed may be perfectly adequate. However, no such restric-
by McKay et al. (1979), is to assign PDFs to the input tions apply to Latin hypercube sampling. All that is re-
parameters. The plausible range of each parameter is quired is that the distributions be defined so that inter-
then divided into N equally probable intervals. For vals of equal probability can be determined. In fact, by
each parameter, values are randomly chosen from with- adjusting the weights associated with Latin hypercube
in each of the N intervals, based on the PDF of the pa- inputs, the effect of different probability distribution
rameter within the interval. At this point, each parame- assumptions can be tested without additional computer
ter is represented by N values. N model runs are made runs (Iman and Conover 1980). The results of the N
using random combinations of the chosen parameter model runs can be plotted as a cumulative density func-
values. Each value is used in exactly one model run. tion. The final result of the Gauss–Hermite method, on
The number of runs (and intervals) required for an ad- the other hand, is a mean and variance representing a
equate characterization of the model output PDF is de- complete characterization of the output if the data are
termined subjectively by the user. As in the simple normally distributed.
Monte Carlo method, numerous runs are made using The number of runs used in Latin hypercube sam-
random combinations of randomly chosen parameter pling should be based on the model complexity and the
values. Unlike simple random sampling, both Latin hy- number of parameters in the analysis (Iman and Con-
percube sampling and the Gauss–Hermite approach en- over 1980). Iman and Helton (1988) used Latin hyper-
sure full coverage for each input parameter over its cube sampling on a model of radionuclide movement

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


that involved 20 parameters and observed that the re- two-way interactions are completely characterized and
sults with Np50 compared well with results using sim- offers an easily applied method of quantifying interac-
ple random sampling with Np500; Helton et al. (1993) tive effects and comparing them to the main effects.
investigated a model with 45 parameters using Latin
hypercube sampling with Np60; McWilliams (1987)
applied Latin hypercube sampling with Np25 to a con- Summary and Conclusions
taminant transport model with 10 parameters. These
disparate examples demonstrate that it is hard to gener- The uncertainty of model predictions resulting from
alize about the number of runs required for good char- uncertainty in the input-parameter values can be quan-
acterization of the output distribution. However, based tified using the approximation of the Gauss–Hermite
on the studies cited, even for complex models with 20 method of Raftery and Zeh (1993). This method re-
variables or more, a sample size of 100 may be suffi- quires the determination of probability density func-
cient. When Iman and Conover (1980) investigated the tions (PDFs) for each input parameter and uses the
effect of sample size on the estimated output distribu- PDFs to determine the mean and variance of the out-
tion of the Network Flow and Radionuclide Transport put predictions. The approach is essentially Bayesian, in
model (Campbell et al. 1981), they used seven input which the parameter PDFs represent the posterior
variables in their analysis and concluded that N had to PDFs based theoretically on field and laboratory data
be at least 100 to sufficiently estimate the empirical out- and prior information. In this approach, some simplifi-
put distribution that was generated using Np1000. cations and assumptions are made to allow approxima-
Generally speaking, for models involving eight or more tion of the required integrals. The first is to estimate
input parameters, Latin hypercube sampling may rep- the parameter PDFs based on literature values, regres-
resent a savings of computer runs when compared to sion analyses, or previous modeling, and to consider
the Gauss–Hermite approximation. For seven or fewer the parameter PDFs to be posterior PDFs, based on the
variables, the Gauss–Hermite approach generally re- analyses and vague prior information. The second sim-
quires fewer model runs and has other properties that plification is to use the Gauss–Hermite approach to
make it appealing. evaluate the integral, providing an exact solution as-
Perhaps the greatest advantage of the Gauss–Her- suming that the parameter PDFs are equal to normal
mite method over Latin hypercube sampling is the ease density functions. The third simplification is to approxi-
of performing a sensitivity analysis that includes quan- mate the Gauss–Hermite solution ignoring parameter
tification of not only parameter main effects, but also interactions of order three and higher. To apply the
two-way parameter interactions, as described earlier. method, specific model simulations are run and sum-
The easily-standardized magnitudes of the main effects med with appropriate weights. Provided herein are the
and interactions are calculated based on linear combi- types of runs and weights that are appropriate to use
nations of specific model runs. No additional analyses given any number of model parameters between one
are required. In contrast, sensitivity analyses for Latin and ten. For quantifying uncertainty, the approxima-
hypercube sampling are achieved either graphically tion of the Gauss–Hermite method represents a signifi-
(which are only qualitative), by regression analysis cant computational saving over such alternatives as a
(Helton 1993; Iman and Helton 1988; McWilliams simple Monte Carlo approach and can more easily pro-
1987) or partial rank correlation coefficients (McKay et vide sensitivity and interaction information than Latin
al. 1979). Typically, forward selection (or stepwise re- hypercube sampling. In one example, for the case of
gression) (Chatterjee and Price 1977; McWilliams 1987) three parameters, the approximation was quite accurate
is used to rank the parameters in order of their effects compared to the full method.
on the output variability. The effects can be quantified To illustrate the method, the Gauss–Hermite analy-
by comparing the partial R 2 values for the various pa- sis was performed on simulations of three-dimensional
rameters (McWilliams 1987). Inherent in such an ap- atrazine transport within an area of focus using MT3D
proach are assumptions about the linearity of model- (Zheng 1990). The uncertainty of the model predictions
output response to changes in input-parameter values. mostly stems from the uncertainty associated with the
Such assumptions result in some loss in flexibility of the sorption coefficient and sorbed-phase degradation rate.
Latin hypercube sampling approach. Interaction effects The resulting 95% CIs for concentration predictions in
can be explored with a regression analysis that includes shallow groundwater are quite large indicating, for ex-
terms representing the products of the two parameters ample, that, given long-term recharge entering the sys-
in question (Chatterjee and Price 1977). However, giv- tem at 3.0 mg L –1 atrazine, maximum concentrations
en the number of possible interactions, including such within 3.1 m of the water table are not likely to exceed
terms in a stepwise regression analysis can be unwieldy. 2.9 mg L –1. Deeper concentration predictions have
In addition, with Latin hypercube sampling, there is no smaller 95% CIs; for example, concentrations 1 17.8 m
guarantee that model runs are made that will adequate- below the water table are unlikely to exceed 0.9 mg L –1
ly characterize interactive effects. The more model runs given the nonpoint-source contamination scenario.
used, the greater is the chance of capturing interactive The closest competitor to the Gauss–Hermite ap-
effects. The Gauss–Hermite approach guarantees that proach is probably Latin hypercube sampling. In some

Hydrogeology Journal (1998) 6 : 457–468 Q Springer-Verlag


circumstances, when more than seven model parame- Helton JC, Garner JW, Marietta MG, Rechard RP, Rudeen DK,
ters are involved, Latin hypercube sampling may re- Swift PN (1993) Uncertainty and sensitivity analysis results
obtained in a preliminary performance assessment for the
quire fewer runs than the Gauss–Hermite approach. waste isolation pilot plant. Nuclear Sci Engin 114 : 286–331
Alternatively, when seven or fewer parameters are in- Iman RL, Conover WJ (1980) Small sample sensitivity analysis
volved, the Gauss–Hermite method can represent a techniques for computer models, with an application to risk
computational savings. Latin hypercube sampling is assessment. Communications in Statistics: Theory and meth-
ods A9 : 1749–1842
more flexible in that it puts no requirements on the Iman RL, Conover WJ (1982) A distribution-free approach to in-
type of distribution the parameter values follow. With ducing rank correlation among input variables. Communica-
greater flexibility, however, comes greater complexity. tions in Statistics: Simulation and computation B11 : 311–344
Perhaps the biggest advantage of the Gauss–Hermite Iman RL, Helton JC (1988) An investigation of uncertainty and
approach over Latin hypercube sampling is that the sensitivity analysis techniques for computer models. Risk
Anal 8 : 71–90
Gauss–Hermite approach provides a simple method of Levy J (1993) A field and modeling study of atrazine transport
quantifying prediction sensitivity to the parameter and fate in groundwater. PhD, University of Wisconsin-Madi-
PDFs and their interactions. Both Latin hypercube son, Madison, WI
sampling and the Gauss–Hermite approach to uncer- Levy J, Chesters G (1995) Simulation of atrazine and metabolite
transport and fate in a sandy-till aquifer. J Contam Hydrol
tainty analysis ensure full coverage of the ranges of the 20 : 67–88
input values and do so with considerably fewer runs Levy J, Chesters G, Gustafson DP, Read HW (1998) Assessing
than are required with simple Monte Carlo sampling. aquifer susceptibility to atrazine contamination at a field site
Although both methods have their strengths and weak- in south-central Wisconsin. Hydrogeol J 6 : 483–499
nesses, the purpose here is to bring forward the McDonald MG, Harbaugh AW (1984) A modular three-dimen-
sional finite-difference groundwater flow model (Open-file re-
Gauss–Hermite approach as one with various appealing port 83-875). US Department of the Interior, US Geological
properties. Survey, Reston, VA
McKay MD, Beckman RJ, Conover WJ (1979) A comparison of
Acknowledgments These investigations were supported in part three methods for selecting values of input variables in the
by grants from the University of Wisconsin-System, the Wiscon- analysis of output from a computer code. Technometrics
sin Departments of Agriculture, Trade and Consumer Protection, 21 : 239–245
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