Different numerical estimators for main effect global sensitivity indices
File(s)Comparison_SI_estimators_RESS.pdf (1.04 MB)
Accepted version
Author(s)
Kucherenko, S
Song, S
Type
Journal Article
Abstract
The variance-based method of global sensitivity indices based on Sobol' sensitivity indices became very popular among practitioners due to its easiness of interpretation. For complex practical problems computation of Sobol' indices generally requires a large number of function evaluations to achieve reasonable convergence. Four different direct formulas for computing Sobol’ main effect sensitivity indices are compared on a set of test models for which there are analytical results. Considered test functions represent various types of models that are found in practice. Formulas are based on high-dimensional integrals which are evaluated using Monte Carlo (MC) and Quasi Monte Carlo (QMC) techniques. Direct formulas are also compared with a different approach based on the so-called “double loop reordering” formula. It is found that the “double loop reordering” (DLR) approach shows a superior performance among all methods both for models with independent and dependent variables.
Date Issued
2017-04-13
Date Acceptance
2017-04-13
Citation
Reliability Engineering and System Safety, 2017, 165, pp.222-238
ISSN
0951-8320
Publisher
Elsever
Start Page
222
End Page
238
Journal / Book Title
Reliability Engineering and System Safety
Volume
165
Copyright Statement
© 2017 Elsevier Ltd. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Subjects
Strategic, Defence & Security Studies
09 Engineering
15 Commerce, Management, Tourism And Services
01 Mathematical Sciences
Publication Status
Published