Quantile based global sensitivity measures

Sergei Kucherenko, Shufang Song and Lu Wang

Reliability Engineering and System Safety, 2019, vol. 185, issue C, 35-48

Abstract: New global sensitivity measures based on quantiles of the output are introduced. Such measures can be used for global sensitivity analysis of problems in which αth quantiles are explicitly the functions of interest and for identification of variables which are the most important in achieving extreme values of the model output. It is proven that there is a link between introduced measures and Sobol’ main effect sensitivity indices. Two different Monte Carlo estimators are considered. It is shown that the double loop reordering approach is much more efficient than the brute force estimator. Several test cases and practical case studies related to structural safety are used to illustrate the developed method. Results of numerical calculations show the efficiency of the presented technique.

Keywords: Quantile based global sensitivity measure; Sobol’ sensitivity indices; Global sensitivity analysis; Structural safety (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:185:y:2019:i:c:p:35-48

DOI: 10.1016/j.ress.2018.12.001

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