Polynomial chaos expansion for sensitivity analysis

Thierry Crestaux, Le Maıˆtre, Olivier and Jean-Marc Martinez

Reliability Engineering and System Safety, 2009, vol. 94, issue 7, 1161-1172

Abstract: In this paper, the computation of Sobol's sensitivity indices from the polynomial chaos expansion of a model output involving uncertain inputs is investigated. It is shown that when the model output is smooth with regards to the inputs, a spectral convergence of the computed sensitivity indices is achieved. However, even for smooth outputs the method is limited to a moderate number of inputs, say 10–20, as it becomes computationally too demanding to reach the convergence domain. Alternative methods (such as sampling strategies) are then more attractive. The method is also challenged when the output is non-smooth even when the number of inputs is limited.

Keywords: Sensitivity analysis; Sobol's decomposition; Polynomial chaos; Uncertainty quantification (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0951832008002561
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:94:y:2009:i:7:p:1161-1172

DOI: 10.1016/j.ress.2008.10.008

Access Statistics for this article

Reliability Engineering and System Safety is currently edited by Carlos Guedes Soares

More articles in Reliability Engineering and System Safety from Elsevier
Bibliographic data for series maintained by Catherine Liu ().