 Adaptive use of replicated Latin Hypercube Designs for computing Sobol’ sensitivity indicesGuillaume Damblin and Alberto Ghione Reliability Engineering and System Safety, 2021, vol. 212, issue C Abstract: As recently pointed out in the field of Global Sensitivity Analysis (GSA) of computer simulations, the use of replicated Latin Hypercube Designs (rLHDs) is a cost-saving alternative to regular Monte Carlo sampling to estimate first-order Sobol’ indices. Indeed, two rLHDs are sufficient to compute the whole set of those indices regardless of the number of input variables. This relies on a permutation trick which, however, only works within the class of estimators called Oracle 2. In the present paper, we show that rLHDs are still beneficial to another class of estimators, called Oracle 1, which often outperforms Oracle 2 for estimating small and moderate indices. Even though unlike Oracle 2 the computation cost of Oracle 1 depends on the input dimension, the permutation trick can be applied to construct an averaged (triple) Oracle 1 estimator whose great accuracy is presented on a numerical example. Keywords: Sobol’ indices; Replicated Latin Hypercube Designs; Spurious correlation; Sensitivity Analysis; Oracle 2 estimators; Oracle 1 estimators; Nuclear application (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:212:y:2021:i:c:s0951832021000697 DOI: 10.1016/j.ress.2021.107507 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 |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.