On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors

Sobol' Ilya M. and Shukhman Boris V.
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Sobol' Ilya M.: 1. Institute for Mathematical Modelling, Russian Academy of Sciences, Miusskaya Square 4, Moscow 125047, Russia.
Shukhman Boris V.: 2. Borelsoft, Canada, Russia.

Monte Carlo Methods and Applications, 2007, vol. 13, issue 1, 89-97

Abstract: Global sensitivity indices for sensitivity analysis of model output are usually estimated by Monte Carlo or quasi-Monte Carlo methods. In this paper, the bias in sensitivity indices produced by random errors in model evaluation is studied.

Keywords: Monte Carlo method; , quasi-Monte Carlo method; , sensitivity analysis; , global sensitivity index. (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1515/MCMA.2007.005

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