Derivative based global sensitivity measures and their link with global sensitivity indices

Sobol’, I.M. and S. Kucherenko

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 10, 3009-3017

Abstract: A model function f(x1,…,xn) defined in the unit hypercube Hn with Lebesque measure dx=dx1…dxn is considered. If the function is square integrable, global sensitivity indices provide adequate estimates for the influence of individual factors xi or groups of such factors. Alternative estimators that require less computer time can also be used. If the function f is differentiable, functionals depending on ∂f/∂xi have been suggested as estimators for the influence of xi. The Morris importance measure modified by Campolongo, Cariboni and Saltelli μ* is an approximation of the functional μi=∫Hn∂f/∂xidx.

Keywords: Global sensitivity index; Morris method; Quasi Monte Carlo method; Derivative based global sensitivity measure (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (57)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475409000354
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:matcom:v:79:y:2009:i:10:p:3009-3017

DOI: 10.1016/j.matcom.2009.01.023

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().