Development of a localized probabilistic sensitivity method to determine random variable regional importance

Harry Millwater, Gulshan Singh and Miguel Cortina

Reliability Engineering and System Safety, 2012, vol. 107, issue C, 3-15

Abstract: There are many methods to identify the important variable out of a set of random variables, i.e., “inter-variable†importance; however, to date there are no comparable methods to identify the “region†of importance within a random variable, i.e., “intra-variable†importance. Knowledge of the critical region of an input random variable (tail, near-tail, and central region) can provide valuable information towards characterizing, understanding, and improving a model through additional modeling or testing. As a result, an intra-variable probabilistic sensitivity method was developed and demonstrated for independent random variables that computes the partial derivative of a probabilistic response with respect to a localized perturbation in the CDF values of each random variable. These sensitivities are then normalized in absolute value with respect to the largest sensitivity within a distribution to indicate the region of importance. The methodology is implemented using the Score Function kernel-based method such that existing samples can be used to compute sensitivities for negligible cost. Numerical examples demonstrate the accuracy of the method through comparisons with finite difference and numerical integration quadrature estimates.

Keywords: Probabilistic sensitivities; Score Function sensitivities; Localized sensitivity (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:107:y:2012:i:c:p:3-15

DOI: 10.1016/j.ress.2011.04.003

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