An effective approximation for variance-based global sensitivity analysis

Xufang Zhang and Mahesh D. Pandey

Reliability Engineering and System Safety, 2014, vol. 121, issue C, 164-174

Abstract: The paper presents a fairly efficient approximation for the computation of variance-based sensitivity measures associated with a general, n-dimensional function of random variables. The proposed approach is based on a multiplicative version of the dimensional reduction method (M-DRM), in which a given complex function is approximated by a product of low dimensional functions. Together with the Gaussian quadrature, the use of M-DRM significantly reduces the computation effort associated with global sensitivity analysis. An important and practical benefit of the M-DRM is the algebraic simplicity and closed-form nature of sensitivity coefficient formulas. Several examples are presented to show that the M-DRM method is as accurate as results obtained from simulations and other approximations reported in the literature.

Keywords: Variance; Dimensional reduction method; Global sensitivity analysis; Function of random variables; Conditional expectation; ANOVA (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:121:y:2014:i:c:p:164-174

DOI: 10.1016/j.ress.2013.07.010

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