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An efficient modularized sample-based method to estimate the first-order Sobol׳ index

Chenzhao Li and Sankaran Mahadevan

Reliability Engineering and System Safety, 2016, vol. 153, issue C, 110-121

Abstract: Sobol׳ index is a prominent methodology in global sensitivity analysis. This paper aims to directly estimate the Sobol׳ index based only on available input–output samples, even if the underlying model is unavailable. For this purpose, a new method to calculate the first-order Sobol׳ index is proposed. The innovation is that the conditional variance and mean in the formula of the first-order index are calculated at an unknown but existing location of model inputs, instead of an explicit user-defined location. The proposed method is modularized in two aspects: 1) index calculations for different model inputs are separate and use the same set of samples; and 2) model input sampling, model evaluation, and index calculation are separate. Due to this modularization, the proposed method is capable to compute the first-order index if only input–output samples are available but the underlying model is unavailable, and its computational cost is not proportional to the dimension of the model inputs. In addition, the proposed method can also estimate the first-order index with correlated model inputs. Considering that the first-order index is a desired metric to rank model inputs but current methods can only handle independent model inputs, the proposed method contributes to fill this gap.

Keywords: Global sensitivity analysis; Sobol׳ index; Sample-based; Correlated variables (search for similar items in EconPapers)
Date: 2016
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