 Different numerical estimators for main effect global sensitivity indicesS. Kucherenko and Shunfeng Song Reliability Engineering and System Safety, 2017, vol. 165, issue C, 222-238 Abstract: The variance-based method of global sensitivity indices based on Sobol' sensitivity indices became very popular among practitioners due to its easiness of interpretation. For complex practical problems computation of Sobol' indices generally requires a large number of function evaluations to achieve reasonable convergence. Four different direct formulas for computing Sobol’ main effect sensitivity indices are compared on a set of test models for which there are analytical results. Considered test functions represent various types of models that are found in practice. Formulas are based on high-dimensional integrals which are evaluated using Monte Carlo (MC) and Quasi Monte Carlo (QMC) techniques. Direct formulas are also compared with a different approach based on the so-called “double loop reordering†formula. It is found that the “double loop reordering†(DLR) approach shows a superior performance among all methods both for models with independent and dependent variables. Keywords: Global sensitivity analysis; Sobol’ sensitivity indices; Quasi Monte Carlo; Double loop reordering (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:165:y:2017:i:c:p:222-238 DOI: 10.1016/j.ress.2017.04.003 Access Statistics for this article Reliability Engineering and System Safety is currently edited by Carlos Guedes Soares More articles in Reliability Engineering and System Safety from Elsevier |
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