Multivariate sensitivity analysis and derivative-based global sensitivity measures with dependent variables

Matieyendou Lamboni and Sergei Kucherenko

Reliability Engineering and System Safety, 2021, vol. 212, issue C

Abstract: In this paper, we propose a new methodology for better assessing the single, overall and interactions contributions of dependent and/or correlated variables over the whole model outputs. Our methodology relies on our ability to extract a model that characterizes the dependency structures of any random vector. Such dependency model is then coupled with the initial model to perform uncertainty quantification, variance-based sensitivity analysis and derivative-based global sensitivity measures. Our methodology allows for defining the main-effect and total sensitivity indices of input(s) with the former index less than the latter. We provide derivative-based upper bounds of total indices, which can be used for screening dependent variables. We also extend Morris’ methods to cope with dependent variables. For proposing such indices, we distinguish the case of the multivariate and/or functional outputs.

Keywords: Conditional distribution method; Dependent variables; Dependent DGSM; Dependent elementary effects; Dependent generalized sensitivity indices (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0951832021000806
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:reensy:v:212:y:2021:i:c:s0951832021000806

DOI: 10.1016/j.ress.2021.107519

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
Bibliographic data for series maintained by Catherine Liu ().