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Survey of sampling-based methods for uncertainty and sensitivity analysis

J.C. Helton, J.D. Johnson, C.J. Sallaberry and C.B. Storlie

Reliability Engineering and System Safety, 2006, vol. 91, issue 10, 1175-1209

Abstract: Sampling-based methods for uncertainty and sensitivity analysis are reviewed. The following topics are considered: (i) definition of probability distributions to characterize epistemic uncertainty in analysis inputs, (ii) generation of samples from uncertain analysis inputs, (iii) propagation of sampled inputs through an analysis, (iv) presentation of uncertainty analysis results, and (v) determination of sensitivity analysis results. Special attention is given to the determination of sensitivity analysis results, with brief descriptions and illustrations given for the following procedures/techniques: examination of scatterplots, correlation analysis, regression analysis, partial correlation analysis, rank transformations, statistical tests for patterns based on gridding, entropy tests for patterns based on gridding, nonparametric regression analysis, squared rank differences/rank correlation coefficient test, two-dimensional Kolmogorov–Smirnov test, tests for patterns based on distance measures, top down coefficient of concordance, and variance decomposition.

Keywords: Aleatory uncertainty; Epistemic uncertainty; Latin hypercube sampling; Monte Carlo; Sensitivity analysis; Uncertainty analysis (search for similar items in EconPapers)
Date: 2006
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