Economics at your fingertips  

Global sensitivity analysis using polynomial chaos expansions

Bruno Sudret

Reliability Engineering and System Safety, 2008, vol. 93, issue 7, 964-979

Abstract: Global sensitivity analysis (SA) aims at quantifying the respective effects of input random variables (or combinations thereof) onto the variance of the response of a physical or mathematical model. Among the abundant literature on sensitivity measures, the Sobol’ indices have received much attention since they provide accurate information for most models. The paper introduces generalized polynomial chaos expansions (PCE) to build surrogate models that allow one to compute the Sobol’ indices analytically as a post-processing of the PCE coefficients. Thus the computational cost of the sensitivity indices practically reduces to that of estimating the PCE coefficients. An original non intrusive regression-based approach is proposed, together with an experimental design of minimal size. Various application examples illustrate the approach, both from the field of global SA (i.e. well-known benchmark problems) and from the field of stochastic mechanics. The proposed method gives accurate results for various examples that involve up to eight input random variables, at a computational cost which is 2–3 orders of magnitude smaller than the traditional Monte Carlo-based evaluation of the Sobol’ indices.

Keywords: Global sensitivity analysis; Sobol’ indices; Analysis of variance; Polynomial chaos; Generalized chaos; Regression; Stochastic finite elements (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (47) Track citations by RSS feed

Downloads: (external link)
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:

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
Series data maintained by Dana Niculescu ().

Page updated 2017-12-02
Handle: RePEc:eee:reensy:v:93:y:2008:i:7:p:964-979