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Implementation and evaluation of nonparametric regression procedures for sensitivity analysis of computationally demanding models

Curtis B. Storlie, Laura P. Swiler, Jon C. Helton and Cedric J. Sallaberry

Reliability Engineering and System Safety, 2009, vol. 94, issue 11, 1735-1763

Abstract: The analysis of many physical and engineering problems involves running complex computational models (simulation models, computer codes). With problems of this type, it is important to understand the relationships between the input variables (whose values are often imprecisely known) and the output. The goal of sensitivity analysis (SA) is to study this relationship and identify the most significant factors or variables affecting the results of the model. In this presentation, an improvement on existing methods for SA of complex computer models is described for use when the model is too computationally expensive for a standard Monte-Carlo analysis. In these situations, a meta-model or surrogate model can be used to estimate the necessary sensitivity index for each input. A sensitivity index is a measure of the variance in the response that is due to the uncertainty in an input. Most existing approaches to this problem either do not work well with a large number of input variables and/or they ignore the error involved in estimating a sensitivity index. Here, a new approach to sensitivity index estimation using meta-models and bootstrap confidence intervals is described that provides solutions to these drawbacks. Further, an efficient yet effective approach to incorporate this methodology into an actual SA is presented. Several simulated and real examples illustrate the utility of this approach. This framework can be extended to uncertainty analysis as well.

Keywords: Bootstrap; Confidence intervals; Meta-model; Nonparametric regression; Sensitivity analysis; Surrogate model; Uncertainty analysis; Variance decomposition (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:eee:reensy:v:94:y:2009:i:11:p:1735-1763