 Monte Carlo evaluation of derivative-based global sensitivity measuresS. Kucherenko, M. Rodriguez-Fernandez, C. Pantelides and N. Shah Reliability Engineering and System Safety, 2009, vol. 94, issue 7, 1135-1148 Abstract: A novel approach for evaluation of derivative-based global sensitivity measures (DGSM) is presented. It is compared with the Morris and the Sobol’ sensitivity indices methods. It is shown that there is a link between DGSM and Sobol’ sensitivity indices. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is many orders of magnitude lower than that for estimation of the Sobol’ sensitivity indices. It is also lower than that for the Morris method. Efficiencies of Monte Carlo (MC) and quasi-Monte Carlo (QMC) sampling methods for calculation of DGSM are compared. It is shown that the superiority of QMC over MC depends on the problem's effective dimension, which can also be estimated using DGSM. Keywords: Global sensitivity analysis; Monte Carlo methods; Quasi-Monte Carlo methods; Derivative-based global measures; Morris method; Sobol’ sensitivity indices; Sobol’ sequences (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:94:y:2009:i:7:p:1135-1148 DOI: 10.1016/j.ress.2008.05.006 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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