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Polynomial chaos expansion for sensitivity analysis

Thierry Crestaux, Le Maıˆtre, Olivier and Jean-Marc Martinez

Reliability Engineering and System Safety, 2009, vol. 94, issue 7, 1161-1172

Abstract: In this paper, the computation of Sobol's sensitivity indices from the polynomial chaos expansion of a model output involving uncertain inputs is investigated. It is shown that when the model output is smooth with regards to the inputs, a spectral convergence of the computed sensitivity indices is achieved. However, even for smooth outputs the method is limited to a moderate number of inputs, say 10–20, as it becomes computationally too demanding to reach the convergence domain. Alternative methods (such as sampling strategies) are then more attractive. The method is also challenged when the output is non-smooth even when the number of inputs is limited.

Keywords: Sensitivity analysis; Sobol's decomposition; Polynomial chaos; Uncertainty quantification (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:eee:reensy:v:94:y:2009:i:7:p:1161-1172