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Calculating first-order sensitivity measures: A benchmark of some recent methodologies

D. Gatelli, S. Kucherenko, Marco Ratto () and S. Tarantola

Reliability Engineering and System Safety, 2009, vol. 94, issue 7, 1212-1219

Abstract: This work compares three different global sensitivity analysis techniques, namely the state-dependent parameter (SDP) modelling, the random balance designs, and the improved formulas of the Sobol’ sensitivity indices. These techniques are not yet commonly known in the literature. Strengths and weaknesses of each technique in terms of efficiency and computational cost are highlighted, thus enabling the user to choose the more suitable method depending on the computational model analysed. Two test functions proposed in the literature are considered. Computational costs and convergence rates for each function are compared and discussed.

Keywords: Global sensitivity analysis; Quasi Monte Carlo methods; Sobol’ sensitivity indices; Sobol’ method with improved formulas; Random balance designs; State-dependent parameter modelling (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1016/j.ress.2008.03.028

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Handle: RePEc:eee:reensy:v:94:y:2009:i:7:p:1212-1219