An effective algorithm for computing global sensitivity indices (EASI)

Elmar Plischke

Reliability Engineering and System Safety, 2010, vol. 95, issue 4, 354-360

Abstract: We present an algorithm named EASI that estimates first order sensitivity indices from given data using Fast Fourier Transformations. Hence it can be used as a post-processing module for pre-computed model evaluations. Ideas for the estimation of higher order sensitivity indices are also discussed.

Keywords: Global sensitivity analysis; Sobol’ sensitivity indices; FAST method; Correlation ratio; Post-processing algorithm; Space filling curves (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:95:y:2010:i:4:p:354-360

DOI: 10.1016/j.ress.2009.11.005

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