The identification of model effective dimensions using global sensitivity analysis

Sergei Kucherenko, Balazs Feil, Nilay Shah and Wolfgang Mauntz

Reliability Engineering and System Safety, 2011, vol. 96, issue 4, 440-449

Abstract: It is shown that the effective dimensions can be estimated at reasonable computational costs using variance based global sensitivity analysis. Namely, the effective dimension in the truncation sense can be found by using the Sobol' sensitivity indices for subsets of variables. The effective dimension in the superposition sense can be estimated by using the first order effects and the total Sobol' sensitivity indices. The classification of some important classes of integrable functions based on their effective dimension is proposed. It is shown that it can be used for the prediction of the QMC efficiency. Results of numerical tests verify the prediction of the developed techniques.

Keywords: Monte Carlo integration; Quasi-Monte Carlo; Global sensitivity analysis; Sobol' sensitivity indices; Effective dimensions (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:96:y:2011:i:4:p:440-449

DOI: 10.1016/j.ress.2010.11.003

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