IDEAS home Printed from https://ideas.repec.org/a/eee/reensy/v110y2013icp60-67.html
   My bibliography  Save this article

Monte Carlo simulation for moment-independent sensitivity analysis

Author

Listed:
  • Wei, Pengfei
  • Lu, Zhenzhou
  • Yuan, Xiukai

Abstract

The moment-independent sensitivity analysis (SA) is one of the most popular SA techniques. It aims at measuring the contribution of input variable(s) to the probability density function (PDF) of model output. However, compared with the variance-based one, robust and efficient methods are less available for computing the moment-independent SA indices (also called delta indices). In this paper, the Monte Carlo simulation (MCS) methods for moment-independent SA are investigated. A double-loop MCS method, which has the advantages of high accuracy and easy programming, is firstly developed. Then, to reduce the computational cost, a single-loop MCS method is proposed. The later method has several advantages. First, only a set of samples is needed for computing all the indices, thus it can overcome the problem of “curse of dimensionality†. Second, it is suitable for problems with dependent inputs. Third, it is purely based on model output evaluation and density estimation, thus can be used for model with high order (>2) interactions. At last, several numerical examples are introduced to demonstrate the advantages of the proposed methods.

Suggested Citation

  • Wei, Pengfei & Lu, Zhenzhou & Yuan, Xiukai, 2013. "Monte Carlo simulation for moment-independent sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 110(C), pages 60-67.
  • Handle: RePEc:eee:reensy:v:110:y:2013:i:c:p:60-67
    DOI: 10.1016/j.ress.2012.09.005
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0951832012001858
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.ress.2012.09.005?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Borgonovo, E., 2007. "A new uncertainty importance measure," Reliability Engineering and System Safety, Elsevier, vol. 92(6), pages 771-784.
    2. Ratto, M. & Pagano, A. & Young, P.C., 2009. "Non-parametric estimation of conditional moments for sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 94(2), pages 237-243.
    3. Tarantola, S. & Gatelli, D. & Mara, T.A., 2006. "Random balance designs for the estimation of first order global sensitivity indices," Reliability Engineering and System Safety, Elsevier, vol. 91(6), pages 717-727.
    4. Liu, Qiao & Homma, Toshimitsu, 2009. "A new computational method of a moment-independent uncertainty importance measure," Reliability Engineering and System Safety, Elsevier, vol. 94(7), pages 1205-1211.
    5. Marco Ratto & Andrea Pagano, 2010. "Using recursive algorithms for the efficient identification of smoothing spline ANOVA models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(4), pages 367-388, December.
    6. Sobol’, I.M. & Kucherenko, S., 2009. "Derivative based global sensitivity measures and their link with global sensitivity indices," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3009-3017.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Derennes, Pierre & Morio, Jérôme & Simatos, Florian, 2021. "Simultaneous estimation of complementary moment independent and reliability-oriented sensitivity measures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 182(C), pages 721-737.
    2. Zhang, Leigang & Lu, Zhenzhou & Cheng, Lei & Fan, Chongqing, 2014. "A new method for evaluating Borgonovo moment-independent importance measure with its application in an aircraft structure," Reliability Engineering and System Safety, Elsevier, vol. 132(C), pages 163-175.
    3. Tatsuya Sakurahara & Seyed Reihani & Ernie Kee & Zahra Mohaghegh, 2020. "Global importance measure methodology for integrated probabilistic risk assessment," Journal of Risk and Reliability, , vol. 234(2), pages 377-396, April.
    4. Yun, Wanying & Lu, Zhenzhou & Jiang, Xian, 2019. "An efficient method for moment-independent global sensitivity analysis by dimensional reduction technique and principle of maximum entropy," Reliability Engineering and System Safety, Elsevier, vol. 187(C), pages 174-182.
    5. Yun, Wanying & Lu, Zhenzhou & Feng, Kaixuan & Li, Luyi, 2019. "An elaborate algorithm for analyzing the Borgonovo moment-independent sensitivity by replacing the probability density function estimation with the probability estimation," Reliability Engineering and System Safety, Elsevier, vol. 189(C), pages 99-108.
    6. Wei, Pengfei & Lu, Zhenzhou & Song, Jingwen, 2015. "Variable importance analysis: A comprehensive review," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 399-432.
    7. Junhwa Hwang & Dongjun Suh & Marc-Oliver Otto, 2020. "Forecasting Electricity Consumption in Commercial Buildings Using a Machine Learning Approach," Energies, MDPI, vol. 13(22), pages 1-29, November.
    8. Jing, Zhao & Chen, Jianqiao & Li, Xu, 2019. "RBF-GA: An adaptive radial basis function metamodeling with genetic algorithm for structural reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 189(C), pages 42-57.
    9. Wang, Wei & Maio, Francesco Di & Zio, Enrico, 2017. "Three-loop Monte Carlo simulation approach to Multi-State Physics Modeling for system reliability assessment," Reliability Engineering and System Safety, Elsevier, vol. 167(C), pages 276-289.
    10. Xie, Xiangzhong & Schenkendorf, René & Krewer, Ulrike, 2019. "Efficient sensitivity analysis and interpretation of parameter correlations in chemical engineering," Reliability Engineering and System Safety, Elsevier, vol. 187(C), pages 159-173.
    11. Ma, Yuan-Zhuo & Jin, Xiang-Xiang & Zhao, Xiang & Li, Hong-Shuang & Zhao, Zhen-Zhou & Xu, Chang, 2024. "Reliability-oriented global sensitivity analysis using subset simulation and space partition," Reliability Engineering and System Safety, Elsevier, vol. 242(C).
    12. Derennes, Pierre & Morio, Jérôme & Simatos, Florian, 2019. "A nonparametric importance sampling estimator for moment independent importance measures," Reliability Engineering and System Safety, Elsevier, vol. 187(C), pages 3-16.
    13. Yishang Zhang & Yongshou Liu & Xufeng Yang & Bin Zhao, 2015. "An efficient Kriging method for global sensitivity of structural reliability analysis with non-probabilistic convex model," Journal of Risk and Reliability, , vol. 229(5), pages 442-455, October.
    14. Tong, Ming-Na & Zhao, Yan-Gang & Lu, Zhao-Hui, 2021. "Normal transformation for correlated random variables based on L-moments and its application in reliability engineering," Reliability Engineering and System Safety, Elsevier, vol. 207(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wei, Pengfei & Lu, Zhenzhou & Ruan, Wenbin & Song, Jingwen, 2014. "Regional sensitivity analysis using revised mean and variance ratio functions," Reliability Engineering and System Safety, Elsevier, vol. 121(C), pages 121-135.
    2. Cheng, Lei & Lu, Zhenzhou & Zhang, Leigang, 2015. "Application of Rejection Sampling based methodology to variance based parametric sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 9-18.
    3. Wei, Pengfei & Lu, Zhenzhou & Song, Jingwen, 2015. "Variable importance analysis: A comprehensive review," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 399-432.
    4. Plischke, Elmar & Borgonovo, Emanuele & Smith, Curtis L., 2013. "Global sensitivity measures from given data," European Journal of Operational Research, Elsevier, vol. 226(3), pages 536-550.
    5. Wei, Pengfei & Lu, Zhenzhou & Song, Jingwen, 2015. "Regional and parametric sensitivity analysis of Sobol׳ indices," Reliability Engineering and System Safety, Elsevier, vol. 137(C), pages 87-100.
    6. Wenbin Ruan & Zhenzhou Lu & Pengfei Wei, 2013. "Estimation of conditional moment by moving least squares and its application for importance analysis," Journal of Risk and Reliability, , vol. 227(6), pages 641-650, December.
    7. Luo, Xiaopeng & Lu, Zhenzhou & Xu, Xin, 2014. "Non-parametric kernel estimation for the ANOVA decomposition and sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 130(C), pages 140-148.
    8. Pengfei Wei & Zhenzhou Lu & Jingwen Song, 2014. "Moment‐Independent Sensitivity Analysis Using Copula," Risk Analysis, John Wiley & Sons, vol. 34(2), pages 210-222, February.
    9. Tissot, Jean-Yves & Prieur, Clémentine, 2012. "Bias correction for the estimation of sensitivity indices based on random balance designs," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 205-213.
    10. Li, Luyi & Lu, Zhenzhou & Hu, JiXiang, 2014. "A new kind of regional importance measure of the input variable and its state dependent parameter solution," Reliability Engineering and System Safety, Elsevier, vol. 128(C), pages 1-16.
    11. Allaire, Douglas L. & Willcox, Karen E., 2012. "A variance-based sensitivity index function for factor prioritization," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 107-114.
    12. S. Cucurachi & E. Borgonovo & R. Heijungs, 2016. "A Protocol for the Global Sensitivity Analysis of Impact Assessment Models in Life Cycle Assessment," Risk Analysis, John Wiley & Sons, vol. 36(2), pages 357-377, February.
    13. Yun, Wanying & Lu, Zhenzhou & Feng, Kaixuan & Li, Luyi, 2019. "An elaborate algorithm for analyzing the Borgonovo moment-independent sensitivity by replacing the probability density function estimation with the probability estimation," Reliability Engineering and System Safety, Elsevier, vol. 189(C), pages 99-108.
    14. Wenxuan Wang & Hangshan Gao & Pengfei Wei & Changcong Zhou, 2017. "Extending first-passage method to reliability sensitivity analysis of motion mechanisms," Journal of Risk and Reliability, , vol. 231(5), pages 573-586, October.
    15. Zhai, Qingqing & Yang, Jun & Zhao, Yu, 2014. "Space-partition method for the variance-based sensitivity analysis: Optimal partition scheme and comparative study," Reliability Engineering and System Safety, Elsevier, vol. 131(C), pages 66-82.
    16. Zio, E. & Pedroni, N., 2012. "Monte Carlo simulation-based sensitivity analysis of the model of a thermal–hydraulic passive system," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 90-106.
    17. Song, Xiaodong & Bryan, Brett A. & Almeida, Auro C. & Paul, Keryn I. & Zhao, Gang & Ren, Yin, 2013. "Time-dependent sensitivity of a process-based ecological model," Ecological Modelling, Elsevier, vol. 265(C), pages 114-123.
    18. Ge, Qiao & Menendez, Monica, 2017. "Extending Morris method for qualitative global sensitivity analysis of models with dependent inputs," Reliability Engineering and System Safety, Elsevier, vol. 162(C), pages 28-39.
    19. Ma, Yuan-Zhuo & Jin, Xiang-Xiang & Zhao, Xiang & Li, Hong-Shuang & Zhao, Zhen-Zhou & Xu, Chang, 2024. "Reliability-oriented global sensitivity analysis using subset simulation and space partition," Reliability Engineering and System Safety, Elsevier, vol. 242(C).
    20. Sinan Xiao & Zhenzhou Lu & Pan Wang, 2018. "Multivariate Global Sensitivity Analysis Based on Distance Components Decomposition," Risk Analysis, John Wiley & Sons, vol. 38(12), pages 2703-2721, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reensy:v:110:y:2013:i:c:p:60-67. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/reliability-engineering-and-system-safety .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.