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An effective approximation for variance-based global sensitivity analysis

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  • Zhang, Xufang
  • Pandey, Mahesh D.

Abstract

The paper presents a fairly efficient approximation for the computation of variance-based sensitivity measures associated with a general, n-dimensional function of random variables. The proposed approach is based on a multiplicative version of the dimensional reduction method (M-DRM), in which a given complex function is approximated by a product of low dimensional functions. Together with the Gaussian quadrature, the use of M-DRM significantly reduces the computation effort associated with global sensitivity analysis. An important and practical benefit of the M-DRM is the algebraic simplicity and closed-form nature of sensitivity coefficient formulas. Several examples are presented to show that the M-DRM method is as accurate as results obtained from simulations and other approximations reported in the literature.

Suggested Citation

  • Zhang, Xufang & Pandey, Mahesh D., 2014. "An effective approximation for variance-based global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 121(C), pages 164-174.
    • Handle: RePEc:eee:reensy:v:121:y:2014:i:c:p:164-174
    DOI: 10.1016/j.ress.2013.07.010
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    References listed on IDEAS

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    Cited by:

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