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Application of the control variate technique to estimation of total sensitivity indices

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  • Kucherenko, S.
  • Delpuech, B.
  • Iooss, B.
  • Tarantola, S.

Abstract

Global sensitivity analysis is widely used in many areas of science, biology, sociology and policy planning. The variance-based methods also known as Sobol׳ sensitivity indices has become the method of choice among practitioners due to its efficiency and ease of interpretation. For complex practical problems, estimation of Sobol׳ sensitivity indices generally requires a large number of function evaluations to achieve reasonable convergence. To improve the efficiency of the Monte Carlo estimates for the Sobol׳ total sensitivity indices we apply the control variate reduction technique and develop a new formula for evaluation of total sensitivity indices. Presented results using well known test functions show the efficiency of the developed technique.

Suggested Citation

  • Kucherenko, S. & Delpuech, B. & Iooss, B. & Tarantola, S., 2015. "Application of the control variate technique to estimation of total sensitivity indices," Reliability Engineering and System Safety, Elsevier, vol. 134(C), pages 251-259.
    • Handle: RePEc:eee:reensy:v:134:y:2015:i:c:p:251-259
    DOI: 10.1016/j.ress.2014.07.008
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    References listed on IDEAS

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    1. Marrel, Amandine & Iooss, Bertrand & Laurent, Béatrice & Roustant, Olivier, 2009. "Calculations of Sobol indices for the Gaussian process metamodel," Reliability Engineering and System Safety, Elsevier, vol. 94(3), pages 742-751.
    2. Kucherenko, Sergei & Feil, Balazs & Shah, Nilay & Mauntz, Wolfgang, 2011. "The identification of model effective dimensions using global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 96(4), pages 440-449.
    3. Storlie, Curtis B. & Swiler, Laura P. & Helton, Jon C. & Sallaberry, Cedric J., 2009. "Implementation and evaluation of nonparametric regression procedures for sensitivity analysis of computationally demanding models," Reliability Engineering and System Safety, Elsevier, vol. 94(11), pages 1735-1763.
    4. 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.
    5. Jeremy E. Oakley & Anthony O'Hagan, 2004. "Probabilistic sensitivity analysis of complex models: a Bayesian approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 751-769, August.
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    Cited by:

    1. Matieyendou Lamboni, 2020. "Uncertainty quantification: a minimum variance unbiased (joint) estimator of the non-normalized Sobol’ indices," Statistical Papers, Springer, vol. 61(5), pages 1939-1970, October.
    2. 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.
    3. Kucherenko, S. & Song, S., 2017. "Different numerical estimators for main effect global sensitivity indices," Reliability Engineering and System Safety, Elsevier, vol. 165(C), pages 222-238.
    4. 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.
    5. Matieyendou Lamboni, 2018. "Global sensitivity analysis: a generalized, unbiased and optimal estimator of total-effect variance," Statistical Papers, Springer, vol. 59(1), pages 361-386, March.
    6. Konakli, Katerina & Sudret, Bruno, 2016. "Global sensitivity analysis using low-rank tensor approximations," Reliability Engineering and System Safety, Elsevier, vol. 156(C), pages 64-83.

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