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Different numerical estimators for main effect global sensitivity indices

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  • Kucherenko, S.
  • Song, S.

Abstract

The variance-based method of global sensitivity indices based on Sobol' sensitivity indices became very popular among practitioners due to its easiness of interpretation. For complex practical problems computation of Sobol' indices generally requires a large number of function evaluations to achieve reasonable convergence. Four different direct formulas for computing Sobol’ main effect sensitivity indices are compared on a set of test models for which there are analytical results. Considered test functions represent various types of models that are found in practice. Formulas are based on high-dimensional integrals which are evaluated using Monte Carlo (MC) and Quasi Monte Carlo (QMC) techniques. Direct formulas are also compared with a different approach based on the so-called “double loop reordering†formula. It is found that the “double loop reordering†(DLR) approach shows a superior performance among all methods both for models with independent and dependent variables.

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  • 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.
    • Handle: RePEc:eee:reensy:v:165:y:2017:i:c:p:222-238
    DOI: 10.1016/j.ress.2017.04.003
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    Cited by:

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    5. Song, Shufang & Bai, Zhiwei & Kucherenko, Sergei & Wang, Lu & Yang, Caiqiong, 2021. "Quantile sensitivity measures based on subset simulation importance sampling," Reliability Engineering and System Safety, Elsevier, vol. 208(C).
    6. Gamboa, Fabrice & Klein, Thierry & Lagnoux, Agnès & Moreno, Leonardo, 2021. "Sensitivity analysis in general metric spaces," Reliability Engineering and System Safety, Elsevier, vol. 212(C).
    7. Ökten, Giray & Liu, Yaning, 2021. "Randomized quasi-Monte Carlo methods in global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    8. Wu, Zeping & Wang, Wenjie & Wang, Donghui & Zhao, Kun & Zhang, Weihua, 2019. "Global sensitivity analysis using orthogonal augmented radial basis function," Reliability Engineering and System Safety, Elsevier, vol. 185(C), pages 291-302.
    9. Pierryves Padey & Kyriaki Goulouti & Guy Wagner & Blaise Périsset & Sébastien Lasvaux, 2021. "Understanding the Reasons behind the Energy Performance Gap of an Energy-Efficient Building, through a Probabilistic Approach and On-Site Measurements," Energies, MDPI, vol. 14(19), pages 1-15, September.
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    11. Azzini, Ivano & Rosati, Rossana, 2021. "Sobol’ main effect index: an Innovative Algorithm (IA) using Dynamic Adaptive Variances," Reliability Engineering and System Safety, Elsevier, vol. 213(C).

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