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Quantile sensitivity measures based on subset simulation importance sampling

Author

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  • Song, Shufang
  • Bai, Zhiwei
  • Kucherenko, Sergei
  • Wang, Lu
  • Yang, Caiqiong

Abstract

Global sensitivity measures based on quantiles of the output are an efficient tool in measuring the effect of input variables for problems in which α−th quantiles are the functions of interest and for identification of inputs which are the most important in achieving the specific values of the model output. Previously proposed methods for numerical estimation of such measures are costly and not practically feasible in cases in which the quantile level α is very small or high. It is shown that the subset simulation importance sampling (SS-IS) method previously applied for solving small failure probability problems can be efficiently used for estimating quantile global sensitivity measures (QGSM). Considered test cases and engineering examples show that the proposed SS-IS method is more efficient than the previously proposed Monte Carlo method.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:reensy:v:208:y:2021:i:c:s0951832020308917
    DOI: 10.1016/j.ress.2020.107405
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    References listed on IDEAS

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    1. Borgonovo, E., 2007. "A new uncertainty importance measure," Reliability Engineering and System Safety, Elsevier, vol. 92(6), pages 771-784.
    2. Kucherenko, Sergei & Song, Shufang & Wang, Lu, 2019. "Quantile based global sensitivity measures," Reliability Engineering and System Safety, Elsevier, vol. 185(C), pages 35-48.
    3. Jean-Claude Fort & Thierry Klein & Nabil Rachdi, 2016. "New sensitivity analysis subordinated to a contrast," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(15), pages 4349-4364, August.
    4. Song, Shufang & Lu, Zhenzhou & Qiao, Hongwei, 2009. "Subset simulation for structural reliability sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 94(2), pages 658-665.
    5. 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.
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    Cited by:

    1. Zhang, Xiaobo & Lu, Zhenzhou & Cheng, Kai, 2022. "Cross-entropy-based directional importance sampling with von Mises-Fisher mixture model for reliability analysis," Reliability Engineering and System Safety, Elsevier, vol. 220(C).

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