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Monte Carlo evaluation of derivative-based global sensitivity measures

Author

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  • Kucherenko, S.
  • Rodriguez-Fernandez, M.
  • Pantelides, C.
  • Shah, N.

Abstract

A novel approach for evaluation of derivative-based global sensitivity measures (DGSM) is presented. It is compared with the Morris and the Sobol’ sensitivity indices methods. It is shown that there is a link between DGSM and Sobol’ sensitivity indices. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is many orders of magnitude lower than that for estimation of the Sobol’ sensitivity indices. It is also lower than that for the Morris method. Efficiencies of Monte Carlo (MC) and quasi-Monte Carlo (QMC) sampling methods for calculation of DGSM are compared. It is shown that the superiority of QMC over MC depends on the problem's effective dimension, which can also be estimated using DGSM.

Suggested Citation

  • Kucherenko, S. & Rodriguez-Fernandez, M. & Pantelides, C. & Shah, N., 2009. "Monte Carlo evaluation of derivative-based global sensitivity measures," Reliability Engineering and System Safety, Elsevier, vol. 94(7), pages 1135-1148.
    • Handle: RePEc:eee:reensy:v:94:y:2009:i:7:p:1135-1148
    DOI: 10.1016/j.ress.2008.05.006
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    References listed on IDEAS

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    1. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
    2. Sobol, I.M., 1998. "On quasi-Monte Carlo integrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(2), pages 103-112.
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