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An effective algorithm for computing global sensitivity indices (EASI)

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  • Plischke, Elmar

Abstract

We present an algorithm named EASI that estimates first order sensitivity indices from given data using Fast Fourier Transformations. Hence it can be used as a post-processing module for pre-computed model evaluations. Ideas for the estimation of higher order sensitivity indices are also discussed.

Suggested Citation

  • Plischke, Elmar, 2010. "An effective algorithm for computing global sensitivity indices (EASI)," Reliability Engineering and System Safety, Elsevier, vol. 95(4), pages 354-360.
    • Handle: RePEc:eee:reensy:v:95:y:2010:i:4:p:354-360
    DOI: 10.1016/j.ress.2009.11.005
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    1. 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.
    2. Saltelli A. & Tarantola S., 2002. "On the Relative Importance of Input Factors in Mathematical Models: Safety Assessment for Nuclear Waste Disposal," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 702-709, September.
    3. Sobol’, I.M. & Tarantola, S. & Gatelli, D. & Kucherenko, S.S. & Mauntz, W., 2007. "Estimating the approximation error when fixing unessential factors in global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 92(7), pages 957-960.
    4. Gatelli, D. & Kucherenko, S. & Ratto, M. & Tarantola, S., 2009. "Calculating first-order sensitivity measures: A benchmark of some recent methodologies," Reliability Engineering and System Safety, Elsevier, vol. 94(7), pages 1212-1219.
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    1. Vuillod, Bruno & Montemurro, Marco & Panettieri, Enrico & Hallo, Ludovic, 2023. "A comparison between Sobol’s indices and Shapley’s effect for global sensitivity analysis of systems with independent input variables," Reliability Engineering and System Safety, Elsevier, vol. 234(C).
    2. Tissot, Jean-Yves & Prieur, Clémentine, 2012. "Bias correction for the estimation of sensitivity indices based on random balance designs," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 205-213.
    3. Paredes-Gazquez, Juan Diego & Rodriguez-Fernandez, José Miguel & de la Cuesta-Gonzalez, Marta, 2016. "Measuring corporate social responsibility using composite indices: Mission impossible? The case of the electricity utility industry," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 142-153.
    4. Plischke, Elmar, 2012. "An adaptive correlation ratio method using the cumulative sum of the reordered output," Reliability Engineering and System Safety, Elsevier, vol. 107(C), pages 149-156.
    5. Manel Baucells & Emanuele Borgonovo, 2013. "Invariant Probabilistic Sensitivity Analysis," Management Science, INFORMS, vol. 59(11), pages 2536-2549, November.
    6. Spiessl, Sabine M. & Kucherenko, Sergei & Becker, Dirk-A. & Zaccheus, Oluyemi, 2019. "Higher-order sensitivity analysis of a final repository model with discontinuous behaviour using the RS-HDMR meta-modeling approach," Reliability Engineering and System Safety, Elsevier, vol. 187(C), pages 149-158.
    7. Spiessl, Sabine M. & Becker, Dirk-A., 2015. "Sensitivity analysis of a final repository model with quasi-discrete behaviour using quasi-random sampling and a metamodel approach in comparison to other variance-based techniques," Reliability Engineering and System Safety, Elsevier, vol. 134(C), pages 287-296.
    8. Xing Liu & Enrico Zio & Emanuele Borgonovo & Elmar Plischke, 2024. "A Systematic Approach of Global Sensitivity Analysis and Its Application to a Model for the Quantification of Resilience of Interconnected Critical Infrastructures," Energies, MDPI, vol. 17(8), pages 1-24, April.
    9. 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.
    10. Lo Piano, Samuele & Ferretti, Federico & Puy, Arnald & Albrecht, Daniel & Saltelli, Andrea, 2021. "Variance-based sensitivity analysis: The quest for better estimators and designs between explorativity and economy," Reliability Engineering and System Safety, Elsevier, vol. 206(C).
    11. Nađa Džubur & David Laner, 2018. "Evaluation of Modeling Approaches to Determine End‐of‐Life Flows Associated with Buildings: A Viennese Case Study on Wood and Contaminants," Journal of Industrial Ecology, Yale University, vol. 22(5), pages 1156-1169, October.
    12. Borgonovo, Emanuele & Plischke, Elmar, 2016. "Sensitivity analysis: A review of recent advances," European Journal of Operational Research, Elsevier, vol. 248(3), pages 869-887.
    13. Mirko Ginocchi & Ferdinanda Ponci & Antonello Monti, 2021. "Sensitivity Analysis and Power Systems: Can We Bridge the Gap? A Review and a Guide to Getting Started," Energies, MDPI, vol. 14(24), pages 1-59, December.
    14. Paolo Paruolo & Michaela Saisana & Andrea Saltelli, 2013. "Ratings and rankings: voodoo or science?," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 609-634, June.
    15. Plischke, Elmar & Borgonovo, Emanuele & Smith, Curtis L., 2013. "Global sensitivity measures from given data," European Journal of Operational Research, Elsevier, vol. 226(3), pages 536-550.
    16. Goda, Takashi, 2021. "A simple algorithm for global sensitivity analysis with Shapley effects," Reliability Engineering and System Safety, Elsevier, vol. 213(C).
    17. Heredia, María Belén & Prieur, Clémentine & Eckert, Nicolas, 2021. "Nonparametric estimation of aggregated Sobol’ indices: Application to a depth averaged snow avalanche model," Reliability Engineering and System Safety, Elsevier, vol. 212(C).

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