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Illustration of Sampling‐Based Methods for Uncertainty and Sensitivity Analysis

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  • J. C. Helton
  • F. J. Davis

Abstract

A sequence of linear, monotonic, and nonmonotonic test problems is used to illustrate sampling‐based uncertainty and sensitivity analysis procedures. Uncertainty results obtained with replicated random and Latin hypercube samples are compared, with the Latin hypercube samples tending to produce more stable results than the random samples. Sensitivity results obtained with the following procedures and/or measures are illustrated and compared: correlation coefficients (CCs), rank correlation coefficients (RCCs), common means (CMNs), common locations (CLs), common medians (CMDs), statistical independence (SI), standardized regression coefficients (SRCs), partial correlation coefficients (PCCs), standardized rank regression coefficients (SRRCs), partial rank correlation coefficients (PRCCs), stepwise regression analysis with raw and rank‐transformed data, and examination of scatter plots. The effectiveness of a given procedure and/or measure depends on the characteristics of the individual test problems, with (1) linear measures (i.e., CCs, PCCs, SRCs) performing well on the linear test problems, (2) measures based on rank transforms (i.e., RCCs, PRCCs, SRRCs) performing well on the monotonic test problems, and (3) measures predicated on searches for nonrandom patterns (i.e., CMNs, CLs, CMDs, SI) performing well on the nonmonotonic test problems.

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  • J. C. Helton & F. J. Davis, 2002. "Illustration of Sampling‐Based Methods for Uncertainty and Sensitivity Analysis," Risk Analysis, John Wiley & Sons, vol. 22(3), pages 591-622, June.
    • Handle: RePEc:wly:riskan:v:22:y:2002:i:3:p:591-622
    DOI: 10.1111/0272-4332.00041
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