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Estimating Mean Dimensionality of Analysis of Variance Decompositions

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Cited by:

  1. Emanuele Borgonovo & Elmar Plischke & Giovanni Rabitti, 2022. "Interactions and computer experiments," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1274-1303, September.
  2. Wong, Chun Yui & Seshadri, Pranay & Parks, Geoffrey, 2021. "Extremum sensitivity analysis with polynomial Monte Carlo filtering," Reliability Engineering and System Safety, Elsevier, vol. 212(C).
  3. Ökten, Giray & Liu, Yaning, 2021. "Randomized quasi-Monte Carlo methods in global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
  4. Ballester-Ripoll, Rafael & Leonelli, Manuele, 2022. "Computing Sobol indices in probabilistic graphical models," Reliability Engineering and System Safety, Elsevier, vol. 225(C).
  5. Pierre L’Ecuyer, 2009. "Quasi-Monte Carlo methods with applications in finance," Finance and Stochastics, Springer, vol. 13(3), pages 307-349, September.
  6. Constantine, Paul G. & Diaz, Paul, 2017. "Global sensitivity metrics from active subspaces," Reliability Engineering and System Safety, Elsevier, vol. 162(C), pages 1-13.
  7. Sobol Ilya M. & Shukhman Boris V., 2020. "QMC integration errors and quasi-asymptotics," Monte Carlo Methods and Applications, De Gruyter, vol. 26(3), pages 171-176, September.
  8. Sobol Ilya M. & Shukhman Boris V., 2014. "Quasi-Monte Carlo: A high-dimensional experiment," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 167-171, September.
  9. Mercadier, Cécile & Roustant, Olivier & Genest, Christian, 2022. "Linking the Hoeffding–Sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski," Statistics & Probability Letters, Elsevier, vol. 185(C).
  10. Shukhman Boris V. & Sobol Ilya M., 2015. "A limit theorem for average dimensions," Monte Carlo Methods and Applications, De Gruyter, vol. 21(2), pages 175-178, June.
  11. Nabil Kahalé, 2020. "Randomized Dimension Reduction for Monte Carlo Simulations," Management Science, INFORMS, vol. 66(3), pages 1421-1439, March.
  12. Sobol Ilya M. & Shukhman Boris V., 2018. "On average dimensions of particle transport estimators," Monte Carlo Methods and Applications, De Gruyter, vol. 24(2), pages 147-151, June.
  13. H. Heitsch & H. Leövey & W. Römisch, 2016. "Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?," Computational Optimization and Applications, Springer, vol. 65(3), pages 567-603, December.
  14. Borgonovo, Emanuele & Rabitti, Giovanni, 2023. "Screening: From tornado diagrams to effective dimensions," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1200-1211.
  15. Borgonovo, Emanuele & Plischke, Elmar, 2016. "Sensitivity analysis: A review of recent advances," European Journal of Operational Research, Elsevier, vol. 248(3), pages 869-887.
  16. Xiaoqun Wang, 2016. "Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing," Operations Research, INFORMS, vol. 64(2), pages 297-314, April.
  17. Mercadier Cécile & Ressel Paul, 2021. "Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application," Dependence Modeling, De Gruyter, vol. 9(1), pages 179-198, January.
  18. Awad, Majdi & Senga Kiesse, Tristan & Assaghir, Zainab & Ventura, Anne, 2019. "Convergence of sensitivity analysis methods for evaluating combined influences of model inputs," Reliability Engineering and System Safety, Elsevier, vol. 189(C), pages 109-122.
  19. Borgonovo, Emanuele & Plischke, Elmar & Rabitti, Giovanni, 2024. "The many Shapley values for explainable artificial intelligence: A sensitivity analysis perspective," European Journal of Operational Research, Elsevier, vol. 318(3), pages 911-926.
  20. Lamboni, Matieyendou, 2021. "Derivative-based integral equalities and inequality: A proxy-measure for sensitivity analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 179(C), pages 137-161.
  21. Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
  22. Serafino, Aldo & Obert, Benoit & Vergé, Léa & Cinnella, Paola, 2020. "Robust optimization of an organic Rankine cycle for geothermal application," Renewable Energy, Elsevier, vol. 161(C), pages 1120-1129.
  23. F. Y. Kuo & W. T. M. Dunsmuir & I. H. Sloan & M. P. Wand & R. S. Womersley, 2008. "Quasi-Monte Carlo for Highly Structured Generalised Response Models," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 239-275, June.
  24. Xiaoqun Wang, 2009. "Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing," INFORMS Journal on Computing, INFORMS, vol. 21(3), pages 488-504, August.
  25. Roustant, O. & Fruth, J. & Iooss, B. & Kuhnt, S., 2014. "Crossed-derivative based sensitivity measures for interaction screening," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 105(C), pages 105-118.
  26. Sobol I. M. & Shukhman B. V., 2019. "Quasi-Monte Carlo method for solving Fredholm equations," Monte Carlo Methods and Applications, De Gruyter, vol. 25(3), pages 253-257, September.
  27. Lamboni, Matieyendou, 2020. "Derivative-based generalized sensitivity indices and Sobol’ indices," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 170(C), pages 236-256.
  28. Zhijian He & Xiaoqun Wang, 2021. "An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 693-718, February.
  29. Michael Gnewuch & Jan Baldeaux, 2012. "Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition," Research Paper Series 313, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri, 2015. "Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis," Papers 1504.02896, arXiv.org.
  31. Borgonovo, Emanuele & Buzzard, Gregery T. & Wendell, Richard E., 2018. "A global tolerance approach to sensitivity analysis in linear programming," European Journal of Operational Research, Elsevier, vol. 267(1), pages 321-337.
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