Title: A comparison of two sampling methods for global sensitivity analysis
Authors: TARANTOLA StefanoBECKER WILLIAM EDWARDZEITZ Dirk
Citation: COMPUTER PHYSICS COMMUNICATIONS vol. 183 no. 5 p. 1061–1072
Publisher: ELSEVIER SCIENCE BV
Publication Year: 2012
JRC N°: JRC64877
ISSN: 0010-4655
URI: http://www.sciencedirect.com/science/article/pii/S0010465511004036
http://publications.jrc.ec.europa.eu/repository/handle/JRC64877
DOI: 10.1016/j.cpc.2011.12.015
Type: Articles in Journals
Abstract: We compare the convergence properties of two different quasi-random sampling designs – Sobol’s quasi-Monte Carlo, and Latin supercube sampling in variance-based global sensitivity analysis. We use the non-monotonic V-function of Sobol’ as base case-study, and compare the performance of both sampling strategies at increasing sample size and dimensionality against analytical values. The results indicate that in general, the Sobol’ design performs better, however the Latin supercube sampling design appears to offer advantages in specific cases, such as smaller sample sizes and medium dimensionality.
JRC Institute:Institute for the Protection and Security of the Citizen

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