Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index

Variance based methods have assessed themselves as versatile and effective among the various available techniques for sensitivity analysis of model output. Practitioners can in principle describe the sensitivity pattern of a model Y=f ( X_1,X_2,... X_k) with k uncertain input factors via a full decomposition of the variance V(Y) of Y into terms depending on the factors and their interactions. More often practitioners are satisfied with computing just k first order effects and k total effects, the latter describing synthetically interactions among input factors. In sensitivity analysis a key concern is the computational cost of the analysis, defined in terms of number of evaluations of f ( X_1,X_2,... X_k) needed to complete the analysis, as f ( X_1,X_2,... X_k) is often in the form of a numerical model which may take long processing time. While the computational cost is relatively cheap and k-independent for estimating first order effects, it remains expensive and k-dependent for total effect indices. In the present note we compare existing and new practices for this index and offer recommendations on which to use.

SALTELLI Andrea;  ANNONI Paola;  AZZINI Ivano;  CAMPOLONGO Francesca;  RATTO Marco;  TARANTOLA Stefano; 

2010-01-01

ELSEVIER SCIENCE BV

JRC52955

0010-4655,   

www.elsevier.com/locate/cpc,    https://publications.jrc.ec.europa.eu/repository/handle/JRC52955,   

10.1016/j.cpc.2009.09.018,