A new variance-based global sensitivity analysis technique

doi:10.1016/j.cpc.2013.07.006

2013-11-01

PRE

Pengfei Wei

Zhenzhou Lü

Jingwen Song

DOI：10.1016/j.cpc.2013.07.006

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摘要

En 中文

A new set of variance-based sensitivity indices, called W-indices, is proposed. Similar to the Sobol's indices, both main and total effect indices are defined. The W-main effect indices measure the average reduction of model output variance when the ranges of a set of inputs are reduced, and the total effect indices quantify the average residual variance when the ranges of the remaining inputs are reduced. Geometrical interpretations show that the W-indices gather the full information of the variance ratio function, whereas, Sobol's indices only reflect the marginal information. Then the double-loop-repeated-set Monte Carlo (MC) (denoted as DLRS MC) procedure, the double-loop-single-set MC (denoted as DLSS MC) procedure and the model emulation procedure are introduced for estimating the W-indices. It is shown that the DLRS MC procedure is suitable for computing all the W-indices despite its highly computational cost. The DLSS MC procedure is computationally efficient, however, it is only applicable for computing low order indices. The model emulation is able to estimate all the W-indices with low computational cost as long as the model behavior is correctly captured by the emulator. The Ishigami function, a modified Sobol's function and two engineering models are utilized for comparing the W- and Sobol's indices and verifying the efficiency and convergence of the three numerical methods. Results show that, for even an additive model, the W-total effect index of one input may be significantly larger than its W-main effect index. This indicates that there may exist interaction effects among the inputs of an additive model when their distribution ranges are reduced. (C) 2013 Elsevier B.V. All rights reserved.

Keyword:

Variance-based sensitivity analysis

Sobol's indices

Variance ratio function

W-indices

Monte Carlo simulation

Model emulation