A comparison of two sampling methods for global sensitivity analysis

Computer Physics Communications

Volumn 183, Issue 5, 2012, Pages 1061-1072

  Tarantola, Stefano ^a   Becker, William ^a   Zeitz, Dirk ^a  

^a JOINT RESEARCH CENTRE   (Italy)

Author keywords

Effective dimension; Latin supercube; Monte Carlo; Quasi random sequence; Sobol' sequence

Indexed keywords

EFFECTIVE DIMENSIONS; MONTE CARLO; QUASIRANDOM SEQUENCES; SOBOL' SEQUENCE; SUPERCUBE;

SENSITIVITY ANALYSIS;

MONTE CARLO METHODS;

EID: 84857058504     PISSN: 00104655     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cpc.2011.12.015     Document Type: Article

References (27)

1. J.E. Oakley, and A. O'Hagan Probabilistic sensitivity analysis of complex models: a Bayesian approach Journal of the Royal Statistical Society Series B 66 3 2004 751 769 (Pubitemid 39015911)
2. T. Crestaux, I. Le Ma, O. Tre, and J.-M. Martinez Polynomial chaos expansion for sensitivity analysis Reliability Engineering & System Safety 94 7 2009 1161 1172
3. M. Ratto, and A. Pagano Using recursive algorithms for the efficient identification of smoothing spline ANOVA models AStA Advances in Statistical Analysis 94 4 2010 367 388
4. R. Jin, W. Chen, and T.W. Simpson Comparative studies of metamodelling techniques under multiple modelling criteria Structural and Multidisciplinary Optimization 23 1 2001 1 13 (Pubitemid 34271934)
5. C.B. Storlie, L.P. Swiler, J.C. Helton, and C.J. Sallaberry Implementation and evaluation of nonparametric regression procedures for sensitivity analysis of computationally demanding models Reliability Engineering & System Safety 94 11 2009 1735 1763
6. R.E. Caflisch Monte Carlo and quasi-Monte Carlo methods Acta Numerica 7 1998 1 49
7. H. Niederreiter Random Number Generation and Quasi-Monte Carlo Methods 1992 Society for Industrial Mathematics
8. A. Saltelli, P. Annoni, I. Azzini, F. Campolongo, M. Ratto, and S. Tarantola Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index Computer Physics Communications 181 2 2010 259 270
9. I.M. Sobol' On the distribution of points in a cube and the approximate evaluation of integrals USSR Computational Mathematics and Mathematical Physics 7 4 1967 86 112
10. I.M. Sobol' Uniformly distributed sequences with an additional uniform property USSR Computational Mathematics and Mathematical Physics 16 5 1976 236 242
11. A.B. Owen Latin supercube sampling for very high-dimensional simulations ACM Transactions on Modeling and Computer Simulation 8 1 1998 71 102
12. W.J. Morokoff, and R.E. Caflisch Quasi-random sequences and their discrepancies SIAM Journal on Scientific Computing 15 6 1994 1251 1279
13. W.J. Morokoff, and R.E. Caflisch Quasi-Monte Carlo integration Journal of Computational Physics 122 2 1995 218 230
14. S. Kucherenko, B. Feil, N. Shah, and W. Mauntz The identification of model effective dimensions using global sensitivity analysis Reliability Engineering & System Safety 96 4 2011 440 449
15. A. Saltelli Global Sensitivity Analysis: The Primer 2008 John Wiley & Sons, Ltd. Chichester x, 292 p
16. R.I. Cukier, C.M. Fortuin, K.E. Shuler, A.G. Petschek, and J.H. Schaibly Study of the sensitivity of coupled reaction systems to uncertainties in rate coefficients. I. Theory Journal of Chemical Physics 59 8 1973 3873 3879
17. I.M. Sobol' Sensitivity estimates for nonlinear mathematical models Mathematical Modeling and Computational Experiment 1 4 1993 407 414
18. T. Homma, and A. Saltelli Importance measures in global sensitivity analysis of nonlinear models Reliability Engineering & System Safety 52 1 1996 1 17 (Pubitemid 126374988)
19. A. Saltelli, S. Tarantola, F. Campolongo, and M. Ratto Sensitivity Analysis in Practice: A Guide to Assessing Scientific Models 2004 John Wiley & Sons Inc.
20. I.M. Sobol', S. Tarantola, D. Gatelli, S.S. Kucherenko, and W. Mauntz Estimating the approximation error when fixing unessential factors in global sensitivity analysis Reliability Engineering & System Safety 92 7 2007 957 960 (Pubitemid 46350836)
21. M.J.W. Jansen Analysis of variance designs for model output Computer Physics Communications 117 1-2 1999 35 43
22. M.J.W. Jansen, W.A.H. Rossing, and R.A. Daamen Monte Carlo estimation of uncertainty contributions from several independent multivariate sources G. van Straaten, J. Grasman, Predictability and Nonlinear Modelling in Natural Sciences and Economics 1994 Kluwer Academic Publishing Dordrecht 335 343
23. I.M. Sobol', and S.S. Kucherenko On global sensitivity analysis of quasi-Monte Carlo algorithms Monte Carlo Methods and Applications 11 1 2005 83 92
24. P. Bratley, and B.L. Fox ALGORITHM 659: implementing Sobol's quasirandom sequence generator ACM Transactions on Mathematical Software 14 1 1988 88 100 (Pubitemid 18618268)
25. R. Cranley, and T.N.L. Patterson Randomization of number theoretic methods for multiple integration SIAM Journal on Numerical Analysis 13 6 1976 904 914
26. R.E. Caflisch, W. Morokoff, and A. Owen Valuation of mortgage backed securities using Brownian bridges to reduce effective dimension Journal of Computational Finance 1 1 1997 27 46
27. I.M. Sobol On the systematic search in a hypercube SIAM Journal on Numerical Analysis 16 5 1979 790 793