An effective algorithm for computing global sensitivity indices (EASI)

作者：Plischke Elmar^*

来源：Reliability Engineering & System Safety, 2010, 95(4): 354-360.

DOI：10.1016/j.ress.2009.11.005

• Global sensitivity analysis
• Sobol' sensitivity indices
• FAST method
• Correlation ratio
• Post-processing algorithm
• Space filling curves

We present an algorithm named EASI that estimates first order sensitivity indices from given data using Fast Fourier Transformations. Hence it can be used as a post-processing module for pre-computed model evaluations. Ideas for the estimation of higher order sensitivity indices are also discussed.

• 出版日期2010-4