An effective approximation for variance-based global sensitivity analysis

作者：Zhang Xufang^*; Pandey Mahesh D

来源：Reliability Engineering & System Safety, 2014, 121: 164-174.

DOI：10.1016/j.ress.2013.07.010

• Variance
• Dimensional reduction method
• Global sensitivity analysis
• Function of random variables
• Conditional expectation
• ANOVA

The paper presents a fairly efficient approximation for the computation of variance-based sensitivity measures associated with a general, n-dimensional function of random variables. The proposed approach is based on a multiplicative version of the dimensional reduction method (M-DRM), in which a given complex function is approximated by a product of low dimensional functions. Together with the Gaussian quadrature, the use of M-DRM significantly reduces the computation effort associated with global sensitivity analysis. An important and practical benefit of the M-DRM is the algebraic simplicity and closed-form nature of sensitivity coefficient formulas. Several examples are presented to show that the M-DRM method is as accurate as results obtained from simulations and other approximations reported in the literature.

• 出版日期2014-1
• 单位东北大学