Journal
RELIABILITY ENGINEERING & SYSTEM SAFETY
Volume 95, Issue 4, Pages 354-360Publisher
ELSEVIER SCI LTD
DOI: 10.1016/j.ress.2009.11.005
Keywords
Global sensitivity analysis; Sobol' sensitivity indices; FAST method; Correlation ratio; Post-processing algorithm; Space filling curves
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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. (C) 2009 Elsevier Ltd. All rights reserved.
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