期刊
COMPUTER PHYSICS COMMUNICATIONS
卷 183, 期 4, 页码 937-946出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.cpc.2011.12.020
关键词
Global sensitivity analysis; Correlated inputs; Gaussian copula; Quasi Monte Carlo methods; Sobol' sensitivity indices; Sobol' sequences
资金
- Engineering and Physical Sciences Research Council [EP/H03126X/1] Funding Source: researchfish
- EPSRC [EP/H03126X/1] Funding Source: UKRI
A novel approach for estimation variance-based sensitivity indices for models with dependent variables is presented. Both the first order and total sensitivity indices are derived as generalizations of Sobol' sensitivity indices. Formulas and Monte Carlo numerical estimates similar to Sobol' formulas are derived. A copula-based approach is proposed for sampling from arbitrary multivariate probability distributions. A good agreement between analytical and numerical values of the first order and total indices for considered test cases is obtained. The behavior of sensitivity indices depends on the relative predominance of interactions and correlations. The method is shown to be efficient and general. C) 2011 Elsevier B.V. All rights reserved.
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