Reliable error estimation for Sobol' indices

DOI10.1007/S11222-017-9759-1MaRDI QIDQ1704013zbMATH OpenOpenAlexFDO

Authors Lluís Antoni Jiménez Rugama, Laurent Gilquin

Publication date 8 March 2018

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/hal-01358067/file/Manuscript.pdf

zbMATH Keywords

error boundquasi-Monte Carlo methodsequential methodSobol' index

Mathematics Subject Classification ID

Sensitivity analysis for optimization problems on manifolds (49Q12) Sequential estimation (62L12) Monte Carlo methods (65C05) Numerical methods for integral transforms (65R10) Popov-type stability of feedback systems (93D10)

Recommendations

• Iterative estimation of Sobol' indices based on replicated designs
• Risk of estimators for Sobol' sensitivity indices based on metamodels
• On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors
• Monte Carlo algorithms for evaluating Sobol' sensitivity indices
• A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices

Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices
• Adaptive Multidimensional Integration Based on Rank-1 Lattices
• Adaptive Quasi-Monte Carlo Methods for Cubature
• Algorithm 823
• Asymptotic normality and efficiency of two Sobol index estimators
• Better estimation of small Sobol' sensitivity indices
• Comparison of some efficient methods to evaluate the main effect of computer model factors
• Constructing Sobol Sequences with Better Two-Dimensional Projections
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 822320 (Why is no real title available?)
• scientific article; zbMATH DE number 1425054 (Why is no real title available?)
• Implementation and tests of low-discrepancy sequences
• Iterative construction of replicated designs based on Sobol' sequences
• Iterative estimation of Sobol' indices based on replicated designs
• Making best use of model evaluations to compute sensitivity indices
• Monte Carlo and quasi-Monte Carlo sampling
• Multi-fidelity optimization via surrogate modelling
• On the distribution of points in a cube and the approximate evaluation of integrals
• Reliable adaptive cubature using digital sequences

Cited in

(10)

• Non-parametric estimation of the first-order Sobol indices with bootstrap bandwidth
• Iterative estimation of Sobol' indices based on replicated designs
• Screening: from tornado diagrams to effective dimensions
• Risk of estimators for Sobol' sensitivity indices based on metamodels
• Nonparametric estimation of probabilistic sensitivity measures
• Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces
• Adaptive Quasi-Monte Carlo Methods for Cubature
• Computing Shapley effects for sensitivity analysis
• On bounding and approximating functions of multiple expectations using quasi-Monte Carlo
• Challenges in developing great quasi-Monte Carlo software

Describes a project that uses

Uses Software

• Algorithm 823
• sobol.cc

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