Better estimation of small sobol' sensitivity indices
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Publication:4635217
DOI10.1145/2457459.2457460zbMATH Open1490.62192arXiv1204.4763OpenAlexW1980609382MaRDI QIDQ4635217FDOQ4635217
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Abstract: A new method for estimating Sobol' indices is proposed. The new method makes use of 3 independent input vectors rather than the usual 2. It attains much greater accuracy on problems where the target Sobol' index is small, even outperforming some oracles which adjust using the true but unknown mean of the function. When the target Sobol' index is quite large, the oracles do better than the new method.
Full work available at URL: https://arxiv.org/abs/1204.4763
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