Randomized Global Sensitivity Analysis and Model Robustness

DOI10.1007/978-3-030-43465-6_20MaRDI QIDQ5117942zbMATH OpenOpenAlexFDO

Authors David R. Mandel, Giray Ökten

Publication date 26 August 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-43465-6_20

zbMATH Keywords

interest rate modelsmodel robustnessglobal sensitivity analysistemperature derivativesSobol' sensitivity indices

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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• Robust Statistics
• Taguchi's Quality Engineering Handbook
• The volatility of temperature and pricing of weather derivatives
• Uncertainty and robustness in weather derivative models

Cited in

(3)

• Global sensitivity analysis for multivariate outputs using polynomial chaos-based surrogate models
• Global sensitivity of structural variability by random sampling
• A parallel computational model for sensitivity analysis in optimization for robustness

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