Density modification-based reliability sensitivity analysis
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Publication:5220784
DOI10.1080/00949655.2013.873039zbMATH Open1457.62022arXiv1210.1074OpenAlexW1966372978MaRDI QIDQ5220784FDOQ5220784
Authors:
Publication date: 27 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Abstract: Sensitivity analysis of a numerical model, for instance simulating physical phenomena, is useful to quantify the influence of the inputs on the model responses. This paper proposes a new sensitivity index, based upon the modification of the probability density function (pdf) of the random inputs, when the quantity of interest is a failure probability (probability that a model output exceeds a given threshold). An input is considered influential if the input pdf modification leads to a broad change in the failure probability. These sensitivity indices can be computed using the sole set of simulations that has already been used to estimate the failure probability, thus limiting the number of calls to the numerical model. In the case of a Monte Carlo sample, asymptotical properties of the indices are derived. Based on Kullback-Leibler divergence, several types of input perturbations are introduced. The relevance of this new sensitivity analysis method is analysed through three case studies.
Full work available at URL: https://arxiv.org/abs/1210.1074
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Cited In (12)
- Sensitivity indices for independent groups of variables
- Global Sensitivity Analysis and Wasserstein Spaces
- Simultaneous estimation of complementary moment independent and reliability-oriented sensitivity measures
- Local probabilistic sensitivity measures for comparing FORM and Monte Carlo calculations illustrated with dike ring reliability calculations
- On the consistency of Sobol indices with respect to stochastic ordering of model parameters
- Efficient evaluation of reliability-oriented sensitivity indices
- Robustness of the Sobol' Indices to Marginal Distribution Uncertainty
- Quantile-constrained Wasserstein projections for robust interpretability of numerical and machine learning models
- A functional global sensitivity measure and efficient reliability sensitivity analysis with respect to statistical parameters
- An Information Geometry Approach to Robustness Analysis for the Uncertainty Quantification of Computer Codes
- An efficient dimensionality-independent algorithm for failure probability-based global sensitivity analysis by dual-stage adaptive kriging model
- Decision-Oriented Two-Parameter Fisher Information Sensitivity Using Symplectic Decomposition
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