Monte Carlo evaluation of derivative-based global sensitivity measures
Monte Carlo evaluation of derivative-based global sensitivity measures
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DOI：
10.1016/j.ress.2008.05.006
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发表时间：
2009-06-01
影响因子：
8.1
通讯作者：
Shah, N.
中科院分区：
文献类型：
--
作者：
Kucherenko, S.;Rodriguez-Fernandez, M.;Shah, N.
提出了一种新的基于导数的全局灵敏度测度（DGSM）评价方法。并与Morris和Sobol敏感性指数法进行了比较。结果表明，DGSM与Sobol敏感性指数之间存在一定的联系。DGSM非常容易实现和数值评估。数值评价DGSM所需的计算时间比Sobol敏感性指数的估计时间要低许多数量级，也比Morris方法的计算时间要低。比较了蒙特卡罗（MC）和准蒙特卡罗（QMC）两种采样方法计算DGSM的效率。结果表明，QMC比MC的优越性取决于问题的有效维数，有效维数也可以用DGSM来估计。(C) 2008 Elsevier Ltd版权所有。
A novel approach for evaluation of derivative-based global sensitivity measures (DGSM) is presented. It is compared with the Morris and the Sobol' sensitivity indices methods. it is shown that there is a link between DGSM and Sobol' sensitivity indices. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is many orders of magnitude lower than that for estimation of the Sobol' sensitivity indices, It is also lower than that for the Morris method. Efficiencies of Monte Carlo (MC) and quasi-Monte Carlo (QMC) sampling methods for Calculation of DGSM are compared. It is shown that the superiority of QMC over MC depends on the problem's effective dimension, which can also be estimated using DGSM. (C) 2008 Elsevier Ltd. All rights reserved.