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Sobol' indices for problems defined in non-rectangular domains

Kucherenko, S., Klymenko, Oleksiy and Shah, N. (2017) Sobol' indices for problems defined in non-rectangular domains Reliability Engineering & System Safety, 167. pp. 218-231.

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Abstract

A novel theoretical and numerical framework for the estimation of Sobol’ sensitivity indices for models in which inputs are confined to a non-rectangular domain (e.g., in presence of inequality constraints) is developed. Two numerical methods, namely the quadrature integration method which may be very efficient for problems of low dimensionality and the MC/QMC estimators based on the acceptance-rejection sampling method are proposed for the numerical estimation of Sobol’ sensitivity indices. Several model test functions with constraints are considered for which analytical solutions for Sobol’ sensitivity indices were found. These solutions were used as benchmarks for verifying numerical estimates. The method is shown to be general and efficient.

Item Type: Article
Divisions : Faculty of Engineering and Physical Sciences > Chemical and Process Engineering
Authors :
NameEmailORCID
Kucherenko, S.UNSPECIFIEDUNSPECIFIED
Klymenko, Oleksiyo.klymenko@surrey.ac.ukUNSPECIFIED
Shah, N.UNSPECIFIEDUNSPECIFIED
Date : November 2017
Identification Number : 10.1016/j.ress.2017.06.001
Copyright Disclaimer : ©2017 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY license. ( http://creativecommons.org/licenses/by/4.0/ )
Uncontrolled Keywords : Global sensitivity analysis; Sobol’ sensitivity indices; Dependent inputs; Constrained global sensitivity analysis; Non-rectangular domain
Depositing User : Clive Harris
Date Deposited : 14 Jun 2017 10:42
Last Modified : 14 Jun 2017 10:42
URI: http://epubs.surrey.ac.uk/id/eprint/841382

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