A quantitative model-independent method for global sensitivity analysis ofmodel output

Citation
A. Saltelli et al., A quantitative model-independent method for global sensitivity analysis ofmodel output, TECHNOMET, 41(1), 1999, pp. 39-56
Citations number
36
Categorie Soggetti
Mathematics
Journal title
TECHNOMETRICS
ISSN journal
00401706 → ACNP
Volume
41
Issue
1
Year of publication
1999
Pages
39 - 56
Database
ISI
SICI code
0040-1706(199902)41:1<39:AQMMFG>2.0.ZU;2-R
Abstract
A new method for sensitivity analysis (SA) of model output is introduced. I t is based on the Fourier amplitude sensitivity test (FAST) and allows the computation of the total contribution of each input factor to the output's variance. The term "total" here means that the factor's main effect, as wel l as all the interaction terms involving that factor, are included. Althoug h computationally different, the very same measure of sensitivity is offere d by the indices of Sobol'. The main advantages of the extended FAST are it s robustness, especially at low sample size, and its computational efficien cy. The computational aspects of the extended FAST are described. These inc lude (1) the definition of new sets of parametric equations for the search- curve exploring the input space, (2) the selection of frequencies for the p arametric equations, and (3) the procedure adopted to estimate the total co ntributions. We also address the limitations of other global SA methods and suggest that the total-effect indices are ideally suited to perform a glob al, quantitative, model-independent sensitivity analysis.