Sensitivity analysis

Sensitivity Analysis with FORM?

By evaluating the directional cosines of the design point, the FORM α-factors are obtained, which can be used as sensitivity metric.

What is variance-based sensitivity analysis?

Variance-based sensitivity analysis is a form of global sensitivity analysis based on a decomposition of the variance of the model output.

Sensitivity analysis

What is factor fixing (in sensitivity analysis)?

In factor fixing, the model parameters that have the least influence on the model output are identified – often with the purpose of simplifying the model.

Sensitivity analysis

What are the total-effect sensitivity indices?

A total-effect sensitivity index quantifies the effect of the associated model parameter and all its interactions with other parameters on the model output. The total-effect sensitivity indices are well-suited for factor fixing.

Sensitivity analysis

How to evaluate the first-order sensitivity indices numerically?

Based on samples from a Monte Carlo simulation, the first-order sensitivity indices can be estimated without additional model calls. This requires the numerical approximation of a one-dimensional conditional expectation.

Sensitivity analysis

What is factor prioritization (in sensitivity analysis)?

In factor prioritization, the input parameters are ranked according to their importance on the model output. The first-order sensitivity indices are a commonly applied sensitivity measure for that purpose.

Sensitivity analysis

What is an additive model?

For additive models, the variance of the model output can be decomposed as the sum of the first-order effects of the model input.

Sensitivity analysis

What are the first-order sensitivity indices?

A first-order sensitivity index quantifies the effect of varying the associated model input parameter alone. The first-order sensitivity indices are well-suited for factor prioritization.

Sensitivity analysis

How can we decompose the variance of the model output?

We can decompose the variance of the model output in terms of a series expansion of combined effects if the model input parameters are statistically independent.

Sensitivity analysis

What is derivative-based sensitivity analysis?

Derivative-based SA provides a local sensitivity measure that is commonly used to assess deterministic model parameters. By normalizing the derivatives with standard deviations, the measure can also be applied to uncertain parameters (of linear models).

Sensitivity analysis

Can scatter plots be used for sensitivity analysis?

Scatter plots of the input against the output are one of the simplest and most versatile tools for qualitative global sensitivity analysis.

Sensitivity analysis

How do local and global sensitivity analysis differ?

Local sensitivity analysis assesses the influence of the input on the output around a specific point. Global sensitivity analysis assesses the influence of the uncertainty about the input on the output over the entire range of the input parameters.