global sensitivity analysis

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 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

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.