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Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

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  • Sobol′ , I.M

Abstract

Global sensitivity indices for rather complex mathematical models can be efficiently computed by Monte Carlo (or quasi-Monte Carlo) methods. These indices are used for estimating the influence of individual variables or groups of variables on the model output.

Suggested Citation

  • Sobol′ , I.M, 2001. "Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 55(1), pages 271-280.
    • Handle: RePEc:eee:matcom:v:55:y:2001:i:1:p:271-280
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    References listed on IDEAS

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    1. Sobol, I.M., 1998. "On quasi-Monte Carlo integrations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(2), pages 103-112.
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