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A new uncertainty importance measure

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  • Borgonovo, E.

Abstract

Uncertainty in parameters is present in many risk assessment problems and leads to uncertainty in model predictions. In this work, we introduce a global sensitivity indicator which looks at the influence of input uncertainty on the entire output distribution without reference to a specific moment of the output (moment independence) and which can be defined also in the presence of correlations among the parameters. We discuss its mathematical properties and highlight the differences between the present indicator, variance-based uncertainty importance measures and a moment independent sensitivity indicator previously introduced in the literature. Numerical results are discussed with application to the probabilistic risk assessment model on which Iman [A matrix-based approach to uncertainty and sensitivity analysis for fault trees. Risk Anal 1987;7(1):22–33] first introduced uncertainty importance measures.

Suggested Citation

  • Borgonovo, E., 2007. "A new uncertainty importance measure," Reliability Engineering and System Safety, Elsevier, vol. 92(6), pages 771-784.
    • Handle: RePEc:eee:reensy:v:92:y:2007:i:6:p:771-784
    DOI: 10.1016/j.ress.2006.04.015
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    1. Kleijnen, Jack P. C., 2005. "An overview of the design and analysis of simulation experiments for sensitivity analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 287-300, July.
    2. Saltelli A. & Tarantola S., 2002. "On the Relative Importance of Input Factors in Mathematical Models: Safety Assessment for Nuclear Waste Disposal," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 702-709, September.
    3. Jeremy E. Oakley & Anthony O'Hagan, 2004. "Probabilistic sensitivity analysis of complex models: a Bayesian approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 751-769, August.
    4. Sumeet R. Patil & H. Christopher Frey, 2004. "Comparison of Sensitivity Analysis Methods Based on Applications to a Food Safety Risk Assessment Model," Risk Analysis, John Wiley & Sons, vol. 24(3), pages 573-585, June.
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