IDEAS home Printed from https://ideas.repec.org/a/bpj/mcmeap/v13y2008i5-6p455-465n6.html
   My bibliography  Save this article

Monte Carlo estimators for small sensitivity indices

Author

Listed:
  • Sobol' I. M.

    (Institute for Mathematical Modelling, Russian Academy of Sciences, Miusskaya Square 4, 125047 Moscow, Russia. Email: hq@imamod.ru)

  • Myshetskaya E. E.

    (Institute for Mathematical Modelling, Russian Academy of Sciences, Miusskaya Square 4, 125047 Moscow, Russia. Email: hq@imamod.ru)

Abstract

The standard Monte Carlo algorithm for estimating global sensitivity indices may be spoilt by loss of accuracy if the index is very small. Two approaches were proposed for eliminating the loss of accuracy: reduction of the mean value and correlated sampling. In the present paper both approaches are investigated and a third combined approach is suggested.

Suggested Citation

  • Sobol' I. M. & Myshetskaya E. E., 2008. "Monte Carlo estimators for small sensitivity indices," Monte Carlo Methods and Applications, De Gruyter, vol. 13(5-6), pages 455-465, January.
    • Handle: RePEc:bpj:mcmeap:v:13:y:2008:i:5-6:p:455-465:n:6
    DOI: 10.1515/mcma.2007.023
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/mcma.2007.023
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/mcma.2007.023?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Sobol’, I.M. & Tarantola, S. & Gatelli, D. & Kucherenko, S.S. & Mauntz, W., 2007. "Estimating the approximation error when fixing unessential factors in global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 92(7), pages 957-960.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Constantine, Paul G. & Diaz, Paul, 2017. "Global sensitivity metrics from active subspaces," Reliability Engineering and System Safety, Elsevier, vol. 162(C), pages 1-13.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Borgonovo, E., 2010. "Sensitivity analysis with finite changes: An application to modified EOQ models," European Journal of Operational Research, Elsevier, vol. 200(1), pages 127-138, January.
    2. David, Viviane & Joachim, Sandrine & Tebby, Cleo & Porcher, Jean-Marc & Beaudouin, Rémy, 2019. "Modelling population dynamics in mesocosms using an individual-based model coupled to a bioenergetics model," Ecological Modelling, Elsevier, vol. 398(C), pages 55-66.
    3. Sobol' Ilya M. & Shukhman Boris V., 2007. "On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors," Monte Carlo Methods and Applications, De Gruyter, vol. 13(1), pages 89-97, April.
    4. Deman, G. & Konakli, K. & Sudret, B. & Kerrou, J. & Perrochet, P. & Benabderrahmane, H., 2016. "Using sparse polynomial chaos expansions for the global sensitivity analysis of groundwater lifetime expectancy in a multi-layered hydrogeological model," Reliability Engineering and System Safety, Elsevier, vol. 147(C), pages 156-169.
    5. Viviane M. Gomes & Joao R. B. Paiva & Marcio R. C. Reis & Gabriel A. Wainer & Wesley P. Calixto, 2019. "Mechanism for Measuring System Complexity Applying Sensitivity Analysis," Complexity, Hindawi, vol. 2019, pages 1-12, April.
    6. Kucherenko, S. & Song, S., 2017. "Different numerical estimators for main effect global sensitivity indices," Reliability Engineering and System Safety, Elsevier, vol. 165(C), pages 222-238.
    7. Chen, Xin & Molina-Cristóbal, Arturo & Guenov, Marin D. & Riaz, Atif, 2019. "Efficient method for variance-based sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 181(C), pages 97-115.
    8. Matieyendou Lamboni, 2018. "Global sensitivity analysis: a generalized, unbiased and optimal estimator of total-effect variance," Statistical Papers, Springer, vol. 59(1), pages 361-386, March.
    9. Roux, Sébastien & Loisel, Patrice & Buis, Samuel, 2019. "A filter-based approach for global sensitivity analysis of models with functional inputs," Reliability Engineering and System Safety, Elsevier, vol. 187(C), pages 119-128.
    10. Lamboni, M. & Iooss, B. & Popelin, A.-L. & Gamboa, F., 2013. "Derivative-based global sensitivity measures: General links with Sobol’ indices and numerical tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 45-54.
    11. Sudret, B. & Mai, C.V., 2015. "Computing derivative-based global sensitivity measures using polynomial chaos expansions," Reliability Engineering and System Safety, Elsevier, vol. 134(C), pages 241-250.
    12. Gatelli, D. & Kucherenko, S. & Ratto, M. & Tarantola, S., 2009. "Calculating first-order sensitivity measures: A benchmark of some recent methodologies," Reliability Engineering and System Safety, Elsevier, vol. 94(7), pages 1212-1219.
    13. Wei, Pengfei & Lu, Zhenzhou & Song, Jingwen, 2015. "Variable importance analysis: A comprehensive review," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 399-432.
    14. Kucherenko, Sergei & Feil, Balazs & Shah, Nilay & Mauntz, Wolfgang, 2011. "The identification of model effective dimensions using global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 96(4), pages 440-449.
    15. Medeiros-Sousa, Antônio Ralph & Laporta, Gabriel Zorello & Mucci, Luis Filipe & Marrelli, Mauro Toledo, 2022. "Epizootic dynamics of yellow fever in forest fragments: An agent-based model to explore the influence of vector and host parameters," Ecological Modelling, Elsevier, vol. 466(C).
    16. Li, Chenzhao & Mahadevan, Sankaran, 2016. "An efficient modularized sample-based method to estimate the first-order Sobol׳ index," Reliability Engineering and System Safety, Elsevier, vol. 153(C), pages 110-121.
    17. Azzini, Ivano & Rosati, Rossana, 2021. "Sobol’ main effect index: an Innovative Algorithm (IA) using Dynamic Adaptive Variances," Reliability Engineering and System Safety, Elsevier, vol. 213(C).
    18. Alexanderian, Alen & Gremaud, Pierre A. & Smith, Ralph C., 2020. "Variance-based sensitivity analysis for time-dependent processes," Reliability Engineering and System Safety, Elsevier, vol. 196(C).
    19. Plischke, Elmar, 2010. "An effective algorithm for computing global sensitivity indices (EASI)," Reliability Engineering and System Safety, Elsevier, vol. 95(4), pages 354-360.
    20. Nikishova, Anna & Comi, Giovanni E. & Hoekstra, Alfons G., 2020. "Sensitivity analysis based dimension reduction of multiscale models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 170(C), pages 205-220.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:mcmeap:v:13:y:2008:i:5-6:p:455-465:n:6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.