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Derivative-Based Global Sensitivity Measures

In: Handbook of Uncertainty Quantification

Author

Listed:
  • Sergey Kucherenko

    (Imperial College London, Department of Chemical Engineering)

  • Bertrand Iooss

    (EDF R&D, Industrial Risk Management Department
    Université Paul Sabatier, Institut de Mathématiques de Toulouse)

Abstract

The method of derivative-based global sensitivity measures (DGSM) has recently become popular among practitioners. It has a strong link with the Morris screening method and Sobol’ sensitivity indices and has several advantages over them. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is generally much lower than that for estimation of Sobol’ sensitivity indices. This paper presents a survey of recent advances in DGSM concerning lower and upper bounds on the values of Sobol’ total sensitivity indices S i tot . Using these bounds it is possible in most cases to get a good practical estimation of the values of S i tot . Several examples are used to illustrate an application of DGSM.

Suggested Citation

  • Sergey Kucherenko & Bertrand Iooss, 2017. "Derivative-Based Global Sensitivity Measures," Springer Books, in: Roger Ghanem & David Higdon & Houman Owhadi (ed.), Handbook of Uncertainty Quantification, chapter 36, pages 1241-1263, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-12385-1_36
    DOI: 10.1007/978-3-319-12385-1_36
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