Reliable error estimation for Sobol' indices

DOI10.1007/s11222-017-9759-1zbMath1385.49029OpenAlexW2516680087MaRDI QIDQ1704013

Laurent Gilquin, Lluís Antoni Jiménez Rugama

Publication date: 8 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01358067/file/Manuscript.pdf

zbMATH Keywords

error boundsequential methodquasi-Monte Carlo methodSobol' index

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Popov-type stability of feedback systems (93D10) Numerical methods for integral transforms (65R10) Sequential estimation (62L12) Sensitivity analysis for optimization problems on manifolds (49Q12)

Related Items (5)

Adaptive Quasi-Monte Carlo Methods for Cubature ⋮ Risk of estimators for Sobol' sensitivity indices based on metamodels ⋮ Computing Shapley Effects for Sensitivity Analysis ⋮ Nonparametric estimation of probabilistic sensitivity measures ⋮ Screening: from tornado diagrams to effective dimensions

Uses Software

• Algorithm 823
• sobol.cc

Cites Work

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• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Iterative construction of replicated designs based on Sobol' sequences
• Making best use of model evaluations to compute sensitivity indices
• Iterative estimation of Sobol' indices based on replicated designs
• Monte Carlo and quasi-Monte Carlo sampling
• Reliable Adaptive Cubature Using Digital Sequences
• Adaptive Multidimensional Integration Based on Rank-1 Lattices
• Multi-fidelity optimization via surrogate modelling
• Adaptive Quasi-Monte Carlo Methods for Cubature
• Better estimation of small sobol' sensitivity indices
• Implementation and tests of low-discrepancy sequences
• Asymptotic normality and efficiency of two Sobol index estimators
• A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices
• Comparison of some efficient methods to evaluate the main effect of computer model factors
• Algorithm 823
• On the distribution of points in a cube and the approximate evaluation of integrals
• A Class of Statistics with Asymptotically Normal Distribution

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