{"title":"用于全局灵敏度分析的全阶估计量的综合比较","authors":"A. Puy, W. Becker, S. L. Piano, Andrea Saltelli","doi":"10.1615/Int.J.UncertaintyQuantification.2021038133","DOIUrl":null,"url":null,"abstract":"Sensitivity analysis helps identify which model inputs convey the most uncertainty to the model output. One of the most authoritative measures in global sensitivity analysis is the Sobol' total-order index, which can be computed with several different estimators. Although previous comparisons exist, it is hard to know which estimator performs best since the results are contingent on the benchmark setting defined by the analyst (the sampling method, the distribution of the model inputs, the number of model runs, the test function or model and its dimensionality, the weight of higher order effects or the performance measure selected). Here we compare several total-order estimators in an eight-dimension hypercube where these benchmark parameters are treated as random parameters. This arrangement significantly relaxes the dependency of the results on the benchmark design. We observe that the most accurate estimators are Razavi and Gupta's, Jansen's or Janon/Monod's for factor prioritization, and Jansen's, Janon/Monod's or Azzini and Rosati's for approaching the\"true\"total-order indices. The rest lag considerably behind. Our work helps analysts navigate the myriad of total-order formulae by reducing the uncertainty in the selection of the most appropriate estimator.","PeriodicalId":48814,"journal":{"name":"International Journal for Uncertainty Quantification","volume":" ","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2020-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"19","resultStr":"{\"title\":\"A comprehensive comparison of total-order estimators for global sensitivity analysis\",\"authors\":\"A. Puy, W. Becker, S. L. Piano, Andrea Saltelli\",\"doi\":\"10.1615/Int.J.UncertaintyQuantification.2021038133\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Sensitivity analysis helps identify which model inputs convey the most uncertainty to the model output. One of the most authoritative measures in global sensitivity analysis is the Sobol' total-order index, which can be computed with several different estimators. Although previous comparisons exist, it is hard to know which estimator performs best since the results are contingent on the benchmark setting defined by the analyst (the sampling method, the distribution of the model inputs, the number of model runs, the test function or model and its dimensionality, the weight of higher order effects or the performance measure selected). Here we compare several total-order estimators in an eight-dimension hypercube where these benchmark parameters are treated as random parameters. This arrangement significantly relaxes the dependency of the results on the benchmark design. We observe that the most accurate estimators are Razavi and Gupta's, Jansen's or Janon/Monod's for factor prioritization, and Jansen's, Janon/Monod's or Azzini and Rosati's for approaching the\\\"true\\\"total-order indices. The rest lag considerably behind. Our work helps analysts navigate the myriad of total-order formulae by reducing the uncertainty in the selection of the most appropriate estimator.\",\"PeriodicalId\":48814,\"journal\":{\"name\":\"International Journal for Uncertainty Quantification\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2020-09-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"19\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal for Uncertainty Quantification\",\"FirstCategoryId\":\"5\",\"ListUrlMain\":\"https://doi.org/10.1615/Int.J.UncertaintyQuantification.2021038133\",\"RegionNum\":4,\"RegionCategory\":\"工程技术\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ENGINEERING, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal for Uncertainty Quantification","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1615/Int.J.UncertaintyQuantification.2021038133","RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ENGINEERING, MULTIDISCIPLINARY","Score":null,"Total":0}
A comprehensive comparison of total-order estimators for global sensitivity analysis
Sensitivity analysis helps identify which model inputs convey the most uncertainty to the model output. One of the most authoritative measures in global sensitivity analysis is the Sobol' total-order index, which can be computed with several different estimators. Although previous comparisons exist, it is hard to know which estimator performs best since the results are contingent on the benchmark setting defined by the analyst (the sampling method, the distribution of the model inputs, the number of model runs, the test function or model and its dimensionality, the weight of higher order effects or the performance measure selected). Here we compare several total-order estimators in an eight-dimension hypercube where these benchmark parameters are treated as random parameters. This arrangement significantly relaxes the dependency of the results on the benchmark design. We observe that the most accurate estimators are Razavi and Gupta's, Jansen's or Janon/Monod's for factor prioritization, and Jansen's, Janon/Monod's or Azzini and Rosati's for approaching the"true"total-order indices. The rest lag considerably behind. Our work helps analysts navigate the myriad of total-order formulae by reducing the uncertainty in the selection of the most appropriate estimator.
期刊介绍:
The International Journal for Uncertainty Quantification disseminates information of permanent interest in the areas of analysis, modeling, design and control of complex systems in the presence of uncertainty. The journal seeks to emphasize methods that cross stochastic analysis, statistical modeling and scientific computing. Systems of interest are governed by differential equations possibly with multiscale features. Topics of particular interest include representation of uncertainty, propagation of uncertainty across scales, resolving the curse of dimensionality, long-time integration for stochastic PDEs, data-driven approaches for constructing stochastic models, validation, verification and uncertainty quantification for predictive computational science, and visualization of uncertainty in high-dimensional spaces. Bayesian computation and machine learning techniques are also of interest for example in the context of stochastic multiscale systems, for model selection/classification, and decision making. Reports addressing the dynamic coupling of modern experiments and modeling approaches towards predictive science are particularly encouraged. Applications of uncertainty quantification in all areas of physical and biological sciences are appropriate.