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国际不确定性的量化期刊
影响因子: 3.259 5年影响因子: 2.547 SJR: 0.417 SNIP: 0.8 CiteScore™: 1.52

ISSN 打印: 2152-5080
ISSN 在线: 2152-5099

Open Access

国际不确定性的量化期刊

DOI: 10.1615/Int.J.UncertaintyQuantification.2019030553
pages 453-469

ROBUSTNESS OF THE SOBOL' INDICES TO DISTRIBUTIONAL UNCERTAINTY

Joseph Hart
Department of Mathematics, North Carolina State University, Raleigh, NC
Pierre A. Gremaud
Department of Mathematics, North Carolina State University, Raleigh, North Carolina 27695-8205

ABSTRACT

Global sensitivity analysis (GSA) is used to quantify the influence of uncertain variables in a mathematical model. Prior to performing GSA, the user must specify (or implicitly assume) a probability distribution to model the uncertainty, and possibly statistical dependencies, of the variables. Determining this distribution is challenging in practice as the user has limited and imprecise knowledge of the uncertain variables. This paper analyzes the robustness of the Sobol' indices, a commonly used tool in GSA, to changes in the distribution of the uncertain variables. A method for assessing such robustness is developed that requires minimal user specification and no additional evaluations of the model. Theoretical and computational aspects of the method are considered and illustrated through examples.

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