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International Journal for Uncertainty Quantification
インパクトファクター: 3.259 5年インパクトファクター: 2.547 SJR: 0.417 SNIP: 0.8 CiteScore™: 1.52

ISSN 印刷: 2152-5080
ISSN オンライン: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2020031610
pages 25-33

SENSITIVITY ANALYSIS FOR STOCHASTIC SIMULATORS USING DIFFERENTIAL ENTROPY

Soumaya Azzi
LTCI, Télécom ParisTech, Chair C2M, 46 Rue Barrault, 75013 Paris, France
Bruno Sudret
Chair of Risk, Safety and Uncertainty Quantification, ETH Zurich, Stefano-Franscini-Platz 5, 8093 Zurich, Switzerland
Joe Wiart
LTCI, Télécom ParisTech, Chair C2M, 46 Rue Barrault, 75013 Paris, France

要約

This paper is dedicated to the sensitivity analysis of stochastic simulators. Stochastic simulators inherently contain some sources of randomness; in this case the output of the simulator in a given point is a random variable. In this paper, the stochastic simulator is represented as a stochastic process and the sensitivity analysis is performed on the differential entropy of the stochastic process. The method's performance is illustrated on a toy example, then on an electromagnetic dosimetry example.

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