Better estimation of small sobol' sensitivity indices
نویسندگان
چکیده
منابع مشابه
BETTER ESTIMATION OF SMALL SOBOL’ SENSITIVITY INDICES By Art
A new method for estimating Sobol’ indices is proposed. The new method makes use of 3 independent input vectors rather than the usual 2. It attains much greater accuracy on problems where the target Sobol’ index is small, even outperforming some oracles which adjust using the true but unknown mean of the function. When the target Sobol’ index is quite large, the oracles do better than the new m...
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Sensitivity analysis is a crucial tool in the development and evaluation of complex mathematical models. Sobol’s method is a variance-based global sensitivity analysis technique that has been applied to computational models to assess the relative importance of input parameters on the output. This paper introduces new notation that describes the Sobol indices in terms of the Pearson correlation ...
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Let f be a finite variance function of d independent input variables. Sobol’ indices are used to measure the importance of input variables and subsets of them. They are based on a variance decomposition. A similar problem arises in economics, when the value produced through the joint efforts of a team is to be attributed to individual members of that team. The Shapley value is widely used to so...
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ژورنال
عنوان ژورنال: ACM Transactions on Modeling and Computer Simulation
سال: 2013
ISSN: 1049-3301,1558-1195
DOI: 10.1145/2457459.2457460