Variance-based sensitivity indices of computer models with dependent inputs: The Fourier Amplitude Sensitivity Test

Abstract : Several methods are proposed in the literature to perform the global sensitivity analysis of computer models with independent inputs. Only a few allow for treating the case of dependent inputs. In the present work, we investigate how to compute variance-based sensitivity indices with the Fourier amplitude sensitivity test. This can be achieved with the help of the inverse Rosenblatt transformation or the inverse Nataf transformation. We illustrate so on two distinct benchmarks. As compared to the recent Monte Carlo based approaches recently proposed by the same authors in Mara et al. (2015), the new approaches allow to divide by two the computational effort to assess the entire set of first-order and total-order variance-based sensitivity indices.
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Stefano Tarantola, Thierry A. Mara. Variance-based sensitivity indices of computer models with dependent inputs: The Fourier Amplitude Sensitivity Test. International Journal for Uncertainty Quantification, Begell House Publishers, 2017, 7 (6), pp.511-523. ⟨10.1615/Int.J.UncertaintyQuantification.2017020291 ⟩. ⟨hal-01568006⟩

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