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Monte Carlo estimators of first-and total-orders Sobol' indices

Abstract : This study compares the performances of two sampling-based strategies for the simultaneous estimation of the first-and total-orders variance-based sensitivity indices (a.k.a Sobol' indices). The first strategy was introduced by [8] and is the current approach employed by practitioners. The second one was only recently introduced by the authors of the present article. They both rely on different estimators of first-and total-orders Sobol' indices. The asymp-totic normal variances of the two sets of estimators are established and their accuracies are compared theoretically and numerically. The results show that the new strategy outperforms the current one. Keywords: global sensitivity analysis, variance-based sensitivity indices, first-order Sobol' index, total-order Sobol' index, Monte Carlo estimate, asymptotic normality
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Contributor : Thierry Mara <>
Submitted on : Friday, June 12, 2020 - 12:11:33 PM
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  • HAL Id : hal-02866171, version 1
  • ARXIV : 2006.08232



Ivano Azzini, Thierry A. Mara, Rossana Rosati. Monte Carlo estimators of first-and total-orders Sobol' indices. 2020. ⟨hal-02866171⟩



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