Moment Independent Importance Measures: New Results and Analytical Test Cases - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Risk Analysis Année : 2011

Moment Independent Importance Measures: New Results and Analytical Test Cases

Résumé

Moment independent methods for the sensitivity analysis of model output are attracting growing attention among both academics and practitioners. However, the lack of benchmarks against which to compare numerical strategies forces one to rely on ad hoc experiments in estimating the sensitivity measures. This article introduces a methodology that allows one to obtain moment independent sensitivity measures analytically. We illustrate the procedure by implementing four test cases with different model structures and model input distributions. Numerical experiments are performed at increasing sample size to check convergence of the sensitivity estimates to the analytical values.

Dates et versions

halsde-00683555 , version 1 (29-03-2012)

Identifiants

Citer

Emmanuelle Borgonovo, William Castaings, Stephano Tarantola. Moment Independent Importance Measures: New Results and Analytical Test Cases. Risk Analysis, 2011, 31 (3), p.404-428. ⟨10.1111/j.1539-6924.2010.01519.x⟩. ⟨halsde-00683555⟩
139 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More