Sensitivity analysis approaches to high-dimensional screening problems at low sample size. Issue 11 (24th July 2018)

• Record Type: Journal Article
• Authors: Becker, W. E.; Tarantola, S.; Deman, G.
• Is Part Of: Journal of statistical computation and simulation. Volume 88:Issue 11(2018)
• Page Start: 2089
• Page End: 2110
• Publication Date: 2018-07-24
• Subjects: Sensitivity analysis -- screening -- Sobol' indices -- elementary effects -- Derivative-based global sensitivity measures -- G∗ function -- low-discrepancy sequences; F1.1 -- F4.3; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5028505
• DOI: 10.1080/00949655.2018.1450876
• Languages: English
• ISSNs: 0094-9655

Abstract

ABSTRACT: Sensitivity analysis is an essential tool in the development of robust models for engineering, physical sciences, economics and policy-making, but typically requires running the model a large number of times in order to estimate sensitivity measures. While statistical emulators allow sensitivity analysis even on complex models, they only perform well with a moderately low number of model inputs: in higher dimensional problems they tend to require a restrictively high number of model runs unless the model is relatively linear. Therefore, an open question is how to tackle sensitivity problems in higher dimensionalities, at very low sample sizes. This article examines the relative performance of four sampling-based measures which can be used in such high-dimensional nonlinear problems. The measures tested are the Sobol' total sensitivity indices, the absolute mean of elementary effects, a derivative-based global sensitivity measure, and a modified derivative-based measure. Performance is assessed in a 'screening' context, by assessing the ability of each measure to identify influential and non-influential inputs on a wide variety of test functions at different dimensionalities. The results show that the best-performing measure in the screening context is dependent on the model or function, but derivative-based measures have a significant potential at low sample sizes that is currently not widely recognised.