Estimating Sobol sensitivity indices using correlations

Authors:
Graham Glen;Kristin Isaacs
Affiliations:
Alion Science and Technology Inc., 1000 Park Forty Plaza Suite 200, Durham, NC 27713, USA;U.S. Environmental Protection Agency, National Exposure Research Laboratory, Office of Research and Development, Mail Drop E205-02, 109 T.W. Alexander Dr., Research Triangle Park, NC 27709, USA
Venue:
Environmental Modelling & Software
Year:
2012

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Abstract

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 of outputs from pairs of runs, and introduces correction terms to remove some of the spurious correlation. A variety of estimation techniques are compared for accuracy and precision using the G function as a test case.