Monte Carlo estimators for small sensitivity indices

I. M. Sobol'; E. E. Myshetskaya

doi:10.1515/mcma.2007.023

Published by De Gruyter February 13, 2008

Monte Carlo estimators for small sensitivity indices

I. M. Sobol' and E. E. Myshetskaya

From the journal Monte Carlo Methods and Applications

https://doi.org/10.1515/mcma.2007.023

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Abstract

The standard Monte Carlo algorithm for estimating global sensitivity indices may be spoilt by loss of accuracy if the index is very small. Two approaches were proposed for eliminating the loss of accuracy: reduction of the mean value and correlated sampling. In the present paper both approaches are investigated and a third combined approach is suggested.

Keywords: Sensitivity analysis; global sensitivity index; Monte Carlo method; variance estimates

Received: 2007-05-02

Revised: 2007-07-15

Published Online: 2008-02-13

Published in Print: 2008-01

Monte Carlo estimators for small sensitivity indices

Abstract

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