ScholarLens Back to search
2010•Procedia - Social and Behavioral SciencesOpen access

Derivative based global sensitivity measures

I. M. Sobol, Sergei Kucherenko

Open full text 65 citations

Abstract

We introduce new global sensitivity measures called derivative based global sensitivity measures (DGSM). We also show that there is a link between DGSM and Sobol’ total sensitivity indices which makes this approach theoretically sound and general. It can be seen as the generalization of the Morris method. The computational time required for numerical evaluation of DGSM can be much lower than that for estimation of the Sobol’ sensitivity indices although it is problem dependent. The efficiency of the method can be further improved by using the automatic differentiation algorithm for calculation DGSM.

Open-access reader

About this research paper

What this paper is about

We introduce new global sensitivity measures called derivative based global sensitivity measures (DGSM). We also show that there is a link between DGSM and Sobol’ total sensitivity indices which makes this approach theoretically sound and general. It can be seen as the generalization of the Morris method. The computational time required for numerical evaluation of DGSM can be much lower than that for estimation of the Sobol’ sensitivity indices although it is problem dependent. The efficiency of the method can be further improved by using the automatic differentiation algorithm for calculation DGSM.

Why it matters

OpenAlex reports 65 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

We introduce new global sensitivity measures called derivative based global sensitivity measures (DGSM). We also show that there is a link between DGSM and Sobol’ total sensitivity indices which makes this approach theoretically sound and general. It can be seen as the generalization of the Morris method. The computational time required for numerical evaluation of DGSM can be much lower than that for estimation of the Sobol’ sensitivity indices although it is problem dependent. The efficiency of the method can be further improved by using the automatic differentiation algorithm for calculation DGSM.

Key concepts: Sobol sequence, Sensitivity (control systems), Generalization, Derivative (finance), Automatic differentiation, Mathematical optimization, Computer science, Mathematics

Related papers

Related paper 1Related paper 2
Back to paper searchBrowse research topicsOriginal source
Derivative based global sensitivity measures — Research Paper | ScholarLens