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Comparison of two sets of Monte Carlo estimators of Sobol’ indices
Environmental Modelling & Software ( IF 4.8 ) Pub Date : 2021-08-26 , DOI: 10.1016/j.envsoft.2021.105167
Ivano Azzini 1 , Thierry A. Mara 1 , Rossana Rosati 1
Affiliation  

This study compares the performances of two sampling-based strategies for the simultaneous estimation of the first- and total-order variance-based sensitivity indices (a.k.a. Sobol’ indices). The first strategy corresponds to the current approach employed by practitioners and recommended in the literature. The second one was only recently introduced by the first and last authors of the present article. Both strategies rely on different estimators of first- and total-order Sobol’ indices. The asymptotic normal variances of the two sets of estimators are established and their accuracies are compared theoretically and numerically. The results show that the new strategy outperforms the current one. The global sensitivity analysis of the radiative forcing model of sulfur aerosols is performed with the new strategy. The results confirm that in this model interactions are important and only one input variable is irrelevant.



中文翻译:

Sobol 指数的两组蒙特卡罗估计量的比较

本研究比较了两种基于抽样的策略在同时估计一阶和全阶基于方差的敏感性指数(又名 Sobol 指数)时的性能。第一种策略对应于从业者目前采用的方法,并在文献中推荐。第二个是最近才由本文的第一作者和最后一位作者介绍的。这两种策略都依赖于一阶和全阶 Sobol 指数的不同估计量。建立了两组估计量的渐近正态方差,并在理论上和数值上比较了它们的精度。结果表明,新策略优于当前策略。采用新策略对硫气溶胶辐射强迫模型进行全局敏感性分析。

更新日期:2021-08-26
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