hal-00525489, version 2
Global sensitivity analysis of stochastic computer models with joint metamodels
Amandine Marrel
1Bertrand Iooss
2, 3Sébastien Da Veiga
1, 2Mathieu Ribatet
4
(01/10/2010)
Abstract: The global sensitivity analysis method used to quantify the influence of uncertain input variables on the variability in numerical model responses has already been applied to deterministic computer codes; deterministic means here that the same set of input variables gives always the same output value. This paper proposes a global sensitivity analysis methodology for stochastic computer codes, for which the result of each code run is itself random. The framework of the joint modeling of the mean and dispersion of heteroscedastic data is used. To deal with the complexity of computer experiment outputs, nonparametric joint models are discussed and a new Gaussian process-based joint model is proposed. The relevance of these models is analyzed based upon two case studies. Results show that the joint modeling approach yields accurate sensitivity index estimatiors even when heteroscedasticity is strong.
- 1: IFP Energies Nouvelles (IFPEN)
- IFP Energies Nouvelles
- 2: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- 3: EDF & RD, Département Management des Risques Industriels
- EDF Recherche et Développement
- 4: Institut de Mathématiques et de Modélisation de Montpellier (I3M)
- CNRS : UMR5149 – Université Montpellier II - Sciences et Techniques du Languedoc
- Domain : Mathematics/Statistics
Statistics/Statistics Theory - Keywords : Computer experiment – Generalized additive model – Gaussian process – Joint modeling – Sobol indices – Uncertainty
- Available versions : v1 (2010-10-12) v2 (2011-05-23)
- hal-00525489, version 2
- http://hal.archives-ouvertes.fr/hal-00525489
- oai:hal.archives-ouvertes.fr:hal-00525489
- From: Bertrand Iooss
- Submitted on: Monday, 23 May 2011 16:45:45
- Updated on: Monday, 23 May 2011 16:53:32






Associated documents

Export