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Sensitivity analysis using perturbed-law based indices for quantiles and application to an industrial case

Abstract : In this paper, we present perturbed law-based sensitivity indices and how to adapt them for quantile-oriented sensitivity analysis. We exhibit a simple way to compute these indices in practice using an importance sampling estimator for quantiles. Some useful asymptotic results about this estimator are also provided. Finally, we apply this method to the study of a numerical model which simulates the behaviour of a component in a hydraulic system in case of severe transient solicitations. The sensitivity analysis is used to assess the impact of epistemic uncertainties about some physical parameters on the output of the model.
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https://hal.inria.fr/hal-01552361
Contributor : Bertrand Iooss <>
Submitted on : Sunday, July 2, 2017 - 3:17:12 PM
Last modification on : Saturday, April 4, 2020 - 12:50:52 PM
Document(s) archivé(s) le : Thursday, December 14, 2017 - 6:04:03 PM

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  • HAL Id : hal-01552361, version 1
  • ARXIV : 1707.01296

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Roman Sueur, Bertrand Iooss, Thibault Delage. Sensitivity analysis using perturbed-law based indices for quantiles and application to an industrial case. 10th International Conference on Mathematical Methods in Reliability (MMR 2017), Jul 2017, Grenoble, France. ⟨hal-01552361⟩

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