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Illustration of Sampling‐Based Methods for Uncertainty and Sensitivity Analysis
Author(s) -
Helton J. C.,
Davis F. J.
Publication year - 2002
Publication title -
risk analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.972
H-Index - 130
eISSN - 1539-6924
pISSN - 0272-4332
DOI - 10.1111/0272-4332.00041
Subject(s) - statistics , linear regression , rank (graph theory) , mathematics , latin hypercube sampling , partial correlation , monotonic function , sensitivity (control systems) , rank correlation , sampling (signal processing) , independence (probability theory) , correlation , computer science , monte carlo method , combinatorics , engineering , mathematical analysis , geometry , filter (signal processing) , electronic engineering , computer vision
A sequence of linear, monotonic, and nonmonotonic test problems is used to illustrate sampling‐based uncertainty and sensitivity analysis procedures. Uncertainty results obtained with replicated random and Latin hypercube samples are compared, with the Latin hypercube samples tending to produce more stable results than the random samples. Sensitivity results obtained with the following procedures and/or measures are illustrated and compared: correlation coefficients (CCs), rank correlation coefficients (RCCs), common means (CMNs), common locations (CLs), common medians (CMDs), statistical independence (SI), standardized regression coefficients (SRCs), partial correlation coefficients (PCCs), standardized rank regression coefficients (SRRCs), partial rank correlation coefficients (PRCCs), stepwise regression analysis with raw and rank‐transformed data, and examination of scatter plots. The effectiveness of a given procedure and/or measure depends on the characteristics of the individual test problems, with (1) linear measures (i.e., CCs, PCCs, SRCs) performing well on the linear test problems, (2) measures based on rank transforms (i.e., RCCs, PRCCs, SRRCs) performing well on the monotonic test problems, and (3) measures predicated on searches for nonrandom patterns (i.e., CMNs, CLs, CMDs, SI) performing well on the nonmonotonic test problems.