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Derivative-Based Global Sensitivity Measures

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Handbook of Uncertainty Quantification

Abstract

The method of derivative-based global sensitivity measures (DGSM) has recently become popular among practitioners. It has a strong link with the Morris screening method and Sobol’ sensitivity indices and has several advantages over them. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is generally much lower than that for estimation of Sobol’ sensitivity indices. This paper presents a survey of recent advances in DGSM concerning lower and upper bounds on the values of Sobol’ total sensitivity indices S i tot. Using these bounds it is possible in most cases to get a good practical estimation of the values of S i tot. Several examples are used to illustrate an application of DGSM.

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Author information

Authors and Affiliations

  1. Department of Chemical Engineering, Imperial College London, South Kensington Campus, SW7 2AZ, London, UK

    Sergey Kucherenko

  2. Industrial Risk Management Department, EDF R&D, 6 quai Watier, 78401, Chatou, France

    Bertrand Iooss

  3. Institut de Mathématiques de Toulouse, Université Paul Sabatier, 118 route de Narbonne, 31062, Toulouse, France

    Bertrand Iooss

Authors
  1. Sergey Kucherenko
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  2. Bertrand Iooss
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Correspondence to Sergey Kucherenko .

Editor information

Editors and Affiliations

  1. Viterbi School of Engineering, University of Southern California, Los Angeles, California, USA

    Roger Ghanem

  2. Los Alamos National Laboratory, Los Alamos, New Mexico, USA

    David Higdon

  3. California Institute of Technology , Pasadena, California, USA

    Houman Owhadi

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Kucherenko, S., Iooss, B. (2015). Derivative-Based Global Sensitivity Measures. In: Ghanem, R., Higdon, D., Owhadi, H. (eds) Handbook of Uncertainty Quantification. Springer, Cham. https://doi.org/10.1007/978-3-319-11259-6_36-1

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  • DOI: https://doi.org/10.1007/978-3-319-11259-6_36-1

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  • Publisher Name: Springer, Cham

  • Online ISBN: 978-3-319-11259-6

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