Sensitivity
Sobol' Sensitivity Indices: Variance-based global sensitivity decomposition
Sobol', I.M. · 1993
Strengths
- •Rigorous variance decomposition
- •Quantifies interactions (ST_i − S_i)
- •Model-free
Limitations
- •N(k+2) evaluations required: expensive for large k
- •Requires specification of input distributions
Method assistant
Grounded explanations: it explains the method, it does not compute.
Assumptions to verify
- •Input factors are independent
- •Distributions are specified for all factors
When not to use
- •k > 20 without prior Morris screening
- •Budget < N(k+2) evaluations
How to cite
Sobol', I.M. (1993). Sensitivity estimates for nonlinear mathematical models. Mathematical Modelling and Computational Experiment.