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2013 On spectral methods for variance based sensitivity analysis
Alen Alexanderian
Probab. Surveys 10: 51-68 (2013). DOI: 10.1214/13-PS219

Abstract

Consider a mathematical model with a finite number of random parameters. Variance based sensitivity analysis provides a framework to characterize the contribution of the individual parameters to the total variance of the model response. We consider the spectral methods for variance based sensitivity analysis which utilize representations of square integrable random variables in a generalized polynomial chaos basis. Taking a measure theoretic point of view, we provide a rigorous and at the same time intuitive perspective on the spectral methods for variance based sensitivity analysis. Moreover, we discuss approximation errors incurred by fixing inessential random parameters, when approximating functions with generalized polynomial chaos expansions.

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Alen Alexanderian. "On spectral methods for variance based sensitivity analysis." Probab. Surveys 10 51 - 68, 2013. https://doi.org/10.1214/13-PS219

Information

Published: 2013
First available in Project Euclid: 22 November 2013

zbMATH: 1279.62194
MathSciNet: MR3161675
Digital Object Identifier: 10.1214/13-PS219

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society

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