2012-05-01, English, Article, Report edition: Global sensitivity analysis of stochastic computer models with joint metamodels.(Report) Marrel, Amandine; Iooss, Bertrand; Veiga, Sebastien; ...

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Physical Description
  • Report
  • Magazine/​Journal article
Published
  • Springer, 2012 May
Language
  • English

Edition details

Title
  • Global sensitivity analysis of stochastic computer models with joint metamodels.(Report)
Also Titled
  • Global sensitivity analysis of stochastic computer models with joint metamodels.
Appears In
  • Statistics and Computing, v.22, no.3, 2012 May, p.833(15) (ISSN: 0960-3174)
Author
  • Marrel, Amandine
  • Iooss, Bertrand
  • Veiga, Sebastien
  • Ribatet, Mathieu
Published
  • Springer, 2012 May
Physical Description
  • Report
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • Byline: Amandine Marrel (1), Bertrand Iooss (2), Sebastien Veiga (1), Mathieu Ribatet (3) Keywords: Computer experiment; Generalized additive model; Gaussian process; Joint modeling; Sobol indices; Uncertainty Abstract: The global sensitivity analysis method used to quantify the influence of uncertain input variables on the variability in numerical model responses has already been applied to deterministic computer codes deterministic means here that the same set of input variables always gives the same output value. This paper proposes a global sensitivity analysis methodology for stochastic computer codes, for which the result of each code run is itself random. The framework of the joint modeling of the mean and dispersion of heteroscedastic data is used. To deal with the complexity of computer experiment outputs, nonparametric joint models are discussed and a new Gaussian process-based joint model is proposed. The relevance of these models is analyzed based upon two case studies. Results show that the joint modeling approach yields accurate sensitivity index estimators even when heteroscedasticity is strong. Author Affiliation: (1) IFP Energies Nouvelles, 1 &​ 4 avenue de Bois Preau, 92852, Rueil-Malmaison, France (2) EDF, R&​D, 6 Quai Watier, 78401, Chatou, France (3) Universite Montpellier II, Place Bataillon, 34095, Montpellier, France Article History: Registration Date: 18/​07/​2011 Received Date: 06/​10/​2010 Accepted Date: 18/​07/​2011 Online Date: 06/​11/​2011
Terms of Use
  • COPYRIGHT 2012 Springer
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 284752522

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