Moment Independent Importance Measures: New Results and Analytical Test Cases

Emanuele Borgonovo published in Risk Analysis

Emanuele Borgonovo (Department of Decision Sciences and ELEUSI) published Moment Independent Importance Measures: New Results and Analytical Test Cases in Risk Analysis, Volume 31, Issue 3, March 2011, pages 404-428 doi: 10.1111/j.1539-6924.2010.01519.x, with William Castaings (Université de Toulouse) and Stefano Tarantola (Joint Research Centre of the European Commission).

Abstract: Moment independent methods for the sensitivity analysis of model output are attracting growing attention among both academics and practitioners. However, the lack of benchmarks against which to compare numerical strategies forces one to rely onad hocexperiments in estimating the sensitivity measures. This article introduces a methodology that allows one to obtain moment independent sensitivity measures analytically. We illustrate the procedure by implementing four test cases with different model structures and model input distributions. Numerical experiments are performed at increasing sample size to check convergence of the sensitivity estimates to the analytical values.