2016/08/07 by Sergei Kucherenko, Kucherenko, Sergei, Shufang Song +1
Decision Sciences · Engineering · #Applications (stat.AP) #B.2.3 #FOS: Computer and information sciences #FOS: Mathematics #Fatigue and fracture mechanics #G.1.0 #G.3 #Numerical Analysis (math.NA) #Probabilistic and Robust Engineering Design #Structural Response to Dynamic Loads
paper · pdf · doi:10.48550/arxiv.1608.02221
openalex publication_date 2016/08/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
New global sensitivity measures based on quantiles of the output are introduced. Such measures can be used for global sensitivity analysis of problems in which quantiles are explicitly the functions of interest and for identification of variables which are the most important in achieving extreme values of the model output. It is proven that there is a link between introduced measures and Sobol main effect sensitivity indices. Two different Monte Carlo estimators are considered. It is shown that the double loop reordering approach is much more efficient than the brute force estimator. Several test cases and practical case studies related to structural safety are used to illustrate the developed method. Results of numerical calculations show the efficiency of the presented technique.