Self-validated variance-based methods for sensitivity analysis of model outputs

Global sensitivity analysis (GSA) has the advantage over local sensitivity analysis in that GSA does not require strong model assumptions such as linearity or monotonicity. As a result, GSA methods such as those based on variance decomposition are well-suited to multi-physics models, which are often plagued by large nonlinearities. However, as with many other sampling-based methods, inadequate sample size can badly pollute the result accuracies. A natural remedy is to adaptively increase the sample size until sufficient accuracy is obtained. This paper proposes an iterative methodology comprising mechanisms for guiding sample size selection and self-assessing result accuracy. The elegant features in the proposed methodology are the adaptive refinement strategies for stratified designs. We first apply this iterative methodology to the design of a self-validated first-order sensitivity analysis algorithm. We also extend this methodology to propose a self-validated second-order sensitivity analysis algorithm based on refining replicated orthogonal array designs. Several numerical experiments are given to demonstrate the effectiveness of these methods. (C) 2009 Elsevier Ltd. All rights reserved.