Bias correction for the estimation of sensitivity indices based on random balance designsReport as inadecuate




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1 GdR MASCOT-NUM - Méthodes d-Analyse Stochastique des Codes et Traitements Numériques 2 MOISE - Modelling, Observations, Identification for Environmental Sciences Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble

Abstract : In this paper, we present a general way to correct a positive bias which occurs in all the estimators in random balance design method RBD and in its hybrid version, RBD-FAST. Both these techniques derive from Fourier amplitude sensitivity test FAST and, as a consequence, are faced with most of its inherent issues. And up to now, one of these, the well-known problem of interferences, has always been ignored in RBD. After presenting in which way interferences lead to a positive bias in the estimator of first-order sensitivity indices in RBD, we explain how to overcome this issue. We then extend the bias correction method to the estimation of sensitivity indices of any order in RBD-FAST. We also give an economical strategy to estimate all the first-order and second-order sensitivity indices using RBD-FAST.

Keywords : Bias correction RBD-FAST Random balance design Sensitivity indices Global sensitivity analysis





Author: Jean-Yves Tissot - Clémentine Prieur -

Source: https://hal.archives-ouvertes.fr/



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