Global Sensitivity Analysis The Primer.pdf

发布时间：2022-06-09 发布人：admin 分类：说明书资料大小：6.79M 资料格式：pdf 举报版权申诉

xdsongy-3629454-4744302542882337421.pdf-第1页.png

第1页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第2页.png

第2页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第3页.png

第3页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第4页.png

第4页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第5页.png

第5页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第6页.png

第6页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第7页.png

第7页 / 共305页

xdsongy-3629454-4744302542882337421.pdf-第8页.png

第8页 / 共305页

Contents

Preface

Chap 1 Introduction to Sensitivity Analysis

1.1 Models and sensitivity analysis

1.1.1 Definiition

1.1.2 Models

1.1.3 Models and uncertainty

1.1.4 How to set up uncertainty and sentivity analyses

1.1.5 Implications for model quality

1.2 Methods and settings for sensitivity analysis - An introduction

1.2.1 Local versus global

1.2.2 A test model

1.2.3 Scatterplots versus derivatives

1.2.4 Sigma-normalized derivatives

1.2.5 Monte Carlo and Linear Regression

1.2.6 Conditional Variances – First Path

1.2.7 Conditional Variances – Second Path

1.2.8 Application to Model (1.3)

1.2.9 A First Setting: ‘Factor Prioritization’

1.2.10 Nonadditive Models

1.2.11 Higher-order Sensitivity Indices

1.2.12 Total Effects

1.2.13 A Second Setting: ‘Factor Fixing’

1.2.14 Rationale for Sensitivity Analysis

1.2.15 Treating Sets

1.2.16 Further Methods

1.2.17 Elementary Effect Test

1.2.18 Monte Carlo Filtering

1.3 NONINDEPENDENT INPUT FACTORS

1.4 POSSIBLE PITFALLS FOR A SENSITIVITY ANALYSIS

1.5 CONCLUDING REMARKS

Chap 2 Experimental Designs

2.1 INTRODUCTION

2.2 DEPENDENCY ON A SINGLE PARAMETER

2.3 SENSITIVITY ANALYSIS OF A SINGLE PARAMETER

2.3.1 Random Values

2.3.2 Stratified Sampling

2.3.3 Mean and Variance Estimates for Stratified Sampling

2.4 SENSITIVITY ANALYSIS OF MULTIPLE PARAMETERS

2.4.1 Linear Models

2.4.2 One-at-a-time (OAT) Sampling

2.4.3 Limits on the Number of Influential Parameters

2.4.4 Fractional Factorial Sampling

2.4.5 Latin Hypercube Sampling

2.4.6 Multivariate Stratified Sampling

2.4.7 Quasi-random Sampling with Low-discrepancy Sequences

2.5 GROUP SAMPLING

Chap 3 Elementary Effects Method

3.1 INTRODUCTION

3.2 THE ELEMENTARY EFFECTS METHOD

3.3 THE SAMPLING STRATEGY AND ITS OPTIMIZATION

3.4 THE COMPUTATION OF THE SENSITIVITY MEASURES

3.5 WORKING WITH GROUPS

3.6 THE EE METHOD STEP BY STEP

3.7 CONCLUSIONS

Chap 4 Variance-based Methods

4.1 DIFFERENT TESTS FOR DIFFERENT SETTINGS

4.2 WHY VARIANCE?

4.3 VARIANCE-BASED METHODS. A BRIEF HISTORY

4.4 INTERACTION EFFECTS

4.5 TOTAL EFFECTS

4.6 HOW TO COMPUTE THE SENSITIVITY INDICES

4.7 FAST AND RANDOM BALANCE DESIGNS

4.8 PUTTING THE METHOD TO WORK: THE INFECTION DYNAMICS MODEL

4.9 CAVEATS

Chap 5 Factor Mapping and Metamodelling

5.1 INTRODUCTION

5.2 MONTE CARLO FILTERING (MCF)

5.2.1 Implementation of Monte Carlo Filtering

5.2.2 Pros and Cons

5.2.3 Exercises

5.2.4 Solutions

5.2.5 Examples

5.2.5.1 Stability analysis of a controlled chemical reactor

5.2.5.2 Stability analysis of a small macroeconomic model

5.2.5.3 Mapping propagation of the infection in the simple infection dynamics model

5.3 METAMODELLING AND THE HIGH-DIMENSIONAL MODEL REPRESENTATION

5.3.1 Estimating HDMRs and Metamodels

5.3.1.1 Smoothing scatterplots using the Haar wavelet

5.3.1.2 Spline smoothing

5.3.1.3 State-dependent regressions

5.3.1.4 Estimating sensitivity indices

5.3.2 A Simple Example

5.3.2.1 Haar wavelet smoothing

5.3.2.2 Spline smoothing (HP-filter)

5.3.2.3 SDR estimation

5.3.3 Another Simple Example

5.3.4 Exercises

5.3.5 Solutions to Exercises

5.4 CONCLUSIONS

Global Sensitivity Analysis. The Primer

This page intentionally left blank

Global Sensitivity Analysis. The Primer Andrea Saltelli, Marco Ratto, Joint Research Centre of the European Commission, Ispra, Italy Terry Andres Department of Computer Science, University of Manitoba, Canada Francesca Campolongo, Jessica Cariboni, Debora Gatelli, Michaela Saisana and Stefano Tarantola Joint Research Centre of the European Commission, Ispra, Italy

Copyright © 2008 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England +44 1243 779777 Telephone Email (for orders and customer service enquiries): cs-books@wiley.co.uk Visit our Home Page on www.wiley.com All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK, without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England, or emailed to permreq@wiley.co.uk, or faxed to (+44) 1243 770620. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required, the services of a competent professional should be sought. Other Wiley Editorial Offices John Wiley & Sons Inc., 111 River Street, Hoboken, NJ 07030, USA Jossey-Bass, 989 Market Street, San Francisco, CA 94103-1741, USA Wiley-VCH Verlag GmbH, Boschstr. 12, D-69469 Weinheim, Germany John Wiley & Sons Australia Ltd, 42 McDougall Street, Milton, Queensland 4064, Australia John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop #02-01, Jin Xing Distripark, Singapore 129809 John Wiley & Sons Canada Ltd, 6045 Freemont Blvd, Mississauga, ONT, L5R 4J3 Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books. Library of Congress Cataloging-in-Publication Data Global sensitivity analysis. The Primer / Andrea Saltelli [et al.]. p. cm. Includes bibliographical references and index. ISBN 978-0-470-05997-5 (cloth : acid-free paper) 1. Sensitivity theory (Mathematics) 2. Global analysis (Mathematics) 3. Mathematical models. QA402.3.G557 2008 003—dc22 I. Saltelli, A. (Andrea), 1953– 2007045551 British Library Cataloguing in Publication Data A catalogue record for this book is available from the British Library ISBN 978-0-470-05997-5 Typeset in 10/12 Times by Integra Software Services Pvt. Ltd, Pondicherry, India Printed and bound in Great Britain by TJ International, Padstow Cornwall This book is printed on acid-free paper responsibly manufactured from sustainable forestry in which at least two trees are planted for each one used for paper production.

This book is dedicated to the Russian mathematician Ilya M. Sobol’

This page intentionally left blank

Contents Preface 1 Introduction to Sensitivity Analysis 1.1 Models and Sensitivity Analysis 1.1.1 Definition 1.1.2 Models 1.1.3 Models and Uncertainty 1.1.4 How to Set Up Uncertainty and Sensitivity 1.1.5 Analyses Implications for Model Quality 1.2 Methods and Settings for Sensitivity Analysis – an Conditional Variances – First Path Conditional Variances – Second Path Application to Model (1.3) A First Setting: ‘Factor Prioritization’ Local versus Global A Test Model Scatterplots versus Derivatives Sigma-normalized Derivatives Introduction 1.2.1 1.2.2 1.2.3 1.2.4 1.2.5 Monte Carlo and Linear Regression 1.2.6 1.2.7 1.2.8 1.2.9 1.2.10 Nonadditive Models 1.2.11 Higher-order Sensitivity Indices 1.2.12 Total Effects 1.2.13 A Second Setting: ‘Factor Fixing’ 1.2.14 Rationale for Sensitivity Analysis 1.2.15 Treating Sets 1.2.16 Further Methods 1.2.17 Elementary Effect Test 1.2.18 Monte Carlo Filtering 1.3 Nonindependent Input Factors 1.4 Possible Pitfalls for a Sensitivity Analysis 1.5 Concluding Remarks xi 1 1 1 2 3 5 9 10 11 12 13 15 16 20 21 22 24 25 29 31 33 34 36 37 38 39 41 41 42

分享到：

赞收藏

资料库

Global Sensitivity Analysis The Primer.pdf

相关推荐

课程资源

热门标签

最新资料