Volume 23, 2019
|Page(s)||387 - 408|
|Published online||28 June 2019|
On the consistency of Sobol indices with respect to stochastic ordering of model parameters
Institut de Recherche en Mathématique Avancée, Université de Strasbourg, France.
2 Université Paris Sud (Paris Saclay), Laboratoire de Mathématiques d’Orsay, CNRS UMR 8628, France.
3 Université de Lyon, Université Lyon 1, Institut Camille Jordan ICJ UMR 5208 CNRS, France.
4 Université de Lyon, Université Lyon 1, Laboratoire SAF EA 2429, France.
* Corresponding author: firstname.lastname@example.org
Accepted: 3 January 2018
In the past decade, Sobol’s variance decomposition has been used as a tool to assess how the output of a model is affected by the uncertainty on its input parameters. We show some links between global sensitivity analysis and stochastic ordering theory. More specifically, we study the influence of inputs’ distributions on Sobol indices in relation with stochastic orders. This gives an argument in favor of using Sobol’s indices in uncertainty quantification, as one indicator among others.
Mathematics Subject Classification: 62P99
Key words: Sensitivity analysis / Sobol indices / stochastic orders
© The authors. Published by EDP Sciences, SMAI 2019
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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