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Moment-independent sensitivity analysis using copula.

Published on Feb 1, 2014in Risk Analysis2.56
· DOI :10.1111/risa.12110
Pengfei Wei9
Estimated H-index: 9
(NPU: Northwestern Polytechnical University),
Zhenzhou Lu18
Estimated H-index: 18
(NPU: Northwestern Polytechnical University),
Jingwen Song6
Estimated H-index: 6
(NPU: Northwestern Polytechnical University)
Abstract
In risk assessment, the moment-independent sensitivity analysis (SA) technique for reducing the model uncertainty has attracted a great deal of attention from analysts and practitioners. It aims at measuring the relative importance of an individual input, or a set of inputs, in determining the uncertainty of model output by looking at the entire distribution range of model output. In this article, along the lines of Plischke et al., we point out that the original moment-independent SA index (also called delta index) can also be interpreted as the dependence measure between model output and input variables, and introduce another moment-independent SA index (called extended delta index) based on copula. Then, nonparametric methods for estimating the delta and extended delta indices are proposed. Both methods need only a set of samples to compute all the indices; thus, they conquer the problem of the “curse of dimensionality.” At last, an analytical test example, a risk assessment model, and the levelE model are employed for comparing the delta and the extended delta indices and testing the two calculation methods. Results show that the delta and the extended delta indices produce the same importance ranking in these three test examples. It is also shown that these two proposed calculation methods dramatically reduce the computational burden.
  • References (47)
  • Citations (11)
References47
Newest
#1Pengfei Wei (NPU: Northwestern Polytechnical University)H-Index: 9
#2Zhenzhou Lu (NPU: Northwestern Polytechnical University)H-Index: 18
Last.Changcong Zhou (NPU: Northwestern Polytechnical University)H-Index: 2
view all 4 authors...
#1Elmar Plischke (TUC: Clausthal University of Technology)H-Index: 9
#2Emanuele Borgonovo (Bocconi University)H-Index: 23
Last.Curtis L. Smith (INL: Idaho National Laboratory)H-Index: 8
view all 3 authors...
#1Pengfei Wei (NPU: Northwestern Polytechnical University)H-Index: 9
#2Zhenzhou Lu (NPU: Northwestern Polytechnical University)H-Index: 18
Last.Xiukai Yuan (NPU: Northwestern Polytechnical University)H-Index: 1
view all 3 authors...
#1V. Gregory Weirs (SNL: Sandia National Laboratories)H-Index: 4
#2James R. Kamm (SNL: Sandia National Laboratories)H-Index: 10
Last.Michael S. Eldred (SNL: Sandia National Laboratories)H-Index: 24
view all 8 authors...
#1Ivan Dimov (BAS: Bulgarian Academy of Sciences)H-Index: 19
#2Rayna Georgieva (BAS: Bulgarian Academy of Sciences)H-Index: 8
Last.Tzvetan Ostromsky (BAS: Bulgarian Academy of Sciences)H-Index: 7
view all 3 authors...
#1Pengfei Wei (NPU: Northwestern Polytechnical University)H-Index: 9
#2Zhenzhou Lu (NPU: Northwestern Polytechnical University)H-Index: 18
Last.Bintuan Wang (Aviation Industry Corporation of China)H-Index: 4
view all 5 authors...
#1Emmanuelle Borgonovo (Bocconi University)H-Index: 3
#2William Castaings (University of Toulouse)H-Index: 4
Last.Stefano Tarantola (Institute for the Protection and Security of the Citizen)H-Index: 41
view all 3 authors...
Cited By11
Newest
#1Jingwen Song (NPU: Northwestern Polytechnical University)H-Index: 6
#2Pengfei Wei (NPU: Northwestern Polytechnical University)H-Index: 9
Last.Zuxiang Lei (ECJTU: East China Jiaotong University)
view all 7 authors...
#1Luyi Li (NPU: Northwestern Polytechnical University)H-Index: 7
#2Yushan Liu (NPU: Northwestern Polytechnical University)
Last.Zhenzhou Lu (NPU: Northwestern Polytechnical University)H-Index: 18
view all 3 authors...
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