A general first-order global sensitivity analysis method

• Published in: Reliability engineering & system safety 2008-07, Vol.93 (7), p.1060-1071
• Main Authors: Xu, Chonggang, Gertner, George Zdzislaw
• Format: Article
• Language: English
• Subjects: Applied sciences; Correlated parameters; Exact sciences and technology; Fourier Amplitude Sensitivity Test; Operational research and scientific management; Operational research. Management science; Random balance design; Reliability theory. Replacement problems; Sensitivity analysis; Uncertainty analysis
• ISSN: 0951-8320; 1879-0836
• DOI: 10.1016/j.ress.2007.04.001

Fourier amplitude sensitivity test (FAST) is one of the most popular global sensitivity analysis techniques. The main mechanism of FAST is to assign each parameter with a characteristic frequency through a search function. Then, for a specific parameter, the variance contribution can be singled out of the model output by the characteristic frequency. Although FAST has been widely applied, there are two limitations: (1) the aliasing effect among parameters by using integer characteristic frequencies and (2) the suitability for only models with independent parameters. In this paper, we synthesize the improvement to overcome the aliasing effect limitation [Tarantola S, Gatelli D, Mara TA. Random balance designs for the estimation of first order global sensitivity indices. Reliab Eng Syst Safety 2006; 91(6):717–27] and the improvement to overcome the independence limitation [Xu C, Gertner G. Extending a global sensitivity analysis technique to models with correlated parameters. Comput Stat Data Anal 2007, accepted for publication]. In this way, FAST can be a general first-order global sensitivity analysis method for linear/nonlinear models with as many correlated/uncorrelated parameters as the user specifies. We apply the general FAST to four test cases with correlated parameters. The results show that the sensitivity indices derived by the general FAST are in good agreement with the sensitivity indices derived by the correlation ratio method, which is a non-parametric method for models with correlated parameters.