Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
805906 | Reliability Engineering & System Safety | 2009 | 12 Pages |
Abstract
In this paper, the computation of Sobol's sensitivity indices from the polynomial chaos expansion of a model output involving uncertain inputs is investigated. It is shown that when the model output is smooth with regards to the inputs, a spectral convergence of the computed sensitivity indices is achieved. However, even for smooth outputs the method is limited to a moderate number of inputs, say 10–20, as it becomes computationally too demanding to reach the convergence domain. Alternative methods (such as sampling strategies) are then more attractive. The method is also challenged when the output is non-smooth even when the number of inputs is limited.
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Authors
Thierry Crestaux, Olivier Le Maıˆtre, Jean-Marc Martinez,