Global sensitivity analysis for systems with independent and/or correlated inputs.

The objective of a global sensitivity analysis is to rank the importance of the system inputs considering their uncertainty and the influence they have upon the uncertainty of the system output, typically over a large region of input space. This paper introduces a new unified framework of global sensitivity analysis for systems whose input probability distributions are independent and/or correlated. The new treatment is based on covariance decomposition of the unconditional variance of the output. The treatment can be applied to mathematical models, as well as to measured laboratory and field data. When the input probability distribution is correlated, three sensitivity indices give a full description, respectively, of the total, structural (reflecting the system structure) and correlative (reflecting the correlated input probability distribution) contributions for an input or a subset of inputs. The magnitudes of all three indices need to be considered in order to quantitatively determine the relative importance of the inputs acting either independently or collectively. For independent inputs, these indices reduce to a single index consistent with previous variance-based methods. The estimation of the sensitivity indices is based on a meta-modeling approach, specifically on the random sampling-high dimensional model representation (RS-HDMR). This approach is especially useful for the treatment of laboratory and field data where the input sampling is often uncontrolled.

Random sampling-high dimensional model representation (RS-HDMR) and orthogonality of its different order component functions.

High dimensional model representation is under active development as a set of quantitative model assessment and analysis tools for capturing high-dimensional input-output system behavior based on a hierarchy of functions of increasing dimensions. The HDMR component functions are optimally constructed from zeroth order to higher orders step-by-step. This paper extends the definitions of HDMR component functions to systems whose input variables may not be independent. The orthogonality of the higher order terms with respect to the lower order ones guarantees the best improvement in accuracy for the higher order approximations. Therefore, the HDMR component functions are constructed to be mutually orthogonal. The RS-HDMR component functions are efficiently constructed from randomly sampled input-output data. The previous introduction of polynomial approximations for the component functions violates the strictly desirable orthogonality properties. In this paper, new orthonormal polynomial approximation formulas for the RS-HDMR component functions are presented that preserve the orthogonality property. An integrated exposure and dose model as well as ionospheric electron density determined from measured ionosonde data are used as test cases, which show that the new method has better accuracy than the prior one.

Multicut-HDMR with an application to an ionospheric model.

A new High Dimensional Model Representation (HDMR) tool, Multicut-HDMR, is introduced and applied to an ionospheric electron density model. HDMR is a general set of quantitative model assessment and analysis tools for improving the efficiency of deducing high-dimensional input-output system behavior. HDMR describes an output [f(x)] in terms of its input variables (x = [x(1), x(2), em leader, x(n)]) via a series of finite, hierarchical, correlated function expansions. Various forms of HDMR are constructed for different purposes such as modeling laboratory or field data, or reproducing a complicated mathematical model. The Cut-HDMR technique, which expresses f(x) with respect to a specified reference point x in the input space, is appropriate when the input space is sampled in an orderly fashion. However, if the desired domain of the input space is too large, the HDMR function expansion may not converge, and Cut-HDMR will be unable to accurately approximate f(x). The new Multicut-HDMR technique addresses this problem through the use of multiple reference points in the input space.