Estimating Local Sensitivity Indices for Deterministic Computer Simulator Output with Rectangular and Non-Rectangular Input Regions

• Activity Number: 533
• Type: Contributed
• Date/Time: Wednesday, August 7, 2013 : 10:30 AM to 12:20 AM
• Sponsor: Section on Physical and Engineering Sciences
• Author(s): Thomas Santner*+ and Angela M. Dean and Fangfang Sun
• Companies: Ohio State University and University of Southampton and The Ohio State University
• Keywords: Computer experiments ; Local sensitivity indices ; Elementary Effects

Abstract

Purpose: To provide a method of evaluating sensitivity of computer simulator output to inputs in non-rectangular input regions. Abstract This talk describes a method of sensitivity analysis for deterministic computer simulators. These experimental tools are constructed from first-principle physics-, biology-, or other subject matter mathematical models. We introduce an extension of the "One-at-a-Time Designs" introduced by Morris (1991) to estimating "elementary effects" which are local sensitivity measures used to determine the "influential" of the individual inputs to a simulator output. An input to the simulator is influential if changes in its setting result in large variations in the simulator output. The proposed design uses variable-length gradients and a space-filling set of starting points. It provides a method of measuring sensitivity for simulators having non-rectangular input regions, as well as those having rectangular input regions. It is shown by examples that the method works well in both settings.