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Generalized Sobol sensitivity indices for dependent variables: numerical methods
Dependent variables Extended basis Greedy algorithm LARS Sensitivity analysis Sobol decomposition
2013/4/28
The hierarchically orthogonal functional decomposition of any measurable function f of a random vector X=(X_1,...,X_p) consists in decomposing f(X) into a sum of increasing dimension functions dependi...
We define and study a generalization of Sobol sensitivity indices for the case of a vector output.
Global sensitivity analysis of a numerical code, more specifically estimation of Sobol indices associated with input variables, generally requires a large number of model runs.
Confidence intervals for sensitivity indices using reduced-basis metamodels
sensitivity analysis reduced basis method Sobol indices bootstrap method Monte Carlo method
2011/3/24
Global sensitivity analysis is often impracticable for complex and time demanding numerical models, as it requires a large number of runs. The reduced-basis approach provides a way to replace the orig...