Robustness of the Sobol' indices to distributional uncertainty (1803.11249v3)

Abstract: Global sensitivity analysis (GSA) is used to quantify the influence of uncertain variables in a mathematical model. Prior to performing GSA, the user must specify (or implicitly assume), a probability distribution to model the uncertainty, and possibly statistical dependencies, of the variables. Determining this distribution is challenging in practice as the user has limited and imprecise knowledge of the uncertain variables. This article analyzes the robustness of the Sobol' indices, a commonly used tool in GSA, to changes in the distribution of the uncertain variables. A method for assessing such robustness is developed which requires minimal user specification and no additional evaluations of the model. Theoretical and computational aspects of the method are considered and illustrated through examples.