Robustness of the Sobol' indices to marginal distribution uncertainty (1812.07042v1)

Abstract: Global sensitivity analysis (GSA) quantifies the influence of uncertain variables in a mathematical model. The Sobol' indices, a commonly used tool in GSA, seek to do this by attributing to each variable its relative contribution to the variance of the model output. In order to compute Sobol' indices, the user must specify a probability distribution for the uncertain variables. This distribution is typically unknown and must be chosen using limited data and/or knowledge. The usefulness of the Sobol' indices depends on their robustness to this distributional uncertainty. This article presents a novel method which uses "optimal perturbations" of the marginal probability density functions to analyze the robustness of the Sobol' indices. The method is illustrated through synthetic examples and a model for contaminant transport.