Sensitivity analysis using perturbed-law based indices for quantiles and application to an industrial case
Statistics Theory
2017-07-06 v1 Statistics Theory
Abstract
In this paper, we present perturbed law-based sensitivity indices and how to adapt them for quantile-oriented sensitivity analysis. We exhibit a simple way to compute these indices in practice using an importance sampling estimator for quantiles. Some useful asymptotic results about this estimator are also provided. Finally, we apply this method to the study of a numerical model which simulates the behaviour of a component in a hydraulic system in case of severe transient solicitations. The sensitivity analysis is used to assess the impact of epistemic uncertainties about some physical parameters on the output of the model.
Keywords
Cite
@article{arxiv.1707.01296,
title = {Sensitivity analysis using perturbed-law based indices for quantiles and application to an industrial case},
author = {Roman Sueur and Bertrand Iooss and Thibault Delage},
journal= {arXiv preprint arXiv:1707.01296},
year = {2017}
}