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Construction of bootstrap confidence intervals on sensitivity indices computed by polynomial chaos expansion

Dubreuil, Sylvain and Berveiller, Marc and Petitjean, Frank and Salaün, Michel Construction of bootstrap confidence intervals on sensitivity indices computed by polynomial chaos expansion. (2014) Reliability Engineering & System Safety, vol. 121. pp. 263-275. ISSN 0951-8320

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Official URL: http://dx.doi.org/10.1016/j.ress.2013.09.011

Abstract

Sensitivity analysis aims at quantifying influence of input parameters dispersion on the output dispersion of a numerical model. When the model evaluation is time consuming, the computation of Sobol' indices based on Monte Carlo method is not applicable and a surrogate model has to be used. Among all approximation methods, polynomial chaos expansion is one of the most efficient to calculate variance-based sensitivity indices. Indeed, their computation is analytically derived from the expansion coefficients but without error estimators of the meta-model approximation. In order to evaluate the reliability of these indices, we propose to build confidence intervals by bootstrap re-sampling on the experimental design used to estimate the polynomial chaos approximation. Since the evaluation of the sensitivity indices is obtained with confidence intervals, it is possible to find a design of experiments allowing the computation of sensitivity indices with a given accuracy.

Item Type:Article
Additional Information:Thanks to Elsevier editor. The definitive version is available at http://www.sciencedirect.com The original PDF of the article can be found at Reliability Engineering & System Safety website: http://www.sciencedirect.com/science/journal/09518320/121/supp/C
HAL Id:hal-00933583
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:Other partners > EDF (FRANCE)
Université de Toulouse > Ecole nationale supérieure des Mines d'Albi-Carmaux (FRANCE)
Université de Toulouse > Institut National des Sciences Appliquées de Toulouse - INSA (FRANCE)
Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UPS (FRANCE)
Other partners > Institut Catholique des Arts et Métiers - ICAM (FRANCE)
Laboratory name:
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Deposited By: Michel Salaun
Deposited On:20 Jan 2014 16:00

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