Survey of sampling-based methods for uncertainty and sensitivity analysis

J. C. Helton, J. D. Johnson, C. J. Sallaberry, C. B. Storlie

Research output: Contribution to journalArticlepeer-review

824 Scopus citations

Abstract

Sampling-based methods for uncertainty and sensitivity analysis are reviewed. The following topics are considered: (i) definition of probability distributions to characterize epistemic uncertainty in analysis inputs, (ii) generation of samples from uncertain analysis inputs, (iii) propagation of sampled inputs through an analysis, (iv) presentation of uncertainty analysis results, and (v) determination of sensitivity analysis results. Special attention is given to the determination of sensitivity analysis results, with brief descriptions and illustrations given for the following procedures/techniques: examination of scatterplots, correlation analysis, regression analysis, partial correlation analysis, rank transformations, statistical tests for patterns based on gridding, entropy tests for patterns based on gridding, nonparametric regression analysis, squared rank differences/rank correlation coefficient test, two-dimensional Kolmogorov-Smirnov test, tests for patterns based on distance measures, top down coefficient of concordance, and variance decomposition.

Original languageEnglish (US)
Pages (from-to)1175-1209
Number of pages35
JournalReliability Engineering and System Safety
Volume91
Issue number10-11
DOIs
StatePublished - Oct 2006

Keywords

  • Aleatory uncertainty
  • Epistemic uncertainty
  • Latin hypercube sampling
  • Monte Carlo
  • Sensitivity analysis
  • Uncertainty analysis

ASJC Scopus subject areas

  • Safety, Risk, Reliability and Quality
  • Industrial and Manufacturing Engineering

Fingerprint Dive into the research topics of 'Survey of sampling-based methods for uncertainty and sensitivity analysis'. Together they form a unique fingerprint.

Cite this