variance_based_decomp
Activates global sensitivity analysis based on decomposition of response variance into contributions from variables
Specification
Alias: None
Arguments: None
Default: no variance-based decomposition
Child Keywords:
Required/Optional |
Description of Group |
Dakota Keyword |
Dakota Keyword Description |
---|---|---|---|
Optional |
Suppresses output of sensitivity indices with values lower than this tolerance |
Description
Dakota can calculate sensitivity indices through variance based
decomposition using the keyword variance_based_decomp
. These
indicate how important the uncertainty in each input variable is in
contributing to the output variance.
Default Behavior
Because of the computational cost, variance_based_decomp
is turned
off as a default.
If the user specified a number of samples, N, and a number of nondeterministic variables, M, variance-based decomposition requires the evaluation of N*(M+2) samples. Note that specifying this keyword will increase the number of function evaluations above the number requested with the ``samples`` keyword since replicated sets of sample values are evaluated.
Expected Outputs
When variance_based_decomp
is specified, sensitivity indices for
main effects and total effects will be reported. Main effects
(roughly) represent the percent contribution of each individual
variable to the variance in the model response. Total effects
represent the percent contribution of each individual variable in
combination with all other variables to the variance in the model
response
Usage Tips
To obtain sensitivity indices that are reasonably accurate, we recommend that N, the number of samples, be at least one hundred and preferably several hundred or thousands.
Examples
method,
sampling
sample_type lhs
samples = 100
variance_based_decomp
Theory
In this context, we take sensitivity analysis to be global, not local as when calculating derivatives of output variables with respect to input variables. Our definition is similar to that of [STCR04] : “The study of how uncertainty in the output of a model can be apportioned to different sources of uncertainty in the model input.”
Variance based decomposition is a way of using sets of samples to understand how the variance of the output behaves, with respect to each input variable. A larger value of the sensitivity index, \(S_i\) , means that the uncertainty in the input variable i has a larger effect on the variance of the output. More details on the calculations and interpretation of the sensitivity indices can be found in [STCR04] and [WKS+12].