Variance-Based Global Sensitivity Analysis via Sparse-Grid Interpolation and Cubature
Gregery T. Buzzard 1, Dongbin Xiu 1*1 Department of Mathematics, Purdue University, West Lafayette, IN 47907, USA.
Received 23 September 2009; Accepted (in revised version) 16 March 2010
Available online 17 September 2010
The stochastic collocation method using sparse grids has become a popular choice for performing stochastic computations in high dimensional (random) parameter space. In addition to providing highly accurate stochastic solutions, the sparse grid collocation results naturally contain sensitivity information with respect to the input random parameters. In this paper, we use the sparse grid interpolation and cubature methods of Smolyak together with combinatorial analysis to give a computationally efficient method for computing the global sensitivity values of Sobol'. This method allows for approximation of all main effect and total effect values from evaluation of f on a single set of sparse grids. We discuss convergence of this method, apply it to several test cases and compare to existing methods. As a result which may be of independent interest, we recover an explicit formula for evaluating a Lagrange basis interpolating polynomial associated with the Chebyshev extrema. This allows one to manipulate the sparse grid collocation results in a highly efficient manner.AMS subject classifications: 41A10, 41A05, 41A63, 41A55
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Key words: Stochastic collocation, sparse grids, sensitivity analysis, Smolyak, Sobol'.
Email: firstname.lastname@example.org (G. T. Buzzard), email@example.com (D. Xiu)