Quantile based global sensitivity measures

2020

Symmetry

In structural reliability analysis, sensitivity analysis (SA) can be used to measure how an input variable influences the failure probability Pf of a structure. Although the reliability is usually expressed via Pf, Eurocode building design standards assess the reliability using design quantiles of resistance and load. The presented case study showed that quantile-oriented SA can provide the same sensitivity ranking as Pf-oriented SA or local SA based on Pf derivatives. The first two SAs are global, so the input variables are ranked based on total sensitivity indices subordinated to contrasts. The presented studies were performed for Pf ranging from 9.35 × 10−8 to 1–1.51 × 10−8. The use of quantile-oriented global SA can be significant in engineering tasks, especially for very small Pf. The proposed concept provided an opportunity to go much further. Left-right symmetry of contrast functions and sensitivity indices were observed. The article presents a new view of contrasts associated with quantiles as the distance between the average value of the population before and after the quantile. This distance has symmetric hyperbola asymptotes for small and large quantiles of any probability distribution. Following this idea, new quantile-oriented sensitivity indices based on measuring the distance between a quantile and the average value of the model output are formulated in this article.

Section: Discussionmentioning

confidence: 99%

From Probabilistic to Quantile-Oriented Sensitivity Analysis: New Indices of Design Quantiles

2020

Symmetry

“…The first order quantile contrast index has been studied and applied in Browne, Fort, Iooss, and Gratiet (2017) and Maume-Deschamps and Niang (2018). The measures proposed in Kucherenko, Song, and Wang (2019) make use of the mean distance between quantiles rather than the mean distance between average contrast functions as in the case of quantile-oriented sensitivity indices. The first and higher order quantile contrast indices have been compared with Sobol' global sensitivity analysis in an example using Ishigami Function in Kala (2018).…”

Section: Introductionmentioning

confidence: 99%

Quantile-Oriented Global Sensitivity Analysis of Design Resistance

Journal of Civil Engineering and Management

2019

The article investigates the application of a new type of global quantile-oriented sensitivity analysis (called QSA in the article) and contrasts it with established Sobol’ sensitivity analysis (SSA). Comparison of QSA of the resistance design value (0.1 percentile) with SSA is performed on an example of the analysis of the resistance of a steel IPN 200 beam, which is subjected to lateral-torsional buckling. The resistance is approximated using higher order polynomial metamodels created from advanced non-linear FE models. The main, higher order and total effects are calculated using the Latin Hypercube Sampling method. Noticeable differences between the two methods are found, with QSA apparently revealing higher sensitivity of the resistance design value to random input second and higher order interactions (compared to SSA). SSA cannot identify certain reliability aspects of structural design as comprehensively as QSA, particularly in relation to higher order interactions effects of input imperfections. In order to better understand the reasons for the differences between QSA and SSA, two simple examples are presented, where QSA (median) and SSA show a general agreement in the calculation of certain sensitivity indices.

“…Although other types of quantile-oriented sensitivity indices exist [98][99][100], they are not of a global type with the sum of all indices equal to one, so they were not used in this paper, because mutual comparison would be difficult.…”

Section: Discussionmentioning

confidence: 99%

Global Sensitivity Analysis of Quantiles: New Importance Measure Based on Superquantiles and Subquantiles

2021

Symmetry

The article introduces quantile deviation l as a new sensitivity measure based on the difference between superquantile and subquantile. New global sensitivity indices based on the square of l are presented. The proposed sensitivity indices are compared with quantile-oriented sensitivity indices subordinated to contrasts and classical Sobol sensitivity indices. The comparison is performed in a case study using a non-linear mathematical function, the output of which represents the elastic resistance of a slender steel member under compression. The steel member has random imperfections that reduce its load-carrying capacity. The member length is a deterministic parameter that significantly changes the sensitivity of the output resistance to the random effects of input imperfections. The comparison of the results of three types of global sensitivity analyses shows the rationality of the new quantile-oriented sensitivity indices, which have good properties similar to classical Sobol indices. Sensitivity indices subordinated to contrasts are the least comprehensible because they exhibit the strongest interaction effects between inputs. However, using total indices, all three types of sensitivity analyses lead to approximately the same conclusions. The similarity of the results of two quantile-oriented and Sobol sensitivity analysis confirms that Sobol sensitivity analysis is empathetic to the structural reliability and that the variance is one of the important characteristics significantly influencing the low quantile of resistance.