Open mbaudin47 opened 4 years ago
There are interesting benchmark problems in the following references:
"sensobol: an R package to compute variance-based sensitivity indices", Arnald Puy, Samuele Lo Piano, Andrea Saltelli, Simon A. Levin. https://arxiv.org/abs/2101.10103
Here is a benchmark problem from Saltelli:
x1 in (0.0, 1.0)
x2 in (0.0, 1.0)
y1 = x1 + 0.5 * x2
y2 = x1 + 0.5 * x2 + x1 * x2
y1, x1: SI1 = 4/5, STI1 = 4/5
y1, x2: SI2 = 1/5, STI2 = 1/5
y2, x1: SI1 = (9 / 4) * (12 / 42) ~= 0.643,
STI1 = (7.0 / 36.0) / (40.0 / 144.0) = 0.7
y2, x2: SI2 = 12 / 42 ~= 0.286,
STI2 = (13.0 / 144.0) / (40.0 / 144.0) ~= 0.325
Chan, Karen, Andrea Saltelli, and Stefano Tarantola. "Sensitivity analysis of model output: variance-based methods make the difference." Proceedings of the 29th conference on Winter simulation. 1997. There are 11 benchmark problems from p.34 to p.44.
Borgonovo, Emanuele. "Sensitivity analysis." An Introduction for the Management Scientist. International Series in Operations Research and Management Science. Cham, Switzerland: Springer (2017). There is the following example p.18 and p.157:
y = x1 * x2 + x3
x1, x2, x3 ~ U(0,1)
V = 7/36
V1 = 1/12
V2 = 0
V3 = 1/12