An efficient method for estimating global sensitivity indices

Abstract

SummaryAn efficient method is proposed to estimate the first‐order global sensitivity indices based on failure probability and variance by using maximum entropy theory and Nataf transformation. The computational cost of this proposed method is quite small, and the proposed method can efficiently overcome the ‘dimensional curse’ due to dimensional reduction technique. Ideas for the estimation of higher‐order sensitivity indices are discussed. Copyright © 2016 John Wiley & Sons, Ltd.