Controlled Morris method: A new factor screening approach empowered by a distribution-free sequential multiple testing procedure

Abstract

The Morris method (MM) is a well known model-free factor screening approach that is considered particularly effective when the number of factors is large or when the computer model is computationally expensive to run. In this paper, we propose the controlled Morris method (CMM) for simulation-based factor screening, which integrates a distribution-free sequential multiple testing procedure with MM to control the Type I and Type II familywise error rates at the prescribed levels while achieving a high computational efficiency. Numerical experiments are provided to demonstrate the efficacy and efficiency of CMM.