Global Sensitivity Analysis for Systems with Independent and/or Correlated Inputs

Abstract

A new unified global sensitivity analysis framework is introduced for systems whose input probability distribution can be independent and/or correlated. For correlated inputs, three sensitivity indices are defined to fully describe the total, structural (reflecting the system structure) and correlative (reflecting the correlated input probability distribution) contributions for an input or a subset of inputs. The magnitudes of all three indices need to be considered in order to quantitatively determine the relative importance of the inputs. For independent inputs, these indices reduce to a single index consistent with previous variance-based methods. This analysis is especially useful for the treatment of laboratory and field data.