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Ilya M. Sobol', Boris V. Shukhman

On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors

Keywords: Monte Carlo method, quasi-Monte Carlo method, sensitivity analysis, global sensitivity index

Global sensitivity indices for sensitivity analysis of model output are usually estimated by Monte Carlo or quasi-Monte Carlo methods. In this paper, the bias in sensitivity indices produced by random errors in model evaluation is studied.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 13, 04/2007
Pages: 89 - 97

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