design, analysis and modelling of computer experiments · scenario : loss of primary coolant ... as...
TRANSCRIPT
16/11/2011
Design, analysis and modelling of
computer experiments
Bertrand Iooss
EDF R&D
Cours ECP
2011
ECP - Iooss - 17/11/11 2
Risk quantification areas for EDF
And many uncertainties for the safety due to: • Hazards: demand, hydraulicity, weather patterns, …
• Incomplete knowledge of the systems: ageing, material properties, physics, …
• Internal aggressions: abnormal operating conditions, systems failure, …
• External aggressions: flood, earthquake, storm, …
The assets: • 58 nuclear power plants • 14 thermal power plants • 440 hydro plants & 220 dams • Solar energy and wind power
Goal: • maximize the expect cash flow • minimize the risk Under constraints: customer load, pollution
ECP - Iooss - 17/11/11 3
• Large database of component failures
CLASSICAL STATISTICS
Des avis d’experts
STATISTIQUE BAYESIENNE
Small database of system failures
Expert Judgment
BAYESIAN STATISTICS
• Pas de REX de défaillances
• Un modèle physique
• • No observed failure
• • Physical model
SIMULATION UNCERTAINTY SIMULATION UNCERTAINTY
Research group: component reliability - uncertainty modeling
ECP - Iooss - 17/11/11 4
Uncertainties everywhere in the modeling chain !
Main problem: credibility of predictions
Numerical
model
Input
data
Variables
of interest Algorithm
Physical
model
Physical
phenomenon
Simplifications
Numerical
approximation
Parameters
physicist
Computer scientist
mathematician
statistician
Numerical noise
Model uncertainties
Stochastic uncertainties
Numerical uncertainties
Epsitemic uncertainties
Observations
ECP - Iooss - 17/11/11 5
Example: Simulation of thermal-hydraulic accident
Scenario : Loss of primary coolant accident due to a large break in cold leg
[ De Crecy et al., NED, 2008 ]
Interest output variable Y :
Peak of cladding temperature
p ~ 10-50 input random variables X:
geometry, material properties, environmental conditions, …
Goal: safety criterion
Computer code Y =f (X)
Time cost ~ 1-10 h - n ~ 100 - 500
Pressurized water nuclear reactor
Source: CEA
ECP - Iooss - 17/11/11 6
Similar safety and uncertainty issues in CS&E and Nature
sciences
Climate Modeling :
Prediction
Car and
plane:
Conception
Nuclear industry :
Conception,
Maintenance, risks
Oil, gas, CO2:
Production optimization
CS&E : Computational Science & Engineering
Astrophysics:
Understanding
ECP - Iooss - 17/11/11 7
• Modeling phase:
– Improve the model
– Explore the best as possible different input combinations – Identify the predominant inputs and phenomena in order to priorize R&D
• Validation phase:
– Reduce prediction uncertainties
– Calibrate the model parameters
• Practical use of a model:
– Safety studies: assess a risk of failure (rare events)
– Conception studies: optimize system performances and robustness
Main stakes of uncertainty management
ECP - Iooss - 17/11/11 8
Uncertainties in simulation experiments 2211 xaxaY
2211 xaxaY
Ancient way
X1
X2
1x
2x
Still learned in Schools
2
2
2
2
2
1
2
1 aaY
Pre-modern way
x's identified to R.V. … but same algebra
Still used in metrology (GUM)
Really Modern way
x's fully treated as R.V.
Can give moments, quantiles, and even pdf of Y … …if fair waiting time
X1
X2
DoE
X2
X1
Sampling
ECP - Iooss - 17/11/11 10
Which criteria?
The uncertain inputs are modeled thanks to a random vector X, composed
of p univariate random variables (X1, X2, …, Xp) linked by a dependence
structure => is a random variable
• Different quantities of interest on Z
– These different objectives are embodied by different criteria upon the
output variable of interest.
• These criteria can focus on:
– its range : we only want to evaluate its min and maximum possible
values. For example, in the prior stage of the design of a new concept.
– its central dispersion : we want to evaluate its expected values and its
dispersion around it. For example, in the design stage of a product.
– its probability of exceeding a threshold : usually, the threshold is
extreme. For example, in the certification stage of a product.
• Formally, the quantity of interest is a particular feature of the pdf of the
variable of interest Z
ECP - Iooss - 17/11/11 11
Why these questions are so important?
• The proper identification of:
– the uncertain input parameters and the nature of their
uncertainty sources,
– the output variable of interest and the goals of a given
uncertainty assessment,
• is the key step in the uncertainty study, as it guides the choice of the
most relevant mathematical methods to be applied
What is really relevant in the uncertainty study?
m
Mean, median, variance,
(moments) of Z
Pf
threshold
(Extreme) quantiles, probability
of exceeding a given threshold
ECP - Iooss - 17/11/11 12
A particular quantity of interest: the “probability of failure”
• G models a system (or a part of it) in operating conditions – Variable of interest Z a given state variable of the system (e.g. a temperature, a
deformation, a water level etc.)
• Following an « operator » point of view – The system is in safe operating condition if Z is above (or below) a given “safety” threshold
• System “failure” event: – Classical formulation (no loss of generality) in which the threshold is 0 and the system fails
when Z is negative
– Structural Reliability Analysis (SRA) “vision”: Failure if C-L < 0 (Capacity – Load)
• Failure domain:
• Problem: estimating the mean of the random
variable “failure indicator”:
ECP - Iooss - 17/11/11 13
Outline
1.Design of numerical experiments – Space filling designs
2. Analysis of numerical experiments
3. Modelling of numerical experiments
4. Application
ECP - Iooss - 17/11/11 14
Typical engineering practice : One-At-a-Time (OAT) design
Main remarks :
OAT brings some information, but potentially wrong
Exploration is poor : Non monotonicity ? Discontinuity ? Interaction ?
X1
X2
P1
P2 P3
ECP - Iooss - 17/11/11 15
Model exploration – Example: Flood model
Inputs
Q = river flowrate [500,3000]
Ks = friction coefficient [15,50]
Zv = downstream river bed heigth [49,51]
Zm = upstream river bed heigth (=55 m)
Hd = dyke heigth [7,9]
Cb = bank heigth [55,56]
L = river length (=5000m)
B = river width (=300m)
Simplified physical model (hydraulics)
dyke
S = overflowing heigth
Cp = annual cost of dyke maintenance
ECP - Iooss - 17/11/11 16
Typical engineering practice : One-At-a-Time (OAT) design
Q [500,3000] ; Ks [15,50] ; Zv [49,51] ; Hd [7,9] ; Cb [55,56]
Computation with maximal inputs : S = -10.77 ; Cp = 0.71
Computation with minimal inputs : S = -10.99 ; Cp = 0.65
Adding some physical knowledge about the simulated phenomenon
Computation giving maximal output (Ks,Hd,Cb down; Q,Zv up): S = -4.34 ; Cp = 1.35
Computation giving minimal output (Ks,Hd,Cb up; Q,Zv down): S = -15.02 ; Cp = 0.67
(Ks,Cb up; Q,Zv,Hd down): Cp = 0.63 (not the global minimum)
With a single input variation from max Q Ks Zv Hd Cb
S -8.73 -7.77 -7.10 -6.34 -5.34
Cp 0.73 0.79 0.86 1.02 1.17
Conclusions : OAT brings some information, but potentially wrong
Exploration is poor : Non monotonicity ? Discontinuity ? Interaction ?
ECP - Iooss - 17/11/11 17
Illustration of the curse of dimensionality
7 points in a 3D space
p=2 p=3
Surf. circle / Surf. square ~ 3/4
Vol. sphere / Vol. cube ~ 1/2
p=10 Ratio ~ 0.0025 0 5 10 15 20
-15
-10
-50
k
log
(ra
tio(k
))
Bad space covering
p
log(ratio)
hypercube volume >> (included and tangent) hypersphere volume For large dimensions, all the points will be in the corner of the hypercube :
pp
pr
2
1
12
)5.0( sphere vol.2/
ECP - Iooss - 17/11/11 18
Model exploration goal
GOAL : explore as best as possible the behaviour of the code
Put some points in the whole input space in order to « maximize » the amount of information on the model output
Contrary to an uncertainty propagation step, it depends on p
Regular mesh with n levels N =n p simulations
To minimize N, needs to have some techniques ensuring good « coverage » of the input space
Simple random sampling (Monte Carlo) does not ensure this
Monte Carlo Optimized design
Ex: p = 2 N = 10
Ex: p =2, n =3
N =9
p = 10, n=3
N = 59049
ECP - Iooss - 17/11/11 19
Objectives
When the objectives is to discover what happens inside the model and when no model computations have been realized, we want to respect the two following constraints:
• To spread the points over the input space in order to capture non linearities of the model output,
• To ensure that this input space coverage is robust with respect to dimension reduction.
Therefore, we look some design which insures the « best coverage » of the input space
• How to define this « best » ?
• How to choose the right number of points ?
• How to measure the representativity ?
ECP - Iooss - 17/11/11 20
The design of numerical experiments: 1) Space filling
Sparsity of the space of the input variables in high dimension The learning design choice is made in order to have an optimal coverage
of the input domain The space filling designs are good candidates. Example: Sobol sequence Two possible criteria:
1. Distance criteria between the points: minimax, maximin, … 2. Uniformity criteria of the design (discrepancy measures)
Simple Random Sample(SRS)
Space Filling Design (SFD)
ECP - Iooss - 17/11/11 21
Distance criteria between the points
• Minimax design DMI : Minimize the maximal distance between the points
All points in [0,1]p are not too far from a design point
=> One of the best design
but too expensive to find DMI
• Maximin design DMA : Maximize the minimal distance between the points
),(min),( re whe
),(max),(maxmin
)0(
)0(xxdDxd
DxdDxd
Dx
MIxxD
[ Johnson et al., 1990 ] [ From: Owen, 1996 ]
),(min),(minmax )2()1(
,
)2()1(
, )2()1()2()1(xxdxxd
MADxxDxxD
ECP - Iooss - 17/11/11 22
Space filling measure of a design: the discrepancy
Measure of the maximal deviation between the distribution of the sample’s points to an uniform distribution
Measure of deviation from the uniformity Geometrical interpretation: Comparison between the volume of intervals and the number points within these intervals
Lower the discrepancy is, the more the points of
the design D fill the all space
p
i
i
tQ
tQ
p
p
tN
ND
ttttQtQ
p1
)(
[1,0[)(
21
sup)(disc
[,0[[,0[[,0[)(,[1,0[)(
ECP - Iooss - 17/11/11 23
Discrepancy computation in practice
• Modified L2-discrepancy (intervals with minimal boundary 0)
• Centered L2-discrepancy (intervals with boundary one vertex of the unit cube)
• Symetric L2-discrepancy (intervals with boundary one « even » vertex of the unit cube)
Different definitions, depending on the chosen norm & considered intervals
Classical choice (easy computations): L2 – discrepancy
N
ji
p
k
j
k
i
k
j
k
i
k
N
i
p
k
i
k
i
k
p
xxxxN
xxN
D
1, 1
)()()()(
2
1 1
2
)()(
2
2
1
2
1
2
1
2
1
2
11
1
2
1
2
1
2
1
2
11
2
12
13)(disc
ECP - Iooss - 17/11/11 24
Relation with the integration problem
NO
N
NIII
x
xfN
I
dxxfI
NN
p
Ni
i
N
i
i
N
p
1)(VarVar;
[1,0[in points random of sequence a with
)(1
: Carlo Monte
)(
MCMC
...1
)(
1
)(MC
[1,0[
General property: With a low discrepancy sequence D (quasi Monte Carlo sequence) : Well-known choice: Sobol’ sequence
N
NO
pln
)(disc)( DfV
ECP - Iooss - 17/11/11 25
Sobol’sequence vs. Random sample vs. regular grid
[ From: Kucherenko, 2010 ]
ECP - Iooss - 17/11/11 26
The design of numerical experiments: 2) LHS
A lot of models are additive. If not, first order effects often dominate
Property of uniform projections on the margins
It can be obtained via a Latin Hypercube Sample
Divide each dimension in N intervals
Take one point in each stratum
Example : p =2, N =10, X1 ~ U[0,1], X2 ~ N(0,1)
Example : p =2, N =4
ECP - Iooss - 17/11/11 27
Algorithm of LHS – Stein method
Sample with N points of p inputs
ran = matrix(runif(N*p),nrow=N,ncol=p)
# tirage de N x p valeurs selon loi U[0,1]
for (i in 1:p)
{
idx = sample(1:N) # vecteur de permutations des entiers {1,2,…,N}
P = (idx-ran[,i]) / N # vecteur de probabilites
x[,i] <- quantile_selon_la_loi (P)
}
ECP - Iooss - 17/11/11 28
Optimization of LHS
Joining the two properties (space filling and LHS) One possibility: generate a large number (for ex: 1000) of different LHS Then, choose the LHS which optimizes the criterion Maximin LHS Low wrap-around For comparison: discrepancy LHS Sobol sequence
0.2 0.4 0.6 0.8
0.2
0.4
0.6
0.8
x[,1]
x[,2
]
Example: p = 2 – N = 16
ECP - Iooss - 17/11/11 29
Important property: robustness in terms of subprojections
Most of the times, the function f (X) has low effective dimensions: - in the truncation sense (p1 = number of influent inputs) p1 << p - in the superposition sense (p2 = higher order of influent interaction) p2 << p
Then, we need SFD which keeps their space-filling properties in low-dimensional
subspaces (by importance: in dimensions p ’=1, then p ’=2, ...)
good bad
• p ’ = 1 LHS ensures good 1D projection properties
• p ’ 2 In their definition, some L2-discrepancy criteria take into account subprojections In contrary design points distance criteria are not robust at all
ECP - Iooss - 17/11/11 30
Outline
1.Design of numerical experiments
2. Analysis of numerical experiments – Sensitivity analysis
3. Modelling of numerical experiments
4. Application
ECP - Iooss - 17/11/11 31
Sensitivity analysis notions
• Sensitivity, for example
Donne une idée de la manière dont peut répondre la réponse en fonction de variations potentielles des facteurs
• Contribution = sensitivity x importance, for example
Permet de déterminer le poids d’une variable d’entrée (ou groupe de variables) sur l’incertitude de la variable d’intérêt (la sortie)
iXY
)( i
i
XX
Y
DX DY
f
X Y
ECP - Iooss - 17/11/11 32
Main objectives of sensitivity analysis
• Reduction of the uncertainty of the model outputs by prioritization of the sources
• Variables to be fixed in order to obtain the largest reduction (or a fixed reduction) of the output uncertainty
A purely mathematical variable ordering
• Most influent variables in a given output domain
if reducibles, then R&D prioritization
else, modification of the system
• Simplification of a model
• determination of the non-influent variables, that can be fixed without consequences on the output uncertainty
• building a simplified model, a metamodel
ECP - Iooss - 17/11/11 33
(quantity of interest = variability of the output)
Three types of answers: 1. Screening :
- classical design of experiments, - numerical design of experiments (Morris, sequential bifurcation)
2. Quantitative measures of global influence : - correlation/regression on values/ranks - statistical tests, - functional variance decomposition (Sobol), - other measures : entropy, distribution distances
3. Deep exploration of sensitivities - smoothing techniques (param./non parametric) - metamodels
Overall classification of sensitivity analysis methods
X1
X3
X2
Y
ECP - Iooss - 17/11/11 34
X1
X2
Screening without hypothesis on function: Morris’ method
• Discretization of input space
• computation of one elementary effect for each input
P1
• Needs p+1 experiments • OAT (One-at-A-Time)
P2 P3
ECP - Iooss - 17/11/11 35
X1
X2
1
5
4
3
2
• OAT design is repeated R times (total: n = R*(p+1) experiments) • It gives an R-sample for each elementary effect
• Sensitivity measures:
Morris’ method
ECP - Iooss - 17/11/11 36
Morris: sensitivity measures
• is a measure of the sensitivity:
Important value important effects (in mean) sensitive model to input variations
• is a measure of the interactions and of the non linear effects:
important value different effects in the R-sample effects which depend on the value:
• of the input Xi => non linear effect • or of the other inputs => interaction (the distinction between the two cases is impossible)
ECP - Iooss - 17/11/11 37
Morris : example
*m
Cas test : non monotonic function of Morris
20 factors 210 simulations Graph (mu*, sigma)
Distinction between 3 groups:
1. Negligible effects 2. Linear effects 3. Non linear effects
and/or with interactions
1
3
2
ECP - Iooss - 17/11/11 38
Example : fuel irradiation computation in HTR
Code de calcul ATLAS (CEA) : simulation du comportement du combustible à particules sous irradiation Noyau de matière fissile Carbone pyrolytique poreux Carbone pyrolytique dense Carbure de Silicium Sources de contamination : rupture de particules Etudes de fiabilité
La rupture d’une particule peut être provoquée par la rupture des couches denses externes (IPyC, SiC, OPyC) Les réponses sont choisies pour être représentatives du phénomène de rupture : contraintes orthoradiales maximales dans les couches externes
Nombre de particules dans un réacteur : de 109 à 1010
!
< 1mm
ECP - Iooss - 17/11/11 39
3 uncertainty types in inputs • 10 paramètres de fabrication des particules (épaisseurs, …) Spécifications de fabrication lois normales tronquées • 5 paramètres d’irradiation (température, …)
Intervalle [min,max] lois uniformes
• 28 lois de comportement (fonctions des température, flux, …) Avis d’expert constantes multiplicatives (de loi U[0.95,1.05])
Exemple : loi de densification
du PyC
ECP - Iooss - 17/11/11 40
Results of Morris
Grande sensibilité à ces entrées (épaisseurs, température d’irradiation) Interactions faibles
Les lois sur le fluage et la densification du PyC sont les lois auxquelles le code est le plus sensible
Conclusion : La méthode de Morris donne une idée de la manière dont peut répondre la sortie en fonction de variations potentielles des entrées… Utile pour identifier les entrées potentiellement influentes
p = 43 entrées, 20 répétitions, n = 860 calculs, coût unitaire ~ 1 mn 14h
ECP - Iooss - 17/11/11 41
(quantity of interest = variability of the output)
Three types of answers: 1. Screening :
- classical design of experiments, - numerical design of experiments (Morris, sequential bifurcation)
2. Quantitative measures of global influence : - correlation/regression on values/ranks - statistical tests, - functional variance decomposition (Sobol), - other measures : entropy, distribution distances
3. Deep exploration of sensitivities - smoothing techniques (param./non parametric) - metamodels
Overall classification of sensitivity analysis methods
X1
X3
X2
Y
ECP - Iooss - 17/11/11 42
Sensitivity analysis for one scalar output
Sample ( Xp, Y (X ) ) of size N > p
Preliminary step: graphical vizualisation (for ex: scatterplots) Remark: it can be a Monte Carlo sample, a quasi-Monte Carlo sample or any other designs
ECP - Iooss - 17/11/11 44
Flood model - Scatterplots – Output Cp
Monte Carlo sample – N = 100
Major drawback: only first order relations between inputs are analyzed and not their interactions (=> needs of other data anlysis tools)
ECP - Iooss - 17/11/11 45
Sensitivity analysis for one scalar output
Sample ( Xp, Y (X ) ) of size N > p
? Linear relation ?
Oui
Linear
regression
between Xi
and Y
Regression
coefficients
(R²)
Sensitivity indices Sobol’ indices
Non ? Monotonic relation ?
Oui Non
Regression on
ranks
(R²*)
Preliminary step: graphical vizualisation (for ex: scatterplots) Quantitative sensitivity analysis methodology [Saltelli et al. 00, Helton et al. 06 ]
ECP - Iooss - 17/11/11 46
Sensitivity indices in case of linear inputs/output relation
Independent input variables
Sample : n realizations of
• SRC index:
Sign of bi gives the direction of variation of Y in fct of Xi
• SRC is similar to the linear correlation coefficient (Pearson)
• Validity of the linear model via
The residuals diagnostics and R² :
• We have => nice interpretation of SRC
46
p
i
ii XY1
0 bb
)Var(
)Var(:
Y
XXSRC i
ii b
Y,X
n
i
i
n
i
ii
YY
YY
R
1
2
1
2
2
ˆ
1
pX,X ...,1X
p
i
iXR1
22 SRC
ECP - Iooss - 17/11/11 47
Flood model - Output S
Monte Carlo sample – N = 100
31% 15% 18% 29% 6%
Sensitivity indices (SRC2)
The model is linear (R²=0.99)
SRC coefficients are sufficient for the quantitative sensivity analysis
ECP - Iooss - 17/11/11 48
Sensitivity analysis for one scalar output
Sample ( Xp, Y (X ) ) of size N > p
? Linear relation ?
Oui
Linear
regression
between Xi
and Y
Regression
coefficients
(R²)
Sensitivity indices Sobol’ indices
Non ? Monotonic relation ?
Oui Non
Regression on
ranks
(R²*)
Preliminary step: graphical vizualisation (for ex: scatterplots) Quantitative sensitivity analysis methodology [Saltelli et al. 00, Helton et al. 06 ]
)Var(
)]Var[E(
Y
XYS
i
i
ECP - Iooss - 17/11/11 49
Properties ( xi ~ U[O,1] for i=1,…,p , the xi s are independent)
Example :
pLf ]1;0[)()( 2 xxx
pp
i ij
jiij
p
i
ii xxxfxxfxfffy ,...,,...,)( 21,...,2,1
1
0
x
with
Functional decomposition
Infinity of possible decompositions
BUT, unicity of decomposition if:
)E(0 ydff xx
00 )|E()( fxyfdxfxf iiii x
0)|E()|E(),|E(, fxyxyxxyxxf jijijiij
0),(;2
1)(;
2
1)(;1
]1;0[~;]1;0[~;),(
21122221110
212121
xxfxxfxxff
UxUxxxxxf
sjiiii iijdxxxfss
,...,0),...,( 1... 11
ECP - Iooss - 17/11/11 50
Sensitivity indices without model hypotheses
Sobol indices definition:
• First order sensitivity indices:
• Second order sensitivity indices:
• ...
50
)Var(Y
VS i
i
)Var(Y
VS
ij
ij
)()()()(Var 12
1
YVYVYVY p
p
ji
ij
p
i
i <
Functional ANOVA [Efron & Stein 81] (hyp. of independent Xi s) :
... , )E(Var
)]E([Var)( where
jijiij
ii
VVXXYV
XYYV
ECP - Iooss - 17/11/11 51
Graphical interpretation
2 4 6 8 10 12 14
02
46
810
per1
p23
0 20 40 60 80
02
46
810
kd1
p23
0 50 100 150
02
46
810
kd2
p23
0.00 0.02 0.04 0.06 0.08 0.10
02
46
810
i3
p23
First order Sobol’ indices measure the variability of consitional expectation des espérances (mean trend curves in the scatterplots)
Null index
Small index
High index
ECP - Iooss - 17/11/11 52
1i
iS
1i
iS
Always
Additive model
i
iS1 Measure the degree of interactions between variables
k
i j k
ijk
i j
ij
p
i
i SSSS ,...,2,1
1
...1
Sobol’ indices properties
Examples : p =4 gives 4 indices Si, 6 indices Sij , 4 indices Sijk, 1 indice Sijkl General case : 2p-1 indices to be estimated Total sensitivity index: [ Homma & Saltelli 1996 ]
i
j kj
ijkijiTi SSSSS ~
,
1...
ECP - Iooss - 17/11/11 53
Direct estimation via Monte Carlo
2 i.i.d. samples :
Variance (classical estimator) :
Conditional variances :
• Quasi Monte Carlo
• FAST
• …
n
k
kn
k
k fn
fffn
YV1
)(
0
1
2
0
2)( 1ˆ avec ˆ1)(ˆ XX
2
0
)()(
1
)()(
1
)(
1
)()(
1
)()(
1
)(
1
1
22
',...,',,',...,',...,,,,...,1
)(ˆ
EE)]Var[E()(
fXXXXXfXXXXXfn
YV
dXXYdXXYXYYV
k
p
k
i
k
i
k
i
kk
p
k
i
k
i
k
i
kn
k
i
iiiiii
njpi
j
injpi
j
i XX,..,1;,..,1
)(
,..,1;,..,1
)( 'et
2
0
)()(
1
)()(
1
)(
1
)()(
1
)()(
1
)(
1
1
~
~~
,...,,',,...,,...,,,,...,1
)(ˆ
)]Var[E()(
fXXXXXfXXXXXfn
YV
XYYV
k
p
k
i
k
i
k
i
kk
p
k
i
k
i
k
i
kn
k
i
ii
ECP - Iooss - 17/11/11 55
The sampling-based approaches
Sample ( Xp, Y (X ) ) of size N > p
? Linear relation ?
Yes
Linear
regression
between X
and Y
Regression
coefficients
(R²)
Sensitivity indices
Sobol indices
No ? Monotonic relation ?
Yes No
Regression on
ranks
(R²*)
large
negligible
Smoothing
Metamodel
N > 10 p
Monte Carlo
N > 1000 p
? CPU time cost
of the model ?
Quasi-MC,
FAST, RBD,
N > 100 p
small
ECP - Iooss - 17/11/11 56
Flood model – Output Cp
From the 100-size Monte Carlo sample, a Gaussian process metamodel is fitted
Predictivity of the Gp metamodel : Q2 = 99%
N=1e5
100 replicates
N x (p+2) x 100 = 7e7 evaluations
ECP - Iooss - 17/11/11 57
Classification of sensitivity analysis methods
p 10p 1000p
Linear 1st
degree
Monotonic + interactions
Monotonic without
interaction
Metamodel
2p
Morris
( p = number of input variables )
0
Non monotonic
Number of model f
evaluations
Super screening
Variance decomposition
Design of experiment
Rank regression
Linear regression
Complexity/regularity of model f
Calculations of all types of indices (Sobol, distribution-based, …)
+ main effects E(Y | Xi )
Screening
Sobol indices
Monte-Carlo sampling