[Forum SIS] seminario DISMEQ, 14.12.15

[Claudio Giovanni Borroni]

Segnalo un seminario che si terrà

Lunedì 14.12.15 alle ore 12.00

presso il Dipartimento di Statistica e Metodi Quantitativi (DISMEQ),
Università degli Studi di Milano Bicocca,
via Bicocca degli Arcimboldi, 8 Milano
stanza 4026, quarto piano palazzo U7

Relatore: Stefano Tarantola, Joint Research Center ­ Ispra (VA)

Titolo: Sensitivity analysis of computer models
 
Abstract: In the context of uncertainty and sensitivity analysis the
behavior of a system or a process can be represented by a model with a
random (uncertain) input vector (parameters). The variance-based method of
global sensitivity indices developed by Sobol¹ became very popular among
practitioners due to its efficiency and easiness of interpretation. We
present ANOVA decomposition and direct Sobol¹ formulas to compute Sobol¹
sensitivity indices. Unfortunately, for CPU expensive models the direct
application of variance- based Global Sensitivity Analysis (GSA) measures
can be extremely time- consuming and impractical. To circumvent this problem
we show screening methods and discuss graphical tools for sensitivity
analysis. All GSA methods require Monte Carlo type sampling and the quality
of sampling is very important for the efficiency of computation. We discuss
three different popular sampling methods: Latin Hypercube Sampling, Monte
Carlo (MC) and Quasi MC and show why Quasi QMC methods based on Sobol¹
sequences are most efficient for practical applications.

Tutti gli interessati sono invitati a partecipare.

Cordiali saluti, Claudio Borroni


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