Global Sensitivity Analysis

Global Sensitivity Analysis (GSA) methods are used to quantify the uncertainty in output of a model w.r.t. the parameters. These methods allow practitioners to measure both parameter's individual contributions and the contribution of their interactions to the output uncertainity.

Installation

To use this functionality, you must install GlobalSensitivity.jl:

]add GlobalSensitivity
using GlobalSensitivity

Note: GlobalSensitivity.jl is unrelated to the GlobalSensitivityAnalysis.jl package.

General Interface

The general interface for calling a global sensitivity analysis is either:

effects = gsa(f, method, param_range; N, batch=false)

where:

  • y=f(x) is a function that takes in a single vector and spits out a single vector or scalar. If batch=true, then f takes in a matrix where each row is a set of parameters, and returns a matrix where each row is a the output for the corresponding row of parameters.
  • method is one of the GSA methods below.
  • param_range is a vector of tuples for the upper and lower bound for the given parameter i.
  • N is a required keyword argument for the number of samples to take in the trajectories/design.

Note that for some methods there is a second interface where one can directly pass the design matrices:

effects = gsa(f, method, A, B; batch=false)

where A and B are design matrices with each row being a set of parameters. Note that generate_design_matrices from QuasiMonteCarlo.jl can be used to generate the design matrices.

The descriptions of the available methods can be found in the Methods section. The GSA interface allows for utilizing batched functions with the batch kwarg discussed above for parallel computation of GSA results.