Multifidelity Monte Carlo Estimation of Variance and Sensitivity Indices
E. Qian, B. Peherstorfer, D. O'Malley, V.V. Vesselinov, K. Wilcox
SIAM Journal on Uncertainty Quantification2018DOI 10.1137/17M1151006
Summary
Variance-based sensitivity analysis provides a quantitative measure of how uncertainty in a model input contributes to uncertainty in the model output. Such sensitivity analyses arise in a wide variety of applications and are typically computed using Monte Carlo estimation, but the many samples required for Monte Carlo to be sufficiently accurate can make these analyses intractable when the model is expensive.