Cutting-Edge Stochastic Approach: Efficient Monte Carlo Algorithms with Applications to Sensitivity Analysis

Many important practical problems connected to energy efficiency in buildings, ecology, metallurgy, the development of wireless communication systems, the optimization of radar technology, quantum computing, pharmacology, and seismology are described by large-scale mathematical models that are typically represented by systems of partial differential equations. Such systems often involve numerous input parameters. It is crucial to understand how susceptible the solutions are to uncontrolled variations or uncertainties within these input parameters. This knowledge helps in identifying critical factors that significantly influence the model’s outcomes and can guide efforts to improve the accuracy and reliability of predictions. Sensitivity analysis (SA) is a method used efficiently to assess the sensitivity of the output results from large-scale mathematical models to uncertainties in their input data. By performing SA, we can better manage risks associated with uncertain inputs and make more informed decisions based on the model’s outputs. In recent years, researchers have developed advanced algorithms based on the analysis of variance (ANOVA) technique for computing numerical sensitivity indicators. These methods have also incorporated computationally efficient Monte Carlo integration techniques. This paper presents a comprehensive theoretical and experimental investigation of Monte Carlo algorithms based on “symmetrized shaking” of Sobol’s quasi-random sequences. The theoretical proof demonstrates that these algorithms exhibit an optimal rate of convergence for functions with continuous and bounded first derivatives and for functions with continuous and bounded second derivatives, respectively, both in terms of probability and mean square error. For the purposes of numerical study, these approaches were successfully applied to a particular problem. A specialized software tool for the global sensitivity analysis of an air pollution mathematical model was developed. Sensitivity analyses were conducted regarding some important air pollutant levels, calculated using a large-scale mathematical model describing the long-distance transport of air pollutants—the Unified Danish Eulerian Model (UNI-DEM). The sensitivity of the model was explored focusing on two distinct categories of key input parameters: chemical reaction rates and input emissions. To validate the theoretical findings and study the applicability of the algorithms across diverse problem classes, extensive numerical experiments were conducted to calculate the main sensitivity indicators—Sobol’ global sensitivity indices. Various numerical integration algorithms were employed to meet this goal—Monte Carlo, quasi-Monte Carlo (QMC), scrambled quasi-Monte Carlo methods based on Sobol’s sequences, and a sensitivity analysis approach implemented in the SIMLAB software for sensitivity analysis. During the study, an essential task arose that is small in value sensitivity measures. It required numerical integration approaches with higher accuracy to ensure reliable predictions based on a specific mathematical model, defining a vital role for small sensitivity measures. Both the analysis and numerical results highlight the advantages of one of the proposed approaches in terms of accuracy and efficiency, particularly for relatively small sensitivity indices.