Efficient Evaluation of Sobol’ Sensitivity Indices via Polynomial Lattice Rules and Modified Sobol’ Sequences
Accurate and efficient estimation of Sobol’ sensitivity indices is a cornerstone of variance-based global sensitivity analysis, providing critical insights into how uncertainties in input parameters affect model outputs. This is particularly important for large-scale environmental, engineering, and financial models, where understanding parameter influence is essential for improving model reliability, guiding calibration, and supporting informed decision-making. However, computing Sobol’ indices requires evaluating high-dimensional integrals, presenting significant numerical and computational challenges. In this study, we present a comparative analysis of two of the best available Quasi-Monte Carlo (QMC) techniques: polynomial lattice rules (PLRs) and modified Sobol’ sequences. The performance of both approaches is systematically assessed in terms of performance and accuracy. Extensive numerical experiments demonstrate that the proposed PLR-based framework achieves superior precision for several sensitivity measures, while modified Sobol’ sequences remain competitive for lower-dimensional indices. Our results show that IPLR-α3 outperforms traditional QMC methods in estimating both dominant and weak sensitivity indices, offering a robust framework for high-dimensional models. These findings provide practical guidelines for selecting optimal QMC strategies, contributing to more reliable sensitivity analysis and enhancing the predictive power of complex computational models.
Authors
- Petar Zhivkov (ORCID: https://orcid.org/0000-0001-5687-5277)
- Venelin Todorov (ORCID: https://orcid.org/0000-0001-7134-5901)
Institutions
- Bulgarian Academy of Sciences (BG)
- Institute of Information and Communication Technologies (BG)
Publication Details
- Journal
- Mathematics
- Published
- 2025-10-25
- DOI
- https://doi.org/10.3390/math13213402
- Citations
- 2
- Primary Topic
- Advanced Numerical Methods in Computational Mathematics
- Type
- article
- Field-Weighted Citation Impact
- 2.67