Accelerating factors screening

A. Saltelli1, F. Campolongo1, J. Cariboni1
1Econometrics and statistical support, The European Commission, Joint Research Centre
andrea.saltelli@jrc.it

We introduce a new method for screening factors in mathematical or computational models with large numbers of factors. In factors screening one tries to identify active factors in a factors rich model with a minimum number of computer simulations. The method proposed here represents an improvement over the best available practice for this setting, the method of elementary effects (Morris 1991 [1], Campolongo et al. 1999 [2], Campolongo et al. 2000 [3], Saltelli et al. 2004 [4], Campolongo et al. 2007 [5]). Reviews of screening methods for computer experiments are in [3-6]. 
The proposed new method can offer both estimates of the first order and of the total order sensitivity indices.

Acknowledgement:

References

[1] Morris MD: Factorial sampling plans for preliminary computational experiments. Technometrics 33(2), 161-174 (1991)

[2] Campolongo F, Tarantola S, Saltelli A: Tackling quantitatively large dimensionality problems. Computational Physics Communication 117, 75-85 (1999)

[3] Campolongo F, Kleijnen J, Andres T: Screening Methods, In: Saltelli, A., Chan, K. and Scott, M. (Eds.) Sensitivity Analysis. Wiley, New York, 2000, pp. 65-80.

[4] Saltelli A, Tarantola S, Campolongo F, Ratto M.: Sensitivity Analysis in Practice. A Guide to Assessing Scientific Models, John Wiley & Sons publishers, 2004.

[5] Campolongo, F., Cariboni, J., Saltelli, A., Simplifying a large chemical reaction model via an effective screening design, to appear on Environmental Modelling & Software, 2007.

[6] Saltelli, A., M. Ratto, S. Tarantola and F. Campolongo (2005) Sensitivity Analysis for Chemical Models, Chemical Reviews, 105(7), 2811-2828 (2005).

[7] Saltelli, A., Andres, T., Campolongo, F., Cariboni J., Gatelli D., Pennoni F., Ratto, M., Saisana, M., Tarantola, S., Sensitivity analysis of scientific models, John Wiley & Sons publishers, to appear in winter 2007.