Problems with Sobol' indices

UQ with UQLab Community Q&A and How To
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Hi Everyone,

I was wondering if Sobol’ indices can be computed with PC-Kriging.

Thanks a lot!

Hongzhou

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Dear Hongzhou

Sensitivity analysis can be applied after the construction of any type of surrogate models, and so it is also in UQLab.

Once you have built your PC-Kriging surrogate (which becomes the current MODEL in the UQLab workspace), just define a Sensitivity analysis with the option ‘Sobol’ and you will get automatically the Sobol’ indices computed with your surrogate.
The latter will be computed by Monte Carlo simulation. Please look at the manual “Sensitivity analysis”, section 3 “Reference” for details.

Best regards
Bruno

1 Like
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Thank you very much, Prof. Sudret!

Best,

Hongzhou