[00122] Exact expansion of functions using partial derivatives: sensitivity analysis
Session Time & Room : 4E (Aug.24, 17:40-19:20) @F403
Type : Contributed Talk
Abstract : Expansions of functions such as Taylor’ series, ANOVA and anchored decompositions are widely used for approximating and analyzing complex mathematical models. We propose a novel and exact expansion of functions using their cross-partial derivatives, the distribution functions and densities of the input variables. In uncertainty quantification and multivariate sensitivity analysis, such expansion allows for developing a dimension-free computation of sensitivity indices for dynamic models, and for proposing new lower and upper bounds of total indices.