Monte Carlo evaluation of derivative-based global sensitivity measures

A novel approach for evaluation of derivative-based global sensitivity measures (DGSM) is presented. It is compared with the Morris and the Sobol’ sensitivity indices methods. It is shown that there is a link between DGSM and Sobol’ sensitivity indices. DGSM are very easy to implement and evaluate numerically. The computational time required for numerical evaluation of DGSM is many orders of magnitude lower than that for estimation of the Sobol’ sensitivity indices. It is also lower than that for the Morris method. Efficiencies of Monte Carlo (MC) and quasi-Monte Carlo (QMC) sampling methods for calculation of DGSM are compared. It is shown that the superiority of QMC over MC depends on the problemʹs effective dimension, which can also be estimated using DGSM.