A simple and efficient method for global sensitivity analysis based oncumulative distribution functions
We present a new density-based GSA method called PAWN to complement variance-based GSA. Differently from variance-based methods, PAWN can be applied to highly-skewed or multi-modal output distributions. Differently from other density-based methods, PAWN uses output CDFs, which simplifies numerical implementation. PAWN can be easily tailored to focus on output sub-ranges, for instance extreme values. Intermediate results generated in the application of PAWN can be visualized to gather insights about the model behaviour.
global sensitivity analysis variance-based sensitivity indices density-based sensitivity indices uncertainty analysis