fast {sensitivity} | R Documentation |
fast
is the implementation of the Fourier Amplitude Sensitivity
Test.
fast(method = "saltelli99", model = NULL, factors, n, M = 4, omega = NULL, q = NULL, q.arg = NULL, ...)
method |
the method: "saltelli99" only |
model |
the model |
factors |
the number of factors, or their names |
n |
the sample size |
M |
the interference parameter |
omega |
the set of frequencies |
q |
the names of the quantile functions for the factors distributions |
q.arg |
the quantile parameters |
... |
any other arguments for model which are passed
unchanged each time it is called |
The method "saltelli99" is the so-called extended fast method wich provides estimations of both first order and total indices at a low computational cost.
model
is a function or a predictor (a class with a
predict
method) computing the response y
based on the
sample given by x
. If no model is specified, the indices will be
computed when one gives the response.
factors
could either be a single number or a vector of
character strings.
n
is the length of the discretization of the s-space (for
computing Fourier coefficients) and M
is the number of
harmonics to sum (for computing partial variances).
If the set of frequencies omega
is not given, the function use
the set recommended by the corresponding method. For the method
"saltelli99", the first frequency is the greater, associated with the
input variable to assess, and the other frequencies are associated
with the complementary set.
If q
and q.args
are not given, the factors will be
considerd uniform on [0,1]. q
is a list of character strings
giving the names of the quantile functions (one for each factor), such
as qunif
, qnorm
... q
could also be a single
character string (the same for all). q.arg
is a list of lists, each
list being additional parameters for the corresponding quantile
function. For example, the parameters of the quantile qunif
could be (min=1, max=2)
giving an uniform distribution on [1,2].
If q
is a single character string, then q.arg
must
be a single list.
fast
returns an object of class "fast"
.
An object of class "fast"
is a list containing the following
components:
x |
the factor sample |
y |
the response |
S |
the estimations of the first-order indices |
St |
the estimations of the total indices (method "saltelli99") |
For the method "saltelli99", the number of model evaluations is p * n where p is the number of factors.
Saltelli, A., Tarantola, S. and Chan, K., 1999, A quantitative, model independent method for global sensitivity analysis of model output. Technometrics, 41, 39–56.
Saltelli, A., Chan, K. and Scott, E. M., 2000, Sensitivity analysis. Wiley.
Cukier, R. I., Levine, H. B. and Schuler, K. E., 1978, Nonlinear sensitivity analysis of multiparameter model systems. J. Comput. Phys., 26, 1–42.
# Test case : the non-monotonic Ishigami function sa <- fast(model = ishigami.fun, factors = 3, n = 1000, q = "qunif", q.arg = list(min = -pi, max = pi)) print(sa) plot(sa)