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I am performing Global Sensitivity Analysis (GSA) using Dakota variance_based_decomp method on the Ishigami function (a=7,b=0.1) with the three standard variables x1, x2, x3 (k=3). I am comparing the performance of two sampling methodologies LHS and Low-Discrepancy (Sobol sequence) for a fixed number of simulations.
The observed results are highly unexpected: LHS converged well, while the Low-Discrepancy sequence does not, contradicting the theoretical advantage of Quasi-Monte Carlo (QMC) methods. For example, the analytical solution of the Sobol Index Total Effect for variable x1 is 0.5576. LHS, after 5000 simulations, returns ST1=0.5517, while Low-Discrepancy, still after 5000 simulations, returns ST1=0.1803 (attached spreadsheet for full comparison of Main and Total Sobol Indices).
Questions for the Community:
Fundamental Lack of Convergence: Is there any specific, known reason why the two sampling methods return such dramatically different results, particularly why the Low-Discrepancy sequence (Sobol) performed so poorly, yielding an incorrect variable ranking and spurious main effects (e.g., S3=0.2212 instead of 0.0)?
Implementation Detail Check: Did I miss any critical details in the documentation regarding the use of low_discrepancy sequences specifically with variance_based_decomp?
I have attached the Dakota input file (01_ishigami.txt) for review. The number of simulations used is [Nevals=N×(k+2)=5000.]
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Hello Dakota Developers/Community,
I am performing Global Sensitivity Analysis (GSA) using Dakota
variance_based_decompmethod on the Ishigami function (a=7,b=0.1) with the three standard variables x1, x2, x3 (k=3). I am comparing the performance of two sampling methodologiesLHSandLow-Discrepancy(Sobol sequence) for a fixed number of simulations.The observed results are highly unexpected:
LHSconverged well, while theLow-Discrepancysequence does not, contradicting the theoretical advantage of Quasi-Monte Carlo (QMC) methods. For example, the analytical solution of the Sobol Index Total Effect for variablex1is0.5576. LHS, after 5000 simulations, returnsST1=0.5517, while Low-Discrepancy, still after 5000 simulations, returnsST1=0.1803(attached spreadsheet for full comparison of Main and Total Sobol Indices).Questions for the Community:
S3=0.2212instead of0.0)?low_discrepancysequences specifically withvariance_based_decomp?I have attached the Dakota input file (01_ishigami.txt) for review. The number of simulations used is [Nevals=N×(k+2)=5000.]
Thank you for your time and guidance!
Francesco Serafin
01_ishigami.txt
lhs_ld_sobol.ods
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