When the threshold used by conditional and target HSIC analyses is high, few samples exceed it, which makes it difficult to estimate the sensitivity indices. I’ve already had some numerical issues with OpenTURNS.
As as pointed out by Marrel and Chabridon (2021) who introduced these indices, “if the objective is only to perform a target sensitivity analysis (TSA) or conditional sensitivity analysis (CSA) of the model and if the choice of sampling is possible, it is obvious that goal-oriented sampling methods such as importance sampling would be of great interest. Indeed, by adding simulations in the critical area, these methods would significantly improve the estimation of TSA and CSA indices.”. That way, we could use FORM-based importance sampling to estimate. This option should be discouraged if the user wishes to estimate global sensitivity analysis.
Are there any plans to implement this in OpenTURNS?
Furthermore, are there any plans to add other reliability-oriented sensitivity analysis techniques, e.g., FORM-IS-based Sobol’ analysis?
Amandine Marrel, Vincent Chabridon. Statistical developments for target and conditional sensitivity analy sis: application on safety studies for nuclear reactor. Reliability Engineering and System Safety, 2021, 214, pp.107711. ⟨10.1016/j.ress.2021.107711⟩. ⟨hal-02541142v2