Uncertainty and sensitivity analysis for models with correlated parameters

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When conducting sensitivity and uncertainty analysis, most of the global sensitivity techniques assume parameter independence. However, it is common that the parameters are correlated with each other. For models with correlated inputs, we propose that the contribution of uncertainty to model output by an individual parameter be divided into two parts: the correlated contribution (by the correlated variations, i.e. variations of a parameter which are correlated with other parameters) and the uncorrelated contribution (by the uncorrelated variations, i.e. the unique variations of a parameter which cannot be explained by any other parameters). So far, only a few studies have been conducted to obtain the sensitivity index for a model with correlated input. But these studies do not distinguish between the correlated and uncorrelated contribution of a parameter. In this study, we propose a regression-based method to quantitatively decompose the total uncertainty in model output into partial variances contributed by the correlated variations and partial variances contributed by the uncorrelated variations. The proposed regression-based method is then applied in three test cases. Results show that the regression-based method can successfully measure the uncertainty contribution in the case where the relationship between response and parameters is approximately linear.

Original languageEnglish (US)
Pages (from-to)1563-1573
Number of pages11
JournalReliability Engineering and System Safety
Issue number10
StatePublished - Oct 2008


  • Correlated parameters
  • Latin hypercube sampling
  • Linear regression
  • Sensitivity analysis
  • Uncertainty analysis

ASJC Scopus subject areas

  • Safety, Risk, Reliability and Quality
  • Industrial and Manufacturing Engineering


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