Global Sensitivity Analysis

Effective dimensionality reduction for Greeks computation using Randomized QMC ArXiv ID: 2504.11576 “View on arXiv” Authors: Unknown Abstract Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimation of discretely monitored barrier options and arithmetic average Asian options. We compare results from finite difference and Monte Carlo methods with those obtained by using randomized Quasi Monte Carlo combined with Brownian bridge discretization. Additionally, we investigate the benefits of incorporating importance sampling with either the finite difference or Chebyshev interpolation methods. Our findings demonstrate that the reduced effective dimensionality identified through global sensitivity analysis explains the performance advantages of one approach over another. Specifically, the increased smoothness provided by Chebyshev or conditional pathwise methods enhances the convergence rate of randomized Quasi Monte Carlo integration, leading to the significant increase of accuracy and reduced computational costs. ...

Quantifying the relative importance of the spatial and temporal resolution in energy systems optimisation model ArXiv ID: 2310.10518 “View on arXiv” Authors: Unknown Abstract An increasing number of studies using energy system optimisation models are conducted with higher spatial and temporal resolution. This comes with a computational cost which places a limit on the size, complexity, and detail of the model. In this paper, we explore the relative importance of structural aspects of energy system models, spatial and temporal resolution, compared to uncertainties in input parameters such as final energy demand, discount rate and capital costs. We use global sensitivity analysis to uncover these interactions for two developing countries, Kenya, and Benin, which still lack universal access to electricity. We find that temporal resolution has a high influence on all assessed results parameters, and spatial resolution has a significant influence on the expansion of distribution lines to the unelectrified population. The larger overall influence of temporal resolution indicates that this should be prioritised compared to spatial resolution. ...