Derivative based global sensitivity measures

We introduce new global sensitivity measures called derivative based global sensitivity measures (DGSM). We also show that there is a link between DGSM and Sobol’ total sensitivity indices which makes this approach theoretically sound and general. It can be seen as the generalization of the Morris method. The computational time required for numerical evaluation of DGSM can be much lower than that for estimation of the Sobol’ sensitivity indices although it is problem dependent. The efficiency of the method can be further improved by using the automatic differentiation algorithm for calculation DGSM.