Global Uncertainty and Sensitivity Analysis and Neighbourhoods

Summary

We shall briefly review recent progress in Global Quantitative Uncertainty and Sensitivity Analysis (UA/SA) techniques, relating these to multidimensional global calibration approaches of the “Monte Carlo filtering” type. Global quantitative techniques for Sensitivity Analysis (SA), that are based on the decomposition of the variance of the target model output, have received a considerable boost in recent years, due both to more efficient computational strategies and to a widening of their range of applications. Monte Carlo Filtering, and the GLUE (Generalised Likelihood Uncertainty Estimate) approach that derives from it are also promising tools to use in the presence of structural model uncertainty, as in the case of petroleum engineering that was the focus of the ECMI2002 mini-symposium “Advanced Mathematical Tools for Petroleum System Modelling”.