Importance sampling for Sobol' indices estimation

Abstract: We propose a new importance sampling framework for the estimation and analysis of Sobol' indices. We show that a Sobol' index defined under a reference input distribution can be consistently estimated from samples drawn from other sampling distributions by reweighting the estimator appropriately to account for the distribution change. We derive the optimal sampling distribution that minimizes the asymptotic variance and demonstrate its strong impact on estimation accuracy. Beyond variance reduction, the framework supports distributional sensitivity analysis via reverse importance sampling, enabling robust exploration of input distribution uncertainty with negligible additional computational cost.