Crossed-Derivative Based Sensitivity Measures for Interaction Screening

Abstract : Global sensitivity analysis is used to quantify the influence of input variables on a numerical model output. Sobol' indices are now classical sensitivity measures. However their estimation requires a large number of model evaluations, especially when interaction effects are of interest. Derivative-based global sensitivity measures (DGSM) have recently shown their efficiency for the identification of non-influential inputs. In this paper, we define crossed DGSM, based on second-order derivatives of model output. By using a L2- Poincaré inequality, we provide a crossed-DGSM based maximal bound for the superset importance (i.e. total Sobol' indices of an interaction between two inputs). In order to apply this result, we discuss how to estimate the Poincaré constant for various probability distributions. Several analytical and numerical tests show the performance of the bound and allow to develop a generic strategy for interaction screening
Type de document :
Pré-publication, Document de travail
2014


https://hal.archives-ouvertes.fr/hal-00845446
Contributeur : Olivier Roustant <>
Soumis le : mercredi 21 mai 2014 - 19:05:32
Dernière modification le : samedi 11 avril 2015 - 01:01:58
Document(s) archivé(s) le : jeudi 21 août 2014 - 12:36:23

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Olivier Roustant, Jana Fruth, Bertrand Iooss, Sonja Kuhnt. Crossed-Derivative Based Sensitivity Measures for Interaction Screening. 2014. <hal-00845446v2>

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