Pick-freeze estimation of sensitivity indices for models with dependent causal processes input

Mathilde Grandjacques; Alexandre Janon; Olivier Adrot; Benoît Delinchant

Pick-freeze estimation of sensitivity indices for models with dependent causal processes input

Mathilde Grandjacques ¹ Alexandre Janon ^{2, 3} Olivier Adrot ⁴ Benoît Delinchant ^{1, 3}

1 G2ELab - Laboratoire de Génie Electrique de Grenoble

2 LM-Orsay - Laboratoire de Mathématiques d'Orsay

3 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques

4 G-SCOP_GCSP - GCSP

G-SCOP - Laboratoire des sciences pour la conception, l'optimisation et la production

Abstract : This paper address sensibility theory for dynamic models, linking correlated inputs to observed outputs. Usual estimation methods of Sobol indices are based on the fact that the input variables are independent. We present in this paper a method to overpass this constraint for Gaussian processes of high dimension in a time related framework. A general method exists with very weak hypothesis but computations are quite impossible in high dimension. Our proposition leads to a natural generalization of Sobol indices for time dependent, causal and correlated inputs. The method of estimation is a modification of the pick-freeze scheme. After having detailed the scheme for the general Gaussian case we detailed the case of high dimensional autoregressive model, which can be also associated with state models. We then apply the results to the case of a building model.

Document type :

Conference papers

Domain :

Engineering Sciences [physics] / Electric power

Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01064160
Contributor : Sylvie Garcia <>
Submitted on : Monday, September 15, 2014 - 4:15:49 PM
Last modification on : Monday, April 9, 2018 - 12:22:24 PM

Pick-freeze estimation of sensitivity indices for models with dependent causal processes input

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Pick-freeze estimation of sensitivity indices for models with dependent causal processes input

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