Support indices: Measuring the effect of input variables over their support

J Fruth (1) , O Roustant (2, 3) , S Kuhnt (4)

1 TU - Technische Universität Dortmund [Dortmund]
2 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques
3 DEMO-ENSMSE - Département Décision en Entreprise : Modélisation, Optimisation
4 FH Dortmund - Fachhochschule Dortmund - University of Applied Sciences and Arts

Two new sensitivity indices are presented which give an original solution to the known question in sensitivity analysis of how to determine regions within in the input space for which the model variation is high. The indices, as functions over the input domain, give insight into the local influence of input variables over the whole domain when the other variables lie in the global domain. They can serve as an informative extension to a standard analysis and in addition are especially helpful in the specification of the input domain, a critical, but often vaguely handled issue in sensitivity analysis. In the usual framework of independent continuous input variables, we present theoretical results that show an asymptotic connection between the presented indices and Sobol indices, valid for general probability distribution functions. Finally, we show how the indices can be successfully applied in an analytical as well as a real example.

Mots clés: sensitivity analysis; support analysis; Sobol indices; DGSM

Domaines: Applications [stat.AP]; Méthodologie [stat.ME]

J Fruth, O Roustant, S Kuhnt. Support indices: Measuring the effect of input variables over their support. 2015. ⟨hal-01113555v1⟩