Non-parametric adaptive estimation of order 1 Sobol indices in stochastic models, with an application to Epidemiology

Abstract : The global sensitivity analysis is a set of methods aiming at quantifying the contribution of an uncertain input parameter of the model (or combination of parameters) on the variability of the response. We consider here the estimation of the Sobol indices of order 1 which are commonly-used indicators based on a decomposition of the output's variance. In a deterministic framework, when the same inputs always give the same outputs, these indices are usually estimated by replicated simulations of the model. In a stochastic framework, when the response given a set of input parameters is not unique due to randomness in the model, metamodels are often used to approximate the mean and dispersion of the response by deterministic functions. We propose a new non-parametric estimator without the need of defining a metamodel to estimate the Sobol indices of order 1. The estimator is based on warped wavelets and is adaptive in the regularity of the model. The convergence of the mean square error to zero, when the number of simulations of the model tend to infinity, is computed and an elbow effect is shown, depending on the regularity of the model.
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https://hal.archives-ouvertes.fr/hal-01249333
Contributeur : Viet Chi Tran <>
Soumis le : mardi 22 novembre 2016 - 00:07:08
Dernière modification le : lundi 30 avril 2018 - 14:52:03
Document(s) archivé(s) le : lundi 20 mars 2017 - 19:33:21

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indices_sobol_v24.pdf
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  • HAL Id : hal-01249333, version 2
  • ARXIV : 1611.07230

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Gwenaëlle Castellan, Anthony Cousien, Viet Chi Tran. Non-parametric adaptive estimation of order 1 Sobol indices in stochastic models, with an application to Epidemiology. 2015. 〈hal-01249333v2〉

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