Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution

DOI10.1137/18M1234631zbMath1445.62186arXiv1812.09168MaRDI QIDQ3296926

François Bachoc, Baptiste Broto, Marine Depecker

Publication date: 2 July 2020

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.09168

zbMATH Keywords

sensitivity analysis; nearest neighbors; Shapley effects

Mathematics Subject Classification ID

68T37: Reasoning under uncertainty in the context of artificial intelligence

41A63: Multidimensional problems

41A25: Rate of convergence, degree of approximation

62J10: Analysis of variance and covariance (ANOVA)

Related Items

Goal-Oriented Shapley Effects with Special Attention to the Quantile-Oriented Case, Block-Diagonal Covariance Estimation and Application to the Shapley Effects in Sensitivity Analysis, Gaussian Linear Approximation for the Estimation of the Shapley Effects, Computing Shapley Effects for Sensitivity Analysis, Variance reduced Shapley value estimation for trustworthy data valuation, Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates, Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics

Uses Software

• EGO

Cites Work

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