A Bayesian approach for global sensitivity analysis of (multifidelity) computer codes

DOI10.1137/130926869MaRDI QIDQ2938447zbMATH OpenOpenAlexFDO

Authors Loic Le Gratiet, Claire Cannamela, B. Iooss

Publication date 14 January 2015

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

Full work available at URL https://arxiv.org/abs/1307.2223

zbMATH Keywords

Bayesian analysiscomplex computer codesGaussian process regressionmultifidelity modelsensitivity analysisSobol index

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Bayesian inference (62F15) Nonparametric inference (62G99) Directional data; spatial statistics (62H11)

Abstract: Complex computer codes are widely used in science and engineering to model physical phenomena. Furthermore, it is common that they have a large number of input parameters. Global sensitivity analysis aims to identify those which have the most important impact on the output. Sobol indices are a popular tool to perform such analysis. However, their estimations require an important number of simulations and often cannot be processed under reasonable time constraint. To handle this problem, a Gaussian process regression model is built to surrogate the computer code and the Sobol indices are estimated through it. The aim of this paper is to provide a methodology to estimate the Sobol indices through a surrogate model taking into account both the estimation errors and the surrogate model errors. In particular, it allows us to derive non-asymptotic confidence intervals for the Sobol index estimations. Furthermore, we extend the suggested strategy to the case of multi-fidelity computer codes which can be run at different levels of accuracy. For such simulators, we use an extension of Gaussian process regression models for multivariate outputs.

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