Metamodel construction for sensitivity analysis
From MaRDI portal
Abstract: We propose to estimate a metamodel and the sensitivity indices of a complex model m in the Gaussian regression framework. Our approach combines methods for sensitivity analysis of complex models and statistical tools for sparse non-parametric estimation in multivariate Gaussian regression model. It rests on the construction of a metamodel for aproximating the Hoeffding-Sobol decomposition of m. This metamodel belongs to a reproducing kernel Hilbert space constructed as a direct sum of Hilbert spaces leading to a functional ANOVA decomposition. The estimation of the metamodel is carried out via a penalized least-squares minimization allowing to select the subsets of variables that contribute to predict the output. It allows to estimate the sensitivity indices of m. We establish an oracle-type inequality for the risk of the estimator, describe the procedure for estimating the metamodel and the sensitivity indices, and assess the performances of the procedure via a simulation study.
Recommendations
- Risk of estimators for Sobol' sensitivity indices based on metamodels
- Global sensitivity analysis using complex linear models
- ANOVA decomposition of conditional Gaussian processes for sensitivity analysis with dependent inputs
- Certified metamodels for sensitivity indices estimation
- Estimating sensitivity indices based on Gaussian process metamodels with compactly supported correlation functions
Cites work
- A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
- A note on the Lasso and related procedures in model selection
- A sharp concentration inequality with applications
- A survey of cross-validation procedures for model selection
- Adaptive sparse polynomial chaos expansion based on least angle regression
- ANOVA kernels and RKHS of zero mean functions for model-based sensitivity analysis
- Asymptotic Statistics
- Component selection and smoothing in multivariate nonparametric regression
- Concentration Inequalities and Martingale Inequalities: A Survey
- Convex optimization: algorithms and complexity
- Distributed optimization and statistical learning via the alternating direction method of multipliers
- Global sensitivity analysis: The primer
- Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
- High-dimensional additive modeling
- scientific article; zbMATH DE number 2089352 (Why is no real title available?)
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
- scientific article; zbMATH DE number 49187 (Why is no real title available?)
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 194093 (Why is no real title available?)
- scientific article; zbMATH DE number 3560419 (Why is no real title available?)
- scientific article; zbMATH DE number 1529823 (Why is no real title available?)
- scientific article; zbMATH DE number 1425054 (Why is no real title available?)
- scientific article; zbMATH DE number 5055767 (Why is no real title available?)
- Local Rademacher complexities
- Minimax-optimal rates for sparse additive models over kernel classes via convex programming
- Multivariate adaptive regression splines
- Physical Systems with Random Uncertainties: Chaos Representations with Arbitrary Probability Measure
- Smoothing spline ANOVA for exponential families, with application to the Wisconsin epidemiological study of diabetic retinopathy. (The 1994 Neyman Memorial Lecture)
- Sparse additive models
- Sparse estimation by exponential weighting
- Sparsity in multiple kernel learning
- State evolution for general approximate message passing algorithms, with applications to spatial coupling
- Structural modelling with sparse kernels
- The Brunn-Minkowski inequality in Gauss space
Cited in
(14)- Combining meta-modeling and categorical indicators for global sensitivity analysis of long-running flow simulators with spatially dependent inputs
- Use of design sensitivity information in response surface and kriging metamodels
- ANOVA kernels and RKHS of zero mean functions for model-based sensitivity analysis
- Risk of estimators for Sobol' sensitivity indices based on metamodels
- Borgonovo moment independent global sensitivity analysis by Gaussian radial basis function meta-model
- Sequential sensitivity analysis of expensive black-box simulators with metamodelling
- \(h\)-\(p\) adaptive model based approximation of moment free sensitivity indices
- Certified metamodels for sensitivity indices estimation
- L₂-boosting for sensitivity analysis with dependent inputs
- Estimating sensitivity indices based on Gaussian process metamodels with compactly supported correlation functions
- Tensor algorithms for advanced sensitivity metrics
- Accelerating metabolic models evaluation with statistical metamodels: application to Salmonella infection models
- Asymptotic confidence interval for R 2 in multiple linear regression
- Global sensitivity analysis using complex linear models
This page was built for publication: Metamodel construction for sensitivity analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4606427)
