Poincaré inequalities on intervals -- application to sensitivity analysis

DOI10.1214/17-EJS1310MaRDI QIDQ2408230zbMATH OpenFDO

Authors O. Roustant, Franck Barthe, B. Iooss

Publication date 12 October 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.03689, https://projecteuclid.org/euclid.ejs/1503626422

zbMATH Keywords

derivative-based global sensitivity measuresfinite elementsKummer's functionsPoincaré inequalitySobol indicesSobol-Hoeffding decompositionspectral gaptruncated distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to environmental and related topics (62P12) Applications of statistics in engineering and industry; control charts (62P30)

Abstract: The development of global sensitivity analysis of numerical model outputs has recently raised new issues on 1-dimensional Poincar'e inequalities. Typically two kind of sensitivity indices are linked by a Poincar'e type inequality, which provide upper bounds of the most interpretable index by using the other one, cheaper to compute. This allows performing a low-cost screening of unessential variables. The efficiency of this screening then highly depends on the accuracy of the upper bounds in Poincar'e inequalities. The novelty in the questions concern the wide range of probability distributions involved, which are often truncated on intervals. After providing an overview of the existing knowledge and techniques, we add some theory about Poincar'e constants on intervals, with improvements for symmetric intervals. Then we exploit the spectral interpretation for computing exact value of Poincar'e constants of any admissible distribution on a given interval. We give semi-analytical results for some frequent distributions (truncated exponential, triangular, truncated normal), and present a numerical method in the general case. Finally, an application is made to a hydrological problem, showing the benefits of the new results in Poincar'e inequalities to sensitivity analysis.

Recommendations

• Parseval inequalities and lower bounds for variance-based sensitivity indices
• Computable majorants of constants in the Poincaré and Friedrichs inequalities
• A note on one-dimensional Poincaré inequalities by Stein-type integration
• When does allow the Hardy inequality to calculate an exact Poincaré constant on a line?
• Estimates of constants in boundary-mean trace inequalities and applications to error analysis

Cited in

(20)

• Formulae for the derivative of the Poincaré constant of Gibbs measures
• Derivative-based integral equalities and inequality: a proxy-measure for sensitivity analysis
• A note on eigenvalues estimates for one-dimensional diffusion operators
• Weak derivative-based expansion of functions: ANOVA and some inequalities
• Noise-driven bifurcations in a neural field system modelling networks of grid cells
• First-order covariance inequalities via Stein's method
• Parseval inequalities and lower bounds for variance-based sensitivity indices
• Sensitivity tools vs. Poincaré sections
• Stability of the Poincaré constant
• A note on one-dimensional Poincaré inequalities by Stein-type integration
• Global sensitivity analysis for statistical model parameters
• Spectral gaps, symmetries and log-concave perturbations
• Gradient-based dimension reduction of multivariate vector-valued functions
• Data-free likelihood-informed dimension reduction of Bayesian inverse problems
• Spectral decomposition of H^1 () and Poincaré inequality on a compact interval -- application to kernel quadrature
• A journey with the integrated 2 criterion and its weak forms
• Well-posedness and stability of a stochastic neural field in the form of a partial differential equation
• Derivative Based Global Sensitivity Analysis and Its Entropic Link
• On one dimensional weighted Poincaré inequalities for global sensitivity analysis
• A note on the spectral gap for log-concave probability measures on convex bodies

This page was built for publication: Poincaré inequalities on intervals -- application to sensitivity analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2408230)