Sensitivity analysis for multidimensional and functional outputs

DOI10.1214/14-EJS895MaRDI QIDQ2452108zbMATH OpenOpenAlexFDO

Authors Fabrice Gamboa, Alexandre Janon, Thierry Klein, Agnès Lagnoux

Publication date 30 May 2014

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

Full work available at URL https://arxiv.org/abs/1311.1797, https://projecteuclid.org/euclid.ejs/1400592265

zbMATH Keywords

sensitivity analysisconcentration inequalitiesquadratic functionalssobol indicessemiparametric efficient estimationtemporal outputvector output

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Abstract: Let $X:=(X_1,ldots,X_p)$ be random objects (the inputs), defined on some probability space $(Omega,mathcalF,mathbbP)$ and valued in some measurable space $E=E_{1}imesldotsimes{E}_p$. Further, let $Y:=Y=f(X_1,ldots,X_p)$ be the output. Here, $f$ is a measurable function from $E$ to some Hilbert space $mathbbH$ ($mathbbH$ could be either of finite or infinite dimension). In this work, we give a natural generalization of the Sobol indices (that are classically defined when $YinmathbbR$ ), when the output belongs to $mathbbH$. These indices have very nice properties. First, they are invariant. under isometry and scaling. Further they can be, as in dimension $1$, easily estimated by using the so-called Pick and Freeze method. We investigate the asymptotic behaviour of such estimation scheme.

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Cited in

(27)

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• Gradient-based dimension reduction of multivariate vector-valued functions
• Derivative-Based Global Sensitivity Analysis for Models with High-Dimensional Inputs and Functional Outputs
• Sensitivity analysis for product design selection with an implicit value function
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• Kernel-based Sensitivity Analysis for (Excursion) Sets
• Sensitivity indices for multivariate outputs
• A distributed active subspace method for scalable surrogate modeling of function valued outputs
• Multivariate sensitivity analysis for dynamic models with both random and random process inputs
• Generalized Sobol sensitivity indices for dependent variables: numerical methods
• Uncertainty quantification for nonlinear solid mechanics using reduced order models with Gaussian process regression
• Sensitivity analysis and visualization for functional data
• A Generalized Kernel Method for Global Sensitivity Analysis
• scientific article; zbMATH DE number 6160558 (Why is no real title available?)
• Surrogate-based uncertainty and sensitivity analysis for bacterial invasion in multi-species biofilm modeling
• Structure exploiting methods for fast uncertainty quantification in multiphase flow through heterogeneous media
• Multi-Fidelity Uncertainty Propagation Approach for Multi-Dimensional Correlated Flow Field Responses

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