Sensitivity analysis for multidimensional and functional outputs

DOI10.1214/14-EJS895zbMATH Open1348.62106arXiv1311.1797OpenAlexW2011587268MaRDI QIDQ2452108FDOQ2452108

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)

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.

Full work available at URL: https://arxiv.org/abs/1311.1797

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zbMATH Keywords

sensitivity analysisconcentration inequalitiesquadratic functionalssobol indicessemiparametric efficient estimationtemporal outputvector output

Mathematics Subject Classification ID

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

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Cited In (26)

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• 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
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• Multi-Fidelity Uncertainty Propagation Approach for Multi-Dimensional Correlated Flow Field Responses
• Surrogate-based uncertainty and sensitivity analysis for bacterial invasion in multi-species biofilm modeling
• Gradient-Based Dimension Reduction of Multivariate Vector-Valued Functions
• Structure exploiting methods for fast uncertainty quantification in multiphase flow through heterogeneous media

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