Global sensitivity analysis and Wasserstein spaces
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Abstract: Sensitivity indices are commonly used to quantity the relative inuence of any specic group of input variables on the output of a computer code. In this paper, we focus both on computer codes the output of which is a cumulative distribution function and on stochastic computer codes. We propose a way to perform a global sensitivity analysis for these kinds of computer codes. In the rst setting, we dene two indices: the rst one is based on Wasserstein Fr{'e}chet means while the second one is based on the Hoeding decomposition of the indicators of Wasserstein balls. Further, when dealing with the stochastic computer codes, we dene an ideal version of the stochastic computer code thats ts into the frame of the rst setting. Finally, we deduce a procedure to realize a second level global sensitivity analysis, namely when one is interested in the sensitivity related to the input distributions rather than in the sensitivity related to the inputs themselves. Several numerical studies are proposed as illustrations in the dierent settings.
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Cited in
(9)- Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics
- Sensitivity analysis based on Cramér-von Mises distance
- Transformations and invariance in the sensitivity analysis of computer experiments
- Test Comparison for Sobol Indices over Nested Sets of Variables
- Sensitivity measures based on scoring functions
- Quantile-constrained Wasserstein projections for robust interpretability of numerical and machine learning models
- Performing global sensitivity analysis on simulations of a continuous-time Markov chain model motivated by epidemiology
- Kernel-based Sensitivity Analysis for (Excursion) Sets
- Global sensitivity analysis of stochastic computer models with joint metamodels
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