Gaussian linear approximation for the estimation of the Shapley effects

DOI10.1137/20M1342884zbMATH Open1473.90167arXiv2006.02087MaRDI QIDQ5158917FDOQ5158917

Authors: Baptiste Broto, François Bachoc, Marine Depecker, J. M. Martinez 

Publication date: 26 October 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: In this paper, we address the estimation of the sensitivity indices called "Shapley eects". These sensitivity indices enable to handle dependent input variables. The Shapley eects are generally dicult to estimate, but they are easily computable in the Gaussian linear framework. The aim of this work is to use the values of the Shapley eects in an approximated Gaussian linear framework as estimators of the true Shapley eects corresponding to a non-linear model. First, we assume that the input variables are Gaussian with small variances. We provide rates of convergence of the estimated Shapley eects to the true Shapley eects. Then, we focus on the case where the inputs are given by an non-Gaussian empirical mean. We prove that, under some mild assumptions, when the number of terms in the empirical mean increases, the dierence between the true Shapley eects and the estimated Shapley eects given by the Gaussian linear approximation converges to 0. Our theoretical results are supported by numerical studies, showing that the Gaussian linear approximation is accurate and enables to decrease the computational time signicantly.

Full work available at URL: https://arxiv.org/abs/2006.02087

Recommendations

• Computing Shapley effects for sensitivity analysis
• Variance reduction for estimation of Shapley effects and adaptation to unknown input distribution
• Block-diagonal covariance estimation and application to the Shapley effects in sensitivity analysis
• Shapley Effects for Global Sensitivity Analysis: Theory and Computation
• Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms

zbMATH Keywords

sensitivity analysisShapley effectsGaussian linear approximation

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37) Sensitivity, stability, parametric optimization (90C31)

Cites Work

• The design and analysis of computer experiments.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistical inference for Sobol pick-freeze Monte Carlo method
• Generalized Hoeffding-Sobol decomposition for dependent variables -- application to sensitivity analysis
• Sensitivity indices for independent groups of variables
• Approximate forward-backward algorithm for a switching linear Gaussian model
• Sobol' Indices and Shapley Value
• Shapley Effects for Global Sensitivity Analysis: Theory and Computation
• On Shapley Value for Measuring Importance of Dependent Inputs
• Variance Reduction for Estimation of Shapley Effects and Adaptation to Unknown Input Distribution
• Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms
• SHAPLEY EFFECTS FOR SENSITIVITY ANALYSIS WITH CORRELATED INPUTS: COMPARISONS WITH SOBOL' INDICES, NUMERICAL ESTIMATION AND APPLICATIONS
• On a Uniform Estimate of the Rate of Convergence in the Multidimensional Local Limit Theorem for Densities

Cited In (3)

• Shapley Effects for Global Sensitivity Analysis: Theory and Computation
• A linear approximation method for the Shapley value
• Title not available (Why is that?)

Uses Software

• TAPENADE
• sensitivity

This page was built for publication: Gaussian linear approximation for the estimation of the Shapley effects

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5158917)