Global sensitivity analysis of stochastic computer models with joint metamodels

DOI10.1007/S11222-011-9274-8zbMATH Open1252.62120arXiv0802.0443OpenAlexW1963591457MaRDI QIDQ693316FDOQ693316

Sébastien Da Veiga, Amandine Marrel, B. Iooss

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: The global sensitivity analysis method, used to quantify the influence of uncertain input variables on the response variability of a numerical model, is applicable to deterministic computer code (for which the same set of input variables gives always the same output value). This paper proposes a global sensitivity analysis methodology for stochastic computer code (having a variability induced by some uncontrollable variables). The framework of the joint modeling of the mean and dispersion of heteroscedastic data is used. To deal with the complexity of computer experiment outputs, non parametric joint models (based on Generalized Additive Models and Gaussian processes) are discussed. The relevance of these new models is analyzed in terms of the obtained variance-based sensitivity indices with two case studies. Results show that the joint modeling approach leads accurate sensitivity index estimations even when clear heteroscedasticity is present.

Full work available at URL: https://arxiv.org/abs/0802.0443

zbMATH Keywords

computer experimentsGaussian processesuncertaintygeneralized additive modelsSobol indicesjoint modeling

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes (62M99) Generalized linear models (logistic models) (62J12) Applications of statistics (62P99) Nonparametric inference (62G99) Theory of software (68N99)

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Cited In (23)

• Sequential Design of Multi-Fidelity Computer Experiments: Maximizing the Rate of Stepwise Uncertainty Reduction
• Emulated multivariate global sensitivity analysis for complex computer models applied to agricultural simulators
• Emulation of Stochastic Simulators Using Generalized Lambda Models
• Global Sensitivity Analysis and Wasserstein Spaces
• Calibrating a Stochastic, Agent-Based Model Using Quantile-Based Emulation
• Global Sensitivity Analysis for Statistical Model Parameters
• Analyzing stochastic computer models: a review with opportunities
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• Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation
• Dimension Reduction for Gaussian Process Emulation: An Application to the Influence of Bathymetry on Tsunami Heights
• Non-parametric adaptive estimation of order 1 Sobol indices in stochastic models, with an application to epidemiology
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• Nonparametric estimation of probabilistic sensitivity measures
• Uncertainty quantification: a minimum variance unbiased (joint) estimator of the non-normalized Sobol' indices
• Multivariate versus univariate Kriging metamodels for multi-response simulation models

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