Global sensitivity analysis of stochastic computer models with joint metamodels

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

Authors: Amandine Marrel, B. Iooss, Sébastien Da Veiga 

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

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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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