HAL - INRIA :: [hal-00266110, version 2] Efficient Estimation of Sensitivity Indices

hal-00266110, version 2

Efficient Estimation of Sensitivity Indices

Sébastien Da Veiga () ^1, 2, Fabrice Gamboa () ^2, 3

Abstract: In this paper we address the problem of efficient estimation of Sobol sensitivy indices. First, we focus on general functional integrals of conditional moments of the form $\E(\psi(\E(\varphi(Y)|X)))$ where $(X,Y)$ is a random vector with joint density $f$ and $\psi$ and $\varphi$ are functions that are differentiable enough. In particular, we show that asymptotical efficient estimation of this functional boils down to the estimation of crossed quadratic functionals. An efficient estimate of first-order sensitivity indices is then derived as a special case. We investigate its properties on several analytical functions and illustrate its interest on a reservoir engineering case.

1: IFP Energies Nouvelles (IFPEN)
IFP Energies Nouvelles
2: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
CNRS : GDR3179
3: Institut de Mathématiques de Toulouse (IMT)
Université Paul Sabatier - Toulouse III – Université Toulouse le Mirail - Toulouse II – Université des Sciences Sociales - Toulouse I – Institut National des Sciences Appliquées de Toulouse – CNRS : UMR5219

hal-00266110, version 2
http://hal.archives-ouvertes.fr/hal-00266110
oai:hal.archives-ouvertes.fr:hal-00266110
From: Fabrice Gamboa <>
Submitted on: Tuesday, 13 March 2012 16:46:23
Updated on: Tuesday, 13 March 2012 20:19:14

See detailed view

Associated documents

PDF :

PS :

arXiv: 1203.2899

Export

Bibtex EndNote TEI RefWorks

<?xml version="1.0" encoding="UTF-8"?>
<listBibl xmlns="http://www.tei-c.org/ns/1.0" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:mml="http://www.w3.org/1998/Math/MathML">
<listBibl type="article"><head>Documents without publication reference</head>
<biblStruct type="article" xml:id="hal-00266110"><analytic>
<author><persName><forename>Sébastien</forename><surname>Da Veiga</surname></persName>
<affiliation>
<orgName type="laboratory">IFPEN</orgName>
<orgName type="team">IFP Energies Nouvelles</orgName>
<country>FR</country>
<orgName type="institution">IFP Energies Nouvelles</orgName>
</affiliation>
<affiliation>
<orgName type="laboratory">(Méthodes d'Analyse Stochastique des Codes et Traitements Numériques)</orgName>
<orgName type="team">GdR MASCOT-NUM</orgName>
<country>FR</country>
<orgName type="institution">CNRS : GDR3179</orgName>
</affiliation>
</author>
<author><persName><forename>Fabrice</forename><surname>Gamboa</surname></persName>
<affiliation>
<orgName type="laboratory">(Méthodes d'Analyse Stochastique des Codes et Traitements Numériques)</orgName>
<orgName type="team">GdR MASCOT-NUM</orgName>
<country>FR</country>
<orgName type="institution">CNRS : GDR3179</orgName>
</affiliation>
<affiliation>
<orgName type="laboratory">IMT</orgName>
<orgName type="team">Institut de Mathématiques de Toulouse</orgName>
<country>FR</country>
<orgName type="institution">Université Paul Sabatier - Toulouse III</orgName>
<orgName type="institution">Université Toulouse le Mirail - Toulouse II</orgName>
<orgName type="institution">Université des Sciences Sociales - Toulouse I</orgName>
<orgName type="institution">Institut National des Sciences Appliquées de Toulouse</orgName>
<orgName type="institution">CNRS : UMR5219</orgName>
</affiliation>
</author>
<title type="main" level="a">Efficient Estimation of Sensitivity Indices</title></analytic><monogr><imprint/></monogr><idno type="HALid">http://hal.archives-ouvertes.fr/hal-00266110</idno><idno type="HALFile">http://hal.archives-ouvertes.fr/hal-00266110/PDF/EfficientSA_newversion.pdf</idno></biblStruct>
</listBibl>
</listBibl>