hal-00666473, version 1
Derivative-based global sensitivity measures: general links with Sobol' indices and numerical tests
Matieyendou Matieyendou 1Bertrand Iooss
2, 3Anne-Laure Popelin 3Fabrice Gamboa 1
(03/02/2012)
Abstract: The estimation of variance-based importance measures (called Sobol' indices) of the input variables of a numerical model can require a large number of model evaluations. It turns to be unacceptable for huge model involving a large number of input variables (typically more than ten). Recently, Sobol and Kucherenko have proposed the Derivative-based Global Sensitivity Measures (DGSM), defined as the integral of the squared derivatives of the model output, showing that it can help to solve the problem of dimensionality in some cases. We provide a general inequality link between DGSM and total Sobol' indices for input variables belonging in the class of Boltzmann probability measures, extending the previous results of Sobol and Kucherenko for uniform and normal measures. The special case of log-concave measures is also described. This link provides a DGSM-based maximal bound for the total Sobol indices. Numerical tests show the performance of the bound and its usefulness in practice.
- 1: 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
- 2: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- 3: EDF R&D
- EDF
- Domain : Mathematics/Statistics
Statistics/Statistics Theory - Keywords : Boltzmann measure – Derivative based global sensitivity measure – Global sensitivity analysis – Log-concave measure – Poincaré inequality – Sobol' indices
- hal-00666473, version 1
- http://hal.archives-ouvertes.fr/hal-00666473
- oai:hal.archives-ouvertes.fr:hal-00666473
- From: Bertrand Iooss
- Submitted on: Sunday, 5 February 2012 01:43:49
- Updated on: Sunday, 5 February 2012 08:30:06






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