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Multifidelity variance reduction for pick-freeze Sobol index estimation

Alexandre Janon 1, 2, 3, *
* Corresponding author
1 MOISE - Modelling, Observations, Identification for Environmental Sciences
Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann, Inria Grenoble - Rhône-Alpes
Abstract : Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest (output of the model). One of the statistical tools used to quantify the influence of each input variable on the output is the Sobol sensitivity index, which can be estimated using a large sample of evaluations of the output. We propose a variance reduction technique, based on the availability of a fast approximation of the output, which can enable significant computational savings when the output is costly to evaluate.
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https://hal.inria.fr/hal-00804119
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Submitted on : Monday, March 25, 2013 - 5:07:05 AM
Last modification on : Thursday, November 19, 2020 - 1:00:20 PM
Long-term archiving on: : Wednesday, June 26, 2013 - 4:00:38 AM

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  • HAL Id : hal-00804119, version 1
  • ARXIV : 1303.6042

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Alexandre Janon. Multifidelity variance reduction for pick-freeze Sobol index estimation. 2013. ⟨hal-00804119⟩

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