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Journal Articles Information and Inference Year : 2015

Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces

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Abstract

This paper deals with the estimation of grouped Sobol' indices in the case where the dependence inside each group is given by sets of linear ordered constraints. In the framework of independent inputs, the replication method allows to estimate first-order indices with only two designs. Through the use of orthogonal arrays of strength two the replication method can be applied to estimate closed second-order indices. We extend this methodology to estimate first-order and closed second-order grouped Sobol' indices under sets of linear constraints. The construction of the two designs required by the replication method is now based on the simplex geometric structure to handle the constraints within each set. We propose a space filling strategy to construct these designs.
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Dates and versions

hal-01045034 , version 1 (24-07-2014)

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Laurent Gilquin, Clémentine Prieur, Élise Arnaud. Replication procedure for grouped Sobol' indices estimation in dependent uncertainty spaces. Information and Inference, 2015, Information and Inference, 4 (4), pp. 354-379. ⟨10.1093/imaiai/iav010⟩. ⟨hal-01045034⟩
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