An optimal tradeoff between explorations and repetitions in global sensitivity analysis for stochastic computer models
Résumé
Global sensitivity analysis often accompanies computer modeling to understand
what are the important factors of a model of interest. In particular,
Sobol indices, naturally estimated by Monte-Carlo methods,
permit to quantify the contribution of the inputs to the
variability of the output. However, stochastic computer models raise
difficulties. There is no unique
definition of Sobol indices and their estimation
is difficult because a good balance between repetitions
of the computer code and explorations of the input space must be
found. The problem of finding an optimal tradeoff between
explorations and repetitions is addressed. Two Sobol indices
are considered, their estimators constructed and their asymptotic
properties established. To find an optimal tradeoff between repetitions and
explorations, a tractable error criterion, which is small when the inputs of
the model are ranked correctly, is built and minimized
under a fixed computing budget. Then, Sobol estimates based on the
balance found beforehand are produced. Convergence rates are
given and it is shown that this method is asymptotically oracle.
Numerical tests and a sensitivity analysis of a
Susceptible-Infectious-Recovered (SIR) model are performed.
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