Kernel-based sensitivity analysis for (excursion) sets
Résumé
In this paper, we aim to perform sensitivity analysis of set-valued models and, in particular, to quantify the impact of uncertain inputs on feasible sets, which are key elements in solving a robust optimization problem under constraints. While most sensitivity analysis methods deal with scalar outputs, this paper introduces a novel approach for performing sensitivity analysis with set-valued outputs. Our innovative methodology is designed for excursion sets, but is versatile enough to be applied to set-valued simulators, including those found in viability fields, or when working with maps like pollutant concentration maps or flood zone maps.
We propose to use the Hilbert-Schmidt Independence Criterion (HSIC) with a kernel designed for set-valued outputs. After proposing a probabilistic framework for random sets, a first contribution is the proof that this kernel is \textit{characteristic}, an essential property in a kernel-based sensitivity analysis context. To measure the contribution of each input, we then propose to use HSIC-ANOVA indices. With these indices, we can identify which inputs should be neglected (\textit{screening}) and we can rank the others according to their influence (\textit{ranking}). The estimation of these indices is also adapted to the set-valued outputs. Finally, we test the proposed method on three test cases of excursion sets.
Domaines
Statistiques [math.ST]Origine | Fichiers produits par l'(les) auteur(s) |
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