On one dimensional weighted Poincare inequalities for Global Sensitivity Analysis
Résumé
One-dimensional Poincare inequalities are used in Global Sensitivity Analysis (GSA) to provide derivative-based upper bounds and approximations of Sobol indices. We add new perspectives by investigating weighted Poincare inequalities. Our contributions are twofold. In a first part, we provide new theoretical results for weighted Poincare inequalities, guided by GSA needs. We revisit the construction of weights from monotonic functions, providing a new proof from a spectral point of view. In this approach, given a monotonic function g, the weight is built such that g is the first non-trivial eigenfunction of a convenient diffusion operator. This allows us to reconsider the linear standard, i.e. the weight associated to a linear g. In particular, we construct weights that guarantee the existence of an orthonormal basis of eigenfunctions, leading to approximation of Sobol indices with Parseval formulas. In a second part, we develop specific methods for GSA. We study the equality case of the upper bound of a total Sobol index, and link the sharpness of the inequality to the proximity of the main effect to the eigenfunction. This leads us to theoretically investigate the construction of data-driven weights from estimators of the main effects when they are monotonic, another extension of the linear standard. Finally, we illustrate the benefits of using weights on a GSA study of two toy models and a real flooding application, involving the Poincare constant and/or the whole eigenbasis.
Mots clés
Weighted Poincare inequality
spectral gap
Global Sensitivity Analysis
Sobol-Hoeffding decomposition
Sobol indices
weighted Derivative-based Global Sensitivity Measures
Poincare chaos expansion
2020 Mathematics Subject Classification. 26D10 39B62 37A30 60J60 62G05 62P30 65C60 Weighted Poincaré inequality spectral gap Global Sensitivity Analysis Sobol-Hoeffding decomposition Sobol indices weighted Derivative-based Global Sensitivity Measures Poincaré chaos expansion
2020 Mathematics Subject Classification. 26D10
39B62
37A30
60J60
62G05
62P30
65C60 Weighted Poincaré inequality
Poincaré chaos expansion
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