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国际不确定性的量化期刊

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ISSN 打印: 2152-5080

ISSN 在线: 2152-5099

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SENSITIVITY INDICES FOR OUTPUT ON A RIEMANNIAN MANIFOLD

卷 10, 册 4, 2020, pp. 297-314
DOI: 10.1615/Int.J.UncertaintyQuantification.2020029614
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摘要

In the context of computer code experiments, sensitivity analysis of a complicated input-output system is often performed by ranking the so-called Sobol' indices. One reason for the popularity of the Sobol' approach relies on the simplicity of the statistical estimation of these indices using the so-called pick and freeze method. In this work we propose and study sensitivity indices for the case where the output lies on a Riemannian manifold. These indices are based on a Cramer-von Mises like criterion that takes into account the geometry of the output support. We propose a pick and freeze like estimator of these indices based on an U−statistic. The asymptotic properties of these estimators are studied. Further, we provide and discuss some interesting numerical examples.

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对本文的引用
  1. Gamboa Fabrice, Klein Thierry, Lagnoux Agnès, Moreno Leonardo, Sensitivity analysis in general metric spaces, Reliability Engineering & System Safety, 212, 2021. Crossref

  2. Gamboa Fabrice, Gremaud Pierre, Klein Thierry, Lagnoux Agnès, Global sensitivity analysis: A novel generation of mighty estimators based on rank statistics, Bernoulli, 28, 4, 2022. Crossref

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