论文标题
全球灵敏度分析和瓦斯林空间
Global sensitivity analysis and Wasserstein spaces
论文作者
论文摘要
灵敏度指标通常用于量化计算机代码输出的任何特定输入变量的相对影响。在本文中，我们两者都集中在计算机代码上，其输出是累积分布函数和随机计算机代码。我们建议对这类计算机代码进行全局灵敏度分析的方法。在第一个环境中，我们删除了两个指数：第一个指标基于Wasserstein fr {é} Chet表示，而第二个则基于Wasserstein Ball的指标的hoeding分解。此外，在处理随机计算机代码时，我们将成为REST设置框架的随机计算机代码的理想版本。最后，我们推断出一种程序来实现第二级全局灵敏度分析，即当人们对与输入分布相关的灵敏度感兴趣时，而不是对与输入本身相关的灵敏度。提出了几项数值研究作为不同设置中的例证。
Sensitivity indices are commonly used to quantity the relative inuence of any specic group of input variables on the output of a computer code. In this paper, we focus both on computer codes the output of which is a cumulative distribution function and on stochastic computer codes. We propose a way to perform a global sensitivity analysis for these kinds of computer codes. In the rst setting, we dene two indices: the rst one is based on Wasserstein Fr{é}chet means while the second one is based on the Hoeding decomposition of the indicators of Wasserstein balls. Further, when dealing with the stochastic computer codes, we dene an ideal version of the stochastic computer code thats ts into the frame of the rst setting. Finally, we deduce a procedure to realize a second level global sensitivity analysis, namely when one is interested in the sensitivity related to the input distributions rather than in the sensitivity related to the inputs themselves. Several numerical studies are proposed as illustrations in the dierent settings.
