论文标题

基于替代物的全球灵敏度分析,并通过闸门统计保证

Surrogate-based global sensitivity analysis with statistical guarantees via floodgate

论文作者

Aufiero, Massimo, Janson, Lucas

论文摘要

计算模型在许多科学领域都用于模拟复杂系统。敏感性分析是一种重要的实践,可以帮助我们理解这些模型的机制及其描述的过程,但是执行足够数量的模型评估以获得准确的灵敏度估计通常可以过于昂贵。为了减轻计算负担,一个常见的解决方案是使用一个替代模型,该模型近似于原始模型,但要占成本的一小部分。但是,为了换取基于替代物的灵敏度分析的计算益处,这种方法是由替代模型和原始模型之间的差异产生的准确性损失的价格。为了解决这个问题,我们适应了Zhang和Janson(2020)的闸门方法,以提供有效的基于代孕的置信区间,而不是点估计,从而使使用代孕的计算加速有益于对高维模型特别明显的代孕,同时仍然在与原始模型(非全球范围内保持严格且准确的敏感性)。我们的置信区间在计算模型或替代物上几乎没有任何条件,在渐近上有效。另外,随着代孕精度的提高,我们置信区间的准确性(宽度)会缩小,因此,当使用精确的替代物时,我们报告的置信区间将相应地很狭窄,在其估计中灌输了适当的高度置信度。我们通过在小型Hymod水文模型上的数值模拟演示了我们方法的性质,并将其应用于更复杂的CBM-Z气象模型,并具有最新的基于神经网络的替代物。

Computational models are utilized in many scientific domains to simulate complex systems. Sensitivity analysis is an important practice to aid our understanding of the mechanics of these models and the processes they describe, but performing a sufficient number of model evaluations to obtain accurate sensitivity estimates can often be prohibitively expensive. In order to reduce the computational burden, a common solution is to use a surrogate model that approximates the original model reasonably well but at a fraction of the cost. However, in exchange for the computational benefits of surrogate-based sensitivity analysis, this approach comes with the price of a loss in accuracy arising from the difference between the surrogate and the original model. To address this issue, we adapt the floodgate method of Zhang and Janson (2020) to provide valid surrogate-based confidence intervals rather than a point estimate, allowing for the benefit of the computational speed-up of using a surrogate that is especially pronounced for high-dimensional models, while still retaining rigorous and accurate bounds on the global sensitivity with respect to the original (non-surrogate) model. Our confidence interval is asymptotically valid with almost no conditions on the computational model or the surrogate. Additionally, the accuracy (width) of our confidence interval shrinks as the surrogate's accuracy increases, so when an accurate surrogate is used, the confidence interval we report will correspondingly be quite narrow, instilling appropriately high confidence in its estimate. We demonstrate the properties of our method through numerical simulations on the small Hymod hydrological model, and also apply it to the more complex CBM-Z meteorological model with a recent neural-network-based surrogate.

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